N-Q 1 d905448dnq.htm N-Q N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number              811-08090                    

                                     Lincoln Variable Insurance Products Trust                                    

(Exact name of registrant as specified in charter)

1300 South Clinton Street

                                                 Fort Wayne, Indiana 46802                                                 

(Address of principal executive offices) (Zip code)

Jill R. Whitelaw, Esq.

Lincoln Financial Group

150 North Radnor Chester Road

                                         Radnor, Pennsylvania 19087                                        

(Name and address of agent for service)

Copies of all communications to:

Robert A. Robertson, Esq.

Dechert LLP

2010 Main Street

Suite 500

Irvine, CA 92614

Registrant’s telephone number, including area code:          (260) 455-3404        

Date of fiscal year end:    December 31            

Date of reporting period: March 31, 2015

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.


LVIP American Balanced Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES–100.04%

  

  

Asset Allocation Fund–19.83%

     

²American Funds®–Capital Income Builder

     2,854,280       $ 169,658,404   
     

 

 

 
  169,658,404   
     

 

 

 

Equity Funds–24.82%

²American Funds®–AMCAP Fund

  1,473,481      42,480,467   

American Mutual Fund

  1,153,031      42,650,611   

LOGO American Funds Insurance Series®–Blue Chip Income & Growth Fund

  2,876,496      42,428,314   

Growth Fund

  510,163      42,608,798   

Growth-Income Fund

  785,495      42,157,515   
     

 

 

 
  212,325,705   
     

 

 

 

Fixed Income Funds–33.37%

²American Funds®–Intermediate Bond Fund of America

  3,174,592      43,269,686   

LOGO American Funds Insurance Series®– Bond Fund

  15,399,516      173,552,546   

High-Income Bond Fund

  3,961,022      42,779,043   

Mortgage Bond Fund

  2,390,876      25,917,100   
     

 

 

 
  285,518,375   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

  

International Equity Funds–19.00%

  

  

LOGO American Funds Insurance Series®–Global Growth Fund

     1,172,539       $ 34,214,681   

Global Small Capitalization Fund

     2,201,566         60,124,763   

International Fund

     3,179,893         68,208,706   
     

 

 

 
  162,548,150   
     

 

 

 

International Fixed Income Fund–3.02%

  

LOGO American Funds Insurance Series®–Global Bond Fund

  2,201,442      25,822,910   
     

 

 

 
  25,822,910   
     

 

 

 

Total Investment Companies

(Cost $750,331,617)

  855,873,544   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.04% (Cost $750,331,617)

  855,873,544   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.04%)

  (311,624
  

 

 

 

NET ASSETS APPLICABLE TO 65,727,800 SHARES OUTSTANDING–100.00%

$ 855,561,920   
  

 

 

 

 

 

² 

Class R-6 shares.

 

LOGO  

Class 1 shares.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Companies

   $ 855,873,544   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

LVIP American Balanced Allocation Fund–1


LVIP American Income Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES–100.10%

  

  

Asset Allocation Fund–19.76%

     

²American Funds®–Capital Income Builder

     668,847       $ 39,756,237   
     

 

 

 
  39,756,237   
     

 

 

 

Equity Funds–18.83%

²American Funds®–AMCAP Fund

  345,871      9,971,455   

American Mutual Fund

  216,521      8,009,119   

LOGO American Funds Insurance Series®–Blue Chip Income & Growth Fund

  540,121      7,966,785   

Growth Fund

  47,901      4,000,706   

Growth-Income Fund

  147,949      7,940,432   
     

 

 

 
  37,888,497   
     

 

 

 

Fixed Income Funds–52.48%

²American Funds®–Intermediate Bond Fund of America

  1,192,367      16,251,962   

LOGO American Funds Insurance Series®–Bond Fund

  5,418,572      61,067,305   

High-Income Bond Fund

  1,116,192      12,054,873   

Mortgage Bond Fund

  747,606      8,104,054   

U.S. Government/AAA-Rated

Securities Fund

  644,368      8,119,038   
     

 

 

 
  105,597,232   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

  

International Equity Funds–6.02%

  

  

LOGO American Funds Insurance Series®–Global Growth Fund

     138,402       $ 4,038,563   

Global Small Capitalization Fund

     295,258         8,063,503   
     

 

 

 
  12,102,066   
     

 

 

 

International Fixed Income Fund–3.01%

  

LOGO American Funds Insurance Series®–Global Bond Fund

  516,729      6,061,225   
     

 

 

 
  6,061,225   
     

 

 

 

Total Investment Companies

(Cost $184,624,684)

  201,405,257   
     

 

 

 

 

 

 

TOTAL VALUE OF SECURITIES–100.10% (Cost $184,624,684)

  201,405,257   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.10%)

  (197,143
  

 

 

 

NET ASSETS APPLICABLE TO 16,789,826 SHARES OUTSTANDING–100.00%

$ 201,208,114   
  

 

 

 

 

 

² 

Class R-6 shares.

 

LOGO  

Class 1 shares.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Companies

   $ 201,405,257   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

LVIP American Income Allocation Fund–1


LVIP American Growth Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

    Number of
Shares
   

Value

(U.S. $)

 

INVESTMENT COMPANIES–100.01%

  

Asset Allocation Fund–16.88%

   

²American Funds®–Capital Income Builder

    2,496,629      $ 148,399,651   
   

 

 

 
  148,399,651   
   

 

 

 

Equity Funds–28.83%

²American Funds®–AMCAP Fund

  1,516,354      43,716,472   

American Mutual Fund

  1,661,174      61,446,821   

LOGO American Funds Insurance Series®–Blue Chip Income & Growth Fund

  3,552,218      52,395,212   

Growth Fund

  629,994      52,617,061   

Growth-Income Fund

  808,361      43,384,754   
   

 

 

 
  253,560,320   
   

 

 

 

Fixed Income Funds–23.26%

²American Funds®–Intermediate Bond Fund of America

  2,613,255      35,618,662   

LOGO American Funds Insurance Series®–Bond Fund

  9,497,150      107,032,883   

High-Income Bond Fund

  3,258,870      35,195,795   

Mortgage Bond Fund

  2,464,739      26,717,768   
   

 

 

 
    204,565,108   
   

 

 

 
    Number of
Shares
   

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

International Equity Funds–28.02%

  

LOGO American Funds Insurance Series®–Global Growth & Income Fund

    1,324,407      $ 17,468,930   

Global Growth Fund

    1,509,986        44,061,378   

Global Small Capitalization Fund

    2,265,489        61,870,518   

International Fund

    4,908,343        105,283,951   

New World Fund

    829,860        17,692,615   
   

 

 

 
  246,377,392   
   

 

 

 

International Fixed Income Fund–3.02%

  

LOGO American Funds Insurance Series®–Global Bond Fund

  2,265,259      26,571,485   
   

 

 

 
  26,571,485   
   

 

 

 

Total Investment Companies

(Cost $757,734,102)

    879,473,956   
   

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.01% (Cost $757,734,102)

  879,473,956   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.01%)

  (44,351
  

 

 

 

NET ASSETS APPLICABLE TO 64,687,010 SHARES OUTSTANDING–100.00%

$ 879,429,605   
  

 

 

 

 

 

²

 Class R-6 shares.

 

LOGO

 Class 1 shares.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Companies

   $ 879,473,956   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

LVIP American Growth Allocation Fund–1


LVIP American Century VP Mid Cap Value RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

    Number of
Shares
   

Value

(U.S. $)

 

INVESTMENT COMPANIES–99.25%

  

Equity Fund–92.12%

   

*American Century VP Mid Cap Value

    5,742,479      $ 109,853,619   
   

 

 

 
    109,853,619   
   

 

 

 
    Number of
Shares
   

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

Money Market Fund–7.13%

   

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

    8,501,493      $ 8,501,493   
   

 

 

 
  8,501,493   
   

 

 

 

Total Investment Companies

(Cost $117,946,174)

    118,355,112   
   

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.25% (Cost $117,946,174)

  118,355,112    

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.75%

  888,794    
  

 

 

 

NET ASSETS APPLICABLE TO 10,446,840 SHARES OUTSTANDING–100.00%

$ 119,243,906    
  

 

 

 

 

 

*  Class I shares.

« Includes $164,608 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
   Notional
Value
   Expiration
Date
   Unrealized
Appreciation
(Depreciation)

67

   E-mini S&P 500 Index    $6,813,692    $6,903,680    6/22/15    $89,988

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Companies

   $ 118,355,112   
  

 

 

 

Futures Contracts

$ 89,988   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP American Century VP Mid Cap Value Managed Volatility Fund.

LVIP American Century VP Mid Cap Value RPM Fund–1


LVIP American Global Growth Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

INVESTMENT COMPANY–100.06%

     

International Equity Fund–100.06%

     

American Funds Insurance Series®–Global Growth Fund Class 1

     3,553,329       $ 103,686,128   
     

 

 

 

Total Investment Company
(Cost $83,324,639)

  103,686,128   
     

 

 

 

TOTAL VALUE OF SECURITIES–100.06% (Cost $83,324,639)

  103,686,128   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.06%)

  (61,506
     

 

 

 

NET ASSETS APPLICABLE TO 5,548,014 SHARES OUTSTANDING–100.00%

$ 103,624,622   
     

 

 

 

The LVIP American Global Growth Fund (Fund) invests substantially all of its assets in Class 1 shares of the Global Growth Fund, a series of the American Funds Insurance Series® (Underlying Fund). The Fund has an investment objective that is consistent with its corresponding Underlying Fund. The financial statements of the Underlying Fund, including the Schedule of Investments, should be read in conjunction with the Fund’s financial statements.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Company

   $ 103,686,128   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

 

LVIP American Global Growth Fund–1


LVIP American Global Small Capitalization Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

INVESTMENT COMPANY–100.07%

     

International Equity Fund–100.07%

     

American Funds Insurance Series®–Global Small Capitalization Fund Class 1

     2,588,696       $ 70,697,253   
     

 

 

 

Total Investment Company
(Cost $50,619,414)

  70,697,253   
     

 

 

 

TOTAL VALUE OF SECURITIES–100.07% (Cost $50,619,414)

  70,697,253   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.07%)

  (49,065
     

 

 

 

NET ASSETS APPLICABLE TO 4,345,525 SHARES OUTSTANDING–100.00%

$ 70,648,188   
     

 

 

 

The LVIP American Global Small Capitalization Fund (Fund) invests substantially all of its assets in Class 1 shares of the Global Small Capitalization Fund, a series of the American Funds Insurance Series® (Underlying Fund). The Fund has an investment objective that is consistent with its corresponding Underlying Fund. The financial statements of the Underlying Fund, including the Schedule of Investments, should be read in conjunction with the Fund’s financial statements.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Company

   $ 70,697,253   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

 

LVIP American Global Small Capitalization Fund–1


LVIP American Growth Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

INVESTMENT COMPANY–100.06%

     

Equity Fund–100.06%

     

American Funds Insurance Series®–Growth Fund Class 1

     3,903,664       $ 326,034,012   
     

 

 

 

Total Investment Company
(Cost $224,266,297)

  326,034,012   
     

 

 

 

TOTAL VALUE OF SECURITIES–100.06% (Cost $224,266,297)

  326,034,012   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.06%)

  (184,198
     

 

 

 

NET ASSETS APPLICABLE TO 16,144,666 SHARES OUTSTANDING–100.00%

$ 325,849,814   
     

 

 

 

The LVIP American Growth Fund (Fund) invests substantially all of its assets in Class 1 shares of the Growth Fund, a series of the American Funds Insurance Series® (Underlying Fund). The Fund has an investment objective that is consistent with its corresponding Underlying Fund. The financial statements of the Underlying Fund, including the Schedule of Investments, should be read in conjunction with the Fund’s financial statements.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Company

   $ 326,034,012   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

 

LVIP American Growth Fund–1


LVIP American Growth-Income Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

INVESTMENT COMPANY–100.05%

     

Equity Fund–100.05%

     

American Funds Insurance Series®–Growth-Income Fund Class 1

     5,013,646       $ 269,082,348   
     

 

 

 

Total Investment Company
(Cost $184,172,223)

  269,082,348   
     

 

 

 

TOTAL VALUE OF SECURITIES–100.05% (Cost $184,172,223)

  269,082,348   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.05%)

  (140,181
     

 

 

 

NET ASSETS APPLICABLE TO 13,291,115 SHARES OUTSTANDING–100.00%

$ 268,942,167   
     

 

 

 

The LVIP American Growth-Income Fund (Fund) invests substantially all of its assets in Class 1 shares of the Growth-Income Fund, a series of the American Funds Insurance Series® (Underlying Fund). The Fund has an investment objective that is consistent with its corresponding Underlying Fund. The financial statements of the Underlying Fund, including the Schedule of Investments, should be read in conjunction with the Fund’s financial statements.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Company

   $ 269,082,348   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

 

LVIP American Growth-Income Fund–1


LVIP American International Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

INVESTMENT COMPANY–100.06%

     

International Equity Fund–100.06%

     

American Funds Insurance Series®–International Fund Class 1

     6,997,840       $ 150,103,633   
     

 

 

 

Total Investment Company
(Cost $118,465,791)

  150,103,633   
     

 

 

 

TOTAL VALUE OF SECURITIES–100.06% (Cost $118,465,791)

  150,103,633   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.06%)

  (85,991
     

 

 

 

NET ASSETS APPLICABLE TO 10,192,288 SHARES OUTSTANDING–100.00%

$ 150,017,642   
     

 

 

 

The LVIP American International Fund (Fund) invests substantially all of its assets in Class 1 shares of the International Fund, a series of the American Funds Insurance Series® (Underlying Fund). The Fund has an investment objective that is consistent with its corresponding Underlying Fund. The financial statements of the Underlying Fund, including the Schedule of Investments, should be read in conjunction with the Fund’s financial statements.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Company

   $ 150,103,633   

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP American International Fund–1


LVIP American Preservation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

AFFILIATED INVESTMENT COMPANY–1.99%

  

Money Market Fund–1.99%

     

*Lincoln Variable Insurance Products Trust–LVIP Money Market Fund

     676,439       $ 6,764,392   
     

 

 

 

Total Affiliated Investment Company
(Cost $6,764,392)

   

  6,764,392   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–98.01%

  

Fixed Income Funds–94.97%

²American Funds®–Bond Fund of America

  789,022      10,225,723   

Intermediate Bond Fund of America

  6,743,886      91,919,170   

Short-Term Bond Fund of America

  11,514,630      115,376,597   

LOGO American Funds Insurance Series®–Bond Fund

  2,727,025      30,733,572   

High-Income Bond Fund

  1,557,383      16,819,736   

Mortgage Bond Fund

  1,569,996      17,018,755   

U.S. Government/AAA-Rated
Securities Fund

  3,248,909      40,936,254   
     

 

 

 
  323,029,807   
     

 

 

 
     Number of
Shares
     Value
(U.S. $)
 

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

International Fixed Income Fund–2.99%

  

LOGO American Funds Insurance Series®–Global Bond Fund

     865,800       $ 10,155,836   
     

 

 

 
  10,155,836   
     

 

 

 

Money Market Fund–0.05%

Dreyfus Treasury & Agency Cash
Management Fund - Institutional Shares

  174,037      174,037   
     

 

 

 
  174,037   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $330,675,280)

   

  333,359,680   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.00% (Cost $337,439,672)

  340,124,072   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.00%

  1,759   
  

 

 

 

NET ASSETS APPLICABLE TO 34,061,959 SHARES OUTSTANDING–100.00%

$  340,125,831   
  

 

 

 

 

 

² Class R-6 shares.

* Standard Class shares.

LOGO Class 1 shares.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Companies

   $ 340,124,072   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP American Preservation Fund–1


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK–77.64%

     

U.S. MARKETS–44.49%

     

Aerospace & Defense–2.35%

     

Boeing

     100       $ 15,008   

General Dynamics

     376         51,034   

Honeywell International

     100         10,431   

L-3 Communications Holdings

     308         38,743   

Lockheed Martin

     243         49,319   

Northrop Grumman

     400         64,384   

Raytheon

     400         43,700   

United Technologies

     100         11,720   
     

 

 

 
  284,339   
     

 

 

 

Air Freight & Logistics–0.27%

FedEx

  194      32,097   
     

 

 

 
  32,097   
     

 

 

 

Airlines–1.51%

American Airlines Group

  966      50,985   

Delta Air Lines

  1,039      46,713   

Southwest Airlines

  982      43,503   

†United Continental Holdings

  620      41,695   
     

 

 

 
  182,896   
     

 

 

 

Banks–1.81%

Bank of America

  2,176      33,489   

CIT Group

  100      4,512   

Citigroup

  200      10,304   

JPMorgan Chase

  735      44,526   

KeyCorp

  500      7,080   

PNC Financial Services Group

  400      37,296   

Wells Fargo

  1,500      81,600   
     

 

 

 
  218,807   
     

 

 

 

Beverages–1.14%

Coca-Cola

  1,000      40,550   

Dr Pepper Snapple Group

  300      23,544   

†Monster Beverage

  253      35,014   

PepsiCo

  400      38,248   
     

 

 

 
  137,356   
     

 

 

 

Biotechnology–3.18%

Amgen

  295      47,156   

†Biogen

  300      126,672   

†Celgene

  415      47,841   

†Gilead Sciences

  1,137      111,574   

†Medivation

  300      38,721   

†Vertex Pharmaceuticals

  100      11,797   
     

 

 

 
  383,761   
     

 

 

 

Capital Markets–0.21%

Ameriprise Financial

  100      13,084   

Bank of New York Mellon

  309      12,434   
     

 

 

 
  25,518   
     

 

 

 
     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Chemicals–1.79%

     

CF Industries Holdings

     200       $ 56,736   

Dow Chemical

     600         28,788   

LyondellBasell Industries Class A

     723         63,479   

PPG Industries

     300         67,662   
     

 

 

 
  216,665   
     

 

 

 

Communications Equipment–0.43%

  

Cisco Systems

  600      16,515   

Harris

  100      7,876   

QUALCOMM

  400      27,736   
     

 

 

 
  52,127   
     

 

 

 

Consumer Finance–0.59%

American Express

  400      31,248   

Capital One Financial

  397      31,292   

Navient

  400      8,132   
     

 

 

 
  70,672   
     

 

 

 

Containers & Packaging–0.09%

Avery Dennison

  200      10,582   
     

 

 

 
  10,582   
     

 

 

 

Diversified Financial Services–0.36%

  

†Berkshire Hathaway Class B

  300      43,296   
     

 

 

 
  43,296   
     

 

 

 

Diversified Telecommunication Services–0.61%

  

AT&T

  922      30,103   

Verizon Communications

  900      43,767   
     

 

 

 
  73,870   
     

 

 

 

Electric Utilities–1.26%

American Electric Power

  1,053      59,231   

Duke Energy

  200      15,356   

Edison International

  500      31,235   

Entergy

  429      33,243   

Pinnacle West Capital

  200      12,750   
     

 

 

 
  151,815   
     

 

 

 

Electrical Equipment–0.09%

Emerson Electric

  200      11,324   
     

 

 

 
  11,324   
     

 

 

 

Electronic Equipment, Instruments & Components–1.19%

  

†Arrow Electronics

  400      24,460   

Corning

  1,400      31,752   

†Flextronics International

  6,893      87,369   
     

 

 

 
  143,581   
     

 

 

 

Food & Staples Retailing–0.61%

CVS Health

  600      61,926   

Walgreens Boots Alliance

  141      11,940   
     

 

 

 
  73,866   
     

 

 

 
 

 

 

LVIP AQR Enhanced Global Strategies Fund–1


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

  

  

U.S. MARKETS (continued)

  

  

Food Products–0.95%

     

Archer-Daniels-Midland

     1,300       $ 61,620   

Bunge

     292         24,049   

Hormel Foods

     200         11,370   

Mondelez International

     500         18,045   
     

 

 

 
  115,084   
     

 

 

 

Health Care Equipment & Supplies–0.98%

  

Abbott Laboratories

  200      9,266   

Becton, Dickinson

  8      1,116   

†Edwards Lifesciences

  600      85,476   

Medtronic

  295      23,007   
     

 

 

 
  118,865   
     

 

 

 

Health Care Providers & Services–3.01%

  

Aetna

  700      74,571   

Anthem

  400      61,764   

Cardinal Health

  500      45,135   

Cigna

  100      12,944   

Humana

  500      89,010   

McKesson

  200      45,240   

UnitedHealth Group

  300      35,487   
     

 

 

 
  364,151   
     

 

 

 

Hotels, Restaurants & Leisure–0.08%

  

Carnival

  200      9,568   
     

 

 

 
  9,568   
     

 

 

 

Household Durables–0.05%

Horton (D.R.)

  200      5,696   
     

 

 

 
  5,696   
     

 

 

 

Household Products–0.49%

Kimberly-Clark

  300      32,133   

Procter & Gamble

  336      27,532   
     

 

 

 
  59,665   
     

 

 

 

Independent Power & Renewable Electricity Producers–0.02%

  

AES

  200      2,570   
     

 

 

 
  2,570   
     

 

 

 

Industrial Conglomerates–0.41%

3M

  200      32,990   

Danaher

  200      16,980   
     

 

 

 
  49,970   
     

 

 

 

Insurance–0.85%

Allstate

  300      21,351   

American International Group

  109      5,972   

Assurant

  300      18,423   

Travelers

  200      21,626   

Unum Group

  1,041      35,113   
     

 

 

 
  102,485   
     

 

 

 
     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

  

  

U.S. MARKETS (continued)

  

  

Internet Software & Services–0.86%

  

  

†Facebook Class A

     220       $ 18,087   

†Google Class C

     100         54,800   

†Rackspace Hosting

     597         30,799   
     

 

 

 
  103,686   
     

 

 

 

IT Services–0.50%

Computer Sciences

  265      17,299   

Fidelity National Information Services

  100      6,806   

†Fiserv

  300      23,820   

MasterCard Class A

  142      12,267   
     

 

 

 
  60,192   
     

 

 

 

Machinery–0.07%

SPX

  100      8,490   
     

 

 

 
  8,490   
     

 

 

 

Media–0.62%

Comcast Class A

  100      5,647   

†DIRECTV

  100      8,510   

Time Warner

  500      42,220   

Time Warner Cable

  100      14,988   

Viacom Class B

  47      3,210   
     

 

 

 
  74,575   
     

 

 

 

Multiline Retail–0.32%

Dollar General

  296      22,312   

†Dollar Tree

  200      16,229   
     

 

 

 
  38,541   
     

 

 

 

Multi-Utilities–0.82%

Alliant Energy

  200      12,600   

Ameren

  100      4,220   

DTE Energy

  500      40,345   

Public Service Enterprise Group

  1,007      42,213   
     

 

 

 
  99,378   
     

 

 

 

Oil, Gas & Consumable Fuels–2.52%

  

Anadarko Petroleum

  300      24,843   

Chevron

  100      10,498   

Denbury Resources

  1,100      8,019   

EOG Resources

  190      17,421   

Exxon Mobil

  600      51,000   

Marathon Oil

  400      10,444   

Marathon Petroleum

  486      49,762   

Phillips 66

  553      43,466   

Valero Energy

  1,300      82,706   

†Whiting Petroleum

  200      6,180   
     

 

 

 
  304,339   
     

 

 

 

Pharmaceuticals–3.80%

AbbVie

  1,561      91,381   

†Actavis

  37      10,961   

Bristol-Myers Squibb

  175      11,287   
 

 

LVIP AQR Enhanced Global Strategies Fund–2


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

U.S. MARKETS (continued)

     

Pharmaceuticals (continued)

     

Johnson & Johnson

     1,000       $ 100,600   

Merck

     1,968         113,121   

Pfizer

     3,200         111,328   

†Valeant Pharmaceuticals International

     100         19,754   
     

 

 

 
  458,432   
     

 

 

 

Professional Services–0.11%

Dun & Bradstreet

  100      12,836   
     

 

 

 
  12,836   
     

 

 

 

Real Estate Investment Trusts–0.95%

  

American Tower

  100      9,415   

Boston Properties

  100      14,048   

Crown Castle International

  100      8,254   

Equity Residential

  100      7,786   

General Growth Properties

  200      5,910   

HCP

  100      4,321   

Health Care REIT

  100      7,736   

Host Hotels & Resorts

  200      4,036   

Prologis

  200      8,712   

Simon Property Group

  100      19,564   

Ventas

  100      7,302   

Vornado Realty Trust

  100      11,200   

Weyerhaeuser

  200      6,630   
     

 

 

 
  114,914   
     

 

 

 

Road & Rail–0.54%

CSX

  496      16,428   

Union Pacific

  450      48,739   
     

 

 

 
  65,167   
     

 

 

 

Semiconductors & Semiconductor Equipment–1.99%

  

Broadcom Class A

  1,799      77,888   

Intel

  1,800      56,286   

†Micron Technology

  828      22,464   

NVIDIA

  1,000      20,925   

†Qorvo

  300      23,910   

Skyworks Solutions

  400      39,316   
     

 

 

 
  240,789   
     

 

 

 

Software–2.03%

†Citrix Systems

  500      31,935   

†Electronic Arts

  1,100      64,697   

Microsoft

  2,900      117,899   

Oracle

  700      30,205   
     

 

 

 
  244,736   
     

 

 

 

Specialty Retail–1.84%

Best Buy

  1,300      49,127   

Home Depot

  700      79,527   

Lowe’s

  800      59,512   
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

U.S. MARKETS (continued)

     

Specialty Retail (continued)

     

Staples

     2,100       $ 34,199   
     

 

 

 
  222,365   
     

 

 

 

Technology Hardware, Storage & Peripherals–2.73%

  

Apple

  1,900      236,417   

EMC

  200      5,112   

Hewlett-Packard

  1,284      40,009   

NetApp

  600      21,276   

Western Digital

  300      27,303   
     

 

 

 
  330,117   
     

 

 

 

Tobacco–0.46%

Altria Group

  500      25,010   

Philip Morris International

  400      30,132   
     

 

 

 
  55,142   
     

 

 

 

Total U.S. Markets
(Cost $4,783,738)

  5,374,325   
     

 

 

 

§DEVELOPED MARKETS–33.15%

  

Aerospace & Defense–0.12%

Thales

  263      14,595   
     

 

 

 
  14,595   
     

 

 

 

Air Freight & Logistics–0.18%

  

Deutsche Post

  682      21,252   
     

 

 

 
  21,252   
     

 

 

 

Airlines–0.29%

†International Consolidated Airlines Group (London Stock Exchange)

  1,446      12,958   

Japan Airlines

  700      21,771   
     

 

 

 
  34,729   
     

 

 

 

Auto Components–0.53%

Cie Generale des Etablissements Michelin

  156      15,516   

Delphi Automotive

  300      23,922   

Magna International

  400      21,382   

NOK

  100      3,006   
     

 

 

 
  63,826   
     

 

 

 

Automobiles–1.37%

Daimler

  462      44,376   

†Fiat Chrysler Automobiles

  933      15,149   

Fuji Heavy Industries

  300      9,957   

Mitsubishi Motors

  700      6,311   

†Peugeot

  2,790      46,645   

Suzuki Motor

  400      12,012   

Toyota Motor

  300      20,938   

Yamaha Motor

  400      9,635   
     

 

 

 
  165,023   
     

 

 

 
 

 

LVIP AQR Enhanced Global Strategies Fund–3


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

    

Number of

Shares

     Value
(U.S. $)
 

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

  

Banks–3.85%

     

Australia & New Zealand Banking Group

     660       $ 18,360   

Banco Santander

     7,389         55,401   

Bank of Montreal

     100         5,992   

Bank of Nova Scotia

     200         10,033   

Bank of Yokohama

     2,000         11,711   

Barclays

     11,733         42,349   

Canadian Imperial Bank of Commerce

     200         14,498   

Fukuoka Financial Group

     2,000         10,283   

HSBC Holdings

     5,210         44,395   

†ING Groep CVA

     1,038         15,207   

†Lloyds Banking Group

     9,172         10,631   

Mitsubishi UFJ Financial Group

     4,000         24,770   

National Australia Bank

     444         12,997   

National Bank of Canada

     100         3,651   

Natixis

     3,213         24,072   

Resona Holdings

     4,800         23,817   

Royal Bank of Canada

     200         12,038   

†Royal Bank of Scotland Group

     2,006         10,133   

Skandinaviska Enskilda Banken Class A

     1,276         14,893   

Societe Generale

     248         11,976   

Sumitomo Mitsui Financial Group

     500         19,149   

Toronto-Dominion Bank

     300         12,839   

UniCredit

     7,684         52,117   

Westpac Banking

     129         3,856   
     

 

 

 
  465,168   
     

 

 

 

Building Products–0.09%

Cie de Saint-Gobain

  248      10,891   
     

 

 

 
  10,891   
     

 

 

 

Capital Markets–0.30%

3i Group

  276      1,972   

Ci Financial

  100      2,796   

Daiwa Securities Group

  1,000      7,871   

Macquarie Group

  95      5,522   

Mediobanca

  1,389      13,292   

Nomura Holdings

  900      5,285   
     

 

 

 
  36,738   
     

 

 

 

Chemicals–0.16%

Asahi Kasei

  2,000      19,096   
     

 

 

 
  19,096   
     

 

 

 

Commercial Services & Supplies–0.26%

  

Secom

  100      6,669   

Societe BIC

  171      24,367   
     

 

 

 
  31,036   
     

 

 

 
    

Number of

Shares

     Value
(U.S. $)
 

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

  

Communications Equipment–0.18%

     

Ericsson Class B

     1,753       $ 22,009   
     

 

 

 
  22,009   
     

 

 

 

Construction & Engineering–0.44%

Boskalis Westminster

  772      38,058   

Leighton Holdings

  205      3,285   

Taisei

  2,000      11,287   
     

 

 

 
  52,630   
     

 

 

 

Diversified Financial Services–0.18%

  

ASX

  46      1,447   

Deutsche Boerse

  52      4,244   

Hong Kong Exchanges & Clearing

  300      7,354   

Investor Class B

  123      4,896   

ORIX

  300      4,215   
     

 

 

 
  22,156   
     

 

 

 

Diversified Telecommunication Services–2.58%

  

Belgacom

  1,036      36,255   

BT Group

  8,914      57,920   

Deutsche Telekom

  363      6,641   

Nippon Telegraph & Telephone

  100      6,172   

Orange

  4,262      68,459   

PCCW

  1,000      611   

Telefonica

  3,224      45,884   

Telefonica Deutschland Holding

  2,184      12,561   

Telstra

  14,669      70,413   

Vivendi

  287      7,127   
     

 

 

 
  312,043   
     

 

 

 

Electric Utilities–1.06%

Enel

  6,638      29,992   

Fortum

  627      13,138   

Iberdrola

  10,759      69,393   

Power Assets Holdings

  500      5,104   

Red Electrica

  68      5,530   

†Tokyo Electric Power

  1,400      5,298   
     

 

 

 
  128,455   
     

 

 

 

Electrical Equipment–0.46%

†ABB

  524      11,116   

Mitsubishi Electric

  1,000      11,869   

OSRAM Licht

  648      32,084   
     

 

 

 
  55,069   
     

 

 

 

Electronic Equipment, Instruments & Components–1.01%

  

FUJIFILM Holdings

  1,000      35,571   

Hitachi High-Technologies

  600      18,256   

Hoya

  500      20,014   

Omron

  200      9,008   

TDK

  100      7,080   
 

 

LVIP AQR Enhanced Global Strategies Fund–4


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

§DEVELOPED MARKETS (continued)

  

  

Electronic Equipment, Instruments & Components (continued)

  

TE Connectivity

     443       $ 31,728   
     

 

 

 
  121,657   
     

 

 

 

Food & Staples Retailing–0.40%

  

Alimentation Couche Tard Class B

  447      17,811   

Delhaize Group

  187      16,803   

Koninklijke Ahold

  508      10,012   

Seven & I Holdings

  100      4,202   
     

 

 

 
  48,828   
     

 

 

 

Food Products–0.87%

†Aryzta

  266      16,307   

Associated British Foods

  743      31,007   

MEIJI Holdings

  100      12,179   

Nestle

  432      32,531   

Unilever

  316      13,184   
     

 

 

 
  105,208   
     

 

 

 

Gas Utilities–0.27%

Snam

  2,913      14,143   

Tokyo Gas

  3,000      18,857   
     

 

 

 
  33,000   
     

 

 

 

Health Care Providers & Services–0.08%

  

Suzuken

  330      10,057   
     

 

 

 
  10,057   
     

 

 

 

Hotels, Restaurants & Leisure–0.05%

  

Whitbread

  81      6,289   
     

 

 

 
  6,289   
     

 

 

 

Household Durables–1.43%

Electrolux Class B

  859      24,540   

Husqvarna Class B

  5,442      39,420   

Panasonic

  2,200      28,886   

Persimmon

  2,664      65,648   

Sekisui Chemical

  1,000      12,973   

Sekisui House

  100      1,452   
     

 

 

 
  172,919   
     

 

 

 

Industrial Conglomerates–0.23%

  

Siemens

  258      27,909   
     

 

 

 
  27,909   
     

 

 

 

Insurance–3.56%

Aegon

  1,618      12,778   

AIA Group

  3,000      18,835   

Allianz

  55      9,551   

Aon

  100      9,612   

AXA

  343      8,635   

Axis Capital Holdings

  200      10,316   

CNP Assurances

  893      15,654   

Delta Lloyd

  2,400      45,272   
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

§DEVELOPED MARKETS (continued)

  

  

Insurance (continued)

     

Direct Line Insurance Group

     6,589       $ 31,092   

Everest Re Group

     100         17,400   

Great-West Lifeco Class A

     100         2,891   

Hannover Rueckversicherung

     335         34,624   

Manulife Financial

     800         13,585   

Muenchener Rueckversicherungs

     169         36,322   

PartnerRe

     400         45,732   

Power Corp of Canada

     100         2,646   

Resolution

     542         3,318   

SCOR SE

     406         13,696   

Swiss Life Holding

     309         76,337   

Swiss Re

     231         22,282   
     

 

 

 
  430,578   
     

 

 

 

Internet Software & Services–0.23%

  

United Internet

  613      27,829   
     

 

 

 
  27,829   
     

 

 

 

IT Services–0.24%

Computershare

  114      1,102   

Fujitsu

  4,000      27,274   
     

 

 

 
  28,376   
     

 

 

 

Leisure Products–0.16%

Namco Bandai Holdings

  600      11,676   

Yamaha

  400      6,984   
     

 

 

 
  18,660   
     

 

 

 

Machinery–0.63%

JTEKT

  900      14,030   

Kawasaki Heavy Industries

  2,000      10,088   

Sumitomo Heavy Industries

  6,000      39,259   

Vallourec

  218      5,322   

Weir Group

  270      6,813   
     

 

 

 
  75,512   
     

 

 

 

Media–0.90%

Hakuhodo DY Holdings

  1,300      13,818   

ITV

  9,286      34,766   

Lagardere

  100      3,006   

Reed Elsevier

  687      17,122   

Sky PLC

  1,090      16,036   

Wolters Kluwer

  732      23,908   
     

 

 

 
  108,656   
     

 

 

 

Metals & Mining–0.40%

BHP Billiton

  706      16,409   

BHP Billiton

  400      8,778   

†Kinross Gold

  3,500      7,765   

†Newcrest Mining

  183      1,846   

Rio Tinto

  313      12,907   
     

 

 

 
  47,705   
     

 

 

 
 

 

LVIP AQR Enhanced Global Strategies Fund–5


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

  

Multiline Retail–0.17%

     

Next

     200       $ 20,799   
     

 

 

 
  20,799   
     

 

 

 

Multi-Utilities–0.51%

E.ON

  1,944      28,911   

GDF Suez

  1,677      33,115   
     

 

 

 
  62,026   
     

 

 

 

Oil, Gas & Consumable Fuels–1.36%

  

BP

  4,564      29,584   

Canadian Natural Resources

  500      15,324   

Crescent Point Energy

  100      2,229   

Encana

  1,000      11,163   

Royal Dutch Shell Class A

  1,084      32,234   

Royal Dutch Shell Class B

  473      14,734   

Suncor Energy

  1,700      49,672   

TOTAL

  193      9,595   
     

 

 

 
  164,535   
     

 

 

 

Personal Products–0.14%

Kao

  200      9,985   

L’Oreal

  40      7,369   
     

 

 

 
  17,354   
     

 

 

 

Pharmaceuticals–3.16%

Astellas Pharma

  800      13,106   

AstraZeneca

  376      25,800   

Bayer

  78      11,672   

GlaxoSmithKline

  1,202      27,669   

Mitsubishi Tanabe Pharma

  600      10,292   

Novartis

  654      64,550   

Novo Nordisk Class B

  362      19,325   

Orion Class B

  951      26,811   

Otsuka Holdings

  700      21,895   

Roche Holding

  257      70,622   

Sanofi

  701      69,243   

Shionogi

  400      13,314   

Shire

  96      7,653   
     

 

 

 
  381,952   
     

 

 

 

Professional Services–0.08%

Adecco

  122      10,141   
     

 

 

 
  10,141   
     

 

 

 

Real Estate Investment Trusts–0.38%

  

Ascendas Real Estate Investment Trust

  1,000      1,886   

British Land

  312      3,845   

CapitaCommercial Trust

  1,000      1,287   

CapitaMall Trust

  1,000      1,601   

Dexus Property Group

  219      1,262   

Federation Centres

  340      785   

Goodman Group

  408      1,964   

GPT Group

  406      1,410   
    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

  

Real Estate Investment Trusts (continued)

  

  

H&R Real Estate Investment Trust

     100       $ 1,842   

Japan Retail Fund Investment

     1         1,987   

Land Securities Group

     258         4,790   

Link REIT

     500         3,085   

Mirvac Group

     879         1,342   

Novion Property Group

     508         968   

RioCan Real Estate Investment Trust

     100         2,287   

Stockland

     553         1,889   

Unibail-Rodamco

     32         8,643   

United Urban Investment

     1         1,559   

Westfield

     470         3,406   
     

 

 

 
  45,838   
     

 

 

 

Real Estate Management & Development–0.77%

  

Brookfield Asset Management

  100      5,348   

CK Hutchison Holdings

  1,000      20,431   

Daiwa House Industry

  200      3,941   

Hulic

  100      1,123   

Hysan Development

  1,000      4,383   

Lend Lease Group

  2,867      36,210   

New World Development

  1,000      1,159   

Scentre Group

  1,243      3,531   

Sino Land

  10,000      16,306   

Tokyu Fudosan Holdings

  100      682   
     

 

 

 
  93,114   
     

 

 

 

Road & Rail–0.49%

Canadian National Railway

  100      6,696   

Central Japan Railway

  200      36,138   

West Japan Railway

  300      15,727   
     

 

 

 
  58,561   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.83%

  

ASM Pacific Technology

  100      1,041   

Infineon Technologies

  653      7,770   

Marvell Technology Group

  3,430      50,421   

Rohm

  500      34,161   

Tokyo Electron

  100      6,935   
     

 

 

 
  100,328   
     

 

 

 

Specialty Retail–0.27%

Kingfisher

  4,154      23,436   

Shimamura

  100      9,261   
     

 

 

 
  32,697   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.75%

  

Brother Industries

  1,700      27,005   

Canon

  100      3,538   

Konica Minolta Holdings

  2,600      26,345   

Nokia

  2,541      19,378   

Seiko Epson

  800      14,167   
     

 

 

 
  90,433   
     

 

 

 
 

 

LVIP AQR Enhanced Global Strategies Fund–6


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

Textiles, Apparel & Luxury Goods–0.92%

  

Li & Fung

     20,000       $ 19,529   

Pandora

     750         68,283   

Yue Yuen Industrial Holdings

     6,500         23,000   
     

 

 

 
  110,812   
     

 

 

 

Tobacco–0.15%

Imperial Tobacco Group

  423      18,555   
     

 

 

 
  18,555   
     

 

 

 

Trading Companies & Distributors–0.31%

  

Finning International

  400      7,440   

ITOCHU

  400      4,328   

Mitsubishi

  200      4,018   

Travis Perkins

  747      21,567   
     

 

 

 
  37,353   
     

 

 

 

Transportation Infrastructure–0.06%

  

Aeroports de Paris

  61      7,292   
     

 

 

 
  7,292   
     

 

 

 

Wireless Telecommunication Services–0.29%

  

NTT DOCOMO

  200      3,495   

Vodafone Group

  9,554      31,263   
     

 

 

 
  34,758   
     

 

 

 

Total Developed Markets
(Cost $4,038,682)

  4,004,447   
     

 

 

 

Total Common Stock
(Cost $8,822,420)

  9,378,772   
     

 

 

 
    

Number of

Shares

    

Value

(U.S. $)

 

PREFERRED STOCK–0.05%

     

Porsche Automobil Holding 2.01%

     66       $ 6,464   
     

 

 

 

Total Preferred Stock
(Cost $6,172)

  6,464   
     

 

 

 

RIGHTS–0.01%

† Telefonica, exercise price EUR 10.84,expiration date 4/12/15

  3,224      520   
     

 

 

 

Total Rights
(Cost $0)

  520   
     

 

 

 

INVESTMENT COMPANIES–10.11%

  

AQR Managed Futures Strategy Fund

  26,630      307,307   

AQR Style Premia Alternative Fund

  95,095      913,863   
     

 

 

 

Total Investment Companies
(Cost $1,234,037)

  1,221,170   
     

 

 

 

MONEY MARKET FUND–11.56%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,397,007      1,397,007   
     

 

 

 

Total Money Market Fund
(Cost $1,397,007)

  1,397,007   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.37% (Cost $11,459,636)

$ 12,003,933   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.63%

  76,510   
  

 

 

 

NET ASSETS APPLICABLE TO 1,151,435 SHARES OUTSTANDING–100.00%

$ 12,080,443   
  

 

 

 

 

 

Non-income producing for the period.

 

«

Includes $6,325 cash pledged as collateral and $(3,493) foreign currency payable to broker for futures contracts as of March 31, 2015.

 

§

Developed Markets – countries that are thought to be most developed and therefore less risky than emerging markets.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
    Notional
Value
    Expiration
Date
   Unrealized
Appreciation
(Depreciation)
 

(2)

 

10 yr Mini JGB

   $ (245,547   $ (245,292   6/11/15    $ 255   

1

 

E-mini MSCI EAFE Index

     89,981        91,495      6/22/15      1,514   

1

 

Long Gilt

     175,952        179,115      6/29/15      3,163   

3

 

U.S. Treasury 10 yr Notes

     382,345        386,719      6/22/15      4,374   
    

 

 

        

 

 

 
$ 402,731    $ 9,306   
    

 

 

        

 

 

 

 

LVIP AQR Enhanced Global Strategies Fund–7


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

EAFE–Europe Australasia Far East

REIT–Real Estate Investment Trust

yr–Year

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

          Level 1               Level 2               Total      

Common Stock

           

U.S. Markets

           

Aerospace & Defense

    $ 284,339       $       $ 284,339  

Air Freight & Logistics

      32,097                 32,097  

Airlines

      182,896                 182,896  

Banks

      218,807                 218,807  

Beverages

      137,356                 137,356  

Biotechnology

      383,761                 383,761  

Capital Markets

      25,518                 25,518  

Chemicals

      216,665                 216,665  

Communications Equipment

      52,127                 52,127  

Consumer Finance

      70,672                 70,672  

Containers & Packaging

      10,582                 10,582  

Diversified Financial Services

      43,296                 43,296  

Diversified Telecommunication Services

      73,870                 73,870  

Electric Utilities

      151,815                 151,815  

Electrical Equipment

      11,324                 11,324  

Electronic Equipment, Instruments & Components

      143,581                 143,581  

Food & Staples Retailing

      73,866                 73,866  

Food Products

      115,084                 115,084  

Health Care Equipment & Supplies

      118,865                 118,865  

Health Care Providers & Services

      364,151                 364,151  

Hotels, Restaurants & Leisure

      9,568                 9,568  

Household Durables

      5,696                 5,696  

Household Products

      59,665                 59,665  

Independent Power & Renewable Electricity Producers

      2,570                 2,570  

Industrial Conglomerates

      49,970                 49,970  

Insurance

      102,485                 102,485  

Internet Software & Services

      103,686                 103,686  

IT Services

      60,192                 60,192  

Machinery

      8,490                 8,490  

Media

      74,575                 74,575  

Multiline Retail

      38,541                 38,541  

Multi-Utilities

      99,378                 99,378  

Oil, Gas & Consumable Fuels

      304,339                 304,339  

Pharmaceuticals

      458,432                 458,432  

Professional Services

      12,836                 12,836  

Real Estate Investment Trusts

      114,914                 114,914  

Road & Rail

      65,167                 65,167  

Semiconductors & Semiconductor Equipment

      240,789                 240,789  

Software

      244,736                 244,736  

Specialty Retail

      222,365                 222,365  

Technology Hardware, Storage & Peripherals

      330,117                 330,117  

Tobacco

      55,142                 55,142  

Developed Markets

           

Aerospace & Defense

              14,595         14,595  

 

LVIP AQR Enhanced Global Strategies Fund–8


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

          Level 1                 Level 2                 Total        

Air Freight & Logistics

  $      $ 21,252      $ 21,252   

Airlines

           34,729        34,729   

Auto Components

    45,304        18,522        63,826   

Automobiles

           165,023        165,023   

Banks

    59,051        406,117        465,168   

Building Products

           10,891        10,891   

Capital Markets

    2,796        33,942        36,738   

Chemicals

           19,096        19,096   

Commercial Services & Supplies

    24,367        6,669        31,036   

Communications Equipment

           22,009        22,009   

Construction & Engineering

           52,630        52,630   

Diversified Financial Services

           22,156        22,156   

Diversified Telecommunication Services

           312,043        312,043   

Electric Utilities

           128,455        128,455   

Electrical Equipment

           55,069        55,069   

Electronic Equipment, Instruments & Components

    31,728        89,929        121,657   

Food & Staples Retailing

    17,811        31,017        48,828   

Food Products

           105,208        105,208   

Gas Utilities

           33,000        33,000   

Health Care Providers & Services

           10,057        10,057   

Hotels, Restaurants & Leisure

           6,289        6,289   

Household Durables

           172,919        172,919   

Industrial Conglomerates

           27,909        27,909   

Insurance

    147,454        283,124        430,578   

Internet Software & Services

           27,829        27,829   

IT Services

           28,376        28,376   

Leisure Products

           18,660        18,660   

Machinery

           75,512        75,512   

Media

           108,656        108,656   

Metals & Mining

    7,765        39,940        47,705   

Multiline Retail

           20,799        20,799   

Multi-Utilities

           62,026        62,026   

Oil, Gas & Consumable Fuels

    78,388        86,147        164,535   

Personal Products

           17,354        17,354   

Pharmaceuticals

           381,952        381,952   

Professional Services

           10,141        10,141   

Real Estate Investment Trusts

    4,129        41,709        45,838   

Real Estate Management & Development

    5,348        87,766        93,114   

Road & Rail

    6,696        51,865        58,561   

Semiconductors & Semiconductor Equipment

    50,421        49,907        100,328   

Specialty Retail

           32,697        32,697   

Technology Hardware, Storage & Peripherals

           90,433        90,433   

Textiles, Apparel & Luxury Goods

    19,529        91,283        110,812   

Tobacco

           18,555        18,555   

Trading Companies & Distributors

    7,440        29,913        37,353   

Transportation Infrastructure

           7,292        7,292   

Wireless Telecommunication Services

           34,758        34,758   

Preferred Stock

           6,464        6,464   

Right

    520               520   

Investment Companies

    1,221,170               1,221,170   

Money Market Fund

    1,397,007               1,397,007   
 

 

 

   

 

 

   

 

 

 

Total

$ 8,501,249    $ 3,502,684    $ 12,003,933   
 

 

 

   

 

 

   

 

 

 

Futures Contracts

$ 9,306    $    $ 9,306   
 

 

 

   

 

 

   

 

 

 

As a result of international fair value pricing at March 31, 2015, a portion of the Fund’s common stock investments were categorized as Level 2.

 

LVIP AQR Enhanced Global Strategies Fund–9


LVIP AQR Enhanced Global Strategies Fund

Schedule of Investments (continued)

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP AQR Enhanced Global Strategies Fund–10


LVIP Baron Growth Opportunities Fund

Schedule of Investments (unaudited)

March 31, 2015

 

    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK–96.11%

     

Beverages–1.36%

     

†Boston Beer Class A

     30,600       $ 8,182,440   
     

 

 

 
  8,182,440   
     

 

 

 

Biotechnology–0.49%

†ACADIA Pharmaceuticals

  31,000      1,010,290   

†Foundation Medicine

  40,000      1,924,400   
     

 

 

 
  2,934,690   
     

 

 

 

Building Products–2.06%

†Masonite International

  103,500      6,961,410   

†Trex

  100,000      5,453,000   
     

 

 

 
  12,414,410   
     

 

 

 

Capital Markets–3.70%

Artisan Partners Asset Management

  145,636      6,620,613   

Cohen & Steers

  215,000      8,804,250   

Financial Engines

  163,793      6,851,461   
     

 

 

 
  22,276,324   
     

 

 

 

Commercial Services & Supplies–1.22%

  

†Copart

  196,000      7,363,720   
     

 

 

 
  7,363,720   
     

 

 

 

Construction & Engineering–0.40%

  

Badger Daylighting

  114,095      2,435,660   
     

 

 

 
  2,435,660   
     

 

 

 

Construction Materials–2.23%

  

CaesarStone Sdot-Yam

  221,648      13,456,250   
     

 

 

 
  13,456,250   
     

 

 

 

Distributors–0.61%

  

†LKQ

  143,000      3,655,080   
     

 

 

 
  3,655,080   
     

 

 

 

Diversified Consumer Services–2.05%

  

†Bright Horizons Family Solutions

  165,000      8,459,550   

†Nord Anglia Education

  170,000      3,862,400   
     

 

 

 
  12,321,950   
     

 

 

 

Diversified Financial Services–1.27%

  

MSCI Class A

  125,000      7,663,750   
     

 

 

 
  7,663,750   
     

 

 

 

Diversified Telecommunication Services–0.84%

  

†Iridium Communications

  519,673      5,046,025   
     

 

 

 
  5,046,025   
     

 

 

 

Electric Utilities–1.57%

  

ITC Holdings

  253,260      9,479,522   
     

 

 

 
  9,479,522   
     

 

 

 

Electrical Equipment–1.82%

  

†Generac Holdings

  224,500      10,930,905   
     

 

 

 
  10,930,905   
     

 

 

 
    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

Energy Equipment & Services–0.70%

  

  

Core Laboratories

     20,700       $ 2,162,943   

Helmerich & Payne

     30,450         2,072,731   
     

 

 

 
  4,235,674   
     

 

 

 

Food & Staples Retailing–2.24%

†Smart & Final Stores

  40,469      712,254   

†United Natural Foods

  165,792      12,772,616   
     

 

 

 
  13,484,870   
     

 

 

 

Food Products–2.53%

†TreeHouse Foods

  179,000      15,218,580   
     

 

 

 
  15,218,580   
     

 

 

 

Health Care Equipment & Supplies–4.17%

  

Bio-Techne

  48,600      4,874,094   

†Edwards Lifesciences

  27,000      3,846,420   

†IDEXX Laboratories

  66,300      10,242,024   

†Neogen

  32,550      1,521,062   

West Pharmaceutical Services

  76,910      4,630,751   
     

 

 

 
  25,114,351   
     

 

 

 

Health Care Providers & Services–2.24%

  

†Brookdale Senior Living

  32,500      1,227,200   

†Community Health Systems

  235,000      12,285,800   
     

 

 

 
  13,513,000   
     

 

 

 

Hotels, Restaurants & Leisure–14.59%

  

†BRP

  62,000      1,186,989   

Choice Hotels International

  310,000      19,861,700   

ClubCorp Holdings

  68,000      1,316,480   

†Diamond Resorts International

  18,116      605,618   

Gaming and Leisure Properties

  205,112      7,562,479   

Interval Leisure Group

  225,000      5,897,250   

Marriott Vacations Worldwide

  101,000      8,186,050   

†Panera Bread Class A

  36,000      5,759,820   

†Penn National Gaming

  156,600      2,452,356   

†Pinnacle Entertainment

  303,819      10,964,828   

Vail Resorts

  233,300      24,127,886   
     

 

 

 
  87,921,456   
     

 

 

 

Household Products–1.17%

Church & Dwight

  82,800      7,072,776   
     

 

 

 
  7,072,776   
     

 

 

 

Insurance–4.04%

†Arch Capital Group

  230,000      14,168,000   

Primerica

  200,000      10,180,000   
     

 

 

 
  24,348,000   
     

 

 

 

Internet & Catalog Retail–0.93%

†AO World

  2,050,000      5,570,869   
     

 

 

 
  5,570,869   
     

 

 

 

Internet Software & Services–4.17%

  

†Benefitfocus

  167,266      6,153,716   
 

 

LVIP Baron Growth Opportunities Fund–1


LVIP Baron Growth Opportunities Fund

Schedule of Investments (continued)

 

    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

Internet Software & Services (continued)

  

  

†CoStar Group

     87,351       $ 17,280,648   

†Shutterstock

     24,478         1,680,904   
     

 

 

 
  25,115,268   
     

 

 

 

IT Services–6.16%

Booz Allen Hamilton Holding

  275,000      7,958,500   

†Gartner

  174,900      14,665,365   

MAXIMUS

  216,500      14,453,540   
     

 

 

 
  37,077,405   
     

 

 

 

Life Sciences Tools & Services–2.07%

  

†Mettler-Toledo International

  38,000      12,488,700   
     

 

 

 
  12,488,700   
     

 

 

 

Machinery–4.45%

†Colfax

  161,460      7,706,486   

†Middleby

  160,200      16,444,530   

Valmont Industries

  21,800      2,678,784   
     

 

 

 
  26,829,800   
     

 

 

 

Media–2.10%

†Manchester United Class A

  396,063      6,301,362   

Morningstar

  85,000      6,367,350   
     

 

 

 
  12,668,712   
     

 

 

 

Oil, Gas & Consumable Fuels–1.25%

  

Targa Resources

  78,262      7,496,717   
     

 

 

 
  7,496,717   
     

 

 

 

Pharmaceuticals–0.38%

†Diplomat Pharmacy

  65,881      2,278,165   
     

 

 

 
  2,278,165   
     

 

 

 

Professional Services–0.16%

†IHS Class A

  8,700      989,712   
     

 

 

 
  989,712   
     

 

 

 

Real Estate Investment Trusts–4.51%

  

Alexander’s

  11,600      5,296,328   

Alexandria Real Estate Equities

  34,000      3,333,360   

American Assets Trust

  100,000      4,328,000   

American Campus Communities

  38,000      1,629,060   

Douglas Emmett

  270,000      8,048,700   

LaSalle Hotel Properties

  117,100      4,550,506   
     

 

 

 
  27,185,954   
     

 

 

 

Road & Rail–3.75%

  

†Genesee & Wyoming Class A

  194,400      18,747,936   

Landstar System

  58,300      3,865,290   
     

 

 

 
  22,613,226   
     

 

 

 

Software–6.86%

  

†ANSYS

  126,300      11,138,397   

†Bottomline Technologies

  60,000      1,642,200   

FactSet Research Systems

  50,900      8,103,280   
    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

Software (continued)

  

  

†Guidewire Software

     95,000       $ 4,997,950   

Pegasystems

     165,986         3,610,196   

SS&C Technologies Holdings

     190,000         11,837,000   
     

 

 

 
  41,329,023   
     

 

 

 

Specialty Retail–2.30%

†Container Store Group

  29,938      570,319   

Dick’s Sporting Goods

  233,300      13,295,767   
     

 

 

 
  13,866,086   
     

 

 

 

Textiles, Apparel & Luxury Goods–3.67%

  

†Under Armour Class A

  274,000      22,125,500   
     

 

 

 
  22,125,500   
     

 

 

 

Trading Companies & Distributors–2.05%

  

Air Lease

  225,000      8,491,500   

MSC Industrial Direct Class A

  53,400      3,855,480   
     

 

 

 
  12,346,980   
     

 

 

 

Total Common Stock
(Cost $249,570,412)

  579,051,550   
     

 

 

 

CONVERTIBLE PREFERRED STOCK–0.17%

  

Iridium Communications 6.75% exercise price $7.47

  2,926      1,029,513   
     

 

 

 

Total Convertible Preferred Stock
(Cost $731,500)

   

  1,029,513   
     

 

 

 

MASTER LIMITED PARTNERSHIPS–2.06%

  

Carlyle Group

  166,000      4,498,600   

Oaktree Capital Group

  100,000      5,166,000   

Sunoco

  53,000      2,721,550   
     

 

 

 

Total Master Limited Partnerships
(Cost $9,333,998)

   

  12,386,150   
     

 

 

 

MONEY MARKET FUND–1.79%

  

Dreyfus Treasury & Agency
Cash Management Fund -
Institutional Shares

  10,799,250      10,799,250   
     

 

 

 

Total Money Market Fund
(Cost $10,799,250)

  10,799,250   
     

 

 

 
 

 

LVIP Baron Growth Opportunities Fund–2


LVIP Baron Growth Opportunities Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–100.13% (Cost $270,435,160)

$ 603,266,463   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.13%)

  (807,822
  

 

 

 

NET ASSETS APPLICABLE TO 12,134,528 SHARES OUTSTANDING–100.00%

$ 602,458,641   
  

 

 

 

 

 

 Non-income producing for the period.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Common Stock

     $579,051,550   

Convertible Preferred Stock

     1,029,513   

Master Limited Partnerships

     12,386,150   

Money Market Fund

     10,799,250   
  

 

 

 

Total

  $603,266,463   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Baron Growth Opportunities Fund–3


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK–82.32%

     

Brazil–4.56%

     

AES Tiete

     6,100       $ 27,997   

All America Latina Logistica

     26,400         33,248   

Ambev

     366,700         2,118,405   

Arteris

     5,857         13,762   

Banco Bradesco

     74,316         705,909   

Banco do Brasil

     90,100         649,499   

BB Seguridade Participacoes

     45,300         464,211   

BM&FBovespa

     105,800         368,908   

BR Malls Participacoes

     22,300         118,626   

BR Properties

     9,300         38,459   

Bradespar

     1,800         5,352   

BRF

     33,600         664,842   

CCR

     62,700         324,304   

Centrais Eletricas Brasileiras

     10,800         19,489   

CETIP

     19,115         190,731   

Cia de Saneamento Basico do Estadode Sao Paulo

     16,900         93,024   

Cia de Saneamento de Minas Gerais-COPASA

     4,000         23,434   

Cia Energetica de Minas Gerais

     6,582         26,703   

Cia Paranaense de Energia

     1,000         7,237   

Cia Siderurgica Nacional

     73,500         125,954   

Cielo

     43,560         623,514   

Cosan Class A

     14,813         93,766   

Cosan Industria e Comercio

     8,300         72,079   

†Cosan Logistica

     8,300         6,891   

CPFL Energia

     16,200         103,382   

†CPFL Energias Renovaveis

     4,300         17,445   

Cyrela Brazil Realty

     7,800         32,622   

Duratex

     13,200         36,184   

EcoRodovias Infraestrutura e Logistica

     8,600         24,060   

Embraer

     55,200         424,549   

Energias do Brasil

     12,600         41,132   

Estacio Participacoes

     18,200         107,421   

†Fibria Celulose

     14,800         210,269   

@Gerdau

     7,300         17,381   

Grupo BTG Pactual

     19,700         156,390   

Guararapes Confeccoes

     200         4,917   

†Hypermarcas

     35,900         221,676   

Itau Unibanco Holding

     16,731         169,407   

Itausa - Investimentos Itau

     55,177         174,590   

†=Itausa - Investimentos Itau NVDR

     1,301         4,080   

†=Itausa - Investimentos Itau NVDR

     405         1,270   

JBS

     69,000         306,739   

Klabin

     26,600         152,167   

Kroton Educacional

     99,172         320,942   

Localiza Rent a Car

     6,730         77,125   

Lojas Americanas

     7,350         30,234   

Lojas Renner

     10,100         284,806   

M Dias Branco

     1,700         46,084   

Metalurgica Gerdau

     1,409         3,598   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Brazil (continued)

     

Multiplan Empreendimentos Imobiliarios

     5,300       $ 93,265   

Multiplus

     1,800         18,880   

Natura Cosmeticos

     15,800         134,290   

Odontoprev

     9,900         33,961   

†Oi

     3,570         5,749   

†Petroleo Brasileiro

     195,000         586,466   

Porto Seguro

     3,100         34,496   

†Qualicorp

     18,200         131,026   

Raia Drogasil

     7,600         67,976   

Souza Cruz

     33,100         262,249   

Sul America

     8,357         36,837   

Telefonica Brasil

     1,700         21,676   

Tim Participacoes

     51,300         170,839   

TOTVS

     6,300         72,336   

Tractebel Energia

     11,500         128,042   

Transmissora Alianca de Energia Eletrica

     5,800         38,503   

Ultrapar Participacoes

     25,900         526,844   

†Usinas Siderurgicas de Minas Gerais

     8,800         59,825   

Vale

     93,300         524,959   

†Via Varejo

     4,600         23,850   

WEG

     17,020         170,467   
     

 

 

 
  12,927,350   
     

 

 

 

¨China–18.73%

†58.com ADR

  3,799      200,891   

AAC Technologies Holdings

  46,000      283,988   

Agile Property Holdings

  99,000      59,629   

Agricultural Bank of China

  1,415,000      700,555   

Air China

  88,000      89,786   

†Alibaba Group Holding ADR

  30,652      2,551,472   

†Aluminum Corp of China

  206,000      102,786   

Angang Steel

  56,000      41,210   

Anhui Conch Cement

  66,500      251,120   

ANTA Sports Products

  98,000      179,247   

†Autohome ADR

  2,168      95,327   

AviChina Industry & Technology

  100,000      71,871   

†Baidu ADR

  17,306      3,606,570   

Bank of China

  5,105,000      2,951,077   

Bank of Communications

  480,000      412,535   

Baoxin Auto Group

  42,500      23,003   

BBMG

  42,000      38,805   

Beijing Capital International Airport

  50,000      48,827   

Beijing Jingneng Clean Energy

  68,000      28,605   

Biostime International Holdings

  8,500      35,594   

†BOE Technology Group Class B

  86,700      31,201   

Byd

  30,000      154,186   

#†CGN Power 144A

  400,000      175,424   

China BlueChemical

  122,000      46,559   

†China Cinda Asset Management

  189,000      93,610   

China CITIC Bank

  472,000      355,839   
 

 

LVIP BlackRock Emerging Markets RPM Fund–1


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

DCOMMON STOCK (continued)

     

¨China (continued)

     

China Coal Energy

     188,000       $ 103,719   

China Communications Construction

     314,000         442,442   

China Communications Services

     154,000         68,310   

China Construction Bank

     5,547,000         4,603,939   

†China COSCO Holdings

     64,000         33,712   

†China Eastern Airlines

     94,000         59,954   

China Everbright Bank

     296,000         163,053   

China Galaxy Securities

     73,000         83,499   

China Hongqiao Group

     71,000         42,531   

China Huishan Dairy Holdings

     239,000         42,477   

China International Marine Containers Group

     29,300         63,873   

China Life Insurance

     448,000         1,969,299   

China Longyuan Power Group

     213,000         231,506   

China Mengniu Dairy

     91,000         483,602   

China Merchants Bank

     267,582         653,339   

China Merchants Property Development Class B

     16,350         48,295   

China Minsheng Banking

     345,800         421,699   

China Molybdenum

     96,000         67,727   

China National Building Material

     246,000         244,718   

China Oilfield Services

     102,000         169,844   

China Pacific Insurance Group

     147,200         700,179   

China Petroleum & Chemical

     1,478,000         1,177,838   

China Railway Construction

     105,500         157,281   

China Railway Group

     216,000         220,922   

China Shenhua Energy

     205,500         524,169   

†China Shipping Container Lines

     192,000         60,957   

†China Shipping Development

     68,000         49,636   

China Southern Airlines

     78,000         56,347   

China Telecom

     812,000         519,121   

†China Vanke Class B

     77,900         184,620   

=Chongqing Changan Automobile Class B

     44,900         122,608   

Chongqing Rural Commercial Bank

     74,000         47,972   

CNOOC

     1,043,000         1,472,012   

Country Garden Holdings

     283,733         114,440   

=CSG Holding Class B

     38,400         30,264   

CSPC Pharmaceutical Group

     82,000         69,385   

=CSR

     106,000         140,009   

†Ctrip.com International ADR

     9,534         558,883   

#†Dalian Wanda Commercial Properties 144A

     15,000         92,871   

Datang International Power Generation

     168,000         85,703   

Dongfang Electric

     13,400         25,856   

Dongfeng Motor Group

     178,000         284,700   

ENN Energy Holdings

     46,000         282,457   

Evergrande Real Estate Group

     291,000         146,687   

†FIH Mobile

     112,000         59,376   

Fosun International

     90,500         175,102   

Golden Eagle Retail Group

     17,000         20,722   
     Number of
Shares
     Value
(U.S. $)
 

DCOMMON STOCK (continued)

     

¨China (continued)

     

Great Wall Motor

     63,500       $ 447,652   

Greentown China Holdings

     39,500         35,478   

Guangdong Electric Power Development Class B

     31,700         24,370   

Guangshen Railway

     98,000         45,478   

Guangzhou Automobile Group

     104,000         99,355   

Guangzhou Baiyunshan Pharmaceutical Holdings

     12,000         41,249   

Guangzhou R&F Properties

     56,800         58,368   

Haitian International Holdings

     25,000         57,400   

Haitong Securities

     71,200         173,741   

#Harbin Bank 144A

     56,000         19,936   

Hengan International Group

     50,000         601,841   

Huadian Fuxin Energy

     86,000         42,053   

Huadian Power International

     60,000         50,052   

Huaneng Power International

     180,000         213,782   

Huaneng Renewables

     150,000         54,299   

Industrial & Commercial Bank of China

     4,736,000         3,503,135   

Inner Mongolia Yitai Coal

     13,600         13,422   

Inner Mongolia Yitai Coal Class B

     57,200         83,560   

Intime Retail Group

     29,000         20,170   

†JD.com ADR

     16,719         491,204   

Jiangling Motors Class B

     20,922         99,447   

Jiangsu Expressway

     52,000         69,827   

Jiangxi Copper

     80,000         148,688   

†Jumei International Holding ADR

     2,207         34,915   

Kingsoft

     29,000         84,944   

Lenovo Group

     460,000         670,316   

Longfor Properties

     63,500         89,980   

†Luye Pharma Group

     40,000         48,433   

Metallurgical Corp of China

     160,000         58,818   

Mindray Medical International ADR

     7,981         218,280   

NetEase ADR

     4,953         521,551   

New China Life Insurance

     36,400         202,665   

†New Oriental Education & Technology Group ADR

     11,667         258,657   

People’s Insurance Group of China

     510,000         258,766   

PetroChina

     1,236,000         1,372,577   

PICC Property & Casualty

     202,060         398,936   

Ping An Insurance Group of China

     134,500         1,613,547   

†Qihoo 360 Technology ADR

     5,566         284,979   

Shandong Weigao Group Medical Polymer

     96,000         84,589   

Shanghai Electric Group

     162,000         107,409   

=Shanghai Fosun Pharmaceutical Group

     17,000         56,684   

Shanghai Lujiazui Finance & Trade Zone Development Class B

     25,700         61,522   

Shanghai Pharmaceuticals Holding

     38,800         103,269   

†Shanghai Zhenhua Heavy Industries
Class B

     107,200         64,106   
 

 

LVIP BlackRock Emerging Markets RPM Fund–2


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

  

¨China (continued)

     

Shenzhou International Group Holdings

     18,000       $ 81,241   

Shui On Land

     95,500         22,540   

†Shunfeng International Clean Energy

     40,000         30,132   

=Sihuan Pharmaceutical Holdings Group

     350,000         199,093   

†SINA

     5,336         171,606   

Sino-Ocean Land Holdings

     270,000         163,332   

Sinopec Engineering Group

     35,000         30,318   

†Sinopec Oilfield Service

     162,000         70,701   

Sinopec Shanghai Petrochemical

     234,000         87,227   

Sinopharm Group

     63,200         257,341   

SOHO China

     210,000         143,029   

†@Sohu.com

     2,791         148,844   

SouFun Holdings ADR

     16,523         99,138   

Sun Art Retail Group

     235,000         204,701   

Tencent Holdings

     300,900         5,714,066   

#†=Tianhe Chemicals Group 144A

     546,000         82,400   

Tingyi Cayman Islands Holding

     144,000         310,033   

Tsingtao Brewery

     34,000         227,986   

@Uni-President China Holdings

     90,000         59,554   

†Vipshop Holdings ADR

     19,328         569,016   

Want Want China Holdings

     417,000         443,758   

†Weibo ADR

     2,785         35,899   

Weichai Power

     25,000         96,388   

Weifu High-Technology Group Class B

     3,900         16,246   

Xinjiang Goldwind Science & Technology

     21,200         39,836   

Yantai Changyu Pioneer Wine Class B

     12,600         44,954   

Yanzhou Coal Mining

     104,000         88,312   

†Youku Tudou ADR

     9,717         121,463   

†YY ADR

     2,185         119,203   

Zhejiang Expressway

     52,000         68,832   

Zhongsheng Group Holdings

     79,000         52,395   

Zhuzhou CSR Times Electric

     28,000         184,182   

Zijin Mining Group

     282,000         89,285   

Zoomlion Heavy Industry Science & Technology

     59,800         41,254   

ZTE

     17,600         40,377   
     

 

 

 
  53,151,504   
     

 

 

 

Colombia–0.48%

Almacenes Exito

  11,594      110,321   

Banco de Bogota

  5,553      117,766   

Bancolombia

  11,538      108,546   

Celsia

  19,947      37,055   

Cementos Argos

  25,213      81,845   

†Cemex Latam Holdings

  9,618      49,940   

Corp Financiera Colombiana

  3,099      42,909   

Ecopetrol

  249,261      189,342   

Empresa de Energia de Bogota

  112,169      69,890   

Grupo Argos

  16,469      106,035   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Colombia (continued)

     

Grupo de Inversiones Suramericana

     12,912       $ 166,366   

Grupo Nutresa

     17,391         152,907   

Interconexion Electrica

     23,598         67,617   

Isagen

     50,532         59,278   
     

 

 

 
  1,359,817   
     

 

 

 

Cyprus–0.03%

Globaltrans Investment GDR

  4,648      20,908   

QIWI ADR

  2,224      53,420   
     

 

 

 
  74,328   
     

 

 

 

Czech Republic–0.17%

CEZ

  12,533      306,355   

Komercni banka

  646      139,341   

O2 Czech Republic

  5,448      43,587   
     

 

 

 
  489,283   
     

 

 

 

Greece–0.17%

†Alpha Bank

  126,258      37,407   

†Eurobank Ergasias

  485,416      54,786   

Hellenic Petroleum

  5,309      20,228   

†Hellenic Telecommunications Organization

  15,716      139,224   

†National Bank of Greece

  73,666      88,016   

OPAP

  11,724      109,447   

†Piraeus Bank

  43,790      16,904   

†Public Power

  4,630      28,264   
     

 

 

 
  494,276   
     

 

 

 

nHong Kong–5.51%

†=Alibaba Health Information Technology

  300,000      262,362   

ASM Pacific Technology

  13,900      144,679   

Beijing Enterprises Holdings

  41,000      322,112   

†Beijing Enterprises Water Group

  324,000      220,322   

Belle International Holdings

  379,000      442,416   

BOC Hong Kong Holdings

  229,500      818,503   

Brilliance China Automotive Holdings

  178,000      342,668   

China Agri-Industries Holdings

  139,100      53,884   

China Everbright

  44,000      114,674   

China Everbright International

  166,000      278,415   

China Gas Holdings

  182,000      297,801   

China Merchants Holdings International

  92,000      360,530   

China Mobile

  331,000      4,313,722   

China Overseas Land & Investment

  240,000      775,055   

China Resources Cement Holdings

  112,000      63,309   

China Resources Enterprise

  102,000      199,986   

China Resources Gas Group

  74,000      230,229   

China Resources Land

  129,555      366,149   

China Resources Power Holdings

  140,000      351,104   

China State Construction International Holdings

  158,000      219,972   
 

 

LVIP BlackRock Emerging Markets RPM Fund–3


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

nHong Kong (continued)

     

†China Taiping Insurance Holdings

     62,194       $ 212,157   

China Unicom Hong Kong

     332,000         505,401   

Chow Tai Fook Jewelry Group

     135,600         146,213   

CITIC

     353,000         604,189   

COSCO Pacific

     114,000         149,328   

Far East Horizon

     108,000         98,783   

Franshion Properties China

     264,000         80,061   

†GCL-Poly Energy Holdings

     779,000         206,241   

Geely Automobile Holdings

     415,000         213,184   

Guangdong Investment

     194,000         254,406   

Haier Electronics Group

     66,000         172,761   

†Hanergy Thin Film Power Group

     1,034,000         930,949   

†Hopson Development Holdings

     54,000         38,969   

Kerry Properties

     54,000         187,448   

Kingboard Chemical Holdings

     30,500         48,268   

Kunlun Energy

     252,000         244,757   

Lee & Man Paper Manufacturing

     67,000         32,406   

New World China Land

     128,000         81,864   

Nine Dragons Paper Holdings

     80,000         50,024   

NWS Holdings

     119,000         198,206   

Shanghai Industrial Holdings

     49,000         151,042   

Shangri-La Asia

     86,000         118,108   

Shimao Property Holdings

     76,500         160,520   

Sino Biopharmaceutical

     188,000         190,196   

#†WH Group 144A

     265,000         150,523   

Yue Yuen Industrial Holdings

     65,000         229,999   
     

 

 

 
  15,633,895   
     

 

 

 

Hungary–0.16%

MOL Hungarian Oil & Gas

  2,218      96,050   

OTP Bank

  15,120      285,480   

Richter Gedeon

  4,959      68,035   
     

 

 

 
  449,565   
     

 

 

 

India–2.23%

Axis Bank GDR

  17,328      775,563   

Dr. Reddy’s Laboratories ADR

  6,983      398,729   

HDFC Bank ADR

  14,727      867,273   

ICICI Bank ADR

  56,775      588,189   

Infosys ADR

  28,782      1,009,673   

Larsen & Toubro GDR

  8,973      249,129   

Mahindra & Mahindra GDR

  20,259      387,960   

#Reliance Industries GDR 144A

  23,715      627,262   

State Bank of India GDR

  9,926      419,868   

Tata Motors ADR

  12,107      545,541   

Wipro ADR

  34,300      456,876   
     

 

 

 
  6,326,063   
     

 

 

 

Indonesia–2.31%

Adaro Energy

  725,200      52,556   

Astra Agro Lestari

  17,000      31,554   

Astra International

  1,204,000      788,584   

Bank Central Asia

  773,000      876,080   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Indonesia (continued)

     

Bank Danamon Indonesia

     160,000       $ 62,684   

Bank Mandiri Persero

     610,900         582,597   

Bank Negara Indonesia Persero

     333,100         183,899   

Bank Rakyat Indonesia Persero

     643,000         652,205   

†Bank Tabungan Pensiunan Nasional

     136,500         44,056   

Bumi Serpong Damai

     408,000         66,516   

Charoen Pokphand Indonesia

     422,000         114,366   

Global Mediacom

     251,500         33,612   

Gudang Garam

     24,500         95,525   

Indo Tambangraya Megah

     23,000         29,648   

Indocement Tunggal Prakarsa

     64,700         108,363   

Indofood CBP Sukses Makmur

     59,500         66,696   

Indofood Sukses Makmur

     385,800         219,699   

Jasa Marga Persero

     99,500         54,734   

Kalbe Farma

     1,933,100         275,814   

Lippo Karawaci

     883,500         91,156   

Matahari Department Store

     79,300         119,253   

Mayora Indah

     52,333         115,551   

Media Nusantara Citra

     228,500         50,021   

Perusahaan Gas Negara Persero

     796,200         291,830   

Semen Indonesia Persero

     236,500         246,571   

Surya Citra Media

     241,500         62,661   

Tambang Batubara Bukit Asam Persero

     47,000         38,535   

Telekomunikasi Indonesia Persero

     3,013,300         664,420   

Tower Bersama Infrastructure

     95,500         69,206   

Unilever Indonesia

     68,400         207,211   

United Tractors

     117,700         195,872   

Vale Indonesia

     139,500         34,465   

XL Axiata

     109,000         36,216   
     

 

 

 
  6,562,156   
     

 

 

 

Luxembourg–0.00%

O’Key Group GDR

  2,545      9,276   
     

 

 

 
  9,276   
     

 

 

 

Malaysia–3.49%

AirAsia

  106,500      68,440   

AMMB Holdings

  119,200      204,461   

Astro Malaysia Holdings

  146,100      126,031   

Axiata Group

  333,300      636,727   

Batu Kawan

  12,100      59,623   

British American Tobacco Malaysia

  8,000      148,294   

Bumi Armada

  193,800      53,789   

CIMB Group Holdings

  327,800      550,281   

DiGi.com

  273,100      464,219   

Felda Global Ventures Holdings

  136,300      79,751   

Gamuda

  93,200      128,342   

Genting

  132,000      320,385   

Genting Malaysia

  126,100      143,876   

Hong Leong Bank

  40,800      157,096   

Hong Leong Financial Group

  6,500      29,695   
 

 

LVIP BlackRock Emerging Markets RPM Fund–4


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Malaysia (continued)

     

IHH Healthcare

     144,600       $ 234,652   

IJM

     95,200         184,949   

IOI

     204,200         253,076   

IOI Properties Group

     106,691         62,707   

KLCCP Stapled Group

     23,300         43,976   

Kuala Lumpur Kepong

     28,400         174,915   

Lafarge Malaysia

     26,900         71,544   

Malayan Banking

     316,600         797,613   

Malaysia Airports Holdings

     60,300         113,945   

Maxis

     205,200         397,719   

MISC

     93,000         212,759   

MMC

     45,300         30,946   

Nestle Malaysia

     4,700         93,529   

Petronas Chemicals Group

     187,400         284,797   

Petronas Dagangan

     17,500         94,536   

Petronas Gas

     52,500         326,322   

PPB Group

     35,700         148,221   

Public Bank

     163,760         834,818   

RHB Capital

     34,900         74,516   

Sapurakencana Petroleum

     181,900         115,678   

Sime Darby

     253,800         635,217   

SP Setia

     50,500         47,179   

Telekom Malaysia

     101,200         198,136   

Tenaga Nasional

     220,100         852,167   

@UEM Sunrise

     304,600         113,237   

UMW Holdings

     24,800         72,672   

Westports Holdings

     38,200         41,464   

YTL

     288,200         129,955   

YTL Power International

     204,120         82,613   
     

 

 

 
  9,894,868   
     

 

 

 

Mexico–4.24%

†Alfa Class A

  197,700      399,926   

†Alpek

  17,877      20,022   

America Movil

  1,511,700      1,547,340   

†Arca Continental

  58,800      361,658   

†Cemex CPO

  803,997      762,325   

Coca-Cola Femsa

  30,200      240,642   

Concentradora Fibra Danhos

  23,500      56,090   

Controladora Comercial Mexicana

  20,900      67,330   

†El Puerto de Liverpool

  12,200      143,116   

Fibra Uno Administracion

  126,800      335,906   

†Fomento Economico Mexicano

  116,700      1,091,132   

Fresnillo

  12,616      127,403   

†Gentera

  59,600      106,847   

Gruma Class B

  9,900      125,996   

Grupo Aeroportuario del Pacifico Class B

  19,400      127,502   

†Grupo Aeroportuario del Sureste Class B

  11,800      158,719   

†Grupo Bimbo Class A

  173,600      490,733   

Grupo Carso Class A1

  27,500      114,757   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

  

Mexico (continued)

     

†Grupo Comercial Chedraui

     20,300       $ 61,484   

Grupo Elektra

     4,665         119,476   

Grupo Financiero Banorte Class O

     181,100         1,050,230   

Grupo Financiero Inbursa

     161,200         406,318   

Grupo Financiero Santander Mexico Class B

     107,800         235,457   

Grupo Lala

     43,300         87,620   

Grupo Mexico Class B

     243,600         718,479   

Grupo Sanborns

     19,200         31,386   

†Grupo Televisa CPO

     184,900         1,220,789   

†IDEAL Class B1

     50,800         122,616   

†Industrias CH Class B

     9,300         38,040   

Industrias Penoles

     6,605         114,720   

Infraestructura Energetica Nova

     13,500         73,748   

Kimberly-Clark de Mexico Class A

     77,500         161,958   

†Megacable Holdings

     10,300         40,334   

Mexichem

     55,300         144,247   

†Minera Frisco

     31,700         34,089   

†OHL Mexico

     22,700         42,913   

Organizacion Soriana Class B

     16,400         41,542   

†Promotora y Operadora de Infraestructura

     11,800         125,966   

Wal-Mart de Mexico Class V

     349,200         870,341   
     

 

 

 
  12,019,197   
     

 

 

 

Morocco–0.18%

Attijariwafa Bank

  4,951      186,640   

Banque Centrale Populaire

  4,895      111,701   

BMCE Bank

  2,385      55,144   

Douja Promotion Groupe Addoha

  6,614      21,143   

Maroc Telecom

  10,485      139,978   
     

 

 

 
  514,606   
     

 

 

 

Peru–0.35%

Alicorp Class C

  44,793      86,777   

BBVA Banco Continental

  19,816      27,768   

Cia de Minas Buenaventura ADR

  19,250      195,003   

Credicorp

  4,755      668,696   

†Sociedad Minera Cerro Verde

  1,206      24,759   
     

 

 

 
  1,003,003   
     

 

 

 

Philippines–1.39%

Aboitiz Equity Ventures

  122,060      158,327   

Aboitiz Power

  132,000      131,342   

Alliance Global Group

  186,700      110,454   

Ayala

  13,670      242,963   

Ayala Land

  312,000      268,215   

BDO Unibank

  91,650      254,009   

Bloomberry Resorts

  141,400      33,003   

DMCI Holdings

  245,000      84,948   

Emperador

  168,500      44,866   

Energy Development

  491,400      93,323   

Globe Telecom

  2,200      98,958   
 

 

LVIP BlackRock Emerging Markets RPM Fund–5


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Philippines (continued)

     

GT Capital Holdings

     2,120       $ 63,478   

International Container Terminal Services

     31,600         76,283   

JG Summit Holdings

     177,339         287,663   

Jollibee Foods

     18,580         91,376   

LT Group

     204,900         74,593   

Manila Electric

     9,920         59,260   

Megaworld

     559,000         67,809   

Metro Pacific Investments

     556,000         59,985   

Metropolitan Bank & Trust

     60,748         132,356   

Petron

     458,500         101,950   

Philippine Long Distance Telephone

     6,525         415,119   

San Miguel

     21,640         32,657   

Semirara Mining & Power

     17,100         63,877   

SM Investments

     20,372         409,740   

SM Prime Holdings

     419,500         187,254   

†Travellers International Hotel Group

     87,700         13,049   

Universal Robina

     55,730         281,537   
     

 

 

 
  3,938,394   
     

 

 

 

Poland–1.08%

Bank Handlowy w Warszawie

  1,490      42,551   

Bank Millennium

  11,313      19,792   

Bank Pekao

  7,330      355,032   

Bank Zachodni WBK

  1,646      149,654   

Cyfrowy Polsat

  5,738      37,735   

Enea

  2,486      10,835   

ING Bank Slaski

  1,650      59,551   

KGHM Polska Miedz

  8,188      258,717   

LPP

  41      76,526   

mBank

  529      61,378   

Orange Polska

  50,001      125,621   

PGE

  47,691      261,959   

Polski Koncern Naftowy Orlen

  21,805      340,318   

Polskie Gornictwo Naftowe i Gazownictwo

  116,525      168,828   

Powszechna Kasa Oszczednosci Bank Polski

  51,277      458,848   

Powszechny Zaklad Ubezpieczen

  4,127      532,373   

Tauron Polska Energia

  99,057      115,111   
     

 

 

 
  3,074,829   
     

 

 

 

Republic of Korea–11.97%

Amorepacific

  184      556,214   

AMOREPACIFIC Group

  151      204,129   

BS Financial Group

  11,631      159,132   

†Celltrion

  4,090      257,033   

†Cheil Industries

  1,600      211,375   

CJ

  812      128,727   

CJ CheilJedang

  526      179,134   

Coway

  2,552      210,141   

Daelim Industrial

  1,371      79,667   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Republic of Korea (continued)

     

†Daewoo Engineering & Construction

     6,943       $ 49,531   

Daewoo International

     2,500         59,724   

Daewoo Securities

     13,036         151,643   

Daewoo Shipbuilding & Marine Engineering

     10,457         170,105   

Dongbu Insurance

     3,024         134,712   

Doosan

     454         47,635   

Doosan Heavy Industries & Construction

     6,591         167,826   

†Doosan Infracore

     6,520         69,820   

E-Mart

     1,224         256,687   

GS Holdings

     4,728         182,705   

Halla Visteon Climate Control

     1,630         56,316   

Hana Financial Group

     17,564         454,550   

Hankook Tire

     6,191         252,725   

Hanwha

     5,045         164,888   

Hanwha Chemical

     4,540         59,574   

Hanwha Life Insurance

     15,045         99,878   

Hotel Shilla

     1,595         140,553   

Hyosung

     2,370         184,909   

Hyundai Department Store

     1,025         137,475   

Hyundai Development

     2,510         128,725   

Hyundai Engineering & Construction

     4,522         204,828   

Hyundai Glovis

     851         173,085   

†Hyundai Heavy Industries

     2,517         276,507   

†Hyundai Mipo Dockyard

     1,645         112,838   

Hyundai Mobis

     4,321         957,574   

Hyundai Motor

     9,732         1,474,521   

†Hyundai Rotem

     4,515         77,569   

Hyundai Steel

     4,917         322,898   

Hyundai Wia

     713         90,842   

Industrial Bank of Korea

     10,180         122,254   

Kangwon Land

     6,702         209,104   

KB Financial Group

     20,894         737,879   

@KCC

     281         143,191   

KEPCO Engineering & Construction

     430         18,704   

Kia Motors

     16,548         672,792   

Korea Aerospace Industries

     3,910         198,660   

Korea Electric Power

     16,057         662,014   

Korea Gas

     2,017         73,517   

Korea Investment Holdings

     2,023         114,482   

Korea Zinc

     432         165,262   

†Korean Air Lines

     1,810         79,127   

†KT

     7,153         187,146   

KT&G

     7,119         569,428   

Kumho Petro Chemical

     746         52,727   

LG

     5,680         313,639   

LG Chem

     2,856         580,017   

LG Display

     14,002         396,441   

LG Electronics

     6,341         336,254   

LG Household & Health Care

     672         509,637   

LG Uplus

     16,646         164,986   
 

 

LVIP BlackRock Emerging Markets RPM Fund–6


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Republic of Korea (continued)

     

Lotte Chemical

     807       $ 147,516   

Lotte Shopping

     521         111,436   

LS

     1,532         71,686   

NAVER

     1,823         1,100,338   

NCSoft

     684         111,742   

OCI

     1,879         174,710   

Orion

     221         230,604   

Paradise

     2,735         59,665   

POSCO

     4,115         899,829   

Samsung C&T

     7,389         395,204   

Samsung Card

     1,545         57,129   

Samsung Electro-Mechanics

     3,361         232,762   

Samsung Electronics

     7,014         9,099,693   

†Samsung Engineering

     3,480         120,612   

Samsung Fire & Marine Insurance

     2,280         549,990   

Samsung Heavy Industries

     14,248         231,470   

Samsung Life Insurance

     5,176         450,627   

Samsung SDI

     3,131         384,722   

Samsung SDS

     4,813         1,158,747   

Samsung Securities

     3,029         141,722   

†Samsung Techwin

     1,915         40,806   

Shinhan Financial Group

     23,829         895,671   

Shinsegae

     526         79,807   

SK C&C

     798         167,149   

SK Holdings

     1,471         225,189   

SK Hynix

     31,306         1,279,344   

†SK Innovation

     3,448         295,922   

S-Oil

     2,993         173,191   

Woori Bank

     13,762         116,186   
     

 

 

 
  33,956,925   
     

 

 

 

Russia–3.68%

Alrosa

  122,400      151,508   

Bashneft

  2,065      67,037   

E.ON Russia

  530,000      26,824   

Federal Grid Unified Energy System

  12,310,000      13,869   

Gazprom

  377,714      898,506   

@Gazprom ADR

  165,160      777,455   

†Inter RAO

  947,000      17,973   

†Lenta GDR

  10,109      77,457   

Lukoil

  16,849      781,922   

Lukoil ADR

  14,593      670,256   

Magnit

  3,629      707,801   

Magnitogorsk Iron & Steel Works

  74,200      19,154   

†Mail.ru Group GDR

  6,561      129,566   

MegaFon

  5,251      82,542   

MMC Norilsk Nickel

  3,509      627,057   

Mobile Telesystems

  58,130      245,877   

Moscow Exchange MICEX

  63,710      75,368   

NOVATEK

  145,304      1,075,903   

Novolipetsk Steel

  30,100      40,003   

PhosAgro

  900      31,084   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Russia (continued)

     

Polymetal International

     9,179       $ 78,235   

Rosneft

     57,980         250,540   

†Rosseti

     457,000         3,975   

Rostelecom

     63,400         85,995   

RusHydro

     7,627,000         68,801   

Sberbank of Russia

     459,260         495,157   

Sberbank of Russia ADR

     35,000         153,404   

Severstal

     15,720         177,970   

Sistema JSFC

     152,500         46,581   

Surgutneftegas

     1,145,550         689,986   

Surgutneftegas ADR

     113,978         699,107   

Tatneft

     100,470         494,370   

TMK

     13,497         10,144   

†United RUSAL

     120,000         74,792   

Uralkali

     59,230         159,128   

Uralkali GDR

     8,792         117,085   

VTB Bank

     210,920,000         216,975   

VTB Bank GDR

     44,000         90,834   
     

 

 

 
  10,430,241   
     

 

 

 

South Africa–6.80%

African Rainbow Minerals

  7,982      64,930   

†Anglo American Platinum

  2,518      61,652   

†AngloGold Ashanti

  25,744      242,763   

†Aspen Pharmacare Holdings

  21,109      667,075   

Assore

  7,341      80,269   

Barclays Africa Group

  25,251      384,891   

Barloworld

  10,517      80,262   

Bidvest Group

  18,969      513,193   

Capitec Bank Holdings

  2,677      115,870   

Coronation Fund Managers

  14,952      120,876   

Discovery

  22,509      231,049   

Exxaro Resources

  8,203      67,744   

FirstRand

  221,957      1,020,505   

Foschini Group

  9,393      139,676   

Gold Fields

  51,693      214,406   

Growthpoint Properties

  140,448      331,664   

†Impala Platinum Holdings

  33,756      163,254   

Imperial Holdings

  9,629      152,688   

Kumba Iron Ore

  6,311      81,051   

Liberty Holdings

  6,683      92,499   

Life Healthcare Group Holdings

  48,192      167,874   

†Lonmin

  33,168      57,625   

Massmart Holdings

  6,144      75,797   

Mediclinic International

  21,960      220,507   

MMI Holdings

  68,754      186,071   

Mr Price Group

  12,197      260,912   

MTN Group

  105,337      1,775,960   

Naspers Class N

  25,146      3,857,775   

Nedbank Group

  18,375      359,940   

Netcare

  91,671      314,415   

Pick n Pay Stores

  13,295      54,163   
 

 

LVIP BlackRock Emerging Markets RPM Fund–7


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

South Africa (continued)

     

Rand Merchant Insurance Holdings

     39,939       $ 152,108   

Redefine Properties

     221,035         225,754   

Remgro

     32,969         721,591   

RMB Holdings

     33,786         194,379   

Sanlam

     111,245         717,064   

Santam

     3,100         57,767   

Sasol

     41,988         1,417,888   

Shoprite Holdings

     25,892         350,119   

Standard Bank Group

     82,675         1,142,658   

Steinhoff International Holdings

     189,621         1,186,981   

Tiger Brands

     8,958         225,441   

Truworths International

     17,934         130,196   

Tsogo Sun Holdings

     15,423         35,101   

Vodacom Group

     25,436         277,878   

Woolworths Holdings

     42,005         297,851   
     

 

 

 
  19,290,132   
     

 

 

 

Taiwan–10.57%

Advanced Semiconductor Engineering

  355,000      481,287   

Advantech

  18,690      142,291   

Asia Cement

  221,805      279,014   

Asustek Computer

  45,000      452,920   

AU Optronics

  538,000      270,269   

Catcher Technology

  45,000      471,177   

Cathay Financial Holding

  515,743      822,712   

Chang Hwa Commercial Bank

  295,803      171,086   

Cheng Shin Rubber Industry

  116,750      268,313   

China Development Financial Holding

  842,000      291,846   

China Steel

  723,885      601,646   

Chunghwa Telecom

  247,000      790,323   

Compal Electronics

  284,000      236,213   

CTBC Financial Holding

  801,346      532,537   

Delta Electronics

  135,000      851,702   

E.Sun Financial Holding

  421,146      257,808   

Epistar

  83,000      133,595   

†Evergreen Marine Taiwan

  135,000      100,379   

Far Eastern New Century

  265,070      273,555   

Far EasTone Telecommunications

  118,000      285,006   

First Financial Holding

  371,007      220,580   

Formosa Chemicals & Fibre

  277,070      635,159   

Formosa Petrochemical

  114,000      249,749   

Formosa Plastics

  307,560      746,017   

Foxconn Technology

  83,262      223,509   

Fubon Financial Holding

  545,000      978,092   

Hon Hai Precision Industry

  770,784      2,258,864   

Hotai Motor

  29,000      447,974   

†HTC

  61,000      271,821   

Hua Nan Financial Holdings

  354,186      202,590   

Innolux

  460,050      229,479   

†Inotera Memories

  169,000      224,587   

Inventec

  261,000      188,713   

Largan Precision

  6,000      516,419   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Taiwan (continued)

     

Lite-On Technology

     197,095       $ 255,266   

MediaTek

     82,910         1,121,088   

Mega Financial Holding

     544,423         451,508   

Nan Ya Plastics

     341,800         758,880   

†Nanya Technology

     48,000         120,805   

Novatek Microelectronics

     47,000         242,851   

Pegatron

     92,000         248,514   

Pou Chen

     135,000         188,858   

President Chain Store

     27,000         203,176   

Quanta Computer

     140,000         338,312   

Shin Kong Financial Holding

     879,368         250,076   

Siliconware Precision Industries

     226,000         374,896   

SinoPac Financial Holdings

     732,664         305,763   

Synnex Technology International

     75,000         101,332   

Taishin Financial Holding

     540,078         229,474   

Taiwan Cement

     265,000         373,406   

Taiwan Cooperative Financial Holding

     460,503         233,312   

Taiwan Fertilizer

     79,000         137,049   

Taiwan Glass Industry

     73,000         52,619   

Taiwan Mobile

     104,000         364,030   

Taiwan Semiconductor Manufacturing

     1,506,000         7,007,514   

TPK Holding

     14,000         97,744   

Uni-President Enterprises

     254,518         425,849   

United Microelectronics

     826,000         409,746   

Wistron

     188,416         160,062   

Yuanta Financial Holding

     735,125         370,000   

Yulon Motor

     26,000         35,519   

Yulon Nissan Motor

     1,000         9,666   
     

 

 

 
  29,974,547   
     

 

 

 

Thailand–2.24%

Advanced Info Service NVDR

  78,200      568,130   

Airports of Thailand NVDR

  5,000      42,956   

Airports of Thailand-Foreign

  20,200      173,763   

Bangkok Airways NVDR

  35,000      21,828   

Bangkok Bank NVDR

  41,300      233,928   

Bangkok Dusit Medical Services - Foreign

  216,000      130,728   

Bank of Ayudhya NVDR

  201,700      255,313   

Banpu-Foreign

  62,000      56,190   

BEC World-Foreign

  62,000      78,095   

Berli Jucker-Foreign

  24,400      27,548   

Big C Supercenter NVDR

  13,800      97,428   

BTS Group Holdings NVDR

  123,400      34,619   

Central Pattana-Foreign

  84,900      111,505   

Charoen Pokphand Foods-Foreign

  145,700      100,714   

CP ALL NVDR

  319,400      402,144   

Glow Energy-Foreign

  31,400      82,720   

Home Product Center NVDR

  164,057      41,077   

Home Product Center-Foreign

  38      10   

Indorama Ventures-Foreign

  80,500      64,301   

Intouch Holdings - Foreign

  9,500      22,546   
 

 

LVIP BlackRock Emerging Markets RPM Fund–8


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Thailand (continued)

     

Intouch Holdings NVDR

     76,500       $ 181,440   

IRPC-Foreign

     586,900         77,532   

Kasikornbank NVDR

     75,200         528,602   

Krung Thai Bank-Foreign

     209,100         146,466   

Land & Houses NVDR

     140,040         41,900   

Minor International NVDR

     67,800         72,822   

Minor International-Foreign

     35,900         38,602   

PTT Exploration & Production NVDR

     99,700         333,744   

PTT Global Chemical NVDR

     95,400         153,094   

PTT NVDR

     56,900         564,265   

Robinson Department Store NVDR

     37,300         54,414   

Siam Cement NVDR

     21,600         339,715   

Siam City Cement NVDR

     3,500         41,049   

Siam Commercial Bank NVDR

     105,500         576,819   

Thai Oil-Foreign

     97,500         155,760   

Thai Union Frozen Products-Foreign

     122,800         75,830   

TMB Bank-Foreign

     917,700         84,017   

Total Access Communication NVDR

     39,000         98,002   

†True NVDR

     639,751         245,053   
     

 

 

 
  6,354,669   
     

 

 

 

Turkey–1.27%

Akbank

  103,087      302,461   

†Anadolu Efes Biracilik Ve Malt Sanayii

  13,470      112,370   

Arcelik

  11,710      67,472   

BIM Birlesik Magazalar

  16,023      283,922   

Coca-Cola Icecek

  4,593      77,574   

Emlak Konut Gayrimenkul Yatirim Ortakligi

  84,514      95,680   

Enka Insaat ve Sanayi

  35,375      70,703   

Eregli Demir ve Celik Fabrikalari

  85,078      132,249   

Ford Otomotiv Sanayi

  4,019      51,776   

Haci Omer Sabanci Holding

  60,788      214,419   

KOC Holding

  53,108      241,611   

Tofas Turk Otomobil Fabrikasi

  6,590      39,868   

†Tupras Turkiye Petrol Rafinerileri

  10,210      241,934   

†Turk Hava Yollari

  41,411      136,632   

Turk Telekomunikasyon

  34,175      90,621   

Turkcell Iletisim Hizmetleri

  61,926      317,679   

Turkiye Garanti Bankasi

  135,012      440,362   

Turkiye Halk Bankasi

  41,463      204,217   

Turkiye Is Bankasi Class C

  82,672      186,091   

Turkiye Sise ve Cam Fabrikalari

  83,578      103,097   

Turkiye Vakiflar Bankasi Tao Class D

  80,212      130,934   

Yapi ve Kredi Bankasi

  34,564      52,988   
     

 

 

 
  3,594,660   
     

 

 

 

United Arab Emirates–0.71%

Abu Dhabi Commercial Bank

  126,881      223,009   

Aldar Properties

  237,073      152,455   

†Arabtec Holding

  100,367      61,911   

†DAMAC Properties Dubai

  121,000      67,535   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United Arab Emirates (continued)

  

DP World

     10,733       $ 231,633   

Dragon Oil

     21,906         193,241   

Dubai Financial Market

     82,016         33,466   

Dubai Islamic Bank

     50,000         84,113   

†Emaar Malls Group

     45,588         36,239   

Emaar Properties

     186,064         332,938   

First Gulf Bank

     71,729         284,876   

National Bank of Abu Dhabi

     70,161         227,167   

Union National Bank

     64,469         99,023   
     

 

 

 
  2,027,606   
     

 

 

 

Total Common Stock
(Cost $221,623,015)

  233,551,190   
     

 

 

 

EXCHANGE-TRADED FUNDS–6.28%

  

iShares India 50

  219,464      6,878,002   

iShares MSCI Chile Capped

  81,156      3,269,775   

iShares MSCI India

  239,441      7,683,662   
     

 

 

 

Total Exchange-Traded Funds
(Cost $15,731,976)

  17,831,439   
     

 

 

 

DPREFERRED STOCK–3.54%

Brazil–2.44%

AES Tiete 13.05%

  3,800      20,452   

Alpargatas 5.27%

  2,553      7,838   

Banco Bradesco 3.39%

  150,156      1,393,835   

Banco do Estado do Rio Grande do Sul 7.42%

  8,800      30,629   

Bradespar 16.02%

  10,400      34,439   

Braskem 5.19%

  6,900      23,973   

Centrais Eletricas Brasileiras 22.16%

  16,900      36,373   

Cia Brasileira de Distribuicao 1.00%

  12,800      382,757   

Cia de Gas de Sao Paulo COMGAS Class A 3.37%

  1,100      16,886   

Cia de Transmissao de Energia Eletrica Paulista 2.98%

  2,015      25,276   

Cia Energetica de Minas Gerais 23.80%

  48,229      195,817   

Cia Energetica de Sao Paulo Class B 12.69%

  15,500      115,570   

Cia Paranaense de Energia Class B 6.63%

  6,200      65,069   

Gerdau 3.34%

  51,000      162,491   

Itau Unibanco Holding 3.60%

  161,407      1,791,051   

Itausa - Investimentos Itau 4.20%

  189,959      595,705   

Lojas Americanas 0.56%

  26,700      138,017   

Metalurgica Gerdau 3.57%

  13,400      45,842   

†Oi

  18,750      29,958   

†Petroleo Brasileiro

  251,700      772,763   

Suzano Papel e Celulose 0.79%

  21,600      100,150   

Telefonica Brasil 9.79%

  19,200      296,662   

†Usinas Siderurgicas de Minas Gerais

  38,400      60,271   
 

 

LVIP BlackRock Emerging Markets RPM Fund–9


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DPREFERRED STOCK (continued)

  

  

Brazil (continued)

     

Vale 12.30%

     122,200       $ 592,624   
     

 

 

 
  6,934,448   
     

 

 

 

Colombia–0.18%

Banco Davivienda 2.98%

  3,488      34,209   

Bancolombia 3.04%

  28,835      283,027   

Cementos Argos 2.75%

  12,000      38,308   

Grupo Argos 1.40%

  5,525      35,828   

Grupo Aval Acciones y Valores 4.76%

  165,853      74,315   

Grupo de Inversiones Suramericana 2.23%

  3,624      46,666   
     

 

 

 
  512,353   
     

 

 

 

Republic of Korea–0.66%

Amorepacific 0.48%

  43      64,795   

Doosan 6.16%

  1,228      71,703   

Hyundai Motor

2.71%

  2,288      234,618   

2.76%

  1,038      103,602   

LG Chem 2.28%

  358      48,935   

LG Electronics 1.62%

  811      20,310   

LG Household & Health Care 1.02%

  184      62,353   

Samsung Electronics 1.73%

  1,235      1,226,878   

Samsung Fire & Marine Insurance 3.04%

  250      34,927   
     

 

 

 
  1,868,121   
     

 

 

 

Russia–0.26%

AK Transneft 0.58%

  77      164,515   

†Bashneft

  2,295      52,671   

†Rostelecom

  8,225      8,185   
     Number of
Shares
    

Value

(U.S. $)

 

DPREFERRED STOCK (continued)

  

  

Russia (continued)

     

Sberbank of Russia 5.99%

     45,800       $ 35,817   

†Surgutneftegas

     581,200         443,464   

†Tatneft

     7,000         19,907   
     

 

 

 
  724,559   
     

 

 

 

Total Preferred Stock
(Cost $13,663,867)

  10,039,481   
     

 

 

 

DRIGHTS–0.00%

Philippines–0.00%

†=GT Capital Holdings, exercise price PHP 0.10, expiration date 4/8/15

  2,120      0   
     

 

 

 
  0   
     

 

 

 

South Africa–0.00%

†Discovery, exercise price ZAR 90,expiration date 4/2/15

  2,114      6,065   
     

 

 

 
  6,065   
     

 

 

 

Total Rights
(Cost $0)

  6,065   
     

 

 

 

MONEY MARKET FUND–7.31%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  20,727,260      20,727,260   
     

 

 

 

Total Money Market Fund
(Cost $20,727,260)

  20,727,260   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.45% (Cost $271,746,118)

  282,155,435   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.55%

  1,551,358   
  

 

 

 

NET ASSETS APPLICABLE TO 29,849,522 SHARES OUTSTANDING–100.00%

$ 283,706,793   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $1,148,416, which represents 0.40% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

n

Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

Non-income producing for the period.

 

«

Includes $359,824 collateral due to broker for futures contracts as of March 31, 2015.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $1,259,662, which represents 0.44% of the Fund’s net assets.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $898,770, which represents 0.32% of the Fund’s net assets.

 

¨

Securities listed and traded on the Hong Kong Stock Exchange.

 

LVIP BlackRock Emerging Markets RPM Fund–10


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

 

The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

   Contracts to
Receive (Deliver)
     In Exchange For      Settlement Date    Unrealized
Appreciation

(Depreciation)
 

BNYM

   KRW      240,000,000         USD         (217,649    4/2/15    $ (1,239

CITI

   HKD      500,000         USD         (64,491    4/2/15      3   

CITI

   MXN      (966,000      USD         63,403       4/7/15      91   

CITI

   ZAR      3,000,000         USD         (247,601    4/2/15      (308
                 

 

 

 
$ (1,453
                 

 

 

 

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
   Notional
Value
   Expiration
Date
   Unrealized
Appreciation
(Depreciation)

398 E-mini MSCI Emerging Markets Index

       $18,661,827          $19,350,760          6/22/15          $688,933  

The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

ADR–American Depositary Receipt

BNYM–Bank of New York Mellon

CITI–Citigroup Global Markets

CPO–Ordinary Participation Certificate

GDR–Global Depositary Receipt

HKD–Hong Kong Dollar

KRW–South Korean Won

MXN–Mexican Peso

NVDR–Nonvoting Depositary Receipt

PHP–Philippine Peso

USD–United States Dollar

ZAR–South African Rand

 

LVIP BlackRock Emerging Markets RPM Fund–11


LVIP BlackRock Emerging Markets RPM Fund

Schedule of Investments (continued)

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1      Level 2     Level 3      Total  

Common Stock

          

Brazil

   $ 12,922,000       $      $ 5,350       $ 12,927,350   

China

     11,773,668         40,803,462        574,374         53,151,504   

Colombia

     1,359,817                        1,359,817   

Cyprus

     74,328                        74,328   

Czech Republic

     43,587         445,696                489,283   

Greece

             494,276                494,276   

Hong Kong

     930,949         14,440,584        262,362         15,633,895   

Hungary

             449,565                449,565   

India

     5,301,371         1,024,692                6,326,063   

Indonesia

     113,262         6,448,894                6,562,156   

Luxembourg

     9,276                        9,276   

Malaysia

     2,304,243         7,590,625                9,894,868   

Mexico

     11,891,794         127,403                12,019,197   

Morocco

     374,628         139,978                514,606   

Peru

     1,003,003                        1,003,003   

Philippines

     392,629         3,545,765                3,938,394   

Poland

     146,912         2,927,917                3,074,829   

Republic of Korea.

     1,840,430         32,116,495                33,956,925   

Russia

     747,713         9,682,528                10,430,241   

South Africa

     313,671         18,976,461                19,290,132   

Taiwan

             29,974,547                29,974,547   

Thailand

     62,905         6,291,764                6,354,669   

Turkey

             3,594,660                3,594,660   

United Arab Emirates

     67,535         1,960,071                2,027,606   

Exchange-Traded Funds

     17,831,439                        17,831,439   

Preferred Stock

     7,511,596         2,527,885                10,039,481   

Rights

             6,065                6,065   

Money Market Fund

     20,727,260                        20,727,260   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

$ 97,744,016    $ 183,569,333    $ 842,086    $ 282,155,435   
  

 

 

    

 

 

   

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ (1,453 $    $ (1,453
  

 

 

    

 

 

   

 

 

    

 

 

 

Futures Contracts

$ 688,933    $    $    $ 688,933   
  

 

 

    

 

 

   

 

 

    

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, the majority of the portfolio was categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP BlackRock Emerging Markets Managed Volatility Fund.

 

LVIP BlackRock Emerging Markets RPM Fund–12


LVIP BlackRock Equity Dividend RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK–91.11%

     

Aerospace & Defense–7.69%

     

Honeywell International

     106,530       $ 11,112,144   

Lockheed Martin

     62,720         12,729,651   

Northrop Grumman

     90,380         14,547,565   

Raytheon

     163,320         17,842,710   

United Technologies

     82,740         9,697,128   
     

 

 

 
  65,929,198   
     

 

 

 

Air Freight & Logistics–1.00%

  

United Parcel Service Class B

  88,220      8,552,047   
     

 

 

 
  8,552,047   
     

 

 

 

Banks–13.21%

Bank of America

  588,400      9,055,476   

Citigroup

  278,570      14,351,926   

Fifth Third Bancorp

  335,410      6,322,479   

JPMorgan Chase

  437,480      26,502,538   

SunTrust Banks

  329,790      13,551,071   

U.S. Bancorp

  308,000      13,450,360   

Wells Fargo

  550,330      29,937,952   
     

 

 

 
  113,171,802   
     

 

 

 

Beverages–1.32%

Coca-Cola

  95,150      3,858,333   

Diageo

  269,318      7,442,173   
     

 

 

 
  11,300,506   
     

 

 

 

Capital Markets–1.72%

Goldman Sachs Group

  32,300      6,071,431   

Morgan Stanley

  243,250      8,681,593   
     

 

 

 
  14,753,024   
     

 

 

 

Chemicals–2.75%

Dow Chemical

  118,630      5,691,867   

duPont (E.I.) deNemours

  198,340      14,175,360   

Praxair

  30,470      3,678,948   
     

 

 

 
  23,546,175   
     

 

 

 

Commercial Services & Supplies–0.46%

  

Tyco International

  91,800      3,952,908   
     

 

 

 
  3,952,908   
     

 

 

 

Communications Equipment–1.81%

  

Motorola Solutions

  95,780      6,385,653   

QUALCOMM

  131,280      9,102,955   
     

 

 

 
  15,488,608   
     

 

 

 

Consumer Finance–0.83%

American Express

  90,522      7,071,579   
     

 

 

 
  7,071,579   
     

 

 

 

Diversified Financial Services–0.86%

  

CME Group

  78,150      7,401,587   
     

 

 

 
  7,401,587   
     

 

 

 
  Number of
Shares
  Value
(U.S. $)
 

COMMON STOCK (continued)

Diversified Telecommunication Services–1.91%

  

BCE

  54,520    $ 2,309,467   

Verizon Communications

  289,640      14,085,193   
     

 

 

 
  16,394,660   
     

 

 

 

Electric Utilities–1.82%

Eversource Energy

  72,420      3,658,658   

ITC Holdings

  62,900      2,354,347   

NextEra Energy

  92,440      9,618,382   
     

 

 

 
  15,631,387   
     

 

 

 

Electrical Equipment–0.37%

Rockwell Automation

  27,680      3,210,603   
     

 

 

 
  3,210,603   
     

 

 

 

Energy Equipment & Services–0.48%

  

Schlumberger

  49,080      4,095,235   
     

 

 

 
  4,095,235   
     

 

 

 

Food & Staples Retailing–1.30%

  

Kroger

  111,100      8,516,926   

Wal-Mart Stores

  32,240      2,651,740   
     

 

 

 
  11,168,666   
     

 

 

 

Food Products–0.64%

Mondelez International

  104,980      3,788,728   

Unilever

  39,760      1,660,378   
     

 

 

 
  5,449,106   
     

 

 

 

Health Care Equipment & Supplies–0.97%

  

Abbott Laboratories

  71,130      3,295,453   

Becton, Dickinson

  35,100      5,040,009   
     

 

 

 
  8,335,462   
     

 

 

 

Health Care Providers & Services–3.57%

  

Anthem

  43,820      6,766,246   

Quest Diagnostics

  110,090      8,460,417   

UnitedHealth Group

  129,950      15,371,785   
     

 

 

 
  30,598,448   
     

 

 

 

Hotels, Restaurants & Leisure–0.95%

  

McDonald’s

  83,124      8,099,602   
     

 

 

 
  8,099,602   
     

 

 

 

Household Products–1.82%

Procter & Gamble

  189,820      15,553,851   
     

 

 

 
  15,553,851   
     

 

 

 

Industrial Conglomerates–3.52%

  

3M

  62,550      10,317,623   

General Electric

  799,890      19,845,271   
     

 

 

 
  30,162,894   
     

 

 

 

Insurance–5.74%

ACE

  76,790      8,561,317   

American International Group

  112,490      6,163,327   
 

 

LVIP BlackRock Equity Dividend RPM Fund–1


LVIP BlackRock Equity Dividend RPM Fund

Schedule of Investments (continued)

 

    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

Insurance (continued)

     

Chubb

     46,320       $ 4,682,952   

MetLife

     190,950         9,652,523   

Prudential Financial

     115,440         9,270,986   

Travelers

     100,620         10,880,041   
     

 

 

 
  49,211,146   
     

 

 

 

IT Services–1.08%

Automatic Data Processing

  31,140      2,666,830   

International Business Machines

  41,180      6,609,390   
     

 

 

 
  9,276,220   
     

 

 

 

Media–2.41%

Comcast Class A

  368,600      20,665,559   
     

 

 

 
  20,665,559   
     

 

 

 

Metals & Mining–0.43%

BHP Billiton

  156,711      3,642,356   
     

 

 

 
  3,642,356   
     

 

 

 

Multi-Utilities–2.44%

CMS Energy

  103,100      3,599,221   

Dominion Resources

  123,560      8,756,697   

Sempra Energy

  44,090      4,806,692   

Wisconsin Energy

  74,870      3,706,065   
     

 

 

 
  20,868,675   
     

 

 

 

Oil, Gas & Consumable Fuels–8.03%

  

Chevron

  79,071      8,300,874   

ConocoPhillips

  61,000      3,797,860   

Exxon Mobil

  156,880      13,334,800   

Marathon Oil

  179,590      4,689,095   

Marathon Petroleum

  84,460      8,647,859   

Occidental Petroleum

  154,753      11,296,969   

Phillips 66

  39,400      3,096,840   

Spectra Energy

  101,490      3,670,893   

TOTAL ADR

  240,406      11,938,562   
     

 

 

 
  68,773,752   
     

 

 

 

Paper & Forest Products–1.08%

International Paper

  167,010      9,267,385   
     

 

 

 
  9,267,385   
     

 

 

 

Pharmaceuticals–8.60%

AbbVie

  71,130      4,163,950   

Bristol-Myers Squibb

  266,380      17,181,510   

Johnson & Johnson

  137,290      13,811,374   

Merck

  305,220      17,544,046   

Pfizer

  603,060      20,980,457   
     

 

 

 
  73,681,337   
     

 

 

 

Professional Services–0.36%

Nielsen

  69,610      3,102,518   
     

 

 

 
  3,102,518   
     

 

 

 
    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

Real Estate Investment Trusts–0.45%

  

  

Weyerhaeuser

     115,900       $ 3,842,085   
     

 

 

 
  3,842,085   
     

 

 

 

Road & Rail–1.28%

CSX

  95,250      3,154,680   

Union Pacific

  71,952      7,793,121   
     

 

 

 
  10,947,801   
     

 

 

 

Semiconductors & Semiconductor Equipment–1.70%

  

Intel

  464,980      14,539,925   
     

 

 

 
  14,539,925   
     

 

 

 

Software–2.19%

Microsoft

  462,100      18,786,675   
     

 

 

 
  18,786,675   
     

 

 

 

Specialty Retail–2.59%

Home Depot

  195,030      22,157,358   
     

 

 

 
  22,157,358   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.80%

  

Samsung Electronics GDR

  10,710      6,888,239   
     

 

 

 
  6,888,239   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.71%

  

VF

  80,536      6,065,166   
     

 

 

 
  6,065,166   
     

 

 

 

Tobacco–1.46%

Altria Group

  96,730      4,838,435   

Lorillard

  64,900      4,241,215   

Philip Morris International

  46,080      3,471,206   
     

 

 

 
  12,550,856   
     

 

 

 

Water Utilities–0.76%

American Water Works

  120,370      6,525,258   
     

 

 

 
  6,525,258   
     

 

 

 

Total Common Stock
(Cost $641,883,675)

  780,659,659   
     

 

 

 

MONEY MARKET FUND–7.55%

  

Dreyfus Treasury & Agency Cash
Management Fund - Institutional
Shares

  64,665,763      64,665,763   
     

 

 

 

Total Money Market Fund
(Cost $64,665,763)

  64,665,763   
     

 

 

 
 

 

LVIP BlackRock Equity Dividend RPM Fund–2


LVIP BlackRock Equity Dividend RPM Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–98.66% (Cost $706,549,438)

   $ 845,325,422   

«  RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.34%

     11,489,609   
  

 

 

 

NET ASSETS APPLICABLE TO 49,528,962 SHARES OUTSTANDING–100.00%

$ 856,815,031   
  

 

 

 

 

 

«

 Includes $13,846,205 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
   Notional
Value
  Expiration
Date
   Unrealized
Appreciation
(Depreciation)

(2,089)

   E-mini S&P 500 Index    $(212,559,615)    $(215,250,560)   6/22/15    $(2,690,945)

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

Summary of Abbreviations:

ADR–American Depositary Receipt

GDR–Global Depository Receipt

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1      Level 2      Total  

Common Stock

        

Aerospace & Defense

   $ 65,929,198       $       $ 65,929,198   

Air Freight & Logistics

     8,552,047                 8,552,047   

Banks

     113,171,802                 113,171,802   

Beverages

     3,858,333         7,442,173         11,300,506   

Capital Markets

     14,753,024                 14,753,024   

Chemicals

     23,546,175                 23,546,175   

Commercial Services & Supplies

     3,952,908                 3,952,908   

Communications Equipment

     15,488,608                 15,488,608   

Consumer Finance

     7,071,579                 7,071,579   

Diversified Financial Services

     7,401,587                 7,401,587   

Diversified Telecommunication Services

     16,394,660                 16,394,660   

Electric Utilities

     15,631,387                 15,631,387   

Electrical Equipment

     3,210,603                 3,210,603   

Energy Equipment & Services

     4,095,235                 4,095,235   

Food & Staples Retailing

     11,168,666                 11,168,666   

Food Products

     5,449,106                 5,449,106   

Health Care Equipment & Supplies

     8,335,462                 8,335,462   

Health Care Providers & Services

     30,598,448                 30,598,448   

Hotels, Restaurants & Leisure

     8,099,602                 8,099,602   

Household Products

     15,553,851                 15,553,851   

Industrial Conglomerates

     30,162,894                 30,162,894   

Insurance

     49,211,146                 49,211,146   

IT Services

     9,276,220                 9,276,220   

Media

     20,665,559                 20,665,559   

Metals & Mining

             3,642,356         3,642,356   

Multi-Utilities

     20,868,675                 20,868,675   

Oil, Gas & Consumable Fuels

     68,773,752                 68,773,752   

Paper & Forest Products

     9,267,385                 9,267,385   

Pharmaceuticals

     73,681,337                 73,681,337   

Professional Services

     3,102,518                 3,102,518   

Real Estate Investment Trusts

     3,842,085                 3,842,085   

Road & Rail

     10,947,801                 10,947,801   

Semiconductors & Semiconductor Equipment

     14,539,925                 14,539,925   

 

LVIP BlackRock Equity Dividend RPM Fund–3


LVIP BlackRock Equity Dividend RPM Fund

Schedule of Investments (continued)

 

     Level 1      Level 2      Total  

Software

   $ 18,786,675       $       $ 18,786,675   

Specialty Retail

     22,157,358                 22,157,358   

Technology Hardware, Storage & Peripherals

             6,888,239         6,888,239   

Textiles, Apparel & Luxury Goods

     6,065,166                 6,065,166   

Tobacco

     12,550,856                 12,550,856   

Water Utilities

     6,525,258                 6,525,258   

Money Market Fund

     64,665,763                 64,665,763   
  

 

 

    

 

 

    

 

 

 

Total

$ 827,352,654    $ 17,972,768    $ 845,325,422   
  

 

 

    

 

 

    

 

 

 

Futures Contracts

$ (2,690,945 $    $ (2,690,945
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

As a result of utilizing international fair value pricing at March 31, 2015, a portion of the Fund’s common stock was categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP BlackRock Equity Dividend Managed Volitility Fund.

 

LVIP BlackRock Equity Dividend RPM Fund–4


LVIP BlackRock Global Allocation V.I. RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES–99.89%

  

International Equity Fund–96.20%

  

*BlackRock Global Allocation V.I. Fund

     50,977,312       $   850,301,558   
     

 

 

 
  850,301,558   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

Money Market Fund–3.69%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

     32,631,888       $   32,631,888   
     

 

 

 
  32,631,888   
     

 

 

 

Total Investment Companies

(Cost $922,495,246)

    882,933,446   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.89% (Cost $922,495,246)

  882,933,446    

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.11%

  995,941    
  

 

 

 

NET ASSETS APPLICABLE TO 83,052,933 SHARES OUTSTANDING–100.00%

$   883,929,387    
  

 

 

 

 

 

*

 Class I shares.

 

«

Includes $2,445,376 cash pledged as collateral for futures contracts and $28,197 foreign currencies due to broker as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
    Notional
Value
    Expiration
Date
   Unrealized
Appreciation
(Depreciation)

(30)

   British Pound Currency      $  (2,797,955)      $ (2,781,937   6/18/15    $   16,018  

(51)

   E-mini MSCI Emerging Markets Index      (2,379,544     (2,479,620   6/22/15    (100,076)

(16)

   E-mini Russell 2000 Index      (1,936,287     (1,998,240   6/22/15      (61,953)

(97)

   E-mini S&P 500 Index      (9,854,496     (9,994,880   6/22/15    (140,384)

(35)

   Euro Currency      (4,613,770     (4,704,875   6/18/15      (91,105)

(125)

   Euro STOXX 50 Index      (4,801,669     (4,881,199   6/22/15      (79,530)

(28)

   FTSE 100 Index      (2,780,435     (2,793,979   6/22/15      (13,544)

(33)

   Japanese Yen Currency      (3,398,515     (3,442,725   6/18/15      (44,210)

(22)

   Nikkei 225 Index (OSE)      (3,429,509     (3,523,154   6/12/15      (93,645)
     

 

 

        

 

  $(35,992,180 $(608,429) 
     

 

 

        

 

The use futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Companies

   $ 882,933,446   
  

 

 

 

Futures Contracts

$ (608,429
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP BlackRock Global Allocation V.I. Managed Volatility Fund.

LVIP BlackRock Global Allocation V.I. RPM Fund–1


LVIP BlackRock Inflation Protected Bond Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES–12.07%

  

Fannie Mae S.F. 30 yr
3.50% 4/1/45

     70,984,365       $ 74,630,051   

Freddie Mac S.F. 30 yr
3.50% 3/1/45

     70,975,000         74,459,390   
     

 

 

 

Total Agency Mortgage-Backed Securities
(Cost $149,395,402)

   

  149,089,441   
     

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES–0.54%

  

#BAMLL Commercial Mortgage Securities Trust Series 2012-PARK A 144A
2.959% 12/10/30

  1,014,000      1,040,400   

Banc of America Merrill Lynch Commercial Mortgage

  

•Series 2005-5 A4
5.115% 10/10/45

  534,167      536,839   

•Series 2005-5 AM
5.176% 10/10/45

  601,000      613,709   

#BB-UBS Trust Series 2012-SHOW A 144A
3.43% 11/5/36

  930,000      967,964   

#GS Mortgage Securities Trust Series 2012-ALOH A 144A
3.551% 4/10/34

  883,000      943,472   

#•Irvine Core Office Trust Series 2013-IRV A2 144A
3.174% 5/15/48

  798,000      827,137   

LB-UBS Commercial Mortgage Trust

•Series 2005-C5 AM
5.017% 9/15/40

  751,000      756,848   

•Series 2005-C7 AM
5.263% 11/15/40

  667,000      674,858   

Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7 A4
2.918% 2/15/46

  357,000      366,396   
     

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $6,853,083)

   

  6,727,623   
     

 

 

 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS–0.18%

  

  

ABN Amro Mortgage

Series 2003-4 A4
5.50% 3/25/33

  118,953      124,233   

Series 2003-6 1A4
5.50% 5/25/33

  252,012      263,240   

Banc of America Mortgage Trust Series 2004-7 7A1
5.00% 8/25/19

  97,115      98,040   

tCendant Mortgage Capital Pass Through Series 2003-6 A3
5.25% 7/25/33

  369,047      372,633   

tCHL Mortgage Pass Through Trust Series 2004-5 2A4
5.50% 5/25/34

  199,111      207,749   
            Principal
Amount°
    

Value

(U.S. $)

 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS (continued)

  

  

MASTR Asset Securitization Trust Series 2003-10 3A1
5.50% 11/25/33

        256,527       $ 268,279   

•PHHMC Trust Series 2007-6 A1
5.457% 12/18/37

        185,428         184,953   

•Sequoia Mortgage Trust Series 2011-1 A1
4.125% 2/25/41

        46,804         47,251   

tWaMu Mortgage Pass Through Certificates Trust Series 2003-S11 3A5
5.95% 11/25/33

        329,678         339,859   

Wells Fargo Mortgage Backed Securities Trust

 

Series 2003-17 1A14
5.25% 1/25/34

        215,733         228,951   

Series 2007-3 3A1
5.50% 4/25/22

        76,912         79,200   
        

 

 

 

Total Non-Agency Collateralized Mortgage Obligations
(Cost $2,235,120)

    

  2,214,388   
        

 

 

 

DSOVEREIGN BONDS–18.36%

  

France–4.44%

France Government Bond O.A.T.
3.75% 4/25/17

  EUR      47,150,000      54,828,156   
        

 

 

 
  54,828,156   
        

 

 

 

Germany–8.92%

Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond
0.75% 4/15/18

  EUR      4,518,615      5,130,561   

Bundesschatzanweisungen
0.00% 3/10/17

  EUR      79,625,000      86,063,006   

Deutsche Bundesrepublik Inflation Linked Bond
1.50% 4/15/16

  EUR      17,255,246      19,051,869   
        

 

 

 
  110,245,436   
        

 

 

 

Italy–1.93%

Italy Buoni Poliennali Del Tesoro Inflation Linked Bonds
2.10% 9/15/16

  EUR      5,087,808      5,727,210   

#144A 2.35% 9/15/24

  EUR      4,879,726      6,416,609   

2.55% 9/15/41

  EUR      1,738,966      2,773,829   

2.60% 9/15/23

  EUR      6,726,300      8,929,329   
        

 

 

 
  23,846,977   
        

 

 

 

Japan–0.06%

Japanese Government CPI Linked Bond
1.10% 12/10/16

  JPY      86,852,700      772,555   
        

 

 

 
  772,555   
        

 

 

 
 

 

LVIP BlackRock Inflation Protected Bond Fund–1


LVIP BlackRock Inflation Protected Bond Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

    

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

  

Mexico–1.07%

     

Mexican Udibonos
4.00% 6/13/19

   MXN  188,092,490       $ 13,238,176   
     

 

 

 
  13,238,176   
     

 

 

 

New Zealand–1.35%

  

New Zealand Government Bonds
3.00% 9/20/30

NZD  18,710,000      16,627,030   
     

 

 

 
  16,627,030   
     

 

 

 

Spain–0.59%

Spain Government Inflation Linked Bond
#144A 0.55% 11/30/19

EUR  6,484,600      7,330,666   
     

 

 

 
  7,330,666   
     

 

 

 

Total Sovereign Bonds
(Cost $237,610,605)

   

  226,888,996   
     

 

 

 

U.S. TREASURY OBLIGATIONS–51.79%

  

U.S. Treasury Inflation Index Bonds

  

0.625% 2/15/43

  50,565,273      49,660,610   

0.75% 2/15/42

  8,313,853      8,426,871   

0.75% 2/15/45

  15,219,374      15,511,875   

1.375% 2/15/44

  11,577,095      13,634,739   

1.75% 1/15/28

  27,068,190      31,722,647   

2.00% 1/15/26

  21,394,822      25,387,973   

2.125% 2/15/40

  1,179,460      1,577,436   

2.125% 2/15/41

  3,173,212      4,284,579   

2.375% 1/15/25

  21,149,609      25,667,039   

2.375% 1/15/27

  22,791,078      28,154,093   

2.50% 1/15/29

  29,295,717      37,489,377   

3.375% 4/15/32

  2,558,139      3,758,666   

3.625% 4/15/28

  32,454,588      45,852,232   
     Principal
Amount°
    

Value

(U.S. $)

 

U.S. TREASURY OBLIGATIONS (continued)

  

U.S. Treasury Inflation Index Bonds (continued)

  

3.875% 4/15/29

     2,556,659       $ 3,760,887   

U.S. Treasury Inflation Index Notes

  

  

0.125% 4/15/16

     7,517,409         7,595,522   

0.125% 4/15/17

     4,748,604         4,834,673   

0.125% 4/15/18

     46,191,482         47,136,975   

0.125% 4/15/19

     19,902,917         20,296,319   

0.125% 1/15/22

     11,121,708         11,226,842   

0.125% 7/15/22

     17,251,353         17,450,813   

0.125% 1/15/23

     9,758,475         9,812,605   

0.125% 7/15/24

     33,503,870         33,543,137   

0.25% 1/15/25

     12,289,473         12,393,172   

0.375% 7/15/23

     28,847,081         29,615,596   

¥ 0.625% 7/15/21

     19,890,599         20,871,145   

0.625% 1/15/24

     38,967,637         40,635,920   

1.125% 1/15/21

     44,438,968         47,758,026   

1.25% 7/15/20

     3,833,221         4,159,941   

1.375% 1/15/20

     16,302,033         17,650,765   

2.50% 7/15/16

     19,059,743         20,026,129   
     

 

 

 

Total U.S. Treasury Obligations
(Cost $621,822,255)

   

  639,896,604   
     

 

 

 
     Number of
Shares
        

MONEY MARKET FUNDS–16.39%

  

BlackRock Liquidity TempFund.

     101,045,532         101,045,532   

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

     101,485,522         101,485,522   
     

 

 

 

Total Money Market Funds
(Cost $202,531,054)

   

  202,531,054   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.33% (Cost $1,220,447,519)

  1,227,348,106   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.67%

  8,237,179   
  

 

 

 

NET ASSETS APPLICABLE TO 117,876,607 SHARES OUTSTANDING–100.00%

$ 1,235,585,285   
  

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $17,526,248, which represents 1.42% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

«

Includes $3,670,436 cash pledged as collateral for futures contracts and $2,678,183 foreign currencies due to broker as of March 31, 2015.

 

t

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.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

¥

Fully or partially pledged as collateral for derivatives.

The following foreign currency exchange contracts, futures contracts and swap contracts were outstanding at March 31, 2015:

 

LVIP BlackRock Inflation Protected Bond Fund–2


LVIP BlackRock Inflation Protected Bond Fund

Schedule of Investments (continued)

 

Foreign Currency Exchange Contracts

 

Counterparty

     Contracts to
Receive (Deliver)
       In Exchange For        Settlement Date        Unrealized
Appreciation
(Depreciation)
 

BAML

     JPY        (8,365,000        USD           72,593           4/7/15         $ 2,851   

BAML

     JPY        (49,889,000        USD           416,086           5/7/15           (43

BNP

     MXN        (18,455,000        USD           1,230,195           4/21/15           21,786   

DB

     EUR        (48,708,000        USD           54,578,178           4/7/15           2,190,136   

GSC

     EUR        (132,601,000        USD           145,490,466           4/7/15           2,871,043   

GSC

     MXN        (89,916,000        USD           6,152,446           4/21/15           264,866   

JPMC

     MXN        (71,777,000        USD           4,763,254           4/21/15           63,392   

RBC

     MXN        (26,508,000        USD           1,783,920           4/21/15           48,211   

UBS

     EUR        181,309,000           USD           (195,088,484        4/7/15           (81,016

UBS

     EUR        (182,242,000        USD           196,166,564           5/7/15           75,517   

UBS

     JPY        (49,889,000        USD           416,321           5/7/15           192   

WBC

     NZD        (21,041,000        USD           16,180,108           4/21/15           481,877   
                             

 

 

 
$ 5,938,812   
                             

 

 

 

Futures Contracts

 

            Contracts to Buy (Sell)                  Notional
Cost (Proceeds)
       Notional
Value
       Expiration
Date
       Unrealized
Appreciation
(Depreciation)
 
  (640   90 Day Euro Future      $ (156,828,150      $ (156,920,000        12/19/17         $ (91,850
  (357   90 Day Euro Future        (88,474,965        (88,665,412        12/15/15           (190,447
  234      AUD 10 yr Bonds        17,069,626           17,407,981           6/17/15           338,355   
  (29   Euro-Bobl        (4,028,221        (4,036,669        6/11/15           (8,448
  (71   Euro-BTP        (10,729,058        (10,734,259        6/11/15           (5,201
  (48   Euro-Bund        (8,152,338        (8,195,445        6/9/15           (43,107
  (1,198   Euro-Schatz        (143,248,594        (143,301,070        6/11/15           (52,476
  2      Long Gilt        351,615           358,229           6/29/15           6,614   
  (571   U.S. Treasury 2 yr Notes        (124,697,506        (125,138,219        7/1/15           (440,713
  677      U.S. Treasury 5 yr Notes        80,601,178           81,382,804           7/1/15           781,626   
  (575   U.S. Treasury 10 yr Notes        (74,230,812        (74,121,094        6/22/15           109,718   
  (94   U.S. Treasury Long Bonds        (15,096,252        (15,404,250        6/22/15           (307,998
  (458   U.S. Treasury Ultra Bonds        (76,361,057        (77,802,750        6/22/15           (1,441,693
      

 

 

                

 

 

 
$ (603,824,534 $ (1,345,620
      

 

 

                

 

 

 

Index Swap Contract

 

Notional

      Value      

   Expiration
Date
  

Description

   Unrealized
Appreciation
(Depreciation)
 
$485,826,457    4/30/15    Agreement with Barclays to receive the notional amount based on the index of a custom basket of securities and to pay the notional amount multiplied by the fixed rate of 0.623%.      $(4,078,512)*   

 

LVIP BlackRock Inflation Protected Bond Fund–3


LVIP BlackRock Inflation Protected Bond Fund

Schedule of Investments (continued)

 

The use of foreign currency exchange contracts, futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

*Swap contract was fair valued at March 31, 2015.

Summary of Abbreviations:

AUD–Australian Dollar

BAML–Bank of America Merrill Lynch

BNP–Banque Paribas

CPI–Consumer Price Index

DB–Deutsche Bank

EUR–Euro

GSC–Goldman Sachs Capital

JPMC–JPMorgan Chase Bank

JPY–Japanese Yen

MASTR–Mortgage Asset Securitization Transactions, Inc.

MXN–Mexican Peso

NZD–New Zealand Dollar

RBC–Royal Bank of Canada

O.A.T.–Obligations Assimilables du Tresor

S.F.–Single Family

UBS–Union Bank of Switzerland

USD–United States Dollar

WBC–Westpac Banking

yr–Year

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1      Level 2      Level 3      Total  

Agency Mortgage-Backed Securities

   $       $ 149,089,441       $       $ 149,089,441   

Commercial Mortgage-Backed Securities

             6,727,623                 6,727,623   

Non-Agency Collateralized Mortgage Obligations

             2,214,388                 2,214,388   

Sovereign Bonds

             226,888,996                 226,888,996   

U.S. Treasury Obligations

             639,896,604                 639,896,604   

Money Market Funds

     202,531,054                         202,531,054   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

$ 202,531,054    $ 1,024,817,052    $    $ 1,227,348,106   
  

 

 

    

 

 

    

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ 5,938,812    $    $ 5,938,812   
  

 

 

    

 

 

    

 

 

    

 

 

 

Futures Contracts

$ (1,345,620 $    $    $ (1,345,620
  

 

 

    

 

 

    

 

 

    

 

 

 

Index Swap Contract

$    $    $ (4,078,512 $ (4,078,512
  

 

 

    

 

 

    

 

 

    

 

 

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP BlackRock Inflation Protected Bond Fund–4


LVIP BlackRock Multi-Asset Income Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES–99.69%

  

  

Equity Funds–24.79%

     

iShares Core High Dividend ETF

     14,704       $ 1,102,653   

iShares U.S. Preferred Stock ETF

     18,717         750,739   
     

 

 

 
  1,853,392   
     

 

 

 

Fixed Income Funds–55.24%

iShares 1-3 Year Credit Bond ETF

  8,543      901,543   

iShares 10+ Year Credit Bond ETF

  5,975      374,035   

iShares CMBS ETF

  7,186      374,822   

iShares iBoxx $ High Yield Corporate Bond ETF

  24,043      2,178,536   

iShares Intermediate Credit Bond ETF

  2,717      300,690   
     

 

 

 
  4,129,626   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

International Equity Funds–15.36%

  

  

iShares Emerging Markets Dividend ETF

     5,226       $ 215,781   

iShares Europe ETF

     4,102         181,596   

iShares International Select Dividend ETF

     22,320         750,845   
     

 

 

 
  1,148,222   
     

 

 

 

Money Market Fund–4.30%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  321,365      321,365   
     

 

 

 
  321,365   
     

 

 

 

Total Investment Companies

(Cost $7,570,295)

  7,452,605   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.69% (Cost $7,570,295)

  7,452,605   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.31%

  23,069   
  

 

 

 

NET ASSETS APPLICABLE TO 764,949 SHARES OUTSTANDING–100.00%

$ 7,475,674   
  

 

 

 

 

 

«Includes $9,638 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
    Notional
Value
    Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 

(4) U.S. Treasury 2 yr Notes

   $ (873,869   $ (876,625     6/30/15       $ (2,756

(7) U.S. Treasury 5 yr Notes

     (832,611     (841,477     6/30/15         (8,866
  

 

 

        

 

 

 
$ (1,706,480 $ (11,622
  

 

 

        

 

 

 

The use of futures contracts involve elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

CMBS–Commercial Mortgage-Backed Security

ETF–Exchange-Traded Fund

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Investment Companies

   $ 7,452,605   
  

 

 

 

Futures Contracts

$ (11,622
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

LVIP BlackRock Multi-Asset Income Fund–1


LVIP Capital Growth Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK–100.13%

  

  

Automobiles–1.57%

     

Harley-Davidson

     119,446       $ 7,255,150   
     

 

 

 
  7,255,150   
     

 

 

 

Beverages–3.11%

Anheuser-Busch InBev ADR

  49,131      5,989,560   

†Monster Beverage

  60,255      8,338,991   
     

 

 

 
  14,328,551   
     

 

 

 

Biotechnology–9.82%

  

†Biogen

  23,924      10,101,670   

†Celgene

  56,415      6,503,521   

†Gilead Sciences

  108,425      10,639,745   

†Medivation

  42,012      5,422,489   

†Regeneron Pharmaceuticals

  16,165      7,298,174   

†Vertex Pharmaceuticals

  45,467      5,363,742   
     

 

 

 
  45,329,341   
     

 

 

 

Capital Markets–2.52%

BlackRock

  18,786      6,872,670   

TD AmeriTrade Holding

  127,694      4,757,878   
     

 

 

 
  11,630,548   
     

 

 

 

Chemicals–1.48%

Sherwin-Williams

  24,011      6,831,129   
     

 

 

 
  6,831,129   
     

 

 

 

Commercial Services & Supplies–1.05%

  

†Stericycle

  34,593      4,857,895   
     

 

 

 
  4,857,895   
     

 

 

 

Construction Materials–1.05%

  

Eagle Materials

  57,942      4,841,633   
     

 

 

 
  4,841,633   
     

 

 

 

Electrical Equipment–1.23%

AMETEK

  108,177      5,683,620   
     

 

 

 
  5,683,620   
     

 

 

 

Electronic Equipment, Instruments & Components–1.19%

  

CDW

  147,452      5,491,112   
     

 

 

 
  5,491,112   
     

 

 

 

Food & Staples Retailing–2.57%

CVS Health

  75,076      7,748,594   

Whole Foods Market

  78,956      4,112,028   
     

 

 

 
  11,860,622   
     

 

 

 

Food Products–1.64%

Mondelez International

  209,783      7,571,068   
     

 

 

 
  7,571,068   
     

 

 

 

Health Care Equipment & Supplies–1.02%

  

Medtronic

  60,085      4,686,029   
     

 

 

 
  4,686,029   
     

 

 

 

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

Health Care Providers & Services–0.31%

  

  

McKesson

     6,370       $ 1,440,894   
     

 

 

 
  1,440,894   
     

 

 

 

Health Care Technology–0.95%

†IMS Health Holdings

  162,657      4,403,125   
     

 

 

 
  4,403,125   
     

 

 

 

Hotels, Restaurants & Leisure–3.98%

  

Dunkin’ Brands Group

  118,054      5,614,648   

Las Vegas Sands

  96,566      5,314,993   

Wyndham Worldwide

  48,461      4,384,267   

Wynn Resorts

  24,223      3,049,191   
     

 

 

 
  18,363,099   
     

 

 

 

Household Durables–5.12%

Harman International Industries

  50,975      6,811,789   

Horton (D.R.)

  288,908      8,228,100   

Lennar Class A

  166,186      8,610,097   
     

 

 

 
  23,649,986   
     

 

 

 

Insurance–1.19%

†Markel

  7,126      5,479,609   
     

 

 

 
  5,479,609   
     

 

 

 

Internet & Catalog Retail–4.95%

†Amazon.com

  28,767      10,704,201   

†Netflix

  12,569      5,237,377   

†Priceline Group

  5,939      6,913,887   
     

 

 

 
  22,855,465   
     

 

 

 

Internet Software & Services–8.33%

  

†Alibaba Group Holding ADR

  50,270      4,184,475   

†Baidu ADR

  15,670      3,265,628   

†Facebook Class A

  130,869      10,759,395   

†Google Class C

  20,517      11,243,316   

†Twitter

  110,320      5,524,826   

†Yelp

  72,653      3,440,120   
     

 

 

 
  38,417,760   
     

 

 

 

IT Services–8.54%

†Alliance Data Systems

  23,295      6,901,144   

†Cognizant Technology Solutions Class A

  112,336      7,008,643   

†FleetCor Technologies

  44,810      6,762,725   

MasterCard Class A

  133,026      11,492,116   

Visa Class A

  110,477      7,226,301   
     

 

 

 
  39,390,929   
     

 

 

 

Life Sciences Tools & Services–0.84%

  

†Illumina

  20,942      3,887,673   
     

 

 

 
  3,887,673   
     

 

 

 
 

 

LVIP Capital Growth Fund–1


LVIP Capital Growth Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

Machinery–0.42%

     

Pall

     19,255       $ 1,933,009   
     

 

 

 
  1,933,009   
     

 

 

 

Oil, Gas & Consumable Fuels–1.17%

  

†Cobalt International Energy

  162,870      1,532,607   

Pioneer Natural Resources

  23,752      3,883,689   
     

 

 

 
  5,416,296   
     

 

 

 

Personal Products–1.04%

Estee Lauder Class A

  57,735      4,801,243   
     

 

 

 
  4,801,243   
     

 

 

 

Pharmaceuticals–5.99%

†Actavis

  31,217      9,290,804   

AstraZeneca ADR

  47,030      3,218,263   

Bristol-Myers Squibb

  162,942      10,509,759   

Merck

  80,159      4,607,539   
     

 

 

 
  27,626,365   
     

 

 

 

Professional Services–4.37%

Equifax

  71,315      6,632,295   

†IHS Class A

  51,608      5,870,926   

Nielsen

  145,474      6,483,776   

†Verisk Analytics Class A

  16,545      1,181,313   
     

 

 

 
  20,168,310   
     

 

 

 

Real Estate Investment Trusts–1.47%

  

American Tower

  72,026      6,781,248   
     

 

 

 
  6,781,248   
     

 

 

 

Road & Rail–1.71%

Hunt (J.B.) Transport Services

  31,675      2,704,887   

Kansas City Southern

  50,704      5,175,864   
     

 

 

 
  7,880,751   
     

 

 

 
     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

  

Software–5.25%

     

†Adobe Systems

     73,763       $ 5,454,036   

Intuit

     56,232         5,452,255   

Microsoft

     39,495         1,605,669   

†salesforce.com

     104,652         6,991,800   

†ServiceNow

     60,095         4,734,284   
     

 

 

 
  24,238,044   
     

 

 

 

Specialty Retail–8.91%

†AutoZone

  11,794      8,045,395   

Home Depot

  131,439      14,932,785   

Lowe’s

  125,928      9,367,784   

Ross Stores

  83,155      8,761,211   
     

 

 

 
  41,107,175   
     

 

 

 

Technology Hardware, Storage & Peripherals–7.34%

  

Apple

  272,400      33,894,732   
     

 

 

 
  33,894,732   
     

 

 

 

Total Common Stock
(Cost $321,806,476)

  462,102,411   
     

 

 

 

MONEY MARKET FUND–0.07%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  304,789      304,789   
     

 

 

 

Total Money Market Fund
(Cost $304,789)

  304,789   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.20% (Cost $322,111,265)

  462,407,200   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.20%)

  (921,891
  

 

 

 

NET ASSETS APPLICABLE TO 10,538,326 SHARES OUTSTANDING–100.00%

$ 461,485,309   
  

 

 

 

 

 

† Non-income producing for the period.

ADR–American Depositary Receipt

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Common Stock

   $ 462,102,411   

Money Market Fund

     304,789   
  

 

 

 

Total

$ 462,407,200   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

 

LVIP Capital Growth Fund–2


LVIP Capital Growth Fund

Schedule of Investments (continued)

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Wellington Capital Growth Fund.

 

LVIP Capital Growth Fund–3


LVIP Clarion Global Real Estate Fund

Schedule of Investments (unaudited)

March 31, 2015

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK–98.63%

     

Australia–6.12%

     

Federation Centres

     1,378,856       $ 3,182,633   

Goodman Group

     1,689,485         8,134,593   

GPT Group

     1,259,687         4,375,051   

†@=GPT Group In-Specie

     4,536,115         0   

Investa Office Fund

     919,013         2,723,029   

Mirvac Group

     3,633,043         5,546,980   

Novion Property Group

     1,347,627         2,567,019   

Scentre Group

     988,672         2,808,472   

Stockland

     1,413,217         4,828,061   

Westfield

     266,901         1,934,135   
     

 

 

 
  36,099,973   
     

 

 

 

Canada–0.68%

Boardwalk Real Estate Investment Trust

  49,900      2,322,350   

Canadian Real Estate Investment Trust

  46,600      1,711,101   
     

 

 

 
  4,033,451   
     

 

 

 

France–5.16%

ICADE

  72,735      6,572,484   

Klepierre

  204,453      10,041,764   

Mercialys

  91,500      2,324,388   

Unibail-Rodamco

  42,446      11,464,086   
     

 

 

 
  30,402,722   
     

 

 

 

Germany–2.24%

Deutsche Annington Immobilien

  46,406      1,564,063   

Deutsche Wohnen

  129,000      3,300,014   

†LEG Immobilien

  105,298      8,354,330   
     

 

 

 
  13,218,407   
     

 

 

 

nHong Kong–7.29%

China Overseas Land & Investment

  980,919      3,167,777   

CK Hutchison Holdings

  147,000      3,003,287   

Hongkong Land Holdings

  986,000      7,444,300   

Link REIT

  835,700      5,155,586   

New World Development

  2,288,300      2,652,918   

Sun Hung Kai Properties

  931,900      14,369,423   

Swire Properties

  1,275,600      4,142,949   

Wharf Holdings

  430,900      3,008,047   
     

 

 

 
  42,944,287   
     

 

 

 

Japan–11.86%

GLP J-REIT

  2,256      2,335,318   

Japan Hotel REIT Investment

  1,781      1,266,710   

Japan Real Estate Investment

  1,372      6,452,245   

Japan Retail Fund Investment

  3,051      6,061,576   

Kenedix Office Investment

  626      3,434,295   

Mitsubishi Estate

  344,800      7,995,257   

Mitsui Fudosan

  655,400      19,244,588   

†Nippon Prologis REIT

  1,689      3,717,494   

NTT Urban Development

  198,000      1,977,457   
     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

Japan (continued)

     

Orix JREIT

     2,064       $ 2,955,676   

Sumitomo Realty & Development

     286,188         10,301,442   

Tokyo Tatemono

     122,200         895,126   

United Urban Investment

     2,078         3,238,886   
     

 

 

 
  69,876,070   
     

 

 

 

Netherlands–0.87%

Eurocommercial Properties CVA

  51,009      2,338,367   

NSI

  619,110      2,786,925   
     

 

 

 
  5,125,292   
     

 

 

 

Singapore–2.98%

CapitaCommercial Trust

  3,119,000      4,014,665   

CapitaLand

  2,913,300      7,593,452   

CapitaMall Trust

  1,955,400      3,130,321   

Suntec Real Estate Investment Trust

  2,075,200      2,802,566   
     

 

 

 
  17,541,004   
     

 

 

 

Sweden–0.38%

Hufvudstaden Class A

  162,892      2,233,753   
     

 

 

 
  2,233,753   
     

 

 

 

Switzerland–0.28%

†PSP Swiss Property

  17,492      1,648,583   
     

 

 

 
  1,648,583   
     

 

 

 

United Kingdom–6.99%

British Land

  742,333      9,148,865   

Derwent London

  122,535      6,209,622   

Great Portland Estates

  375,172      4,507,507   

Hammerson

  635,740      6,260,660   

Land Securities Group

  631,974      11,732,377   

Safestore Holdings

  464,240      2,013,488   

UNITE Group

  150,295      1,305,314   
     

 

 

 
  41,177,833   
     

 

 

 

United States–53.78%

Alexandria Real Estate Equities

  71,100      6,970,644   

American Realty Capital Properties

  645,500      6,358,175   

AvalonBay Communities

  83,865      14,613,476   

Boston Properties

  46,590      6,544,963   

Brandywine Realty Trust

  205,800      3,288,684   

DCT Industrial Trust

  98,550      3,415,743   

DDR

  465,100      8,660,162   

Douglas Emmett

  185,600      5,532,736   

Duke Realty

  363,300      7,909,041   

Equity Residential

  271,450      21,135,097   

Essex Property Trust

  47,383      10,893,352   

†Forest City Enterprises Class A

  70,200      1,791,504   

General Growth Properties

  501,600      14,822,280   

Health Care REIT

  258,000      19,958,880   

Healthcare Realty Trust

  173,500      4,819,830   

Healthcare Trust of America Class A

  149,600      4,167,856   

Highwoods Properties

  76,950      3,522,771   
 

 

LVIP Clarion Global Real Estate Fund–1


LVIP Clarion Global Real Estate Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

DCOMMON STOCK (continued)

     

United States (continued)

     

Host Hotels & Resorts

     608,500       $ 12,279,530   

Kilroy Realty

     133,000         10,130,610   

Kimco Realty

     396,830         10,654,886   

Liberty Property Trust

     105,300         3,759,210   

Macerich

     69,019         5,820,372   

Paramount Group

     284,600         5,492,780   

Pebblebrook Hotel Trust

     74,900         3,488,093   

Post Properties

     98,300         5,596,219   

Prologis

     344,790         15,019,052   

Public Storage

     41,000         8,082,740   

Ramco-Gershenson Properties Trust

     124,700         2,319,420   

Simon Property Group

     142,680         27,913,908   

SL Green Realty

     105,500         13,544,090   

Spirit Realty Capital

     577,200         6,972,576   

†Strategic Hotels & Resorts

     375,800         4,671,194   

Sun Communities

     60,900         4,063,248   

Sunstone Hotel Investors

     254,940         4,249,850   

Taubman Centers

     64,200         4,951,746   

UDR

     310,100         10,552,703   

Urban Edge Properties

     18,066         428,164   

Vornado Realty Trust

     111,500         12,488,000   
     

 

 

 
  316,883,585   
     

 

 

 

Total Common Stock
(Cost $449,341,686)

  581,184,960   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

DWARRANT–0.02%

     

Hong Kong–0.02%

     

Sun Hung Kai Properties

     46,341       $ 134,194   
     

 

 

 

Total Warrant
(Cost $34,358)

  134,194   
     

 

 

 

MONEY MARKET FUND–0.96%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  5,660,917      5,660,917   
     

 

 

 

Total Money Market Fund
(Cost $5,660,917)

  5,660,917   
     

 

 

 

 

 

 

TOTAL VALUE OF SECURITIES–99.61% (Cost $455,036,961)

  586,980,071   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.39%

  2,282,302   
  

 

 

 

NET ASSETS APPLICABLE TO 58,340,741 SHARES OUTSTANDING–100.00%

$ 589,262,373   
  

 

 

 

 

 

D

Securities have been classified by country of origin.

 

n

Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

Non-income producing for the period.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $0, which represents 0.00% of the Fund’s net assets.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $0, which represents 0.00% of the Fund’s net assets.

 

LVIP Clarion Global Real Estate Fund–2


LVIP Clarion Global Real Estate Fund

Schedule of Investments (continued)

 

The following foreign currency exchange contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

  

Contracts to

Receive (Deliver)

      

In Exchange For

     Settlement
Date
   Unrealized
Appreciation

(Depreciation)
 

BBH

   AUD        (3,047      USD        2,366       4/1/15      45   

BBH

   AUD        (369,714      USD        282,775       4/2/15      1,236   

BBH

   AUD        173,864         USD        (132,477    4/7/15      (119

BBH

   HKD        4,447,991         USD        (573,564    4/1/15      172   

BBH

   HKD        3,146,868         USD        (405,917    4/2/15      (10

BBH

   JPY        (68,455,464      USD        574,759       4/1/15      4,073   

BBH

   JPY        17,150,085         USD        (142,884    4/2/15      92   
                       

 

 

 
$ 5,489   
                       

 

 

 

The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

AUD–Australian Dollar

BBH–Brown Brothers Harriman, New York

CVA–Dutch Certificate

HKD–Hong Kong Dollar

JPY–Japanese Yen

REIT–Real Estate Investment Trust

USD–U.S. Dollar

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1      Level 2      Total  

Common Stock

        

Australia

   $       $ 36,099,973       $ 36,099,973   

Canada

     4,033,451                 4,033,451   

France

             30,402,722         30,402,722   

Germany

             13,218,407         13,218,407   

Hong Kong

     7,444,300         35,499,987         42,944,287   

Japan

             69,876,070         69,876,070   

Netherlands

             5,125,292         5,125,292   

Singapore

             17,541,004         17,541,004   

Sweden

             2,233,753         2,233,753   

Switzerland

             1,648,583         1,648,583   

United Kingdom

     1,305,314         39,872,519         41,177,833   

United States

     316,883,585                 316,883,585   

Warrant

     134,194                 134,194   

Money Market Fund

     5,660,917                 5,660,917   
  

 

 

    

 

 

    

 

 

 

Total

$ 335,461,761    $ 251,518,310    $ 586,980,071   
  

 

 

    

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ 5,489    $ 5,489   
  

 

 

    

 

 

    

 

 

 

The value of Level 3 investments was zero at the end of the period.

As a result of utilizing international fair value pricing at March 31, 2015, a portion of the portfolio was categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Clarion Global Real Estate Fund–3


LVIP ClearBridge Variable Appreciation RPM Fund

Schedule of Investments (unaudited)

 

    

Number of

Shares

    

Value

(U.S. $)

 

INVESTMENT COMPANIES–98.65%

  

Equity Fund–92.31%

     

*ClearBridge Variable Appreciation Portfolio

     2,494,464       $ 89,077,293   
     

 

 

 
      89,077,293   
     

 

 

 
    

Number of

Shares

    

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

Money Market Fund–6.34%

     

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

     6,117,418       $ 6,117,418   
     

 

 

 
  6,117,418   
     

 

 

 

Total Investment Companies

(Cost $93,761,187)

      95,194,711   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–98.65% (Cost $93,761,187)

  95,194,711   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.35%

  1,299,530   
  

 

 

 

NET ASSETS APPLICABLE TO 9,281,719 SHARES OUTSTANDING–100.00%

$     96,494,241   
  

 

 

 

 

 

* Series I Shares.

«Includes $900,601 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
   Unrealized
Appreciation
(Depreciation)

(138) E-mini S&P 500 Index

     $ (14,055,839 )     $ (14,219,520 )       6/22/15        $ (163,681 )

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015.

 

     Level 1  

Investment Companies

   $ 95,194,711   
  

 

 

 

Futures Contracts

$ (163,681
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP ClearBridge Variable Appreciation Managed Volatility Fund.

 

LVIP ClearBridge Variable Appreciation RPM Fund–1


LVIP Columbia Small-Mid Cap Growth RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK–90.34%

  

  

Airlines–2.21%

     

Alaska Air Group

     67,871       $ 4,491,703   

American Airlines Group

     45,207         2,386,025   
     

 

 

 
  6,877,728   
     

 

 

 

Auto Components–0.72%

†Gentherm

  44,532      2,249,311   
     

 

 

 
  2,249,311   
     

 

 

 

Banks–1.21%

†Signature Bank

  29,014      3,759,634   
     

 

 

 
  3,759,634   
     

 

 

 

Biotechnology–7.76%

†Alkermes

  56,480      3,443,586   

†AMAG Pharmaceuticals

  21,668      1,184,373   

†Auspex Pharmaceuticals

  19,439      1,949,148   

†Bluebird Bio

  14,708      1,776,285   

†Clovis Oncology

  14,494      1,075,890   

†Dyax

  67,795      1,135,905   

†Incyte

  25,009      2,292,325   

†Intercept Pharmaceuticals

  5,573      1,571,697   

†Isis Pharmaceuticals

  16,440      1,046,735   

†Pharmacyclics

  4,541      1,162,269   

†Puma Biotechnology

  8,348      1,971,046   

†Receptos

  9,067      1,495,058   

†Regulus Therapeutics

  37,857      641,298   

†TESARO

  38,940      2,235,156   

†United Therapeutics

  6,847      1,180,662   
     

 

 

 
  24,161,433   
     

 

 

 

Building Products–0.73%

Lennox International

  20,309      2,268,312   
     

 

 

 
  2,268,312   
     

 

 

 

Capital Markets–1.84%

†Affiliated Managers Group

  10,988      2,360,003   

Lazard Class A

  41,330      2,173,545   

Moelis & Co.

  39,844      1,200,101   
     

 

 

 
  5,733,649   
     

 

 

 

Chemicals–1.81%

†Chemtura

  56,519      1,542,403   

International Flavors & Fragrances

  11,155      1,309,597   

RPM International

  58,272      2,796,473   
     

 

 

 
  5,648,473   
     

 

 

 

Commercial Services & Supplies–1.07%

  

†Avis Budget Group

  19,060      1,124,826   

Waste Connections

  46,050      2,216,847   
     

 

 

 
  3,341,673   
     

 

 

 

Communications Equipment–1.70%

  

†ARRIS Group

  48,230      1,393,606   

†Palo Alto Networks

  17,407      2,542,815   

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

Communications Equipment (continued)

  

†Ruckus Wireless

     105,555       $ 1,358,493   
     

 

 

 
  5,294,914   
     

 

 

 

Construction Materials–3.01%

Eagle Materials

  44,460      3,715,078   

Martin Marietta Materials

  40,537      5,667,073   
     

 

 

 
  9,382,151   
     

 

 

 

Consumer Finance–1.23%

†PRA Group

  70,473      3,828,093   
     

 

 

 
  3,828,093   
     

 

 

 

Containers & Packaging–1.25%

Ball

  19,761      1,395,917   

†Crown Holdings

  18,750      1,012,875   

Sealed Air

  32,860      1,497,102   
     

 

 

 
  3,905,894   
     

 

 

 

Diversified Consumer Services–1.41%

  

†Grand Canyon Education

  49,155      2,128,411   

†LifeLock

  159,925      2,256,542   
     

 

 

 
  4,384,953   
     

 

 

 

Diversified Telecommunication Services–0.99%

  

Cogent Communications Group

  55,967      1,977,314   

Windstream Holdings

  148,395      1,098,123   
     

 

 

 
  3,075,437   
     

 

 

 

Electrical Equipment–0.69%

Acuity Brands

  12,781      2,149,253   
     

 

 

 
  2,149,253   
     

 

 

 

Electronic Equipment, Instruments & Components–1.51%

  

CDW

  82,370      3,067,459   

FLIR Systems

  52,332      1,636,945   
     

 

 

 
  4,704,404   
     

 

 

 

Food & Staples Retailing–1.48%

  

†Diplomat Pharmacy

  54,768      1,893,877   

†United Natural Foods

  35,451      2,731,145   
     

 

 

 
  4,625,022   
     

 

 

 

Food Products–0.77%

†Hain Celestial Group

  37,254      2,386,119   
     

 

 

 
  2,386,119   
     

 

 

 

Health Care Equipment & Supplies–3.16%

  

†Align Technology

  53,646      2,885,350   

†DexCom

  30,066      1,874,314   

†IDEXX Laboratories

  24,114      3,725,131   

†Insulet

  40,743      1,358,779   
     

 

 

 
  9,843,574   
     

 

 

 

Health Care Providers & Services–4.45%

  

†Brookdale Senior Living

  39,446      1,489,481   
 

 

LVIP Columbia Small-Mid Cap Growth RPM Fund–1


LVIP Columbia Small-Mid Cap Growth RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

Health Care Providers & Services (continued)

  

†Catalent

     98,771       $ 3,076,717   

†HealthEquity

     41,060         1,026,089   

HealthSouth

     70,360         3,121,170   

†LifePoint Hospitals

     34,045         2,500,605   

†Team Health Holdings

     45,149         2,641,668   
     

 

 

 
  13,855,730   
     

 

 

 

Hotels, Restaurants & Leisure–6.08%

  

Domino’s Pizza

  30,724      3,089,298   

†El Pollo Loco Holdings

  97,007      2,484,349   

†Fiesta Restaurant Group

  30,258      1,845,738   

Jack in the Box

  19,010      1,823,439   

†La Quinta Holdings

  63,970      1,514,810   

Restaurant Brands International

  45,755      1,757,450   

Six Flags Entertainment

  81,891      3,964,343   

Sonic

  77,212      2,447,620   
     

 

 

 
  18,927,047   
     

 

 

 

Household Durables–0.27%

Harman International Industries

  6,323      844,942   
     

 

 

 
  844,942   
     

 

 

 

Insurance–0.31%

Gallagher (Arthur J.)

  20,570      961,647   
     

 

 

 
  961,647   
     

 

 

 

Internet & Catalog Retail–0.85%

  

Expedia

  28,185      2,653,054   
     

 

 

 
  2,653,054   
     

 

 

 

Internet Software & Services–4.79%

  

†comScore

  46,713      2,391,706   

†Constant Contact

  58,052      2,218,167   

†CoStar Group

  9,041      1,788,581   

†Endurance International Group Holdings

  80,951      1,542,926   

†GrubHub

  34,102      1,547,890   

†Rackspace Hosting

  58,757      3,031,274   

†Shutterstock

  34,781      2,388,411   
     

 

 

 
  14,908,955   
     

 

 

 

IT Services–4.19%

†Alliance Data Systems

  15,084      4,468,635   

†CoreLogic

  39,924      1,408,119   

†Euronet Worldwide

  30,270      1,778,363   

†Qorvo

  67,677      5,393,857   
     

 

 

 
  13,048,974   
     

 

 

 

Leisure Products–0.84%

  

Polaris Industries

  18,634      2,629,257   
     

 

 

 
  2,629,257   
     

 

 

 
     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

  

  

Life Sciences Tools & Services–0.73%

  

†INC Research Holdings Class A

     69,534       $ 2,275,848   
     

 

 

 
  2,275,848   
     

 

 

 

Machinery–4.78%

†Colfax

  41,085      1,960,987   

IDEX

  51,395      3,897,283   

Lincoln Electric Holdings

  55,580      3,634,376   

†Middleby

  11,310      1,160,971   

†WABCO Holdings

  25,113      3,085,885   

Wabtec

  12,285      1,167,198   
     

 

 

 
  14,906,700   
     

 

 

 

Media–3.09%

Cinemark Holdings

  94,099      4,241,042   

†IMAX

  121,494      4,095,563   

Interpublic Group

  57,750      1,277,430   
     

 

 

 
  9,614,035   
     

 

 

 

Oil, Gas & Consumable Fuels–2.69%

  

†Carrizo Oil & Gas

  34,393      1,707,612   

†Diamondback Energy

  57,652      4,429,980   

Targa Resources

  12,318      1,179,941   

Western Refining

  21,730      1,073,245   
     

 

 

 
  8,390,778   
     

 

 

 

Pharmaceuticals–4.64%

  

†Akorn

  106,949      5,081,147   

†Jazz Pharmaceuticals

  10,730      1,854,037   

†Pacira Pharmaceuticals

  38,173      3,391,671   

†Salix Pharmaceuticals

  23,864      4,123,938   
     

 

 

 
  14,450,793   
     

 

 

 

Professional Services–0.81%

  

Corporate Executive Board

  31,594      2,523,097   
     

 

 

 
  2,523,097   
     

 

 

 

Real Estate Investment Trusts–2.38%

  

Lamar Advertising

  19,355      1,147,171   

Sovran Self Storage

  50,834      4,775,346   

STORE Capital

  64,132      1,497,482   
     

 

 

 
  7,419,999   
     

 

 

 

Road & Rail–1.53%

†Hub Group Class A

  36,685      1,441,354   

†Kirby

  18,494      1,387,975   

†Swift Transportation

  74,196      1,930,580   
     

 

 

 
  4,759,909   
     

 

 

 

Semiconductors & Semiconductor Equipment–2.03%

  

Monolithic Power Systems

  40,938      2,155,386   

Skyworks Solutions

  42,266      4,154,325   
     

 

 

 
  6,309,711   
     

 

 

 

Software–6.57%

†Aspen Technology

  47,229      1,817,844   
 

 

LVIP Columbia Small-Mid Cap Growth RPM Fund–2


LVIP Columbia Small-Mid Cap Growth RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

Software (continued)

     

†Barracuda Networks

     44,611       $ 1,716,185   

†CommVault Systems

     44,180         1,930,666   

†Fortinet

     96,588         3,375,751   

†Guidewire Software

     27,919         1,468,819   

†ServiceNow

     23,886         1,881,739   

†Synchronoss Technologies

     77,865         3,695,473   

†Tableau Software Class A

     9,816         908,176   

†Tyler Technologies

     18,951         2,284,164   

†Ultimate Software Group

     8,205         1,394,481   
     

 

 

 
  20,473,298   
     

 

 

 

Specialty Retail–1.43%

Signet Jewelers

  20,683      2,870,594   

†Ulta Salon Cosmetics & Fragrance

  10,450      1,576,383   
     

 

 

 
  4,446,977   
     

 

 

 

Textiles, Apparel & Luxury Goods–1.15%

  

†Skechers U.S.A. Class A

  49,791      3,580,471   
     

 

 

 
  3,580,471   
     

 

 

 

Thrifts & Mortgage Finance–0.46%

  

Radian Group

  85,410      1,434,034   
     

 

 

 
  1,434,034   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

Trading Companies & Distributors–1.72%

  

H&E Equipment Services

     62,190       $ 1,554,128   

†HD Supply Holdings

     75,835         2,362,639   

MSC Industrial Direct

     20,060         1,448,332   
     

 

 

 
  5,365,099   
     

 

 

 

Total Common Stock
(Cost $227,125,604)

  281,400,382   
     

 

 

 

MASTER LIMITED PARTNERSHIPS–0.56%

  

Och-Ziff Capital Management Group

  139,467      1,762,863   
     

 

 

 

Total Master Limited Partnerships
(Cost $1,689,413)

   

  1,762,863   
     

 

 

 

MONEY MARKET FUND–8.51%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  26,496,389      26,496,389   
     

 

 

 

Total Money Market Fund
(Cost $26,496,389)

  26,496,389   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.41% (Cost $255,311,406)

  309,659,634   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.59%

  1,834,317   
  

 

 

 

NET ASSETS APPLICABLE TO 23,242,403 SHARES OUTSTANDING–100.00%

$ 311,493,951   
  

 

 

 

 

 

†  Non-income producing for the period.

« Includes $1,963,820 cash and $530 foriegn currencies pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
     Notional
Value
     Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 

(208)

   E-mini Russell 2000 Index    $ (25,423,522)       $ (25,977,120)         6/22/15       $ (553,598)   

(46)

   E-mini S&P 500 Index      (4,691,687)         (4,739,840)         6/22/15         (48,153)   
     

 

 

          

 

 

 
$ (30,115,209)    $ (601,751)   
     

 

 

          

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional values 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.

 

LVIP Columbia Small-Mid Cap Growth RPM Fund–3


LVIP Columbia Small-Mid Cap Growth RPM Fund

Schedule of Investments (continued)

 

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Common Stock

   $ 281,400,382   

Master Limited Partnerships

     1,762,863   

Money Market Fund

     26,496,389   
  

 

 

 

Total

$ 309,659,634   
  

 

 

 

Futures Contracts

$ (601,751
  

 

 

 
 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Ivy Mid Cap Growth Managed Volatility Fund.

 

LVIP Columbia Small-Mid Cap Growth RPM Fund–4


LVIP Delaware Bond Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–1.50%

   

Fannie Mae REMIC Trust
Series 2004-W11 1A2
6.50% 5/25/44

     180,727       $ 214,963   

Fannie Mae REMICs

     

Series 1996-46 ZA
7.50% 11/25/26

     65,564         74,871   

Series 2002-83 GH
5.00% 12/25/17

     1,749,975         1,823,120   

Series 2003-38 MP
5.50% 5/25/23

     2,367,030         2,597,681   

Series 2003-78 B
5.00% 8/25/23

     90,133         97,807   

Series 2003-106 WE
4.50% 11/25/22

     1,131         1,132   

Series 2005-110 MB
5.50% 9/25/35

     605,599         653,397   

Series 2007-40 PT
5.50% 5/25/37

     238,250         266,467   

Series 2010-41 PN
4.50% 4/25/40

     120,000         131,432   

Series 2011-113 CP
5.00% 9/25/39

     41,599         43,054   

Series 2011-134 PA
4.00% 9/25/40

     167,271         175,429   

Series 2012-19 HB
4.00% 1/25/42

     67,331         71,006   

•*Series 2012-122 SD
5.926% 11/25/42

     5,888,426         1,430,923   

*Series 2013-20 IH
3.00% 3/25/33

     1,661,899         244,090   

*Series 2013-31 MI
3.00% 4/25/33

     18,326,543         2,674,670   

Series 2013-34 GP
3.00% 5/25/42

     51,691,201         52,878,031   

*Series 2013-44 DI
3.00% 5/25/33

     24,883,315         3,679,685   

Series 2013-44 Z
3.00% 5/25/43

     2,228,319         2,187,311   

Freddie Mac REMICs

     

Series 1730 Z 7.00% 5/15/24

     60,691         69,246   

Series 2326 ZQ 6.50% 6/15/31

     315,453         363,790   

Series 2512 PG
5.50% 10/15/22

     67,512         73,953   

Series 2557 WE 5.00% 1/15/18

     1,456,098         1,518,103   

Series 2708 ZD
5.50% 11/15/33

     372,382         419,323   

Series 2717 MH
4.50% 12/15/18

     553,730         580,568   

Series 3123 HT 5.00% 3/15/26

     219,116         240,880   

Series 3290 PE 5.50% 3/15/37

     72,468         81,744   

Series 3416 GK 4.00% 7/15/22

     109,012         109,853   

Series 3455 MB 4.50% 6/15/23

     5,209,962         5,526,415   

Series 3574 D 5.00% 9/15/39

     8,563         9,460   
     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS

(continued)

  

  

Series 3656 PM 5.00% 4/15/40

     7,080,479       $ 7,852,789   

•Series 3800 AF
0.675% 2/15/41

     591,711         596,644   

*Series 4185 LI 3.00% 3/15/33

     5,858,081         901,085   

*Series 4191 CI 3.00% 4/15/33

     2,549,386         346,915   

Freddie Mac Structured Agency
Credit Risk Debt Notes

     

•Series 2014-DN2 M2
1.824% 4/25/24

     5,027,000         4,996,295   

•Series 2014-DN4 M2
2.574% 10/25/24

     2,935,000         2,974,945   

•Series 2015-DN1 M1
1.424% 1/25/25

     3,916,603         3,924,585   

Freddie Mac Structured Pass
Through Securities

     

tSeries T-58 2A 6.50% 9/25/43

     630,576         730,656   

tSeries T-60 1A4C
4.673% 3/25/44

     176,194         176,300   

GNMA

     

Series 2010-42 PC
5.00% 7/20/39

     1,468,000         1,670,132   

Series 2010-113 KE
4.50% 9/20/40

     7,175,000         8,026,816   
     

 

 

 

Total Agency Collateralized Mortgage Obligations
(Cost $109,032,244)

   

  110,435,566   
     

 

 

 

AGENCY MORTGAGE-BACKED SECURITIES–27.27%

  

Fannie Mae 6.50% 8/1/17

  88,747      91,696   

Fannie Mae ARM

•2.311% 4/1/36

  424,815      453,149   

•2.315% 11/1/35

  405,657      434,326   

•2.325% 8/1/36

  411      429   

•2.42% 5/1/43

  3,663,042      3,745,598   

•2.546% 6/1/43

  1,296,146      1,330,480   

•2.962% 4/1/44

  2,312,044      2,399,327   

•3.196% 4/1/44

  5,822,513      6,074,940   

•3.266% 3/1/44

  5,577,408      5,838,248   

•3.31% 9/1/43

  3,834,677      4,022,026   

Fannie Mae Pool 5.50% 2/1/35

  23,561      26,660   

Fannie Mae Relocation 15 yr
4.00% 9/1/20

  257,747      271,166   

Fannie Mae Relocation 30 yr

5.00% 11/1/33

  34,343      37,809   

5.00% 1/1/34

  125,486      138,130   

5.00% 11/1/34

  17,534      19,311   

5.00% 10/1/35

  134,094      147,679   

5.00% 1/1/36

  23,631      26,005   

5.00% 2/1/36

  243,537      267,149   

Fannie Mae S.F. 15 yr

2.50% 2/1/28

  7,768,441      7,999,403   

2.50% 5/1/28

  1,202,153      1,237,459   

3.00% 12/1/25

  104,125      109,531   
 

 

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. 15 yr (continued)

     

3.00% 11/1/26

     148,362       $ 156,269   

3.00% 2/1/27

     713,896         751,076   

3.00% 3/1/27

     383,440         403,198   

3.00% 4/1/27

     956,627         1,007,732   

3.00% 6/1/27

     1,113,947         1,169,791   

3.00% 5/1/28

     609,189         642,747   

3.50% 1/1/26

     516,695         548,909   

3.50% 7/1/26

     2,362,230         2,519,925   

3.50% 7/1/27

     502,484         536,313   

3.50% 12/1/28

     1,777,254         1,904,539   

4.00% 3/1/24

     216,321         228,964   

4.00% 5/1/24

     969,437         1,026,872   

4.00% 7/1/24

     89,011         94,325   

4.00% 11/1/24

     16,736         17,695   

4.00% 2/1/25

     668,064         707,913   

4.00% 5/1/25

     2,010,693         2,137,974   

4.00% 6/1/25

     6,765,102         7,192,471   

4.00% 7/1/25

     139,620         148,436   

4.00% 9/1/25

     214,161         226,912   

4.00% 11/1/25

     3,919,829         4,228,831   

4.00% 1/1/26

     401,909         430,597   

4.00% 3/1/26

     4,804,592         5,182,891   

4.00% 12/1/26

     3,331,594         3,530,429   

4.00% 1/1/27

     24,037,036         25,850,682   

4.00% 4/1/27

     643,397         686,678   

4.00% 5/1/27

     7,123,898         7,593,263   

4.00% 8/1/27

     4,069,611         4,325,162   

4.50% 4/1/18

     247,198         259,205   

4.50% 9/1/18

     6,822         7,153   

4.50% 3/1/19

     11,064         11,601   

4.50% 4/1/20

     5,104         5,352   

4.50% 5/1/20

     83,102         87,589   

4.50% 7/1/20

     30,690         32,391   

4.50% 8/1/20

     99,816         105,126   

4.50% 10/1/20

     94,486         99,708   

4.50% 2/1/24

     84,755         90,842   

4.50% 9/1/24

     198,499         214,091   

4.50% 10/1/24

     825,411         889,830   

4.50% 12/1/24

     271,266         292,508   

4.50% 2/1/25

     309,000         333,062   

4.50% 4/1/25

     1,691,891         1,824,088   

4.50% 7/1/25

     370,762         398,873   

5.00% 6/1/19

     39,271         41,283   

5.00% 12/1/20

     398,621         431,250   

5.00% 2/1/21

     2,792         2,937   

5.00% 5/1/21

     26,423         28,100   

5.00% 12/1/21

     19,497         20,718   

5.00% 6/1/23

     708,782         769,280   

5.00% 9/1/25

     1,574,236         1,719,916   

5.50% 1/1/21

     1,368         1,486   

5.50% 10/1/21

     6,413         6,977   

6.00% 12/1/17

     2,056         2,090   

 

     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae S.F. 15 yr (continued)

     

6.00% 8/1/21

     1,093,004       $ 1,183,627   

Fannie Mae S.F. 15 yr TBA
2.50% 5/1/30

     152,748,000         156,560,728   

Fannie Mae S.F. 20 yr

     

3.00% 2/1/33

     791,705         820,723   

3.00% 8/1/33

     3,182,365         3,298,953   

3.50% 11/1/31

     807,301         853,452   

3.50% 4/1/33

     685,002         724,515   

3.50% 9/1/33

     4,716,434         5,038,093   

4.00% 12/1/30

     1,364,855         1,469,861   

4.00% 1/1/31

     947,352         1,020,328   

4.00% 2/1/31

     2,633,565         2,836,172   

4.50% 9/1/23

     79,436         86,575   

4.50% 4/1/24

     7,145         7,784   

5.00% 7/1/23

     22,321         24,913   

5.00% 11/1/23

     175,097         194,473   

5.00% 12/1/23

     18,207         20,222   

5.00% 7/1/27

     90,419         100,424   

5.00% 3/1/28

     18,694         20,762   

5.50% 7/1/23

     105,073         118,236   

5.50% 10/1/23

     116,669         131,284   

5.50% 2/1/24

     292,728         329,410   

5.50% 7/1/24

     182,354         205,197   

5.50% 12/1/24

     61,041         68,688   

5.50% 2/1/25

     143,472         161,445   

5.50% 7/1/25

     188,992         212,680   

5.50% 11/1/25

     271,601         305,624   

5.50% 10/1/28

     272,137         306,227   

5.50% 12/1/29

     210,245         236,583   

6.00% 10/1/21

     8,256         9,436   

6.00% 12/1/21

     245,025         279,058   

6.00% 10/1/22

     204,164         232,519   

6.00% 9/1/29

     1,893,467         2,156,442   

6.50% 10/1/18

     3,885         4,460   

6.50% 2/1/19

     7,671         8,807   

6.50% 10/1/24

     10,423         11,967   

6.50% 10/1/27

     54,193         62,219   

Fannie Mae S.F. 30 yr

     

3.00% 7/1/42

     3,101,463         3,178,507   

3.00% 10/1/42

     49,752,885         50,995,674   

3.00% 12/1/42

     11,498,109         11,785,237   

3.00% 1/1/43

     19,849,621         20,340,749   

3.00% 2/1/43

     2,189,818         2,244,307   

3.00% 4/1/43

     13,963,271         14,304,788   

3.00% 5/1/43

     56,043,558         57,415,686   

3.50% 7/1/42

     3,984         4,191   

3.50% 3/1/43

     875,085         926,446   

4.00% 12/1/40

     1,120,374         1,201,157   

4.00% 1/1/41

     5,699,456         6,111,829   

4.00% 2/1/41

     5,995,205         6,473,739   

4.00% 1/1/42

     3,370,687         3,615,302   
 

 

LVIP Delaware Bond Fund–2


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)

     

4.00% 6/1/43

     597,608       $ 644,495   

4.00% 7/1/43

     1,142,845         1,234,720   

4.00% 8/1/43

     1,608,706         1,734,929   

4.00% 9/1/43

     1,074,466         1,158,773   

4.50% 7/1/36

     878,625         961,869   

4.50% 11/1/39

     584,721         639,193   

4.50% 11/1/40

     2,536,177         2,777,540   

4.50% 3/1/41

     4,894,402         5,364,366   

4.50% 4/1/41

     8,560,340         9,379,221   

4.50% 5/1/41

     277,556         306,786   

4.50% 6/1/41

     21,876,986         23,980,673   

4.50% 7/1/41

     2,601,454         2,852,256   

4.50% 10/1/41

     16,711,309         18,313,570   

4.50% 1/1/42

     84,378,213         92,323,576   

4.50% 9/1/42

     52,291,351         57,321,429   

4.50% 10/1/42

     84,494         93,389   

4.50% 12/1/43

     426,207         464,612   

4.50% 2/1/44

     1,210,690         1,322,708   

4.50% 5/1/44

     2,054,364         2,244,698   

4.50% 6/1/44

     5,975,520         6,539,369   

5.00% 7/1/33

     4,844         5,408   

5.00% 11/1/33

     15,272         17,051   

5.00% 4/1/34

     40,251         45,218   

5.00% 2/1/35

     4,724,693         5,276,906   

5.00% 4/1/35

     183,493         204,571   

5.00% 5/1/35

     82,733         92,153   

5.00% 6/1/35

     45,624         50,960   

5.00% 7/1/35

     2,074,846         2,311,573   

5.00% 8/1/35

     7,678         8,542   

5.00% 9/1/35

     4,868         5,436   

5.00% 10/1/35

     3,371,481         3,751,157   

5.00% 11/1/35

     2,492,451         2,773,507   

5.00% 1/1/36

     2,951         3,281   

5.00% 2/1/36

     3,830,311         4,261,828   

5.00% 5/1/36

     4,256         4,733   

5.00% 6/1/36

     11,548         12,844   

5.00% 12/1/36

     4,979         5,534   

5.00% 4/1/37

     903,500         1,005,739   

5.00% 7/1/37

     4,699         5,237   

5.00% 8/1/37

     279,763         311,557   

5.00% 2/1/38

     937,499         1,042,934   

5.00% 1/1/39

     51,684         57,403   

5.00% 6/1/39

     6,886         7,661   

5.00% 11/1/40

     87,901         97,627   

5.50% 11/1/29

     325,966         367,837   

5.50% 12/1/32

     198,231         224,600   

5.50% 3/1/33

     9,098         10,238   

5.50% 4/1/33

     246,327         278,978   

5.50% 7/1/33

     468,308         532,406   

5.50% 10/1/33

     31,723         36,202   

5.50% 11/1/33

     8,281         9,436   

5.50% 12/1/33

     182,107         206,045   
     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

     

5.50% 1/1/34

     900,115       $ 1,019,829   

5.50% 2/1/34

     488,033         552,925   

5.50% 3/1/34

     61,398         69,584   

5.50% 4/1/34

     940,053         1,064,462   

5.50% 8/1/34

     666,554         755,061   

5.50% 11/1/34

     683,128         773,673   

5.50% 12/1/34

     69,114         78,305   

5.50% 1/1/35

     589,805         667,349   

5.50% 2/1/35

     800,900         907,224   

5.50% 3/1/35

     475,251         534,786   

5.50% 4/1/35

     450,293         508,969   

5.50% 5/1/35

     6,834,695         7,726,357   

5.50% 6/1/35

     755,952         851,026   

5.50% 7/1/35

     32,378         36,562   

5.50% 8/1/35

     287,082         324,704   

5.50% 9/1/35

     19,598         22,158   

5.50% 10/1/35

     210,084         237,045   

5.50% 11/1/35

     370,940         418,987   

5.50% 12/1/35

     656,668         743,570   

5.50% 1/1/36

     1,297,391         1,464,689   

5.50% 3/1/36

     20,831         23,468   

5.50% 4/1/36

     2,870,090         3,230,453   

5.50% 5/1/36

     1,048,045         1,182,462   

5.50% 7/1/36

     1,453,623         1,643,861   

5.50% 9/1/36

     52,410         59,353   

5.50% 10/1/36

     5,883         6,620   

5.50% 11/1/36

     900,722         1,014,777   

5.50% 12/1/36

     15,505         17,448   

5.50% 1/1/37

     3,724,598         4,195,203   

5.50% 2/1/37

     4,327,431         4,871,706   

5.50% 4/1/37

     8,310,225         9,365,517   

5.50% 5/1/37

     14,710         16,553   

5.50% 7/1/37

     13,687         15,402   

5.50% 8/1/37

     11,001,545         12,442,793   

5.50% 11/1/37

     1,079,685         1,223,589   

5.50% 1/1/38

     2,505,238         2,819,071   

5.50% 2/1/38

     2,949,438         3,328,259   

5.50% 3/1/38

     2,311,224         2,602,393   

5.50% 4/1/38

     7,559,701         8,506,715   

5.50% 6/1/38

     8,412,358         9,466,189   

5.50% 7/1/38

     5,229,605         5,884,723   

5.50% 8/1/38

     21,491         24,183   

5.50% 9/1/38

     303,579         342,669   

5.50% 10/1/38

     13,846         15,588   

5.50% 11/1/38

     402,111         456,791   

5.50% 12/1/38

     1,268,279         1,433,310   

5.50% 1/1/39

     3,309,720         3,732,442   

5.50% 2/1/39

     10,971,961         12,398,907   

5.50% 4/1/39

     272,109         306,197   

5.50% 10/1/39

     8,797,269         9,899,314   

5.50% 11/1/39

     57,092         64,243   

5.50% 12/1/39

     3,095,434         3,526,798   
 

 

LVIP Delaware Bond Fund–3


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)

  

  

5.50% 3/1/40

     8,806       $ 9,948   

5.50% 5/1/40

     618,073         695,500   

5.50% 7/1/40

     2,653,133         2,986,647   

5.50% 7/1/41

     3,472         3,907   

5.50% 9/1/41

     37,912,122         42,671,381   

6.00% 4/1/32

     14,149         16,298   

6.00% 6/1/33

     374,494         434,032   

6.00% 8/1/34

     334,209         383,915   

6.00% 11/1/34

     19,312         22,175   

6.00% 12/1/34

     6,329         7,272   

6.00% 4/1/35

     709,251         814,715   

6.00% 7/1/35

     68,241         78,329   

6.00% 8/1/35

     32,248         37,027   

6.00% 9/1/35

     138,109         157,616   

6.00% 11/1/35

     3,454         3,970   

6.00% 12/1/35

     538,560         617,431   

6.00% 1/1/36

     242,216         277,693   

6.00% 3/1/36

     103,309         118,553   

6.00% 4/1/36

     160,365         184,861   

6.00% 5/1/36

     2,058,577         2,352,803   

6.00% 6/1/36

     540,107         617,706   

6.00% 8/1/36

     6,676         7,631   

6.00% 9/1/36

     94,769         108,141   

6.00% 10/1/36

     846,919         977,973   

6.00% 11/1/36

     83,300         95,112   

6.00% 12/1/36

     390,139         448,464   

6.00% 2/1/37

     1,126,954         1,287,243   

6.00% 4/1/37

     245,685         280,453   

6.00% 5/1/37

     4,856,690         5,560,134   

6.00% 6/1/37

     204,323         235,485   

6.00% 7/1/37

     213,673         245,271   

6.00% 8/1/37

     2,872,211         3,284,464   

6.00% 9/1/37

     850,920         970,458   

6.00% 10/1/37

     586,718         669,904   

6.00% 11/1/37

     507,284         583,608   

6.00% 12/1/37

     16,279         18,782   

6.00% 1/1/38

     1,446,071         1,648,416   

6.00% 3/1/38

     8,358         9,610   

6.00% 5/1/38

     5,595,892         6,385,118   

6.00% 6/1/38

     190,923         219,433   

6.00% 7/1/38

     208,389         237,741   

6.00% 8/1/38

     7,393         8,507   

6.00% 9/1/38

     1,093,385         1,248,111   

6.00% 10/1/38

     4,399,520         5,026,747   

6.00% 11/1/38

     921,077         1,053,551   

6.00% 12/1/38

     29,048         33,365   

6.00% 1/1/39

     1,863,760         2,130,513   

6.00% 2/1/39

     5,443         6,275   

6.00% 4/1/39

     2,259,860         2,578,940   

6.00% 9/1/39

     15,626,215         17,835,572   

6.00% 10/1/39

     585,520         672,339   

6.00% 1/1/40

     548,121         625,863   
     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

  

  

6.00% 2/1/40

     396,139       $ 452,369   

6.00% 3/1/40

     1,734,330         1,979,150   

6.00% 4/1/40

     2,706,221         3,090,130   

6.00% 9/1/40

     1,386,689         1,582,916   

6.00% 11/1/40

     571,168         658,231   

6.00% 5/1/41

     15,954,972         18,229,367   

6.00% 7/1/41

     1,797,814         2,056,714   

6.50% 3/1/32

     185         213   

6.50% 11/1/33

     123,850         142,191   

6.50% 8/1/34

     5,223         5,997   

6.50% 1/1/36

     35,809         41,982   

6.50% 2/1/36

     22,320         25,754   

6.50% 6/1/36

     783,735         945,057   

6.50% 8/1/36

     56,462         64,824   

6.50% 9/1/36

     5,080         5,971   

6.50% 10/1/36

     637,925         776,772   

6.50% 11/1/36

     3,973         4,635   

6.50% 3/1/37

     6,454         7,411   

6.50% 8/1/37

     146,341         168,014   

6.50% 10/1/37

     2,534         3,021   

6.50% 11/1/37

     1,480         1,699   

6.50% 1/1/38

     1,177         1,403   

6.50% 6/1/39

     6,202         7,248   

7.00% 12/1/37

     77,514         84,294   

7.50% 4/1/31

     71,788         90,907   

7.50% 4/1/32

     7,505         8,897   

7.50% 9/1/32

     356         417   

Fannie Mae S.F. 30 yr TBA

     

3.00% 5/1/45

     457,739,000         466,849,059   

3.50% 5/1/45

     175,784,000         184,181,799   

4.50% 5/1/45

     190,003,000         206,761,930   

Freddie Mac ARM

     

•2.307% 4/1/34

     80,822         85,887   

•2.532% 1/1/44

     11,774,456         12,145,848   

Freddie Mac Relocation 30 yr
5.00% 9/1/33

     194,557         214,089   

Freddie Mac S.F. 15 yr

     

3.00% 5/1/28

     9,555,883         10,071,618   

3.50% 11/1/25

     886,746         943,007   

3.50% 6/1/26

     979,395         1,040,886   

3.50% 1/1/27

     890,186         945,541   

4.00% 12/1/20

     25,431         26,872   

4.00% 4/1/25

     407,668         434,225   

4.00% 5/1/25

     5,356,273         5,664,423   

4.00% 8/1/25

     44,913         47,844   

4.00% 4/1/26

     178,021         191,493   

4.00% 9/1/26

     1,472,225         1,569,433   

4.00% 11/1/26

     793,223         843,997   

4.50% 7/1/25

     635,314         685,019   

4.50% 6/1/26

     1,486,196         1,603,050   

4.50% 9/1/26

     2,399,733         2,591,446   

5.00% 6/1/18

     205,313         215,733   
 

 

LVIP Delaware Bond Fund–4


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Freddie Mac S.F. 15 yr (continued)

  

5.50% 6/1/21

     10,916       $ 11,912   

6.00% 4/1/17

     510         524   

6.00% 8/1/17

     2,010         2,094   

6.50% 8/1/16

     250         255   

Freddie Mac S.F. 20 yr

     

3.50% 1/1/34

     780,929         823,609   

3.50% 3/1/34

     43,923         46,319   

4.00% 11/1/32

     1,279,577         1,380,436   

5.00% 10/1/23

     1,385         1,534   

5.00% 9/1/25

     1,789,415         1,982,033   

5.50% 1/1/23

     6,783         7,601   

5.50% 2/1/24

     227,648         255,106   

5.50% 7/1/26

     96,887         108,522   

5.50% 3/1/27

     218,761         245,080   

5.50% 9/1/27

     325,156         364,052   

5.50% 10/1/27

     135,418         151,619   

Freddie Mac S.F. 30 yr

     

3.00% 10/1/42

     3,630,713         3,713,375   

3.00% 11/1/42

     2,774,997         2,845,824   

3.50% 11/1/41

     381,756         403,292   

4.50% 10/1/39

     1,365,195         1,489,536   

4.50% 4/1/41

     11,953,674         13,066,186   

4.50% 9/1/41

     1,225,097         1,338,608   

4.50% 3/1/42

     11,447,254         12,507,915   

5.00% 2/1/39

     20,096         22,258   

5.50% 4/1/33

     12,729         14,368   

5.50% 3/1/34

     407,495         459,862   

5.50% 12/1/34

     400,257         452,518   

5.50% 1/1/35

     3,107         3,502   

5.50% 11/1/35

     177,603         199,997   

5.50% 6/1/36

     252,312         283,881   

5.50% 11/1/36

     572,044         640,402   

5.50% 12/1/36

     310,348         348,315   

5.50% 1/1/37

     375,073         420,851   

5.50% 7/1/37

     724,837         813,487   

5.50% 9/1/37

     571,284         641,294   

5.50% 10/1/37

     532,415         597,824   

5.50% 11/1/37

     26,112         29,308   

5.50% 4/1/38

     4,811,561         5,400,332   

5.50% 6/1/38

     339,773         381,425   

5.50% 7/1/38

     2,102,010         2,358,084   

5.50% 8/1/38

     1,304,393         1,462,702   

5.50% 1/1/39

     413,827         463,279   

5.50% 4/1/39

     237,359         266,071   

5.50% 6/1/39

     2,196,948         2,464,376   

5.50% 2/1/40

     2,527,373         2,833,929   

5.50% 3/1/40

     1,383,446         1,552,947   

5.50% 5/1/40

     441,100         494,958   

5.50% 8/1/40

     12,807,320         14,366,530   

5.50% 1/1/41

     1,573,563         1,763,084   

5.50% 6/1/41

     22,943,159         25,719,609   

6.00% 6/1/34

     334,281         381,573   
    

Principal

Amount°

    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Freddie Mac S.F. 30 yr (continued)

  

6.00% 2/1/36

     1,252,711       $ 1,439,017   

6.00% 10/1/36

     2,111         2,410   

6.00% 1/1/38

     557,215         632,442   

6.00% 6/1/38

     1,575,031         1,791,626   

6.00% 7/1/38

     49,467         56,343   

6.00% 8/1/38

     3,937,208         4,494,612   

6.00% 5/1/40

     660,705         751,384   

6.00% 7/1/40

     3,724,417         4,255,590   

6.50% 8/1/36

     244         284   

6.50% 6/1/37

     5,017         5,747   

6.50% 9/1/38

     703         817   

6.50% 4/1/39

     2,412,362         2,763,560   

7.00% 11/1/33

     45,479         55,886   

GNMA I S.F. 30 yr

     

5.00% 6/15/40

     771,566         860,506   

7.00% 12/15/34

     1,132,006         1,370,323   

7.50% 12/15/31

     6,074         7,635   

7.50% 7/15/32

     22,847         26,535   

GNMA II S.F. 15 yr
3.50% 5/20/27

     427,570         454,050   
     

 

 

 

Total Agency Mortgage-Backed Securities
(Cost $1,983,759,918)

   

  2,007,937,857   
     

 

 

 

AGENCY OBLIGATIONS–0.62%

  

Federal Home Loan Banks

0.25% 10/2/15

  31,000,000      31,000,062   

0.35% 3/7/16

  15,000,000      15,001,620   
     

 

 

 

Total Agency Obligations
(Cost $46,000,000)

  46,001,682   
     

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES–5.77%

  

Banc of America Commercial Mortgage Trust

  

•Series 2006-1 AM
5.421% 9/10/45

  14,230,000      14,620,101   

Series 2006-4 A4
5.634% 7/10/46

  3,689,461      3,825,783   

•Series 2007-4 AM
5.821% 2/10/51

  6,355,000      6,904,816   

Bear Stearns Commercial
Mortgage Securities Trust
Series 2007-PWR18 A4
5.70% 6/11/50

  3,665,000      3,966,930   

CD Commercial Mortgage Trust

•Series 2005-CD1 AM
5.225% 7/15/44

  7,155,000      7,265,287   

•Series 2005-CD1 C
5.225% 7/15/44

  1,970,000      1,998,185   

Citigroup Commercial Mortgage Trust

  

Series 2014-GC25 A4
3.635% 10/10/47

  7,035,000      7,504,164   

Series 2015-GC27 A5
3.137% 2/10/48

  2,640,000      2,703,537   
 

 

LVIP Delaware Bond Fund–5


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

    

Value

(U.S. $)

 
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)    

COMM Mortgage Trust

     

Series 2014-CR19 A5
3.796% 8/10/47

     6,835,000       $ 7,385,682   

Series 2014-CR20 A4
3.59% 11/10/47

     11,658,000         12,402,107   

Series 2014-CR20 AM
3.938% 11/10/47

     4,730,000         5,051,664   

Series 2014-CR21 A3
3.528% 12/10/47

     5,635,000         5,965,870   

#Series 2015-3BP A 144A
3.178% 2/10/35

     20,950,000         21,443,205   

Series 2015-DC1 A5
3.35% 2/10/48

     3,615,000         3,769,538   

Commercial Mortgage Trust

     

•Series 2005-GG5 A5
5.224% 4/10/37

     4,173,244         4,204,038   

Series 2007-GG9 AM
5.475% 3/10/39

     3,320,209         3,501,672   

•Credit Suisse First Boston Mortgage Securities
Series 2005-C5 AM
5.10% 8/15/38

     4,220,000         4,252,249   

DB-UBS Mortgage Trust

     

#Series 2011-LC1A A3 144A
5.002% 11/10/46

     17,406,000         19,873,492   

#•Series 2011-LC1A C 144A
5.558% 11/10/46

     7,500,000         8,510,880   

FREMF Mortgage Trust

     

#•Series 2011-K10 144A
4.618% 11/25/49

     12,945,000         14,202,128   

#•Series 2011-K13 B 144A
4.60% 1/25/48

     4,800,000         5,275,579   

#•Series 2011-K15 B 144A
4.932% 8/25/44

     4,485,000         4,987,665   

#•Series 2011-K702 B 144A
4.771% 4/25/44

     1,640,000         1,761,718   

#•Series 2011-K703 B 144A
4.884% 7/25/44

     1,600,000         1,727,966   

#•Series 2012-K19 B 144A
4.037% 5/25/45

     1,245,000         1,330,163   

#•Series 2012-K22 B 144A
3.687% 8/25/45

     5,215,000         5,417,186   

#•Series 2012-K22 C 144A
3.687% 8/25/45

     7,075,000         7,144,689   

#•Series 2012-K707 B 144A
3.883% 1/25/47

     2,105,000         2,206,358   

#•Series 2012-K708 B 144A
3.761% 2/25/45

     7,290,000         7,609,747   

#•Series 2012-K708 C 144A
3.761% 2/25/45

     1,700,000         1,741,069   

#•Series 2012-K711 144A
3.562% 8/25/45

     720,000         751,236   

#•Series 2013-K26 144A
3.60% 12/25/45

     4,900,000         5,059,735   
    

Principal

Amount°

    

Value

(U.S. $)

 
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)    

FREMF Mortgage Trust (continued)

     

#•Series 2013-K26 C 144A
3.60% 12/25/45

     2,600,000       $ 2,606,102   

#•Series 2013-K30 C 144A
3.556% 6/25/45

     4,835,000         4,770,738   

#•Series 2013-K31 C 144A
3.627% 7/25/46

     9,006,507         8,982,523   

#•Series 2013-K33 B 144A
3.504% 8/25/46

     4,025,000         4,119,712   

#•Series 2013-K33 C 144A
3.504% 8/25/46

     4,375,000         4,330,659   

#•Series 2013-K712 144A
3.369% 5/25/45

     12,055,000         12,403,655   

#•Series 2013-K713 144A
3.165% 4/25/46

     10,080,000         10,274,766   

#•Series 2013-K713 C 144A
3.165% 4/25/46

     6,617,000         6,561,861   

#•Series 2014-K716 C 144A
3.954% 8/25/47

     3,425,000         3,506,628   

#GRACE Mortgage Trust
Series 2014-GRCE A 144A
3.369% 6/10/28

     19,510,000         20,616,393   

GS Mortgage Securities Trust

     

•Series 2006-GG6 A4
5.553% 4/10/38

     3,547,000         3,604,486   

#Series 2010-C1 A2 144A
4.592% 8/10/43

     8,565,000         9,564,193   

#•Series 2010-C1 C 144A
5.635% 8/10/43

     3,460,000         3,877,778   

Hilton USA Trust

     

#Series 2013-HLT AFX 144A
2.662% 11/5/30

     18,578,000         18,620,246   

#Series 2013-HLT BFX 144A
3.367% 11/5/30

     11,790,000         11,939,839   

#Houston Galleria Mall Trust
Series 2015-HGLR A1A2 144A
3.087% 3/5/37

     10,600,000         10,712,572   

JPMBB Commercial Mortgage Securities Trust

  

Series 2014-C18 A1
1.254% 2/15/47

     7,783,663         7,779,459   

•Series 2014-C22 B
4.562% 9/15/47

     1,990,000         2,173,985   

JPMorgan Chase Commercial Mortgage Securities Trust

  

•Series 2005-CB11 E
5.724% 8/12/37

     1,895,000         2,058,112   

•Series 2005-LDP5 D
5.382% 12/15/44

     3,600,000         3,676,050   

Series 2006-LDP8 AM
5.44% 5/15/45

     11,962,000         12,563,748   

#•Series 2011-C5 B 144A
5.323% 8/15/46

     3,600,000         4,147,556   
 

 

LVIP Delaware Bond Fund–6


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

    

Value

(U.S. $)

 
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)    

LB-UBS Commercial Mortgage Trust

  

Series 2004-C1 A4
4.568% 1/15/31

     234,647       $ 238,709   

•Series 2006-C6 AJ
5.452% 9/15/39

     7,527,000         7,893,715   

Series 2006-C6 AM
5.413% 9/15/39

     16,607,000         17,525,616   

Morgan Stanley Bank of America Merrill Lynch Trust

  

Series 2014-C18 A4
3.923% 10/15/47

     3,075,000         3,353,478   

Series 2014-C19 AS
3.832% 12/15/47

     1,882,000         1,986,233   

Morgan Stanley Capital I Trust

     

•Series 2005-HQ7 AJ
5.204% 11/14/42

     4,770,000         4,830,631   

•Series 2006-T21 AM
5.204% 10/12/52

     7,785,000         7,982,723   

#TimberStar Trust I
Series 2006-1A A 144A
5.668% 10/15/36

     3,716,000         3,932,784   

WF-RBS Commercial Mortgage Trust
Series 2014-C23 A5
3.917% 10/15/57

     3,775,000         4,125,652   
     

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $419,998,698)

   

  425,125,041   
     

 

 

 

CORPORATE BONDS–38.67%

  

Aerospace & Defense–0.05%

  

Lockheed Martin 3.80% 3/1/45

  3,590,000      3,584,522   
     

 

 

 
  3,584,522   
     

 

 

 

Air Freight & Logistics–0.18%

  

#Aviation Capital Group 144A
6.75% 4/6/21

  5,665,000      6,455,064   

United Parcel Service
5.125% 4/1/19

  6,265,000      7,130,441   
     

 

 

 
  13,585,505   
     

 

 

 

Airlines–0.30%

#tAir Canada 2015-1 Class A Pass Through Trust 144A
3.60% 3/15/27

  4,080,000      4,080,000   

tAmerican Airlines 2014-1
Class A Pass Through Trust
3.70% 10/1/26

  3,360,000      3,477,600   

tAmerican Airlines 2015-1
Class A Pass Through Trust
3.375% 5/1/27

  4,985,000      5,022,387   
    

Principal

Amount°

    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Airlines (continued)

  

tUnited Airlines 2014-1 Class A
Pass Through Trust
4.00% 4/11/26

     2,650,000       $ 2,795,750   

tUnited Airlines 2014-2 Class A
Pass Through Trust
3.75% 9/3/26

     6,320,000         6,588,600   
     

 

 

 
  21,964,337   
     

 

 

 

Auto Components–0.65%

  

BorgWarner 3.375% 3/15/25

  2,010,000      2,073,142   

Delphi 4.15% 3/15/24

  13,206,000      14,064,628   

Magna International
3.625% 6/15/24

  14,785,000      15,091,966   

#TRW Automotive 144A
4.45% 12/1/23

  16,660,000      16,826,600   
     

 

 

 
  48,056,336   
     

 

 

 

Automobiles–0.18%

General Motors

3.50% 10/2/18

  5,480,000      5,641,989   

5.00% 4/1/35

  4,410,000      4,720,773   

#Hyundai Capital America 144A

2.55% 2/6/19

  2,470,000      2,514,294   
     

 

 

 
  12,877,056   
     

 

 

 

Beverages–0.19%

#Pernod-Ricard 144A
5.75% 4/7/21

  11,993,000      13,935,494   
     

 

 

 
  13,935,494   
     

 

 

 

Biotechnology–0.43%

  

Celgene

3.25% 8/15/22

  15,170,000      15,535,172   

3.95% 10/15/20

  5,845,000      6,315,306   

Gilead Sciences

3.50% 2/1/25

  7,625,000      8,050,643   

4.50% 2/1/45

  1,490,000      1,649,755   
     

 

 

 
  31,550,876   
     

 

 

 

Capital Markets–0.49%

  

Affiliated Managers Group
3.50% 8/1/25

  6,540,000      6,545,925   

Bank of New York Mellon
2.15% 2/24/20

  1,645,000      1,659,558   

Jefferies Group

5.125% 1/20/23

  7,770,000      8,078,213   

6.45% 6/8/27

  2,021,000      2,192,785   

6.50% 1/20/43

  1,560,000      1,557,147   

Lazard Group

3.75% 2/13/25

  10,210,000      10,089,992   

6.85% 6/15/17

  1,416,000      1,573,934   

State Street 3.10% 5/15/23

  4,195,000      4,250,844   
     

 

 

 
  35,948,398   
     

 

 

 
 

 

LVIP Delaware Bond Fund–7


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Chemicals–1.32%

     

Braskem Finance 6.45% 2/3/24

     1,755,000       $ 1,697,963   

CF Industries 6.875% 5/1/18

     15,842,000         18,072,918   

Dow Chemical

     

3.50% 10/1/24

     3,085,000         3,138,966   

8.55% 5/15/19

     18,837,000         23,605,379   

LYB International Finance
4.875% 3/15/44

     589,000         635,201   

LyondellBasell Industries
4.625% 2/26/55

     11,980,000         11,983,318   

Methanex 4.25% 12/1/24

     8,935,000         9,070,481   

OCP

     

#144A 5.625% 4/25/24

     4,550,000         4,965,188   

#144A 6.875% 4/25/44

     3,640,000         4,081,350   

#Phosagro 144A 4.204% 2/13/18

     4,513,000         4,273,811   

Potash of Saskatchewan
3.00% 4/1/25

     5,280,000         5,298,163   

PPG Industries 2.30% 11/15/19

     5,345,000         5,411,315   

Rockwood Specialties Group
4.625% 10/15/20

     4,805,000         5,015,219   
     

 

 

 
  97,249,272   
     

 

 

 

Commercial Banks–4.13%

  

#Akbank 144A 4.00% 1/24/20

  4,330,000      4,234,740   

Bank of America 4.25% 10/22/26

  15,845,000      16,379,832   

Barclays Bank 7.625% 11/21/22

  5,120,000      6,003,200   

BB&T 5.25% 11/1/19

  19,265,000      21,806,342   

#BBVA Banco Continental 144A
5.00% 8/26/22

  3,735,000      3,988,980   

#BBVA Bancomer 144A
7.25% 4/22/20

  6,425,000      7,131,750   

Branch Banking & Trust

•0.59% 9/13/16

  9,948,000      9,915,301   

3.80% 10/30/26

  10,380,000      10,944,599   

City National 5.25% 9/15/20

  5,562,000      6,392,156   

Cooperatieve Centrale
Raiffeisen-Boerenleenbank
4.625% 12/1/23

  11,660,000      12,627,698   

#Credit Suisse 144A 6.50% 8/8/23

  7,495,000      8,576,431   

#Credit Suisse Group Funding
Guernsey 144A 3.75% 3/26/25

  9,330,000      9,458,651   

#Export-Import Bank of China
144A 2.50% 7/31/19

  4,870,000      4,940,488   

KeyBank 6.95% 2/1/28

  9,418,000      12,567,106   

Morgan Stanley 4.35% 9/8/26

  9,025,000      9,473,380   

•National City Bank
0.634% 6/7/17

  5,705,000      5,680,143   

Northern Trust 3.95% 10/30/25

  4,620,000      4,969,642   

#•Oversea-Chinese Banking 144A
4.00% 10/15/24

  2,265,000      2,363,550   

PNC Bank 3.30% 10/30/24

  7,785,000      8,097,848   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

PNC Bank (continued)
6.875% 4/1/18

     10,370,000       $ 11,900,259   

PNC Funding
5.625% 2/1/17

     78,000         83,887   

#•PNC Preferred Funding Trust II
144A 1.493% 3/31/49

     11,400,000         10,488,000   

Santander Holdings USA
3.45% 8/27/18

     14,065,000         14,647,797   

#Santander UK 144A
5.00% 11/7/23

     23,700,000         25,566,541   

#•Standard Chartered 144A
6.50% 12/29/49

     4,910,000         4,958,324   

•SunTrust Bank 0.553% 8/24/15

     3,810,000         3,808,907   

SVB Financial Group
3.50% 1/29/25

     8,080,000         8,043,680   

U.S. Bancorp
3.60% 9/11/24

     17,185,000         17,949,767   

US Bank 2.80% 1/27/25

     4,165,000         4,166,958   

•USB Capital IX
3.50% 10/29/49

     21,538,000         17,930,385   

•Wells Fargo
5.875% 6/15/50

     2,970,000         3,148,794   

Woori Bank

     

#144A 2.875% 10/2/18

     3,590,000         3,692,548   

#144A 4.75% 4/30/24

     4,750,000         5,086,623   

Zions Bancorp
4.50% 6/13/23

     6,497,000         6,882,461   
     

 

 

 
  303,906,768   
     

 

 

 

Commercial Services & Supplies–0.31%

  

Brambles USA

#144A 3.95% 4/1/15

  2,880,000      2,880,000   

#144A 5.35% 4/1/20

  7,160,000      8,048,577   

#CDK Global 144A
4.50% 10/15/24

  7,210,000      7,445,356   

#HPHT Finance 15 144A
2.875% 3/17/20

  4,310,000      4,358,992   
     

 

 

 
  22,732,925   
     

 

 

 

Computers & Peripherals–0.61%

  

Apple 3.45% 2/9/45

  25,505,000      24,276,577   

NetApp 3.25% 12/15/22

  6,120,000      6,062,668   

Seagate HDD Cayman

#144A 4.75% 1/1/25

  6,005,000      6,230,236   

#144A 5.75% 12/1/34

  7,910,000      8,479,615   
     

 

 

 
  45,049,096   
     

 

 

 

Construction Materials–0.63%

  

#Cemex 144A
4.375% 3/5/23

EUR  4,165,000      4,496,046   

#Cemex Finance 144A
9.375% 10/12/22

  5,605,000      6,389,700   

#Hutchison Whampoa
International 14 144A
3.625% 10/31/24

  5,060,000      5,194,211   

MUFG Americas Holdings

2.25% 2/10/20

  4,820,000      4,834,773   

3.00% 2/10/25

  17,050,000      16,892,697   
 

 

LVIP Delaware Bond Fund–8


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

            Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

  

Construction Materials (continued)

  

  

#Tenedora Nemak 144A 5.50% 2/28/23

        5,870,000       $ 6,101,865   

#Votorantim Cimentos 144A 7.25% 4/5/41

        2,695,000         2,654,694   
        

 

 

 
  46,563,986   
        

 

 

 

Consumer Finance–0.45%

  

Ford Motor Credit
5.875% 8/2/21

  16,825,000      19,833,108   

General Motors Financial

3.15% 1/15/20

  2,450,000      2,481,838   

4.00% 1/15/25

  2,410,000      2,462,846   

#Hyundai Capital America 144A
2.125% 10/2/17

  4,480,000      4,526,968   

SunTrust Banks
2.35% 11/1/18

  3,990,000      4,055,464   
        

 

 

 
  33,360,224   
        

 

 

 

Diversified Consumer Services–0.05%

  

#ENA Norte Trust 144A
4.95% 4/25/23

  2,018,506      2,084,108   

#Red de Carreteras de Occidente 144A 9.00% 6/10/28

  MXN      30,000,000      1,901,932   
        

 

 

 
  3,986,040   
        

 

 

 

Diversified Financial Services–2.67%

  

CME Group 3.00% 3/15/25

  6,060,000      6,129,223   

#•Corp Financiera De Desarrollo 144A 5.25% 7/15/29

  2,085,000      2,173,300   

Credit Suisse Group

#•144A 6.25% 12/29/49

  3,375,000      3,326,063   

#•144A 7.50% 12/11/49

  1,300,000      1,399,125   

ERAC USA Finance

#144A 4.50% 2/15/45

  8,295,000      8,426,036   

#144A 5.25% 10/1/20

  11,406,000      13,029,941   

Ford Motor Credit
3.664% 9/8/24

  340,000      351,501   

General Electric Capital

2.10% 12/11/19

  3,860,000      3,938,640   

2.20% 1/9/20

  8,355,000      8,452,804   

#144A 3.80% 6/18/19

  4,305,000      4,611,998   

5.55% 5/4/20

  2,865,000      3,339,504   

6.00% 8/7/19

  8,039,000      9,400,131   

•7.125% 12/15/49

  16,055,000      18,904,763   

General Motors Financial 4.375% 9/25/21

  6,500,000      6,911,710   

Goldman Sachs Group

2.60% 4/23/20

  20,515,000      20,757,303   

5.20% 12/17/19

  NZD      2,521,000      1,931,292   

•HSBC Holdings
6.375% 3/29/49

  8,675,000      8,891,875   

JPMorgan Chase

3.50% 12/18/26

  GBP      241,000      389,740   

4.125% 12/15/26

  21,125,000      21,951,072   

•6.75% 8/29/49

  4,670,000      5,090,300   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Financial Services (continued)

  

Lloyds Banking Group

     

4.50% 11/4/24

     8,268,000       $ 8,604,557   

•7.50% 4/30/49

     9,525,000         10,144,125   

National Rural Utilities Cooperative Finance

  

  

2.85% 1/27/25

     6,755,000         6,815,930   

•4.75% 4/30/43

     9,921,000         9,975,566   

#Peachtree Corners Funding
Trust 144A 3.976% 2/15/25

     4,220,000         4,289,596   

#SUAM Finance 144A
4.875% 4/17/24

     3,700,000         3,838,750   

#Temasek Financial I 144A
2.375% 1/23/23

     2,910,000         2,902,911   

#•USB Realty 144A
1.40% 12/22/49

     715,000         654,225   
     

 

 

 
  196,631,981   
     

 

 

 

Diversified Telecommunication Services–1.65%

  

AT&T

4.35% 6/15/45

  5,495,000      5,277,464   

5.35% 9/1/40

  9,095,000      9,961,153   

#Bharti Airtel International
Netherlands 144A
5.35% 5/20/24

  5,970,000      6,604,313   

CenturyLink 5.80% 3/15/22

  7,008,000      7,332,120   

#Digicel Group 144A
8.25% 9/30/20

  5,910,000      5,948,415   

#MTN Mauritius Investments 144A
4.755% 11/11/24

  2,205,000      2,225,947   

#Oi 144A 5.75% 2/10/22

  3,482,000      2,874,391   

Orange 5.50% 2/6/44

  6,863,000      8,179,866   

SBA Tower Trust

#144A 2.24% 4/16/18

  5,285,000      5,289,025   

#144A 2.898% 10/15/19

  4,020,000      4,068,859   

#SES 144A 3.60% 4/4/23

  12,271,000      12,876,623   

Telefonica Emisiones
4.57% 4/27/23

  7,990,000      8,807,201   

#Telemar Norte Leste 144A
5.50% 10/23/20

  810,000      715,635   

Verizon Communications

4.40% 11/1/34

  10,530,000      10,761,639   

4.862% 8/21/46

  20,670,000      21,693,351   

5.15% 9/15/23

  8,020,000      9,201,202   
     

 

 

 
  121,817,204   
     

 

 

 

Electric Utilities–3.63%

  

AES Gener

#144A 5.25% 8/15/21

  2,390,000      2,576,759   

#•144A 8.375% 12/18/73

  3,031,000      3,334,403   

Ameren Illinois 3.25% 3/1/25

  6,315,000      6,595,184   

#American Transmission Systems
144A 5.25% 1/15/22

  11,987,000      13,791,883   
 

 

LVIP Delaware Bond Fund–9


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

     

Berkshire Hathaway Energy

     

3.75% 11/15/23

     9,680,000       $ 10,337,466   

4.50% 2/1/45

     4,305,000         4,706,458   

Cleveland Electric Illuminating
5.50% 8/15/24

     7,535,000         9,089,681   

ComEd Financing III
6.35% 3/15/33

     4,578,000         4,728,419   

Commonwealth Edison
5.95% 8/15/16

     522,000         556,321   

Dominion Gas Holdings
3.60% 12/15/24

     16,465,000         17,298,096   

DTE Energy 2.40% 12/1/19

     6,970,000         7,091,083   

#E.CL 144A 5.625% 1/15/21

     1,240,000         1,378,563   

Electricite de France

     

#144A 4.60% 1/27/20

     5,470,000         6,105,603   

#•144A 5.25% 12/29/49

     14,330,000         14,989,180   

#•Enel 144A 8.75% 9/24/73

     10,820,000         13,075,689   

Entergy Arkansas 3.70% 6/1/24

     2,815,000         3,019,594   

Entergy Louisiana 4.05% 9/1/23

     7,435,000         8,176,574   

Entergy Mississippi
3.10% 7/1/23

     4,960,000         5,074,437   

#Eskom Holdings 144A
7.125% 2/11/25

     2,000,000         2,019,000   

Great Plains Energy
4.85% 6/1/21

     6,243,000         6,991,430   

IPALCO Enterprises
5.00% 5/1/18

     2,440,000         2,598,600   

ITC Holdings 3.65% 6/15/24

     16,070,000         16,687,875   

LG&E & KU Energy

     

3.75% 11/15/20

     6,819,000         7,225,467   

4.375% 10/1/21

     12,420,000         13,727,751   

#Metropolitan Edison 144A
4.00% 4/15/25

     8,455,000         8,850,356   

NextEra Energy Capital Holdings

     

2.40% 9/15/19

     15,525,000         15,723,580   

3.625% 6/15/23

     4,090,000         4,288,193   

NV Energy 6.25% 11/15/20

     8,185,000         9,725,949   

Pennsylvania Electric
5.20% 4/1/20

     6,983,000         7,739,042   

Public Service of New Hampshire
3.50% 11/1/23

     4,715,000         5,026,256   

Public Service of Oklahoma
5.15% 12/1/19

     7,063,000         7,983,012   

Saudi Electricity Global Sukuk 3

     

#144A 4.00% 4/8/24

     3,125,000         3,333,750   

#144A 5.50% 4/8/44

     951,000         1,036,400   

Southwestern Electric Power
6.45% 1/15/19

     3,925,000         4,579,851   

State Grid Overseas Investment 2014

     

#144A 2.75% 5/7/19

     3,220,000         3,284,110   

#144A 4.125% 5/7/24

     3,655,000         3,966,428   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

     

#Trans-Allegheny Interstate Line
144A 3.85% 6/1/25

     4,895,000       $ 5,123,709   

#Transelec 144A 4.25% 1/14/25

     5,145,000         5,269,010   
     

 

 

 
  267,105,162   
     

 

 

 

Electronic Equipment, Instruments & Components–0.23%

  

Thermo Fisher Scientific

2.40% 2/1/19

  7,840,000      7,957,341   

3.30% 2/15/22

  2,415,000      2,480,053   

4.15% 2/1/24

  6,200,000      6,706,621   
     

 

 

 
  17,144,015   
     

 

 

 

Food & Staples Retailing–0.20%

#Cencosud 144A 5.15% 2/12/25

  6,380,000      6,314,445   

Walgreens Boots Alliance
3.80% 11/18/24

  7,800,000      8,080,699   
     

 

 

 
  14,395,144   
     

 

 

 

Food Products–0.52%

#BRF 144A 3.95% 5/22/23

  3,640,000      3,388,658   

Campbell Soup 3.30% 3/19/25

  8,960,000      9,128,726   

#JBS Investments 144A
7.75% 10/28/20

  6,410,000      6,810,625   

#Minerva Luxembourg 144A
7.75% 1/31/23

  2,800,000      2,765,000   

Smucker (J.M.)

#144A 3.00% 3/15/22

  2,275,000      2,312,763   

#144A 3.50% 3/15/25

  9,730,000      10,023,525   

#144A 4.25% 3/15/35

  3,430,000      3,564,624   
     

 

 

 
  37,993,921   
     

 

 

 

Health Care Equipment & Supplies–1.13%

  

Becton Dickinson
3.734% 12/15/24

  7,810,000      8,190,230   

Boston Scientific 6.00% 1/15/20

  16,769,000      19,321,644   

CareFusion 6.375% 8/1/19

  11,104,000      12,994,534   

Medtronic

#144A 3.15% 3/15/22

  10,330,000      10,736,320   

#144A 3.50% 3/15/25

  9,985,000      10,451,389   

Zimmer Holdings

3.15% 4/1/22

  2,895,000      2,932,725   

3.55% 4/1/25

  9,200,000      9,402,391   

4.625% 11/30/19

  8,274,000      9,121,464   
     

 

 

 
  83,150,697   
     

 

 

 

Health Care Providers & Services–0.06%

  

Highmark

#144A 4.75% 5/15/21

  2,823,000      2,973,175   

#144A 6.125% 5/15/41

  1,062,000      1,140,488   
     

 

 

 
  4,113,663   
     

 

 

 

Hotels, Restaurants & Leisure–0.55%

  

International Game Technology
5.35% 10/15/23

  10,450,000      10,618,496   
 

 

LVIP Delaware Bond Fund–10


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Hotels, Restaurants & Leisure (continued)

  

Marriott International
3.375% 10/15/20

     4,820,000       $ 5,053,944   

Starwood Hotels & Resorts Worldwide

     

3.75% 3/15/25

     12,225,000         12,571,628   

4.50% 10/1/34

     1,810,000         1,889,416   

Wyndham Worldwide

     

4.25% 3/1/22

     4,970,000         5,194,306   

5.625% 3/1/21

     4,630,000         5,234,724   
     

 

 

 
  40,562,514   
     

 

 

 

Independent Power Producers & Energy Traders–0.03%

  

#Comision Federal de
Electricidad 144A
4.875% 1/15/24

  2,370,000      2,529,975   
     

 

 

 
  2,529,975   
     

 

 

 

Insurance–2.18%

American International Group

3.875% 1/15/35

  23,660,000      23,860,258   

•8.175% 5/15/58

  1,500,000      2,134,575   

Berkshire Hathaway Finance
2.90% 10/15/20

  6,595,000      6,974,259   

•Chubb 6.375% 3/29/67

  8,398,000      8,943,870   

#Five Corners Funding Trust
144A 4.419% 11/15/23

  21,995,000      23,639,192   

Liberty Mutual Group

#144A 4.25% 6/15/23

  10,140,000      10,819,187   

#144A 4.95% 5/1/22

  1,974,000      2,183,838   

MetLife

3.60% 4/10/24

  1,185,000      1,253,814   

6.40% 12/15/36

  50,000      59,500   

6.817% 8/15/18

  9,639,000      11,242,554   

#MetLife Capital Trust IV 144A
7.875% 12/15/37

  589,000      783,370   

#MetLife Capital Trust X 144A
9.25% 4/8/38

  7,696,000      11,495,900   

Prudential Financial

4.50% 11/15/20

  1,836,000      2,045,640   

•5.625% 6/15/43

  3,710,000      3,951,150   

•5.875% 9/15/42

  3,195,000      3,486,544   

TIAA Asset Management Finance

#144A 2.95% 11/1/19

  5,690,000      5,837,849   

#144A 4.125% 11/1/24

  25,310,000      26,767,552   

•Voya Financial 5.65% 5/15/53

  7,175,000      7,533,750   

XLIT

4.45% 3/31/25

  3,160,000      3,186,822   

•6.50% 12/29/49

  5,100,000      4,526,250   
     

 

 

 
  160,725,874   
     

 

 

 

Internet & Catalog Retail–0.21%

  

Priceline Group 3.65% 3/15/25

  15,335,000      15,637,713   
     

 

 

 
  15,637,713   
     

 

 

 

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Internet Software & Services–0.48%

  

#Alibaba Group Holding 144A
3.125% 11/28/21

     13,025,000       $ 13,136,403   

Baidu

     

2.75% 6/9/19

     5,245,000         5,309,708   

3.25% 8/6/18

     5,365,000         5,566,327   

Tencent Holdings

     

#144A 2.875% 2/11/20

     3,710,000         3,741,190   

#144A 3.375% 5/2/19

     5,225,000         5,418,921   

#144A 3.80% 2/11/25

     2,200,000         2,252,798   
     

 

 

 
  35,425,347   
     

 

 

 

Machinery–0.45%

Crane

2.75% 12/15/18

  1,905,000      1,954,669   

4.45% 12/15/23

  8,380,000      8,983,670   

Ingersoll-Rand Global Holding
4.25% 6/15/23

  13,445,000      14,380,422   

Parker Hannifin 3.30% 11/21/24

  505,000      530,823   

Trinity Industries 4.55% 10/1/24

  7,045,000      7,095,886   
     

 

 

 
  32,945,470   
     

 

 

 

Media–2.00%

CC Holdings GS V
3.849% 4/15/23

  995,000      1,009,059   

#Columbus International 144A
7.375% 3/30/21

  6,365,000      6,715,075   

Comcast 3.375% 2/15/25

  18,290,000      19,151,148   

#Cox Communications 144A
3.85% 2/1/25

  10,470,000      10,804,496   

Grupo Televisa 5.00% 5/13/45

  5,135,000      5,370,445   

Historic TW 6.875% 6/15/18

  17,977,000      20,922,460   

Interpublic Group
2.25% 11/15/17

  1,485,000      1,497,878   

#SES GLOBAL Americas
Holdings 144A 5.30% 3/25/44

  8,236,000      9,277,393   

#Sky 144A 3.75% 9/16/24

  13,210,000      13,684,213   

Time Warner Cable
8.25% 4/1/19

  13,209,000      16,170,563   

Viacom

4.85% 12/15/34

  11,665,000      12,088,708   

4.875% 6/15/43

  13,200,000      13,262,462   

#VTR Finance 144A
6.875% 1/15/24

  6,790,000      7,061,600   

WPP Finance 2010
5.625% 11/15/43

  8,560,000      10,126,215   
     

 

 

 
  147,141,715   
     

 

 

 

Metals & Mining–0.40%

ArcelorMittal 10.60% 6/1/19

  13,421,000      16,465,889   

#Gerdau Holdings 144A
7.00% 1/20/20

  3,080,000      3,303,300   

#MMC Norilsk Nickel 144A
5.55% 10/28/20

  2,000,000      1,925,260   
 

 

LVIP Delaware Bond Fund–11


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Metals & Mining (continued)

  

#Tupy Overseas 144A
6.625% 7/17/24

     3,450,000       $ 3,329,250   

Yamana Gold 4.95% 7/15/24

     4,385,000         4,319,308   
     

 

 

 
  29,343,007   
     

 

 

 

Multi-Utilities–0.85%

  

Ameren Illinois 9.75% 11/15/18

  14,616,000      18,571,893   

American Water Capital
3.40% 3/1/25

  6,250,000      6,482,537   

CenterPoint Energy
5.95% 2/1/17

  299,000      324,452   

CMS Energy 6.25% 2/1/20

  3,749,000      4,434,092   

•Integrys Energy Group
6.11% 12/1/66

  9,088,000      8,909,675   

NiSource Finance
6.125% 3/1/22

  6,578,000      7,911,288   

Puget Energy 6.00% 9/1/21

  2,034,000      2,404,898   

SCANA 4.125% 2/1/22

  5,188,000      5,462,362   

•Wisconsin Energy
6.25% 5/15/67

  8,015,000      8,034,789   
     

 

 

 
  62,535,986   
     

 

 

 

Office Electronics–0.06%

  

Xerox 6.35% 5/15/18

  3,891,000      4,397,429   
     

 

 

 
  4,397,429   
     

 

 

 

Oil, Gas & Consumable Fuels–4.20%

  

Anadarko Petroleum
4.50% 7/15/44

  2,485,000      2,552,592   

Chevron

1.961% 3/3/20

  7,050,000      7,100,027   

2.411% 3/3/22

  4,035,000      4,046,330   

Cimarex Energy 4.375% 6/1/24

  3,940,000      3,930,150   

#CNOOC Finance 2012 144A
3.875% 5/2/22

  3,322,000      3,465,441   

ConocoPhillips 4.30% 11/15/44

  3,370,000      3,585,966   

Continental Resources
4.50% 4/15/23

  16,930,000      16,458,381   

•Enbridge Energy Partners
8.05% 10/1/37

  7,852,000      8,460,530   

Energy Transfer Partners

4.05% 3/15/25

  9,870,000      9,973,339   

4.90% 3/15/35

  3,930,000      3,915,809   

5.15% 3/15/45

  4,395,000      4,439,302   

9.70% 3/15/19

  4,776,000      6,008,447   

EnLink Midstream Partners
5.05% 4/1/45

  6,845,000      6,989,833   

•Enterprise Products Operating
7.034% 1/15/68

  11,034,000      11,936,669   

EOG Resources 3.15% 4/1/25

  5,965,000      6,091,178   

Exxon Mobil

2.397% 3/6/22

  4,225,000      4,262,188   

2.709% 3/6/25

  13,400,000      13,553,765   

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Freeport-McMoran Oil & Gas
6.50% 11/15/20

     2,909,000       $ 3,094,449   

#@Georgia-Pacific 144A
2.539% 11/15/19

     1,035,000         1,050,440   

#KazMunayGas National 144A
6.375% 4/9/21

     2,755,000         2,760,510   

#Kinder Morgan 144A
5.00% 2/15/21

     4,225,000         4,521,371   

Kinder Morgan Energy Partners
9.00% 2/1/19

     8,231,000         10,034,453   

#Lukoil International Finance 144A
3.416% 4/24/18

     3,970,000         3,665,303   

Newfield Exploration
5.625% 7/1/24

     5,105,000         5,334,725   

Noble Energy

     

3.90% 11/15/24

     2,855,000         2,910,190   

5.05% 11/15/44

     5,535,000         5,830,519   

Noble Holding International
4.00% 3/16/18

     1,855,000         1,866,557   

ONEOK Partners 3.80% 3/15/20

     3,645,000         3,720,645   

ONGC Videsh 3.25% 7/15/19

     2,500,000         2,544,615   

Petrobras Global Finance

     

3.00% 1/15/19

     3,741,000         3,239,033   

4.875% 3/17/20

     10,100,000         9,095,050   

#Petroleos Mexicanos 144A
4.25% 1/15/25

     3,210,000         3,261,521   

#Petronas Capital 144A
4.50% 3/18/45

     1,135,000         1,144,628   

#Petronas Global Sukuk 144A
2.707% 3/18/20

     5,475,000         5,508,562   

Plains All American Pipeline
8.75% 5/1/19

     7,183,000         8,960,965   

Pride International
6.875% 8/15/20

     18,001,000         20,523,264   

#•PTT Exploration & Production
144A 4.875% 12/29/49

     4,070,000         4,090,350   

Regency Energy Partners
5.875% 3/1/22

     2,435,000         2,654,150   

Sunoco Logistics Partners Operations
3.45% 1/15/23

     10,245,000         10,097,288   

Talisman Energy 5.50% 5/15/42

     10,460,000         10,396,131   

TransCanada PipeLines

     

3.80% 10/1/20

     132,000         140,072   

•6.35% 5/15/67

     12,098,000         11,765,305   

Valero Energy

     

3.65% 3/15/25

     6,190,000         6,343,586   

4.90% 3/15/45

     3,645,000         3,783,331   

Williams 4.55% 6/24/24

     5,800,000         5,627,804   

Williams Partners

     

4.00% 9/15/25

     10,965,000         10,776,819   

7.25% 2/1/17

     6,510,000         7,154,920   
 

 

LVIP Delaware Bond Fund–12


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Woodside Finance

     

#144A 3.65% 3/5/25

     7,645,000       $ 7,591,875   

#144A 8.75% 3/1/19

     7,519,000         9,244,047   

YPF

     

#144A 8.75% 4/4/24

     1,820,000         1,866,592   

#144A 8.875% 12/19/18

     1,820,000         1,876,329   
     

 

 

 
  309,245,346   
     

 

 

 

Paper & Forest Products–0.45%

Fibria Overseas Finance
5.25% 5/12/24

  3,405,000      3,387,975   

Georgia-Pacific

#144A 3.60% 3/1/25

  6,335,000      6,507,299   

8.00% 1/15/24

  13,854,000      18,411,675   

Masco 4.45% 4/1/25

  4,295,000      4,445,325   
     

 

 

 
  32,752,274   
     

 

 

 

Pharmaceuticals–1.81%

Actavis Funding

3.45% 3/15/22

  5,555,000      5,698,425   

3.80% 3/15/25

  9,145,000      9,457,018   

4.55% 3/15/35

  1,030,000      1,077,078   

AmerisourceBergen
3.25% 3/1/25

  4,710,000      4,782,605   

#Bayer US Finance 144A
2.375% 10/8/19

  4,475,000      4,554,369   

EMD Finance

#144A 2.95% 3/19/22

  5,010,000      5,076,513   

#144A 3.25% 3/19/25

  8,210,000      8,323,487   

Express Scripts Holding

2.25% 6/15/19

  5,730,000      5,761,538   

3.50% 6/15/24

  7,935,000      8,184,929   

Lilly (Eli) 2.75% 6/1/25

  4,790,000      4,817,375   

Merck

2.35% 2/10/22

  5,905,000      5,915,788   

2.75% 2/10/25

  28,755,000      28,822,085   

Perrigo

4.00% 11/15/23

  8,890,000      9,305,474   

5.30% 11/15/43

  2,800,000      3,184,087   

Perrigo Finance 3.50% 12/15/21

  6,330,000      6,555,987   

Zoetis

1.875% 2/1/18

  7,750,000      7,759,726   

3.25% 2/1/23

  13,950,000      13,926,438   
     

 

 

 
  133,202,922   
     

 

 

 

Real Estate Investment Trusts–2.00%

  

Alexandria Real Estate Equities

4.50% 7/30/29

  3,600,000      3,810,370   

4.60% 4/1/22

  6,817,000      7,214,043   

American Tower Trust I

#144A 1.551% 3/15/43

  9,885,000      9,872,841   

#144A 3.07% 3/15/23

  6,675,000      6,726,421   

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Real Estate Investment Trusts (continued)

  

AvalonBay Communities
3.50% 11/15/24

     11,870,000       $ 12,219,856   

CBL & Associates

     

4.60% 10/15/24

     7,765,000         7,909,584   

5.25% 12/1/23

     1,285,000         1,377,882   

Corporate Office Properties

     

3.60% 5/15/23

     4,970,000         4,831,923   

5.25% 2/15/24

     5,560,000         6,060,139   

DDR

     

3.625% 2/1/25

     3,750,000         3,750,060   

7.50% 4/1/17

     1,730,000         1,924,198   

7.875% 9/1/20

     6,092,000         7,601,129   

9.625% 3/15/16

     478,000         515,682   

Education Realty Operating Partnership 4.60% 12/1/24

     6,595,000         6,868,758   

Excel Trust 4.625% 5/15/24

     3,845,000         4,042,049   

Hospitality Properties Trust
4.50% 3/15/25

     6,075,000         6,227,993   

Host Hotels & Resorts

     

3.75% 10/15/23

     11,990,000         12,174,502   

4.75% 3/1/23

     1,775,000         1,916,139   

5.875% 6/15/19

     2,475,000         2,568,661   

#Omega Healthcare Investors 144A 4.50% 4/1/27

     6,710,000         6,624,783   

Regency Centers
5.875% 6/15/17

     2,897,000         3,168,631   

#Trust F/1401 144A
5.25% 12/15/24

     4,560,000         4,913,400   

#WEA Finance 144A
3.75% 9/17/24

     15,585,000         16,151,172   

Weyerhaeuser 4.625% 9/15/23

     8,148,000         8,972,830   
     

 

 

 
  147,443,046   
     

 

 

 

Real Estate Management & Development–0.07%

  

Carey (W.P.) 4.60% 4/1/24

  5,270,000      5,460,384   
     

 

 

 
  5,460,384   
     

 

 

 

Road & Rail–0.34%

Burlington Northern Santa Fe

3.40% 9/1/24

  5,810,000      6,075,796   

4.15% 4/1/45

  4,965,000      5,187,055   

Norfolk Southern 3.85% 1/15/24

  12,590,000      13,611,905   
     

 

 

 
  24,874,756   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.23%

  

National Semiconductor
6.60% 6/15/17

  10,220,000      11,440,309   

#Samsung Electronics America 144A 1.75% 4/10/17

  5,285,000      5,331,793   
     

 

 

 
  16,772,102   
     

 

 

 
 

 

LVIP Delaware Bond Fund–13


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Software–0.48%

     

Microsoft

     

2.70% 2/12/25

     3,710,000       $ 3,729,010   

3.50% 2/12/35

     3,935,000         3,933,009   

3.75% 2/12/45

     23,935,000         24,090,195   

Oracle 4.30% 7/8/34

     3,365,000         3,658,415   
     

 

 

 
  35,410,629   
     

 

 

 

Specialty Retail–0.73%

Bed Bath & Beyond
4.915% 8/1/34

  14,740,000      15,834,666   

QVC

4.375% 3/15/23

  16,300,000      16,634,998   

5.45% 8/15/34

  7,900,000      7,858,920   

Signet UK Finance
4.70% 6/15/24

  9,645,000      9,918,484   

Target 2.30% 6/26/19

  3,070,000      3,147,643   
     

 

 

 
  53,394,711   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.10%

  

#INVISTA Finance 144A
4.25% 10/15/19

  7,405,000      7,395,744   
     

 

 

 
  7,395,744   
     

 

 

 

Transportation Infrastructure–0.05%

  

#AP Moeller - Maersk 144A
2.55% 9/22/19

  3,915,000      3,983,473   
     

 

 

 
  3,983,473   
     

 

 

 

Wireless Telecommunication Services–0.94%

  

America Movil 5.00% 3/30/20

  12,637,000      14,383,686   

#Crown Castle Towers 144A
4.883% 8/15/20

  30,655,000      33,752,672   

Millicom International Cellular

#144A 6.00% 3/15/25

  2,700,000      2,703,375   

#144A 6.625% 10/15/21

  2,750,000      2,918,438   

Motorola Solutions
4.00% 9/1/24

  9,215,000      9,540,658   

#VimpelCom Communications 144A
7.748% 2/2/21

  5,705,000      5,669,059   
     

 

 

 
  68,967,888   
     

 

 

 

Total Corporate Bonds
(Cost $2,735,166,981)

   

  2,846,850,927   
     

 

 

 

MUNICIPAL BONDS–2.82%

  

City of Atlanta, Georgia Water & Wastewater Revenue
5.00% 11/1/40

  4,120,000      4,750,607   

Golden State, California Tobacco Securitization Asset-Back Series A

5.00% 6/1/40

  12,350,000      14,045,037   

5.00% 6/1/45

  3,900,000      4,417,374   
     Principal
Amount°
    

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

Los Angeles, California Department of Water & Power Revenue Taxable Build America Bonds
6.574% 7/1/45

     16,555,000       $ 24,292,476   

Massachusetts State Transportation Fund Revenue Recovery Zone Economic Development Taxable Build America Bonds
5.731% 6/1/40

     6,425,000         8,462,817   

New Jersey State Turnpike Authority Revenue Taxable Build America Bonds Series A
7.102% 1/1/41

     13,481,000         19,747,238   

New Jersey Transportation Trust Fund Authority Transportation Program Series AA
5.00% 6/15/44

     4,970,000         5,285,645   

New York City, New York Series I
5.00% 8/1/22

     2,260,000         2,721,153   

New York City, New York Water & Sewer System Series EE
5.00% 6/15/45

     6,115,000         7,012,193   

New York Metropolitan Transportation Authority Revenue Taxable Build America Bonds Series E
6.814% 11/15/40

     3,690,000         5,202,642   

New York State Thruway Authority Series A
5.00% 5/1/19

     3,280,000         3,741,266   

New York Triborough Bridge & Tunnel Authority Revenue Taxable Build America Bond Series A2
5.45% 11/15/32

     18,055,000         21,877,424   

New York, New York Taxable Build America Bonds Series F-1
6.271% 12/1/37

     18,710,000         25,377,683   

Oregon State Taxable Pension
5.892% 6/1/27

     3,475,000         4,357,893   

San Francisco Bay Area California Toll Authority Bridge Revenue Taxable Build America Bonds Series S3
6.907% 10/1/50

     11,030,000         16,466,135   

State of California
5.00% 3/1/45

     7,170,000         8,290,671   

State of Maryland Local Facilities Series A
5.00% 8/1/21

     3,085,000         3,737,755   
 

 

LVIP Delaware Bond Fund–14


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

State of Texas Transportation Commission
Series A 5.00% 10/1/44

     10,395,000       $ 12,137,618   

Texas Private Activity Bond Surface Transportation Senior Lien Revenue Bond (NTE Mobility) 6.75% 6/30/43 (AMT)

     2,365,000         2,897,551   

University of Missouri (Curators University) Taxable Build America Bonds 5.792% 11/1/41

     9,235,000         12,679,563   
     

 

 

 

Total Municipal Bonds
(Cost $171,117,681)

  207,500,741   
     

 

 

 

NON-AGENCY ASSET-BACKED SECURITIES–5.25%

  

AEP Texas Central Transition Funding II 5.17% 1/1/18

  2,000,000      2,125,464   

Ally Master Owner Trust
Series 2012-5 A
1.54% 9/15/19

  4,000,000      4,014,816   

•Series 2013-2 A
0.625% 4/15/18

  5,000,000      5,003,690   

•Series 2014-2 A
0.545% 1/16/18

  11,750,000      11,749,060   

#•ALM VII Series 2012-7A A1 144A 1.677% 10/19/24

  14,750,000      14,716,075   

American Express Credit Account Master Trust

•Series 2013-2 A
0.595% 5/17/21

  4,230,000      4,244,069   

•Series 2014-1 A
0.545% 12/15/21

  5,100,000      5,088,097   

Series 2014-3 A 1.49% 4/15/20

  6,195,000      6,244,492   

Avis Budget Rental Car Funding AESOP

#Series 2011-3A A 144A
3.41% 11/20/17

  4,665,000      4,814,947   

#Series 2013-1A A 144A
1.92% 9/20/19

  6,000,000      5,999,370   

#Series 2014-1A A 144A
2.46% 7/20/20

  7,920,000      8,017,598   

•BA Credit Card Trust Series 2014-A3 A 0.462% 1/15/20

  7,745,000      7,741,732   

#Cabela’s Credit Card Master Note Trust Series 2012-2A A1 144A 1.45% 6/15/20

  7,190,000      7,224,411   

#California Republic Auto Receivables Trust
Series 2013-1 A2 144A
1.41% 9/17/18

  1,449,431      1,455,481   

Capital One Multi-Asset Execution Trust

•Series 2006-A11 A11
0.265% 6/17/19

  20,000,000      19,954,660   
    

Principal

Amount°

    

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

Capital One Multi-Asset Execution Trust (continued)

  

•Series 2007-A2 A2
0.255% 12/16/19

     6,840,000       $ 6,814,480   

•Series 2014-A4 A
0.535% 6/15/22

     7,230,000         7,241,807   

#•Cent CLO 20 Series 2013-20A A 144A 1.736% 1/25/26

     9,000,000         8,991,900   

Chase Issuance Trust

     

•Series 2007-B1 B1
0.425% 4/15/19

     20,592,000         20,478,456   

•Series 2013-A9 A
0.595% 11/16/20

     7,500,000         7,519,463   

•Series 2014-A5 A5
0.545% 4/15/21

     7,600,000         7,600,000   

•Series 2014-A8 A
0.425% 11/15/18

     6,670,000         6,671,667   

#•Chesapeake Funding
Series 2012-2A A 144A
0.628% 5/7/24

     2,619,028         2,619,677   

Citibank Credit Card Issuance Trust

     

•Series 2013-A4 A4
0.594% 7/24/20

     4,500,000         4,510,953   

•Series 2013-A7 A7
0.605% 9/10/20

     750,000         752,183   

fCiticorp Residential Mortgage Securities Series 2006-3 A5 5.948% 11/25/36

     5,708,000         5,692,811   

#DB Master Finance Series 2015-1A A2I 144A 3.262% 2/20/45

     4,340,000         4,381,968   

#Dell Equipment Finance Trust Series 2014-1 A3 144A
0.94% 6/22/20

     4,420,000         4,418,815   

Discover Card Execution Note Trust Series 2014-A3 A3
1.22% 10/15/19

     6,875,000         6,899,867   

#•Dryden XVI-Leveraged Loan CDO Series 2006-16A A1 144A 0.497% 10/20/20

     5,572,228         5,529,879   

#•Flagship VII Series 2013-7A A1 144A 1.727% 1/20/26

     14,000,000         13,946,800   

Ford Credit Floorplan Master Owner Trust A #Series 2013-2 A 144A 2.09% 3/15/22

     11,600,000         11,614,384   

Series 2013-3 B 1.14% 6/15/17

     3,180,000         3,184,392   

GE Dealer Floorplan Master Note Trust

     

•Series 2014-2 A
0.626% 10/20/19

     925,000         924,548   

•Series 2015-1 A
0.676% 1/20/20

     5,010,000         5,013,116   

Golden Credit Card Trust
#Series 2012-5A A 144A
0.79% 9/15/17

     2,420,000         2,421,844   
 

 

LVIP Delaware Bond Fund–15


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

Golden Credit Card Trust (continued)

  

#•Series 2014-2A A 144A
0.625% 3/15/21

     12,895,000       $ 12,899,384   

#GreatAmerica Leasing Receivables Series 2014-1 A3 144A
0.89% 7/15/17

     5,600,000         5,594,221   

#HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44

     1,801,800         1,806,305   

#Hyundai Auto Lease Securitization Trust Series 2014-A A4 144A 1.01% 9/15/17

     7,145,000         7,151,373   

#•JFIN CLO Series 2014-1A A 144A 1.757% 4/20/25

     9,500,000         9,475,300   

#•KKR Financial CLO
Series 2013-1A A1 144A
1.403% 7/15/25

     10,000,000         9,867,000   

#•MAPS CLO Fund II Series 2007-2A A1 144A 0.497% 7/20/22

     12,356,340         12,227,834   

#•MASTR Specialized Loan Trust Series 2005-2 A2 144A
5.006% 7/25/35

     40,985         40,866   

Mid-State Trust Series 11 A1
4.864% 7/15/38

     655,964         696,444   

#MMAF Equipment Finance
Series 2014-AA A4 144A
1.59% 2/8/22

     6,750,000         6,723,067   

#•Navistar Financial Dealer Note Master Trust Series 2013-2 A 144A 0.854% 9/25/18

     1,000,000         1,000,789   

Nissan Auto Lease Trust
Series 2014-A A4
1.04% 10/15/19

     5,900,000         5,905,210   

Synchrony Credit Card Master Note Trust

     

Series 2012-6 A 1.36% 8/17/20

     7,870,000         7,868,772   

Series 2014-1 A 1.61% 11/15/20

     6,405,000         6,423,619   

Series 2015-1 A 2.37% 3/15/23

     6,245,000         6,325,891   

#•Telos CLO Series 2013-4A A 144A 1.553% 7/17/24

     11,500,000         11,389,600   

Trade MAPS 1

     

#•Series 2013-1A A 144A
0.875% 12/10/18

     3,970,000         3,967,749   

#•Series 2013-1A B 144A
1.425% 12/10/18

     5,491,000         5,492,631   

#•Trafigura Securitisation Finance Series 2012-1A A 144A
2.575% 10/15/15

     522,000         522,188   

#•Venture XVI CLO
Series 2014-16A A1L 144A
1.753% 4/15/26

     12,000,000         11,983,200   

Volkswagen Auto Lease Trust

     

•Series 2014-A A2B 0.386% 10/20/16

     1,026,533         1,026,015   
    

Principal

Amount°

    

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

Volkswagen Auto Lease Trust (continued)

  

Series 2015-A A3
1.25% 12/20/17

     5,365,000       $ 5,372,892   

Volvo Financial Equipment

     

#Series 2014-1A A3 144A
0.82% 4/16/18

     2,530,000         2,525,039   

#Series 2014-1A B 144A
1.66% 11/16/20

     4,300,000         4,291,916   
     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $384,982,646)

   

  386,200,277   
     

 

 

 

NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.11%

   

Bank of America Alternative Loan Trust Series 2005-3 2A1 5.50% 4/25/20

  101,356      104,425   

•Bank of America Mortgage Securities Series 2004-L 4A1 2.566% 1/25/35

  318,648      314,727   

#•GSMPS Mortgage Loan Trust 144A Series 1998-3 A 144A 7.75% 9/19/27

  213,835      223,858   

MASTR Alternative Loans Trust Series 2003-2 6A1
6.00% 3/25/33

  107,005      113,169   

•MASTR ARM Trust Series 2003-6 1A2 2.45% 12/25/33

  221,040      220,012   

#•Sequoia Mortgage Trust
Series 2013-11 B1 144A
3.705% 9/25/43

  3,222,211      3,137,921   

#•Springleaf Mortgage Loan Trust Series 2012-1A A 144A 2.667% 9/25/57

  3,287,426      3,329,837   

•Structured ARM Loan Trust Series 2004-3AC A2
2.397% 3/25/34

  131,890      132,996   

tWaMu Mortgage Pass Through Certificates Trust
Series 2003-S10 A2
5.00% 10/25/18

  195,557      200,671   
     

 

 

 

Total Non-Agency Collateralized Mortgage Obligations
(Cost $7,711,770)

    

  7,777,616   
     

 

 

 

«SENIOR SECURED LOANS–0.86%

  

Avago Technologies Tranche B 1st Lien 3.75% 5/6/21

  8,030,706      8,058,091   

FCA US Tranche B 1st Lien 3.50% 5/24/17

  5,858,270      5,868,024   

First Data Tranche B 1st Lien 4.174% 3/24/21

  15,000,000      15,067,200   

Level 3 Financing Tranche B 4.00% 1/15/20

  11,950,000      11,992,363   

PQ 1st Lien 4.00% 8/7/17

  5,924,242      5,913,134   
 

 

LVIP Delaware Bond Fund–16


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

           

Principal

Amount°

    

Value

(U.S. $)

 

«SENIOR SECURED LOANS (continued)

  

  

Univision Communications Tranche C4
4.00% 3/1/20

    

     11,758,895       $ 11,753,662   

USI Insurance Services Tranche B 1st Lien
4.25% 12/27/19

    

     4,721,868         4,735,656   
        

 

 

 

Total Senior Secured Loans
(Cost $62,858,410)

   

  63,388,130   
        

 

 

 

DSOVEREIGN BONDS–1.42%

  

Armenia–0.06%

#Republic of Armenia 144A
7.15% 3/26/25

   

  4,300,000      4,214,000   
        

 

 

 
  4,214,000   
        

 

 

 

Brazil–0.02%

Brazil Notas do Tesouro Nacional Series F
10.00% 1/1/17

  BRL      4,262,000      1,269,249   
        

 

 

 
  1,269,249   
        

 

 

 

Chile–0.05%

Chile Government International Bond
5.50% 8/5/20

  CLP      2,274,000,000      3,889,068   
        

 

 

 
  3,889,068   
        

 

 

 

Colombia–0.10%

Colombia Government International Bonds

  

4.375% 3/21/23

  COP      2,910,000,000      1,023,604   

5.00% 6/15/45

  4,900,000      5,059,250   

9.85% 6/28/27

  COP      2,580,000,000      1,288,775   
        

 

 

 
  7,371,629   
        

 

 

 

Costa Rica–0.05%

  

Costa Rica Government International Bond
5.625% 4/30/43

    

  4,197,000      3,688,114   
        

 

 

 
  3,688,114   
        

 

 

 

Dominican Republic–0.07%

  

Dominican Republic International Bonds

  

#144A 5.50% 1/27/25

  2,700,000      2,801,250   

#144A 6.85% 1/27/45

  2,600,000      2,743,000   
        

 

 

 
  5,544,250   
        

 

 

 

Indonesia–0.12%

  

#Indonesia Government International Bond 144A
4.625% 4/15/43

  3,525,000      3,458,906   

Indonesia Treasury Bond
8.375% 3/15/24

  IDR      66,167,000,000      5,390,776   
        

 

 

 
  8,849,682   
        

 

 

 

Italy–0.52%

  

Italy Buoni Poliennali Del Tesoro
1.35% 4/15/22

  EUR      11,033,000      12,205,147   
           

Principal

Amount°

    

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

  

Italy (continued)

        

Italy Buoni Poliennali Del Tesoro (continued)

  

  

2.50% 12/1/24

     EUR         21,689,000       $ 25,998,808   
        

 

 

 
  38,203,955   
        

 

 

 

Ivory Coast–0.05%

#Ivory Coast Government International Bond 144A

   

6.375% 3/3/28

  3,491,000      3,508,455   
        

 

 

 
  3,508,455   
        

 

 

 

Kazakhstan–0.08%

#Kazakhstan Government
International Bond 144A

   

3.875% 10/14/24

  6,262,000      5,816,772   
        

 

 

 
  5,816,772   
        

 

 

 

Mexico–0.06%

Mexican Bonos
7.50% 6/3/27

  MXN      66,128,000      4,823,004   
        

 

 

 
  4,823,004   
        

 

 

 

Pakistan–0.07%

#Pakistan Government
International Bond 144A
7.25% 4/15/19

  4,719,000      4,874,232   
        

 

 

 
  4,874,232   
        

 

 

 

Peru–0.05%

#Peruvian Government
International Bond 144A
6.95% 8/12/31

  PEN      12,000,000      3,993,213   
        

 

 

 
  3,993,213   
        

 

 

 

Senegal–0.02%

#Senegal Government
International Bond 144A 6.25% 7/30/24

  1,300,000      1,273,306   
        

 

 

 
  1,273,306   
        

 

 

 

South Africa–0.07%

South Africa Government Bond
8.00% 1/31/30

  ZAR      60,453,000      4,920,894   
        

 

 

 
  4,920,894   
        

 

 

 

Sweden–0.00%

Sweden Government Bonds

  

1.50% 11/13/23

  SEK      645,000      82,462   

3.00% 7/12/16

  SEK      1,270,000      153,690   
        

 

 

 
  236,152   
        

 

 

 
 

 

LVIP Delaware Bond Fund–17


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

          

Principal

Amount°

    

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

Uruguay–0.03%

       

Uruguay Government International Bond
5.10% 6/18/50

       1,836,000       $ 1,914,030   
       

 

 

 
  1,914,030   
       

 

 

 

Total Sovereign Bonds
(Cost $105,732,402)

  104,390,005   
       

 

 

 

SUPRANATIONAL BANKS–0.15%

  

European Bank for Reconstruction & Development

6.00% 3/3/16

  INR      158,700,000      2,535,116   

7.375% 4/15/19

  IDR      21,820,000,000      1,660,072   

Inter-American Development Bank

6.00% 9/5/17

  INR      235,400,000      3,761,854   

7.25% 7/17/17

  IDR      20,780,000,000      1,565,056   

International Bank for Reconstruction & Development
4.625% 10/6/21

  NZD      2,338,000      1,828,026   
       

 

 

 

Total Supranational Banks
(Cost $11,837,177)

   

  11,350,124   
       

 

 

 

U.S. TREASURY OBLIGATIONS–9.80%

  

U.S. Treasury Bonds

2.50% 2/15/45

  157,485,000      156,057,871   

5.25% 2/15/29

  42,275,000      57,840,782   

U.S. Treasury Notes

¥1.375% 2/29/20

  77,895,000      77,919,303   

1.375% 3/31/20

  235,130,000      235,185,020   

2.00% 2/15/25

  139,955,000      140,851,552   

2.25% 11/15/24

  52,285,000      53,755,516   
       

 

 

 

Total U.S. Treasury Obligations
(Cost $715,465,181)

   

  721,610,044   
       

 

 

 
          

Number of

Shares

        

PREFERRED STOCK–0.45%

  

Alabama Power 5.625%

       137,242         3,527,119   

•Bank of America 6.10%

       4,480,000         4,555,600   

•Integrys Energy Group 6.00%

       285,850         8,035,243   

•Morgan Stanley 5.55%

       10,450,000         10,580,625   

National Retail Properties 5.70%

       147,630         3,683,369   

Public Storage 5.20%

       125,605         3,042,153   
       

 

 

 

Total Preferred Stock
(Cost $32,136,072)

   

  33,424,109   
       

 

 

 
       

Number of

Shares

   

Value

(U.S. $)

 

MONEY MARKET FUND–0.00%

  

Dreyfus Treasury & Agency Cash Management - Institutional Shares

      277,283      $ 277,283   
     

 

 

 

Total Money Market Fund
(Cost $277,283)

  277,283   
     

 

 

 
       

Principal

Amount°

       

SHORT-TERM INVESTMENTS–19.39%

  

Certificates of Deposit–7.41%

  

 

Abbey National Treasury Services
0.50% 10/15/15

      7,250,000        7,252,067   

Banco Estado Chile

     

0.20% 4/7/15

      25,000,000        25,000,145   

0.20% 5/11/15

      32,000,000        32,000,362   

0.39% 11/16/15

      9,750,000        9,750,579   

Bank of Montreal Chicago

     

0.18% 5/11/15

      25,000,000        25,001,137   

0.23% 5/13/15

      37,000,000        37,003,970   

Bank of Nova Scotia Houston
0.21% 5/18/15

      40,000,000        40,007,464   

BNP Paribas New York Branch
0.51% 11/16/15

      7,250,000        7,249,620   

Canadian Imperial Bank of Commerce New York
0.28% 5/26/15

      52,675,000        52,676,638   

Credit Suisse New York
0.22% 5/7/15

      25,000,000        25,000,770   

DnB NOR Bank New York
0.20% 4/1/15

      65,000,000        65,000,019   

HSBC Bank USA

     

0.27% 7/13/15

      20,000,000        20,002,880   

0.315% 9/15/15

      40,000,000        39,995,336   

Lloyds TSB Bank New York
0.47% 10/16/15

      9,750,000        9,751,724   

Rabobank Nederland New York
0.30% 9/10/15

      50,000,000        50,006,775   

Standard Chartered Bank New York
0.32% 8/17/15

      25,000,000        24,999,033   

Toronto Dominion Bank New York

     

0.18% 5/19/15

      50,000,000        50,001,015   

0.20% 7/29/15

      25,000,000        24,998,750   
     

 

 

 
  545,698,284   
     

 

 

 

Discounted Commercial Paper–11.98%

  

Abbey National North America
0.12% 4/1/15

  65,000,000      65,000,000   

Abbott Laboratories
0.12% 6/23/15

  10,000,000      9,997,947   

Astrazeneca
0.12% 6/25/15

  34,955,000      34,941,056   

Barclays US Funding
0.25% 4/30/15

  38,975,000      38,970,128   
 

 

LVIP Delaware Bond Fund–18


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

    

Value

(U.S. $)

 

SHORT-TERM INVESTMENTS (continued)

  

Discounted Commercial Paper (continued)

  

BASF
0.01% 4/1/15

     35,165,000       $ 35,165,000   

BNP Paribas Finance

     

0.11% 4/2/15

     35,000,000         34,999,818   

0.22% 4/6/15

     25,000,000         24,999,583   

Brown University
0.10% 6/17/15

     6,500,000         6,498,700   

Cornell University

     

0.09% 4/9/15

     9,000,000         8,999,820   

0.12% 5/12/15

     5,000,000         4,999,350   

0.12% 5/27/15

     8,750,000         8,748,513   

0.12% 6/9/15

     6,800,000         6,798,368   

Credit Agricole CIB New York
0.02% 4/1/15

     8,000,000         8,000,000   

General Electric Capital
0.27% 8/25/15

     50,000,000         49,952,020   

HSBC USA
0.24% 4/20/15

     5,000,000         4,999,728   

Illinois Tool Works
0.10% 4/2/15

     35,590,000         35,589,744   

JPMorgan Securities

     

0.301% 8/4/15

     15,000,000         14,987,085   

0.46% 4/9/15

     55,000,000         54,998,350   

KFW
0.12% 4/10/15

     29,800,000         29,799,669   

Kimberly-Clark

     

0.10% 5/4/15

     19,000,000         18,997,399   

0.22% 4/6/15

     51,280,000         51,278,974   

Koch Resources
0.10% 4/1/15

     23,000,000         22,999,943   
    

Principal

Amount°

    

Value

(U.S. $)

 

SHORT-TERM INVESTMENTS (continued)

  

Discounted Commercial Paper (continued)

  

Koch Resources (continued)
0.10% 4/7/15

     35,000,000       $ 34,999,387   

Leland Stanford Junior University
0.10% 5/7/15

     1,602,000         1,601,856   

Lloyds Bank
0.21% 5/4/15

     50,000,000         49,992,585   

L’oreal USA

     

0.11% 4/28/15

     37,400,000         37,396,858   

0.11% 5/6/15

     17,940,000         17,937,883   

Merck
×0.08% 4/16/15

     40,000,000         39,999,288   

PNC Bank
0.281% 7/13/15

     25,000,000         24,984,183   

Roche Holdings
0.11% 7/14/15

     14,600,000         14,591,909   

Toyota Motor Credit
0.24% 9/14/15

     31,350,000         31,328,475   

University of California
0.12% 4/13/15

     10,000,000         9,999,700   

Westpac Securities New Zealand
0.27% 7/20/15

     25,000,000         24,989,440   

Yale University

     

0.10% 6/3/15

     17,000,000         16,995,376   

0.10% 6/15/15

     5,000,000         4,998,301   
     

 

 

 
  881,536,436   
     

 

 

 

Total Short Term Investments
(Cost $1,427,177,551)

   

  1,427,234,720   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–114.08% (Cost $8,213,254,014)

$ 8,399,504,122   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(14.08%)

  (1,036,917,737
  

 

 

 

NET ASSETS APPLICABLE TO 520,653,585 SHARES OUTSTANDING–100.00%

$ 7,362,586,385   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $1,290,037,487, which represents 17.52% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

*

Interest only security. An interest only security is the interest only portion of a fixed income security which is separated and sold individually from the principal portion of the security.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $1,050,440, which represents 0.01% of the Fund’s net assets.

 

t

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.

 

The rate shown is the effective yield at the time of purchase.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one

 

LVIP Delaware Bond Fund–19


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

 

or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

×

Commercial paper exempt from registration under Section 4(2) and/or Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration only to dealers in that program or other “accredited investors”. At March 31, 2015, the aggregate value of these securities was $39,999,288, which represented 0.54% of the Fund’s net assets.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

¥

Fully or partially pledged as collateral for derivatives.

 

f

Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2015.

The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

   Contracts to
Receive (Deliver)
       In Exchange For        Settlement Date      Unrealized
Appreciation
(Depreciation)
 

JPMC

   COP      (4,291,312,517      USD      1,660,564         4/30/15      $ 16,336   

TD

   EUR      (15,873,471      USD      17,220,944         4/30/15        142,796   
                       

 

 

 
$ 159,132   
                       

 

 

 

Futures Contracts

 

Contracts to Buy (Sell)

     Notional
Cost (Proceeds)
       Notional
Value
       Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 

(2,675)

   U.S. Treasury 10 yr Notes      $ (343,303,841      $ (344,824,219      6/22/15      $ (1,520,377

 3,298

   U.S. Treasury 5 yr Notes        396,034,518           396,455,672           7/1/15        421,153   
       

 

 

                

 

 

 
$ 52,730,677    $ (1,099,224
       

 

 

                

 

 

 

The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

 

LVIP Delaware Bond Fund–20


LVIP Delaware Bond Fund

Schedule of Investments (continued)

 

Summary of Abbreviations:

AMT–Subject to Alternative Minimum Tax

ARM–Adjustable Rate Mortgage

BRL–Brazilian Real

CLP–Chilean Peso

COP–Colombian Peso

EUR–Euro

GBP–British Pound Sterling

GE–General Electric

GNMA–Government National Mortgage Association

GS–Goldman Sachs

GSMPS–Goldman Sachs Reperforming Mortgage Securities

IDR–Indonesia Rupiah

INR–Indian Rupee

JPMC–JPMorgan Chase Bank

LB–Lehman Brothers

MASTR–Mortgage Asset Securitization Transaction, Inc.

MXN–Mexican Peso

NZD–New Zealand Dollar

PEN–Peruvian Nuevo Sol

REMIC–Real Estate Mortgage Investment Conduit

S.F.–Single Family

SEK–Swedish Krona

TBA–To be announced

TD–Toronto Dominion Bank

UBS–Union Bank of Switzerland

USD–United States Dollar

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1     Level 2      Total  

Agency Collateralized Mortgage Obligations

   $      $ 110,435,566       $ $110,435,566   

Agency Mortgage-Backed Securities

            2,007,937,857         2,007,937,857   

Agency Obligations

            46,001,682         46,001,682   

Commercial Mortgage-Backed Securities

            425,125,041       $ 425,125,041   

Corporate Bonds

            2,846,850,927         2,846,850,927   

Municipal Bonds

            207,500,741         207,500,741   

Non-Agency Asset-Backed Securities

            386,200,277         386,200,277   

Non-Agency Collateralized Mortgage Obligations

            7,777,616         7,777,616   

Senior Secured Loans

            63,388,130         63,388,130   

Sovereign Bonds

            104,390,005         104,390,005   

Supranational Banks

            11,350,124         11,350,124   

U.S. Treasury Obligations

            721,610,044         721,610,044   

Preferred Stock

     18,287,884        15,136,225         33,424,109   

Money Market Fund

     277,283                277,283   

Short-Term Investments

            1,427,234,720         1,427,234,720   
  

 

 

   

 

 

    

 

 

 

Total

$ 18,565,167    $ 8,380,938,955    $ 8,399,504,122   
  

 

 

   

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ 159,132    $ 159,132   
  

 

 

   

 

 

    

 

 

 

Futures Contracts

$ (1,099,224 $    $ (1,099,224
  

 

 

   

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Delaware Bond Fund –21


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Principal
Amount°
    

Value

(U.S. $)

 
AGENCY COLLATERALIZED MORTGAGE
OBLIGATIONS–1.28%
   

Fannie Mae Connecticut Avenue Securities

  

  

•Series 2014-C01 M1
1.774% 1/25/24

     2,217,536       $ 2,229,970   

•Series 2015-C01 1M1
1.674% 2/25/25

     3,085,721         3,106,858   

Fannie Mae REMICs

     

Series 1996-46 ZA
7.50% 11/25/26

     4,522         5,164   

•Series 2005-106 QF
0.684% 12/25/35

     1,885,847         1,903,393   

•Series 2006-40 F
0.474% 5/25/36

     171,505         172,101   

Freddie Mac REMICs

     

•Series 3152 JF 0.625% 8/15/35

     166,799         167,986   

•Series 3311 VF
0.415% 5/15/37

     357,418         357,797   

•Series 3780 LF
0.575% 3/15/29

     30,100         30,134   

•Series 3800 AF
0.675% 2/15/41

     544,536         549,075   

Freddie Mac Structured Agency Credit Risk Debt Notes

   

  

•Series 2014-DN2 M1
1.024% 4/25/24

     3,453,850         3,450,375   

•Series 2015-DN1 M1
1.424% 1/25/25

     587,737         588,935   

•GNMA Series 2010-46 MF
0.575% 5/16/34

     435,011         437,794   
     

 

 

 

Total Agency Collateralized Mortgage Obligations
(Cost $12,952,379)

   

  12,999,582   
     

 

 

 

CONVERTIBLE BONDS–0.25%

Alaska Communications Systems Group 6.25% exercise price $10.28, expiration date 4/27/18

  90,000      88,706   

Blackstone Mortgage Trust 5.25% exercise price $28.66, expiration date 12/1/18

  150,000      156,469   

#Campus Crest Communities Operating Partnership 144A 4.75% exercise price $12.56, expiration date 10/11/18

  207,000      200,402   

Cardtronics 1.00% exercise price $52.35, expiration date 11/27/20

  22,000      21,876   

Cemex 3.25% exercise price $9.65, expiration date 3/9/16

  13,000      14,617   

Chart Industries 2.00% exercise price $69.03, expiration date 7/30/18

  26,000      25,139   
     Principal
Amount°
    

Value

(U.S. $)

 

CONVERTIBLE BONDS (continued)

  

  

Chesapeake Energy 2.50% exercise price $47.77, expiration date 5/15/37

     21,000       $ 20,226   

#Ciena 144A 3.75% exercise price $20.17, expiration date 10/15/18

     23,000         28,304   

fGeneral Cable 4.50% exercise price $34.47, expiration date 11/15/29

     83,000         66,141   

Jefferies Group 3.875% exercise price $44.94, expiration date 10/31/29

     175,000         177,516   

#Liberty Interactive 144A 1.00% exercise price $64.31, expiration date 9/28/43

     38,000         37,335   

fMeritor 4.00% exercise price $26.73, expiration date 2/12/27

     110,000         114,331   

Mylan 3.75% exercise price $13.32, expiration date 9/10/15

     42,000         186,926   

Nuance Communications 2.75% exercise price $32.30, expiration date 11/1/31

     323,000         322,193   

NuVasive 2.75% exercise price $42.13, expiration date 6/30/17

     200,000         250,750   

SanDisk 1.50% exercise price $51.16, expiration date 8/11/17

     199,000         272,008   

Spectrum Pharmaceuticals 2.75% exercise price $10.53, expiration date 12/13/18

     27,000         24,823   

Spirit Realty Capital 3.75% exercise price $13.10, expiration date 5/13/21

     184,000         184,231   

Titan Machinery 3.75% exercise price $43.17, expiration date 4/30/19

     190,000         132,050   

#TPG Specialty Lending 144A 4.50% exercise price $25.83, expiration date 12/15/19

     76,000         75,905   

#Vantage Drilling 144A 5.50% exercise price $2.39, expiration date 7/15/43

     126,000         76,860   

Vector Group 1.75% exercise price $25.87, expiration date 4/15/20

     90,000         96,863   
     

 

 

 

Total Convertible Bonds
(Cost $2,438,165)

  2,573,671   
     

 

 

 
 

 

LVIP Delaware Diversified Floating Rate Fund–1


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Number
of Shares
    

Value

(U.S. $)

 

CONVERTIBLE PREFERRED STOCK–0.05%

  

  

Alcoa 5.375% exercise price $19.39, expiration date 10/1/17

     280       $ 12,275   

ArcelorMittal 6.00% exercise price $20.36, expiration date 12/21/15

     1,875         28,623   

#Chesapeake Energy 144A 5.75% exercise price $26.14, expiration date 12/31/49

     87         75,364   

Crown Castle International 4.50% exercise price $90.25, expiration date 11/1/16

     1,120         117,410   

@Dynegy 5.375% exercise price $38.75, expiration date 11/1/17

     490         53,483   

Intelsat 5.75% exercise price $22.05, expiration date 5/1/16

     2,045         71,166   

Maiden Holdings 7.25% exercise price $15.35, expiration date 9/15/16

     1,653         86,518   

SandRidge Energy 8.50% exercise price $8.01, expiration date 12/31/49

     520         19,825   
     

 

 

 

Total Convertible Preferred Stock
(Cost $552,594)

  464,664   
     

 

 

 
     Principal
Amount°
        

CORPORATE BONDS–70.58%

     

Aerospace & Defense–0.75%

     

•Rockwell Collins
0.621% 12/15/16

     7,610,000         7,620,380   
     

 

 

 
  7,620,380   
     

 

 

 

Air Freight & Logistics–0.12%

#Aviation Capital Group 144A
6.75% 4/6/21

  1,095,000      1,247,713   
     

 

 

 
  1,247,713   
     

 

 

 

Airlines–0.28%

#tAir Canada 2015-1 Class A Pass Through Trust 144A
3.60% 3/15/27

  565,000      565,000   

tAmerican Airlines 2014-1 Class A Pass Through Trust
3.70% 10/1/26

  645,000      667,575   

tAmerican Airlines 2015-1 Class A Pass Through Trust
3.375% 5/1/27

  180,000      181,350   

tUnited Airlines 2014-1 Class A Pass Through Trust
4.00% 4/11/26

  495,000      522,225   

tUnited Airlines 2014-2 Class A Pass Through Trust
3.75% 9/3/26

  885,000      922,613   
     

 

 

 
  2,858,763   
     

 

 

 
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

  

Auto Components–0.34%

     

BorgWarner 3.375% 3/15/25

     305,000       $ 314,581   

#TRW Automotive 144A
4.45% 12/1/23

     3,060,000         3,090,600   
     

 

 

 
  3,405,181   
     

 

 

 

Automobiles–3.77%

Daimler Finance North America

#•144A 0.595% 8/1/17

  6,340,000      6,331,783   

#•144A 0.615% 3/10/17

  5,400,000      5,407,339   

General Motors 3.50% 10/2/18

  4,865,000      5,008,809   

•PACCAR Financial
0.864% 12/6/18

  5,850,000      5,886,697   

Toyota Motor Credit
2.00% 10/24/18

  6,700,000      6,842,301   

#•Volkswagen International Finance 144A
0.696% 11/18/16

  8,755,000      8,775,049   
     

 

 

 
  38,251,978   
     

 

 

 

Beverages–1.75%

•Anheuser-Busch InBev Finance
0.655% 2/1/19

  4,060,000      4,063,743   

Constellation Brands
4.25% 5/1/23

  230,000      237,187   

•PepsiCo 0.471% 2/26/16

  4,925,000      4,931,664   

#Pernod-Ricard 144A
5.75% 4/7/21

  1,725,000      2,004,397   

#•SABMiller Holdings 144A
0.945% 8/1/18

  6,520,000      6,544,417   
     

 

 

 
  17,781,408   
     

 

 

 

Biotechnology–0.07%

Genzyme 3.625% 6/15/15

  700,000      704,411   
     

 

 

 
  704,411   
     

 

 

 

Capital Markets–1.15%

Affiliated Managers Group
3.50% 8/1/25

  990,000      990,897   

•Bank of New York Mellon
0.747% 9/11/19

  6,470,000      6,442,787   

•Goldman Sachs Group
1.455% 4/30/18

  2,290,000      2,323,510   

Jefferies Group 5.125% 1/20/23

  1,695,000      1,762,236   

Lazard Group 6.85% 6/15/17

  163,000      181,180   
     

 

 

 
  11,700,610   
     

 

 

 

Chemicals–0.89%

CF Industries

6.875% 5/1/18

  1,240,000      1,414,621   

7.125% 5/1/20

  500,000      603,128   

Dow Chemical 8.55% 5/15/19

  475,000      595,241   

Methanex 4.25% 12/1/24

  1,355,000      1,375,546   

#OCP 144A 5.625% 4/25/24

  2,355,000      2,569,894   
 

 

LVIP Delaware Diversified Floating Rate Fund–2


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Chemicals (continued)

     

Potash of Saskatchewan
3.00% 4/1/25

     725,000       $ 727,494   

PPG Industries 2.30% 11/15/19

     915,000         926,352   

Rockwood Specialties Group
4.625% 10/15/20

     820,000         855,875   
     

 

 

 
  9,068,151   
     

 

 

 

Commercial Banks–8.20%

•Abbey National Treasury Services
0.78% 3/13/17

  2,500,000      2,501,955   

•Bank of Montreal
0.773% 7/15/16

  4,320,000      4,340,032   

Bank of Nova Scotia

•0.671% 3/15/16

  2,100,000      2,107,031   

•0.773% 7/15/16

  4,860,000      4,883,775   

Barclays Bank 7.625% 11/21/22

  600,000      703,500   

•BB&T 1.131% 6/15/18

  3,635,000      3,672,157   

#BBVA Banco Continental 144A
5.00% 8/26/22

  635,000      678,180   

BBVA Bancomer

#144A 6.50% 3/10/21

  785,000      872,826   

#144A 7.25% 4/22/20

  685,000      760,350   

Branch Banking & Trust

•0.562% 5/23/17

  2,575,000      2,558,839   

•0.59% 9/13/16

  1,755,000      1,749,231   

#•CoBank 144A 0.871% 6/15/22

  425,000      400,443   

#Credit Suisse 144A 6.50% 8/8/23

  945,000      1,081,351   

#Credit Suisse Group Funding Guernsey 144A 3.75% 3/26/25

  520,000      527,170   

#Export-Import Bank of China 144A 2.50% 7/31/19

  2,545,000      2,581,836   

•Export-Import Bank of Korea
1.003% 1/14/17

  5,000,000      5,025,910   

•Fifth Third Bank
0.671% 2/26/16

  6,390,000      6,399,873   

#•HSBC Bank 144A
0.897% 5/15/18

  3,800,000      3,820,398   

#•ING Bank 144A 1.907% 9/25/15

  1,500,000      1,510,332   

•MUFG Union Bank
1.019% 9/26/16

  5,000,000      5,027,920   

•National City Bank
0.634% 6/7/17

  3,360,000      3,345,360   

#•Oversea-Chinese Banking 144A
4.00% 10/15/24

  210,000      219,137   

#•PNC Preferred Funding Trust II 144A 1.493% 3/31/49

  6,200,000      5,704,000   

•Royal Bank of Canada
0.724% 9/9/16

  2,490,000      2,499,656   

#•Standard Chartered 144A
6.50% 12/29/49

  650,000      656,397   

•SunTrust Bank 0.553% 8/24/15

  1,415,000      1,414,594   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

     

SVB Financial Group
3.50% 1/29/25

     770,000       $ 766,539   

•Svenska Handelsbanken
0.715% 3/21/16

     1,385,000         1,390,515   

•Toronto-Dominion Bank
0.805% 4/30/18

     2,800,000         2,814,025   

•USB Capital IX 3.50% 10/29/49

     465,000         387,113   

Wells Fargo

     

•0.935% 1/30/20

     11,655,000         11,729,033   

•5.875% 6/15/50

     450,000         477,090   

Woori Bank
#144A 2.875% 10/2/18

     285,000         293,141   

#144A 4.75% 4/30/24

     200,000         214,174   
     

 

 

 
  83,113,883   
     

 

 

 

Commercial Services & Supplies–0.20%

  

#CDK Global 144A
4.50% 10/15/24

  1,245,000      1,285,641   

#HPHT Finance 15 144A
2.875% 3/17/20

  695,000      702,900   
     

 

 

 
  1,988,541   
     

 

 

 

Communications Equipment–1.24%

  

•Cisco Systems 0.762% 3/1/19

  12,480,000      12,588,064   
     

 

 

 
  12,588,064   
     

 

 

 

Computers & Peripherals–1.71%

•Apple 0.555% 5/6/19

  14,990,000      15,071,306   

#Seagate HDD Cayman 144A
4.75% 1/1/25

  2,205,000      2,287,705   
     

 

 

 
  17,359,011   
     

 

 

 

Construction Materials–0.41%

#•Cemex 144A 5.003% 10/15/18

  2,965,000      3,104,355   

#Hutchison Whampoa International 14 144A
3.625% 10/31/24

  1,020,000      1,047,054   
     

 

 

 
  4,151,409   
     

 

 

 

Consumer Finance–0.72%

•Bank of America
0.727% 11/14/16

  6,025,000      6,031,031   

#INVISTA Finance 144A
4.25% 10/15/19

  1,280,000      1,278,400   
     

 

 

 
  7,309,431   
     

 

 

 

Containers & Packaging–0.10%

#Beverage Packaging Holdings Luxembourg II 144A
6.00% 6/15/17

  1,000,000      1,005,000   
     

 

 

 
  1,005,000   
     

 

 

 
 

 

LVIP Delaware Diversified Floating Rate Fund–3


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Financial Services–8.43%

  

Bank of America

     

•0.513% 10/14/16

     1,350,000       $ 1,345,608   

•1.293% 1/15/19

     8,250,000         8,370,648   

CME Group 3.00% 3/15/25

     915,000         925,452   

Credit Suisse Group

     

#•144A 6.25% 12/29/49

     1,190,000         1,172,745   

#•144A 7.50% 12/11/49

     225,000         242,156   

#ERAC USA Finance 144A
4.50% 8/16/21

     2,650,000         2,915,564   

•Ford Motor Credit
1.182% 11/4/19

     9,000,000         9,017,712   

General Electric Capital

     

•0.635% 5/5/26

     2,000,000         1,881,026   

•0.872% 1/9/20

     5,740,000         5,778,860   

•1.271% 3/15/23

     2,450,000         2,486,169   

#144A 3.80% 6/18/19

     250,000         267,828   

6.00% 8/7/19

     1,385,000         1,619,503   

•7.125% 12/15/49

     2,400,000         2,826,000   

Goldman Sachs Group 2.60% 4/23/20

     1,100,000         1,112,992   

•HSBC Holdings 6.375% 3/29/49

     695,000         712,375   

#Hyundai Capital America 144A
4.00% 6/8/17

     690,000         724,830   

#•Hyundai Capital Services 144A 1.07% 3/18/17

     2,895,000         2,900,049   

JPMorgan Chase

     

2.25% 1/23/20

     635,000         636,785   

•6.75% 8/29/49

     645,000         703,050   

•JPMorgan Chase Bank
0.60% 6/13/16

     7,955,000         7,935,852   

Lloyds Banking Group

     

4.50% 11/4/24

     2,470,000         2,570,544   

•7.50% 4/30/49

     1,325,000         1,411,125   

•Morgan Stanley 1.396% 1/27/20

     9,705,000         9,861,580   

National Rural Utilities Cooperative Finance

  

•0.511% 5/27/16

     9,925,000         9,930,022   

•4.75% 4/30/43

     2,790,000         2,805,345   

#Peachtree Corners Funding Trust 144A
3.976% 2/15/25

     865,000         879,266   

#•USB Realty 144A
1.40% 12/22/49

     4,900,000         4,483,500   
     

 

 

 
  85,516,586   
     

 

 

 

Diversified Telecommunication Services–3.28%

  

AT&T

•0.937% 3/11/19

  6,200,000      6,146,110   

•1.171% 11/27/18

  4,655,000      4,720,649   

CenturyLink 5.80% 3/15/22

  1,395,000      1,459,519   

#Digicel Group 144A
8.25% 9/30/20

  2,020,000      2,033,130   

#Oi 144A 5.75% 2/10/22

  380,000      313,690   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Telecommunication Services (continued)

  

SBA Tower Trust
#144A 2.24% 4/16/18

     465,000       $ 465,354   

#144A 2.898% 10/15/19

     1,145,000         1,158,916   

#SES 144A 3.60% 4/4/23

     1,705,000         1,789,149   

Telefonica Emisiones
4.57% 4/27/23

     1,110,000         1,223,529   

#Telemar Norte Leste 144A
5.50% 10/23/20

     215,000         189,953   

Verizon Communications

     

2.00% 11/1/16

     1,255,000         1,273,820   

•2.021% 9/14/18

     12,005,000         12,531,971   
     

 

 

 
  33,305,790   
     

 

 

 

Electric Utilities–5.52%

#American Transmission Systems 144A
5.25% 1/15/22

  4,170,000      4,797,877   

Berkshire Hathaway Energy
3.75% 11/15/23

  1,525,000      1,628,578   

Cleveland Electric Illuminating
5.50% 8/15/24

  1,825,000      2,201,549   

Commonwealth Edison
2.15% 1/15/19

  3,000,000      3,066,768   

DTE Energy 2.40% 12/1/19

  1,180,000      1,200,499   

•Duke Energy Indiana
0.602% 7/11/16

  5,695,000      5,702,523   

Electricite de France

#•144A 0.717% 1/20/17

  5,465,000      5,476,181   

#•144A 5.25% 12/29/49

  1,980,000      2,071,080   

#•Enel 144A 8.75% 9/24/73

  1,543,000      1,864,675   

Entergy Louisiana 4.05% 9/1/23

  3,955,000      4,349,476   

Entergy Mississippi 3.10% 7/1/23

  250,000      255,768   

•Georgia Power 0.591% 3/15/16

  5,400,000      5,398,288   

Great Plains Energy 4.85% 6/1/21

  3,255,000      3,645,219   

ITC Holdings 3.65% 6/15/24

  1,570,000      1,630,365   

NextEra Energy Capital Holdings
2.70% 9/15/19

  7,255,000      7,441,541   

•NSTAR Electric 0.497% 5/17/16

  1,750,000      1,748,729   

NV Energy 6.25% 11/15/20

  800,000      950,612   

#State Grid Overseas Investment 2014 144A
2.75% 5/7/19

  2,535,000      2,585,472   
     

 

 

 
  56,015,200   
     

 

 

 

Electronic Equipment, Instruments & Components–0.26%

  

Thermo Fisher Scientific
3.30% 2/15/22

  2,520,000      2,587,881   
     

 

 

 
  2,587,881   
     

 

 

 
 

 

LVIP Delaware Diversified Floating Rate Fund–4


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Energy Equipment & Services–0.13%

  

Noble Holding International
3.05% 3/1/16

     1,300,000       $ 1,307,657   
     

 

 

 
  1,307,657   
     

 

 

 

Food & Staples Retailing–0.10%

#Cencosud 144A 5.15% 2/12/25

  970,000      960,033   
     

 

 

 
  960,033   
     

 

 

 

Food Products–1.86%

#BRF 144A 3.95% 5/22/23

  550,000      512,023   

Campbell Soup 3.30% 3/19/25

  1,245,000      1,268,445   

General Mills

•0.456% 1/28/16

  4,245,000      4,241,995   

•0.553% 1/29/16

  1,730,000      1,730,242   

Ingredion 1.80% 9/25/17

  1,500,000      1,500,774   

#JBS Investments 144A
7.75% 10/28/20

  1,110,000      1,179,375   

#Minerva Luxembourg 144A
7.75% 1/31/23

  515,000      508,563   

•Mondelez International
0.775% 2/1/19

  5,725,000      5,678,799   

Smucker (J.M.)

#144A 3.00% 3/15/22

  315,000      320,229   

#144A 3.50% 3/15/25

  1,825,000      1,880,055   
     

 

 

 
  18,820,500   
     

 

 

 

Health Care Equipment & Supplies–1.44%

  

Boston Scientific 6.00% 1/15/20

  465,000      535,784   

CareFusion 6.375% 8/1/19

  1,615,000      1,889,965   

•Medtronic 0.351% 2/27/17

  11,200,000      11,170,846   

Zimmer Holdings 3.55% 4/1/25

  975,000      996,449   
     

 

 

 
  14,593,044   
     

 

 

 

Health Care Providers & Services–0.39%

  

•McKesson 0.665% 9/10/15

  4,000,000      4,001,720   
     

 

 

 
  4,001,720   
     

 

 

 

Hotels, Restaurants & Leisure–0.66%

  

Carnival 1.20% 2/5/16

  1,445,000      1,447,470   

International Game Technology
5.35% 10/15/23

  2,020,000      2,052,570   

Starwood Hotels & Resorts Worldwide
3.75% 3/15/25

  1,635,000      1,681,359   

Wyndham Worldwide 4.25% 3/1/22

  1,470,000      1,536,344   
     

 

 

 
  6,717,743   
     

 

 

 

Insurance–4.34%

Berkshire Hathaway Finance

•0.402% 1/10/17

  6,460,000      6,463,941   

2.90% 10/15/20

  7,100,000      7,508,300   

•Chubb 6.375% 3/29/67

  1,045,000      1,112,925   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Insurance (continued)

     

#•Metropolitan Life Global
Funding I 144A 0.783% 7/15/16

     6,500,000       $ 6,534,281   

#•Pricoa Global Funding I 144A 0.527% 8/19/15

     2,000,000         2,001,108   

#•Principal Life Global Funding II 144A 0.631% 5/27/16

     3,170,000         3,177,738   

Prudential Financial

     

•1.037% 8/15/18

     8,742,000         8,801,131   

•5.625% 6/15/43

     630,000         670,950   

•5.875% 9/15/42

     565,000         616,556   

#TIAA Asset Management
Finance 144A 2.95% 11/1/19

     5,110,000         5,242,778   

•Voya Financial 5.65% 5/15/53

     735,000         771,750   

XLIT

     

4.45% 3/31/25

     590,000         595,008   

•6.50% 12/29/49

     530,000         470,375   
     

 

 

 
  43,966,841   
     

 

 

 

Internet & Catalog Retail–0.09%

Priceline Group 3.65% 3/15/25

  865,000      882,075   
     

 

 

 
  882,075   
     

 

 

 

Internet Software & Services–0.89%

  

#•Alibaba Group Holding 144A 0.782% 11/28/17

  4,705,000      4,693,030   

Baidu

2.75% 6/9/19

  1,000,000      1,012,337   

3.25% 8/6/18

  1,445,000      1,499,225   

Tencent Holdings

#144A 2.875% 2/11/20

  545,000      549,582   

#144A 3.375% 5/2/19

  860,000      891,918   

#144A 3.80% 2/11/25

  325,000      332,800   
     

 

 

 
  8,978,892   
     

 

 

 

Machinery–0.16%

Crane 2.75% 12/15/18

  355,000      364,256   

Trinity Industries 4.55% 10/1/24

  1,235,000      1,243,920   
     

 

 

 
  1,608,176   
     

 

 

 

Media–1.91%

#Columbus International 144A
7.375% 3/30/21

  1,970,000      2,078,350   

#Cox Communications 144A
3.85% 2/1/25

  1,445,000      1,491,165   

Historic TW 6.875% 6/15/18

  430,000      500,454   

#•NBCUniversal Enterprise 144A 0.938% 4/15/18

  10,385,000      10,469,098   

Time Warner Cable

4.00% 9/1/21

  1,030,000      1,104,045   

8.25% 4/1/19

  3,015,000      3,690,987   
     

 

 

 
  19,334,099   
     

 

 

 
 

 

LVIP Delaware Diversified Floating Rate Fund–5


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Metals & Mining–0.46%

     

ArcelorMittal 10.60% 6/1/19

     415,000       $ 509,153   

#FMG Resources August 2006
144A 6.875% 4/1/22

     760,000         564,300   

#Gerdau Holdings 144A
7.00% 1/20/20

     935,000         1,002,787   

•Rio Tinto Finance USA
1.111% 6/17/16

     1,975,000         1,980,034   

Yamana Gold 4.95% 7/15/24

     605,000         595,937   
     

 

 

 
  4,652,211   
     

 

 

 

Multi-Utilities–0.94%

Ameren Illinois 9.75% 11/15/18

  385,000      489,202   

CenterPoint Energy
6.50% 5/1/18

  850,000      967,841   

•Integrys Energy Group
6.11% 12/1/66

  870,000      852,929   

•Laclede Group 1.007% 8/15/17

  5,900,000      5,896,253   

Sempra Energy 2.875% 10/1/22

  495,000      495,688   

•Wisconsin Energy
6.25% 5/15/67

  856,000      858,113   
     

 

 

 
  9,560,026   
     

 

 

 

Oil, Gas & Consumable Fuels–7.11%

  

•Chesapeake Energy
3.503% 4/15/19

  3,250,000      3,136,250   

Chevron

•0.792% 3/3/22

  5,645,000      5,665,757   

1.961% 3/3/20

  1,065,000      1,072,557   

2.411% 3/3/22

  610,000      611,713   

Cimarex Energy 4.375% 6/1/24

  655,000      653,363   

#CNOOC Finance 2012 144A
3.875% 5/2/22

  360,000      375,544   

Continental Resources
4.50% 4/15/23

  460,000      447,186   

•Enbridge Energy Partners
8.05% 10/1/37

  855,000      921,263   

Energy Transfer Partners
4.05% 3/15/25

  2,365,000      2,389,762   

•Enterprise Products Operating
7.034% 1/15/68

  995,000      1,076,399   

EOG Resources 3.15% 4/1/25

  850,000      867,980   

Exxon Mobil

•0.634% 3/6/22

  10,640,000      10,679,379   

2.397% 3/6/22

  640,000      645,633   

2.709% 3/6/25

  610,000      617,000   

Freeport-McMoran Oil & Gas
6.50% 11/15/20

  428,000      455,285   

Noble Holding International
4.00% 3/16/18

  170,000      171,059   

ONEOK Partners 3.80% 3/15/20

  505,000      515,480   

ONGC Videsh 3.25% 7/15/19

  200,000      203,569   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

Petrobras Global Finance

     

•2.393% 1/15/19

     2,540,000       $ 2,206,625   

3.00% 1/15/19

     70,000         60,607   

4.875% 3/17/20

     1,160,000         1,044,580   

#Petronas Global Sukuk 144A
2.707% 3/18/20

     760,000         764,659   

Regency Energy Partners
5.875% 3/1/22

     365,000         397,850   

Statoil

     

•0.547% 5/15/18

     4,870,000         4,857,304   

•0.716% 11/8/18

     7,240,000         7,246,190   

•Total Capital International
0.826% 8/10/18

     8,620,000         8,672,668   

TransCanada PipeLines

     

•0.953% 6/30/16

     7,732,000         7,758,095   

•6.35% 5/15/67

     1,285,000         1,249,663   

Valero Energy 3.65% 3/15/25

     865,000         886,462   

Williams Partners

     

4.00% 9/15/25

     2,100,000         2,063,960   

7.25% 2/1/17

     575,000         631,963   

#Woodside Finance 144A
8.75% 3/1/19

     2,070,000         2,544,910   

•YPF 7.758% 8/15/18

     1,235,294         1,260,000   
     

 

 

 
  72,150,715   
     

 

 

 

Paper & Forest Products–0.33%

Fibria Overseas Finance
5.25% 5/12/24

  725,000      721,375   

Georgia-Pacific 8.00% 1/15/24

  1,125,000      1,495,101   

#Inversiones 144A
6.125% 11/5/19

  465,000      517,545   

Masco 4.45% 4/1/25

  595,000      615,825   
     

 

 

 
  3,349,846   
     

 

 

 

Pharmaceuticals–5.24%

Actavis Funding

•1.348% 3/12/18

  2,985,000      3,005,999   

3.45% 3/15/22

  1,345,000      1,379,727   

Allergan 1.35% 3/15/18

  4,500,000      4,424,580   

AmerisourceBergen
3.25% 3/1/25

  715,000      726,022   

#•Bayer US Finance 144A
0.551% 10/6/17

  8,000,000      8,008,920   

EMD Finance

#144A 2.95% 3/19/22

  625,000      633,297   

#144A 3.25% 3/19/25

  1,215,000      1,231,795   

Express Scripts Holding
2.25% 6/15/19

  1,055,000      1,060,807   

Lilly (Eli) 2.75% 6/1/25

  725,000      729,143   

Merck

•0.616% 5/18/18

  7,495,000      7,523,916   
 

 

LVIP Delaware Diversified Floating Rate Fund–6


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

  

Pharmaceuticals (continued)

  

  

Merck (continued)

     

2.35% 2/10/22

     885,000       $ 886,617   

2.75% 2/10/25

     1,585,000         1,585,754   

Perrigo 4.00% 11/15/23

     1,235,000         1,292,718   

Perrigo Finance 3.50% 12/15/21

     1,465,000         1,517,302   

•Pfizer 0.571% 6/15/18

     11,140,000         11,152,432   

Zoetis 1.875% 2/1/18

     8,013,000         8,023,056   
     

 

 

 
  53,182,085   
     

 

 

 

Real Estate Investment Trusts–1.22%

  

Alexandria Real Estate Equities
4.60% 4/1/22

  725,000      767,226   

#American Tower Trust I 144A
1.551% 3/15/43

  2,505,000      2,501,919   

CBL & Associates
4.60% 10/15/24

  1,085,000      1,105,203   

Corporate Office Properties
5.25% 2/15/24

  1,040,000      1,133,551   

DDR 3.625% 2/1/25

  1,025,000      1,025,016   

Excel Trust 4.625% 5/15/24

  710,000      746,386   

Host Hotels & Resorts

3.75% 10/15/23

  2,660,000      2,700,932   

4.75% 3/1/23

  140,000      151,132   

#Omega Healthcare Investors
144A 4.50% 4/1/27

  930,000      918,189   

Weyerhaeuser 4.625% 9/15/23

  1,230,000      1,354,514   
     

 

 

 
  12,404,068   
     

 

 

 

Real Estate Management & Development–0.10%

  

Carey (W.P.) 4.60% 4/1/24

  980,000      1,015,403   
     

 

 

 
  1,015,403   
     

 

 

 

Road & Rail–0.49%

•Kansas City Southern de Mexico 0.956% 10/28/16

  4,950,000      4,941,080   
     

 

 

 
  4,941,080   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.17%

  

National Semiconductor
6.60% 6/15/17

  500,000      559,702   

#Samsung Electronics America
144A 1.75% 4/10/17

  1,200,000      1,210,625   
     

 

 

 
  1,770,327   
     

 

 

 

Software–1.38%

•Oracle 0.784% 10/8/19

  13,945,000      14,022,283   
     

 

 

 
  14,022,283   
     

 

 

 

Specialty Retail–1.19%

•Lowe’s 0.685% 9/10/19

  6,755,000      6,788,403   

QVC 4.375% 3/15/23

  3,325,000      3,393,335   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Specialty Retail (continued)

  

Signet UK Finance
4.70% 6/15/24

     1,785,000       $ 1,835,614   
     

 

 

 
  12,017,352   
     

 

 

 

Wireless Telecommunication Services–0.79%

  

•America Movil 1.268% 9/12/16

  2,500,000      2,510,655   

#Bharti Airtel International
Netherlands 144A
5.35% 5/20/24

  1,550,000      1,714,687   

#Crown Castle Towers 144A
4.883% 8/15/20

  1,615,000      1,778,195   

#Millicom International Cellular
144A 6.00% 3/15/25

  695,000      695,869   

•Verizon Communications
0.664% 6/9/17

  1,315,000      1,313,619   
     

 

 

 
  8,013,025   
     

 

 

 

Total Corporate Bonds
(Cost $708,555,398)

  715,828,592   
     

 

 

 

MUNICIPAL BONDS–4.00%

•Missouri Higher Education Loan Authority Student Revenue
Class A-1 1.083% 8/27/29

  417,097      419,979   

Missouri Highway & Transportation Commission
5.00% 5/1/26

  1,950,000      2,499,627   

•New Mexico Educational Assistance Foundation
(Libor Floating)
Series A-3 1.462% 12/1/38

  580,000      579,774   

New York City, New York
Series I 5.00% 8/1/22

  350,000      421,417   

New York State Thruway Authority
Series A 5.00% 5/1/19

  575,000      655,862   

North Texas Higher Education Authority Student Loan Revenue
(Libor Floating)

•Series 1 1.374% 4/1/40

  471,825      474,769   

•Series 1 Class A-2
1.155% 7/1/30

  905,000      911,878   

Oklahoma Student Loan Authority Revenue (Libor-Indexed)

•Series 1 1.412% 6/1/40

  1,312,951      1,320,815   

•Series 2010-A Class A2A
1.462% 9/1/37

  655,000      666,011   

•Pennsylvania Turnpike Commission
Series B1 1.00% 12/1/21

  5,000,000      5,020,650   

•State of California
Series D 0.823% 12/1/28

  5,000,000      5,047,150   

•State of Connecticut
Series A 1.57% 3/1/21

  1,750,000      1,750,997   

State of Maryland Local Facilities
Series A 5.00% 8/1/21

  415,000      502,810   
 

 

LVIP Delaware Diversified Floating Rate Fund–7


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

State of Mississippi
5.00% 10/1/25

     2,455,000       $ 3,098,210   

State of Washington
5.00% 2/1/25

     4,290,000         5,358,382   

University of California
5.00% 5/15/25

     1,555,000         1,959,191   

•Series Y-1 0.679% 7/1/41

     7,425,000         7,426,188   

Utah Transit Authority
5.00% 6/15/25

     1,975,000         2,498,355   
     

 

 

 

Total Municipal Bonds
(Cost $40,463,266)

  40,612,065   
     

 

 

 

NON-AGENCY ASSET-BACKED SECURITIES–9.72%

  

•Ally Master Owner Trust Series
2013-2 A 0.625% 4/15/18

  600,000      600,443   

#ARI Fleet Lease Trust Series
2014-A A2 144A
0.81% 11/15/22

  2,763,065      2,762,452   

#•Avenue CLO VI Series 2007-6A
A1 144A 0.482% 7/17/19

  366,519      363,367   

•BA Credit Card Trust Series
2014-A1 A 0.555% 6/15/21

  4,741,000      4,738,544   

#•Babson CLO Series 2005-3A A
144A 0.506% 11/10/19

  182,144      181,525   

#•Ballyrock CLO Series 2013-1A A
144A 1.441% 5/20/25

  2,000,000      1,967,600   

#•BMW Floorplan Master Owner
Trust Series 2012-1A A 144A
0.575% 9/15/17

  2,500,000      2,505,295   

Capital One Multi-Asset Execution Trust

•Series 2007-A1 A1
0.225% 11/15/19

  4,979,000      4,956,351   

•Series 2007-A2 A2
0.255% 12/16/19

  965,000      961,400   

Chase Issuance Trust

•Series 2007-A5 A5
0.215% 3/15/19

  3,000,000      2,987,046   

•Series 2012-A9 A9
0.325% 10/16/17

  2,000,000      1,999,222   

•Series 2013-A9 A
0.595% 11/16/20

  1,000,000      1,002,595   

•Series 2014-A5 A5
0.545% 4/15/21

  930,000      930,000   

Chesapeake Funding

#•Series 2012-2A A 144A
0.628% 5/7/24

  2,023,283      2,023,785   

#•Series 2014-1A A 144A
0.595% 3/7/26

  600,000      599,569   

#•CIFC Funding Series 2011-1AR
A1R 144A 1.553% 1/19/23

  4,000,000      3,989,600   

•Citibank Credit Card Issuance
Trust Series 2013-A7 A7
0.605% 9/10/20

  2,000,000      2,005,820   
     Principal
Amount°
    

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

Discover Card Execution Note Trust

     

•Series 2013-A1 A1
0.475% 8/17/20

     2,000,000       $ 1,997,796   

•Series 2014-A1 A1
0.605% 7/15/21

     665,000         666,520   

•Ford Credit Floorplan Master
Owner Trust Series 2014-1 A2
0.575% 2/15/19

     4,000,000         4,001,592   

GE Dealer Floorplan Master Note Trust

     

•Series 2012-2 A
0.926% 4/22/19

     3,000,000         3,019,335   

•Series 2013-1 A
0.576% 4/20/18

     1,165,000         1,165,374   

Golden Credit Card Trust

     

#Series 2012-5A A 144A
0.79% 9/15/17

     180,000         180,137   

#•Series 2013-2A A 144A
0.605% 9/15/18

     3,850,000         3,857,396   

#•Hertz Fleet Lease Funding
Series 2014-1 A 144A
0.575% 4/10/28

     500,000         499,381   

#•JFIN CLO Series 2014-1A A
144A 1.757% 4/20/25

     2,500,000         2,493,500   

#•KKR Financial CLO Series
2013-1A A1 144A
1.403% 7/15/25

     3,605,000         3,557,053   

#•LCM VI Series 6A A 144A
0.492% 5/28/19

     542,729         538,604   

#•LightPoint CLO V Series
2006-5A A1 144A
0.506% 8/5/19

     348,169         346,637   

#•MAPS CLO Fund II Series
2007-2A A1 144A
0.497% 7/20/22

     2,758,632         2,729,942   

#Master Credit Card Trust Series
2012-2A A 144A 0.78% 4/21/17

     1,600,000         1,600,933   

#•Mountain View CLO Series
2007-3A A1 144A
0.469% 4/16/21

     3,052,589         3,034,578   

#•Navistar Financial Dealer Note
Master Trust Series 2013-2 A
144A 0.854% 9/25/18

     7,000,000         7,005,523   

Nissan Master Owner Trust Receivables

     

•Series 2012-A A
0.645% 5/15/17

     1,100,000         1,100,303   

•Series 2013-A A
0.475% 2/15/18

     1,290,000         1,289,850   

#•NYLIM Flatiron CLO Series
2006-1A A2A 144A
0.476% 8/8/20

     225,014         223,664   
 

 

LVIP Delaware Diversified Floating Rate Fund–8


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

#•OCP CLO Series 2013-4A A1A
144A 1.656% 10/24/25

     3,000,000       $ 2,981,400   

#•PFS Financing
Series 2013-AA A 144A
0.725% 2/15/18

     1,900,000         1,899,983   

#•Sudbury Mill CLO
Series 2013-1A X 144A
1.257% 1/17/26

     399,231         399,151   

Telos CLO

     

#•Series 2013-4A A 144A
1.553% 7/17/24

     3,000,000         2,971,200   

#•Series 2013-4A X 144A
1.203% 7/17/24

     900,000         899,550   

#•Trade MAPS 1 Series 2013-1A A
144A 0.875% 12/10/18

     8,830,000         8,824,993   

#•Trafigura Securitisation
Finance Series 2012-1A A
144A 2.575% 10/15/15

     3,705,000         3,706,334   

#•Venture XVI CLO
Series 2014-16A A1L 144A
1.753% 4/15/26

     3,000,000         2,995,800   
     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $98,490,495)

   

  98,561,143   
     

 

 

 

«SENIOR SECURED LOANS–11.46%

  

Activision Blizzard Tranche B
1st Lien
3.25% 10/11/20

  2,152,800      2,164,910   

Ashland Water 1st Lien
4.25% 7/31/21

  731,325      727,899   

Calpine Construction Finance
Tranche B
3.00% 5/3/20

  3,107,001      3,071,068   

Charter Communications
Operating
3.00% 7/1/20

  3,875,963      3,867,067   

Charter Communications
Tranche B 1st Lien
4.25% 9/12/21

  2,000,000      2,019,450   

Community Health Systems
Tranche D
4.25% 1/27/21

  1,332,533      1,340,628   

Community Health Systems
Tranche F 1st Lien
3.428% 12/31/18

  202,574      202,880   

Crown Castle Operating
Tranche B2
3.00% 1/31/21

  1,974,700      1,972,616   

CSC Holdings Tranche B
2.678% 4/17/20

  1,699,747      1,694,698   

DaVita Healthcare Partners
Tranche B
3.50% 6/24/21

  8,535,500      8,566,953   
     Principal
Amount°
     Value
(U.S. $)
 

«SENIOR SECURED LOANS (continued)

  

Dealer Computer Services
Tranche B
2.178% 4/21/16

     671,155       $ 671,158   

Dynegy Tranche B2
4.00% 4/23/20

     461,875         463,464   

Emdeon 1st Lien
3.75% 11/2/18

     1,359,635         1,363,741   

Energy Transfer Equity 1st Lien

     

3.25% 12/2/19

     185,000         182,384   

4.00% 12/2/19

     570,000         569,003   

FCA US Tranche B
1st Lien
3.25% 12/31/18

     4,356,000         4,358,723   

FCA US Tranche B 1st Lien
3.50% 5/24/17

     122,455         122,659   

First Data Tranche B 1st Lien
4.174% 3/24/21

     2,590,209         2,601,813   

Flying Fortress 1st Lien
3.50% 6/30/17

     1,000,000         1,002,290   

Gardner Denver 1st Lien
4.25% 7/30/20

     985,000         936,459   

HD Supply Tranche B
4.00% 6/28/18

     2,062,738         2,068,751   

Hilton Worldwide Finance
Tranche B2
3.50% 10/25/20

     2,552,632         2,559,013   

Houghton International
1st Lien
4.00% 12/20/19

     1,236,562         1,235,530   

Huntsman International
Tranche B 1st Lien
3.75% 10/1/21

     2,992,500         3,006,834   

IASIS Healthcare Tranche B
1st Lien
4.50% 5/3/18

     1,026,410         1,029,869   

Immucor Tranche B2
5.00% 8/19/18

     444,046         446,475   

Ineos US Finance Tranche 1
2.678% 11/28/16

     483,085         484,795   

Ineos US Finance Tranche B
3.75% 5/4/18

     2,226,055         2,214,458   

Intelsat Jackson Holdings
Tranche B2
3.75% 6/30/19

     2,937,881         2,930,169   

Kinetic Concepts Tranche E1
4.50% 5/4/18

     1,967,573         1,977,411   

Landry’s Tranche B
4.00% 4/24/18

     1,115,504         1,119,787   

Las Vegas Sands Tranche B
3.25% 12/19/20

     3,950,000         3,952,034   

Level 3 Financing Tranche B
4.00% 1/15/20

     2,665,000         2,674,447   
 

 

LVIP Delaware Diversified Floating Rate Fund–9


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

«SENIOR SECURED LOANS (continued)

  

Lightower Fiber Networks 1st
Lien
4.00% 4/13/20

     276,482       $ 275,965   

MGM Resorts International
3.50% 12/20/19

     1,719,221         1,715,817   

Mission Broadcasting
Tranche B2 1st Lien
3.75% 10/1/20

     1,782,142         1,782,142   

Nexstar Broadcasting
Tranche B2
3.75% 10/1/20

     2,020,978         2,020,978   

Novelis Tranche B
3.75% 3/10/17

     196,994         197,097   

NRG Energy Tranche B
2.75% 7/1/18

     622,947         621,910   

OSI Restaurants Tranche B
1st Lien
3.50% 10/26/19

     131,150         131,479   

Penn National Gaming
Tranche B
3.25% 10/30/20

     1,481,250         1,481,406   

PQ 1st Lien
4.00% 8/7/17

     987,374         985,522   

PVH Tranche B 1st Lien
3.25% 2/13/20

     986,074         993,391   

Rite Aid 2nd Lien
4.875% 6/21/21

     750,000         752,573   

RPI Finance Tranche B2
1st Lien
3.25% 5/9/18

     2,431,852         2,441,470   

Scientific Games International
6.00% 10/18/20

     1,565,188         1,572,231   

Seminole Tribe of Florida
Tranche B
3.00% 4/29/20

     4,276,383         4,276,918   

Sinclair Broadcasting Tranche
B1 1st Lien
3.50% 7/30/21

     7,500,000         7,523,608   

Smart & Final Tranche B
1st Lien
4.75% 11/15/19

     1,676,832         1,687,840   

Sprouts Farmers
4.00% 4/23/20

     710,858         713,748   

Stena 1st Lien
4.00% 3/3/21

     1,980,000         1,788,197   

TransDigm Tranche C
3.75% 2/28/20

     3,090,913         3,090,341   

United Continental Tranche B
3.50% 4/1/19

     352,800         353,329   

Univision Communications
Tranche C4
4.00% 3/1/20

     1,415,564         1,414,934   
     Principal
Amount°
     Value
(U.S. $)
 

«SENIOR SECURED LOANS (continued)

  

Univision Communications
1st Lien
4.00% 3/1/20

     1,069,838       $ 1,068,918   

US Airways Tranche B1
3.50% 5/23/19

     435,000         434,456   

USI Insurance Services
Tranche B 1st Lien
4.25% 12/27/19

     1,617,949         1,622,673   

Valeant Pharmaceuticals
International Tranche BE
3.50% 8/5/20

     1,035,056         1,036,805   

Valeant Pharmaceuticals
Tranche B Series C
3.03% 12/11/19

     3,197,975         3,203,380   

W.R. Grace
2.75% 2/3/21

     847,811         848,871   

W.R. Grace Tranche B 1st Lien
2.75% 2/3/21

     2,356,023         2,358,968   

Wide Open West Finance
4.75% 4/1/19

     1,489,600         1,493,093   

Windstream Tranche B4
3.50% 1/23/20

     488,750         489,769   

Windstream Tranche B5
1st Lien
3.50% 8/8/19

     1,072,672         1,072,940   

Zayo Group Tranche B 1st Lien
4.00% 7/2/19

     229,114         229,766   

Ziggo Tranche B 2nd Lien
3.50% 1/15/22

     714,894         711,319   

Ziggo Tranche B 3rd Lien
3.50% 1/15/22

     1,175,745         1,169,866   

Ziggo Tranche B1 1st Lien
3.50% 1/15/22

     1,109,362         1,103,815   
     

 

 

 

Total Senior Secured Loans
(Cost $116,110,747)

  116,264,971   
     

 

 

 

DSOVEREIGN BONDS–0.52%

Colombia–0.08%

•Colombia Government International Bond
2.057% 11/16/15

  760,000      763,952   
     

 

 

 
  763,952   
     

 

 

 

Norway–0.44%

#•Kommunalbanken

144A 0.385% 10/31/16

  3,000,000      3,003,213   

144A 0.441% 2/20/18

  1,500,000      1,504,905   
     

 

 

 
  4,508,118   
     

 

 

 

Total Sovereign Bonds
(Cost $5,259,683)

  5,272,070   
     

 

 

 
 

 

LVIP Delaware Diversified Floating Rate Fund–10


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

U.S. TREASURY OBLIGATION–0.10%

  

U.S. Treasury Notes
2.00% 2/15/25

     995,000       $ 1,001,374   
     

 

 

 

Total U.S. Treasury Obligation
(Cost $1,001,841)

  1,001,374   
     

 

 

 
     Number of
Shares
        

PREFERRED STOCK–0.31%

     

•Bank of America 6.10%

     620,000         630,463   

•Integrys Energy Group 6.00%

     49,900         1,402,689   

National Retail Properties 5.70%

     15,325         382,359   

Public Storage 5.20%

     10,200         247,044   

Qwest 6.125%

     18,550         463,750   
     

 

 

 

Total Preferred Stock
(Cost $2,969,375)

  3,126,305   
     

 

 

 

 

     Number of
Shares
    

Value

(U.S. $)

 

MONEY MARKET FUND–0.41%

     

Dreyfus Treasury & Agency
Cash Management -
Institutional Shares

     4,168,623       $ 4,168,623   
     

 

 

 

Total Money Market Fund
(Cost $4,168,623)

  4,168,623   
     

 

 

 

 

 

 

TOTAL VALUE OF SECURITIES–98.68% (Cost $992,962,566)

  1,000,873,060   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.32%

  13,362,286   
  

 

 

 

NET ASSETS APPLICABLE TO 100,457,188 SHARES OUTSTANDING–100.00%

$ 1,014,235,346   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $240,325,004, which represents 23.70% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

«

Includes $3,780,406 cash pledged as collateral for swaps as of March 31, 2015.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $53,483, which represents 0.01% of the Fund’s net assets.

 

t

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.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

f

Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2015.

The following swap contracts were outstanding at March 31, 2015:

Swap Contracts

CDS Contracts

 

Counterparty

  

Swap Referenced Obligation

   Notional Value1      Annual
Protection
Payments
  Termination
Date
   Unrealized
Appreciation
(Depreciation)
   Protection Sold:           

JPM

   ICE - CDX.NA.IG.24      10,000,000       1.00%   6/20/20    $0

 

LVIP Delaware Diversified Floating Rate Fund–11


LVIP Delaware Diversified Floating Rate Fund

Schedule of Investments (continued)

 

Interest Rate Swap Contracts

 

Counterparty &

Referenced Obligation

   Notional Value1      Fixed Interest
Rate Paid
  Floating Interest
Rate Received
  Termination
Date
   Unrealized
Appreciation
(Depreciation)
 

BAML – CME 3 yr Interest Rate Swap

     22,500,000       0.258%   0.945%   5/12/17    $ 59,655   

CITI – CME 7 yr Interest Rate Swap

     18,000,000       2.356%   0.271%   9/16/21      (691,878

HSBC – CME 5 yr Interest Rate Swap

     34,000,000       1.506%   0.256%   1/26/20      (11

HSBC – CME 7 yr Interest Rate Swap

     16,500,000       2.324%   0.267%   9/24/21      (601,565

JPMC – CME 10 yr Interest Rate Swap

     28,000,000       2.880%   0.252%   7/11/23      (2,121,958

JPMC – CME 5 yr Interest Rate Swap

     63,300,000       1.700%   0.252%   7/11/18      (1,056,818

MSC – CME 7 yr Interest Rate Swap

     45,000,000       2.385%   0.253%   1/14/21      (1,847,481

MSC – CME 7 yr Interest Rate Swap

     39,000,000       1.763%   0.256%   1/26/22      36,447   
  

 

 

           

 

 

 

Total

  266,300,000    $ (6,223,609
  

 

 

           

 

 

 

The use of swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

1Notional value shown is stated in U.S. Dollars unless noted that the swap is denominated in another currency.

Summary of Abbreviations:

BAML–Bank of America Merrill Lynch

CDS–Credit Default Swap

CDX.NA.IG–Credit Default Swap Index North America Investment Grade

CLO–Collateralized Loan Obligation

CITI–Citigroup Global Markets

CME–Chicago Mercantile Exchange Inc.

GE–General Electric

GNMA–Government National Mortgage Association

HSBC–Hong Kong Shanghai Bank

ICE–Intercontinental Exchange, Inc.

JPMC–JPMorgan Chase Bank

MSC–Morgan Stanely Capital

REMIC–Real Estate Mortgage Investment Conduit

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

       Level 1      Level 2      Total  

Agency Collateralized Mortgage Obligations

     $       $ 12,999,582       $ 12,999,582   

Convertible Bonds

               2,573,671         2,573,671   

Convertible Preferred Stock

       340,852         123,812         464,664   

Corporate Bonds

               715,828,592         715,828,592   

Municipal Bonds

               40,612,065         40,612,065   

Non-Agency Asset-Backed Securities

               98,561,143         98,561,143   

Senior Secured Loans

               116,264,971         116,264,971   

Sovereign Bonds

               5,272,070         5,272,070   

U.S. Treasury Obligation

               1,001,374         1,001,374   

Preferred Stock

       2,495,842         630,463         3,126,305   

Money Market Fund

       4,168,623                 4,168,623   
    

 

 

    

 

 

    

 

 

 

Total

$ 7,005,317    $ 993,867,743    $ 1,000,873,060   
    

 

 

    

 

 

    

 

 

 

Swap Contracts

$    $ (6,223,609 $ (6,223,609
    

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Delaware Diversified Floating Rate Fund–12


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK–71.85%

     

U.S. MARKETS–44.52%

     

Aerospace & Defense–1.35%

     

Boeing

     1,250       $ 187,600   

†Esterline Technologies

     2,195         251,152   

Honeywell International

     2,190         228,439   

†KEYW Holding

     11,860         97,608   

Lockheed Martin

     1,125         228,330   

Northrop Grumman

     5,800         933,568   

Raytheon

     8,500         928,625   

Rockwell Collins

     950         91,723   

United Technologies

     2,170         254,324   
     

 

 

 
  3,201,369   
     

 

 

 

Air Freight & Logistics–0.18%

FedEx

  1,465      242,384   

†XPO Logistics

  4,280      194,612   
     

 

 

 
  436,996   
     

 

 

 

Auto Components–0.55%

BorgWarner

  2,355      142,430   

Johnson Controls

  18,800      948,272   

†Tenneco

  3,450      198,099   
     

 

 

 
  1,288,801   
     

 

 

 

Automobiles–0.09%

Ford Motor

  13,545      218,616   
     

 

 

 
  218,616   
     

 

 

 

Banks–1.71%

BB&T

  23,500      916,265   

BBCN Bancorp

  7,890      114,168   

Bryn Mawr Bank

  1,470      44,703   

Cardinal Financial

  6,340      126,673   

Citigroup

  5,845      301,134   

City Holding

  3,030      142,501   

†First NBC Bank Holding

  3,600      118,728   

Flushing Financial

  5,380      107,977   

@Independent Bank (Massachusetts)

  3,530      154,861   

JPMorgan Chase

  6,635      401,948   

KeyCorp

  11,025      156,114   

Old National Bancorp

  7,850      111,391   

Prosperity Bancshares

  3,260      171,085   

Sterling Bancorp

  12,090      162,127   

Susquehanna Bancshares

  9,410      129,011   

†Texas Capital Bancshares

  2,900      141,085   

Webster Financial

  4,870      180,433   

Wells Fargo

  7,315      397,936   

†Western Alliance Bancorp

  5,580      165,391   
     

 

 

 
  4,043,531   
     

 

 

 

Beverages–0.18%

Coca-Cola

  2,350      95,293   

PepsiCo

  3,355      320,805   
     

 

 

 
  416,098   
     

 

 

 

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Biotechnology–1.77%

     

†Acorda Therapeutics

     4,830       $ 160,742   

†Alkermes

     2,480         151,206   

†Biogen

     1,300         548,912   

†Celgene

     17,502         2,017,631   

†Cepheid

     3,880         220,772   

†Gilead Sciences

     3,505         343,946   

†Isis Pharmaceuticals

     2,630         167,452   

†Ligand Pharmaceuticals Class B

     2,610         201,257   

†Spectrum Pharmaceuticals

     11,100         67,377   

†TESARO

     1,400         80,360   

†Vanda Pharmaceuticals

     9,560         88,908   

†Vertex Pharmaceuticals

     1,250         147,463   
     

 

 

 
  4,196,026   
     

 

 

 

Building Products–0.14%

AAON

  6,663      163,443   

†Continental Building Products

  7,670      173,265   
     

 

 

 
  336,708   
     

 

 

 

Capital Markets–0.94%

Ameriprise Financial

  1,350      176,634   

Bank of New York Mellon

  22,520      906,205   

BlackRock

  435      159,140   

Evercore Partners Class A

  4,920      254,167   

Greenhill

  1,920      76,128   

Invesco

  3,400      134,946   

Raymond James Financial

  2,805      159,268   

State Street

  2,445      179,781   

†Stifel Financial

  3,140      175,055   
     

 

 

 
  2,221,324   
     

 

 

 

Chemicals–0.83%

Axiall

  3,380      158,657   

†Chemtura

  4,370      119,257   

duPont (E.I.) deNemours

  12,200      871,934   

Eastman Chemical

  2,780      192,543   

Huntsman

  6,030      133,685   

Innophos Holdings

  1,930      108,775   

LyondellBasell Industries Class A

  1,125      98,775   

Minerals Technologies

  1,920      140,352   

Quaker Chemical

  1,600      137,024   
     

 

 

 
  1,961,002   
     

 

 

 

Commercial Services & Supplies–0.68%

  

McGrath RentCorp

  4,630      152,373   

Republic Services

  3,150      127,764   

Tetra Tech

  4,490      107,850   

United Stationers

  4,360      178,716   

US Ecology

  1,990      99,440   

Waste Management

  17,300      938,179   
     

 

 

 
  1,604,322   
     

 

 

 
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–1


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Communications Equipment–1.42%

  

  

Cisco Systems

     39,715       $ 1,093,155   

†NETGEAR

     3,720         122,314   

Plantronics

     2,560         135,552   

QUALCOMM

     28,786         1,996,021   
     

 

 

 
  3,347,042   
     

 

 

 

Construction & Engineering–0.12%

  

Granite Construction

  4,200      147,588   

†MasTec

  1,420      27,406   

†MYR Group

  3,510      110,003   
     

 

 

 
  284,997   
     

 

 

 

Consumer Finance–0.09%

Capital One Financial

  2,815      221,878   
     

 

 

 
  221,878   
     

 

 

 

Containers & Packaging–0.08%

MeadWestvaco

  4,020      200,477   
     

 

 

 
  200,477   
     

 

 

 

Diversified Financial Services–0.40%

  

Intercontinental Exchange

  4,029      939,845   
     

 

 

 
  939,845   
     

 

 

 

Diversified Telecommunication Services–1.02%

  

AT&T

  37,122      1,212,033   

Atlantic Tele-Network

  1,680      116,290   

†inContact

  14,740      160,666   

Verizon Communications

  18,943      921,198   
     

 

 

 
  2,410,187   
     

 

 

 

Electric Utilities–0.56%

Cleco

  3,160      172,283   

Edison International

  16,270      1,016,387   

OGE Energy

  4,355      137,662   
     

 

 

 
  1,326,332   
     

 

 

 

Electrical Equipment–0.06%

Eaton

  2,175      147,770   
     

 

 

 
  147,770   
     

 

 

 

Electronic Equipment, Instruments & Components–0.19%

  

†Anixter International

  1,820      138,557   

†FARO Technologies

  3,430      213,106   

†Rofin-Sinar Technologies

  3,600      87,228   
     

 

 

 
  438,891   
     

 

 

 

Energy Equipment & Services–0.54%

  

Bristow Group

  1,130      61,529   

Core Laboratories

  975      101,878   

Halliburton

  18,600      816,168   

†Pioneer Energy Services

  3,520      19,078   

†RigNet

  3,420      97,778   
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Energy Equipment & Services (continued)

  

  

Schlumberger

     2,145       $ 178,979   
     

 

 

 
  1,275,410   
     

 

 

 

Food & Staples Retailing–1.25%

Casey’s General Stores

  3,935      354,543   

CVS Health

  11,768      1,214,575   

Walgreens Boots Alliance

  16,301      1,380,369   
     

 

 

 
  2,949,487   
     

 

 

 

Food Products–1.50%

Archer-Daniels-Midland

  19,800      938,520   

General Mills

  3,770      213,382   

J&J Snack Foods

  1,470      156,849   

Kraft Foods Group

  14,533      1,266,042   

Mondelez International

  27,000      974,430   
     

 

 

 
  3,549,223   
     

 

 

 

Gas Utilities–0.02%

South Jersey Industries

  930      50,480   
     

 

 

 
  50,480   
     

 

 

 

Health Care Equipment & Supplies–0.84%

  

Baxter International

  13,800      945,300   

CONMED

  3,940      198,931   

CryoLife

  10,430      108,159   

†DexCom

  3,630      226,294   

†Merit Medical Systems

  5,430      104,527   

†Quidel

  5,960      160,801   

West Pharmaceutical Services

  4,050      243,851   
     

 

 

 
  1,987,863   
     

 

 

 

Health Care Providers & Services–1.23%

  

†Air Methods

  3,710      172,849   

Cardinal Health

  10,400      938,808   

†Express Scripts Holding

  3,040      263,781   

Quest Diagnostics

  12,500      960,625   

UnitedHealth Group

  3,250      384,443   

†WellCare Health Plans

  2,000      182,920   
     

 

 

 
  2,903,426   
     

 

 

 

Hotels, Restaurants & Leisure–0.65%

  

†Buffalo Wild Wings

  950      172,178   

Cheesecake Factory

  3,600      177,588   

†Del Frisco’s Restaurant Group

  7,360      148,304   

Jack in the Box

  2,130      204,310   

McDonald’s

  555      54,079   

†Popeyes Louisiana Kitchen

  3,440      205,781   

Starbucks

  2,970      281,259   

Wynn Resorts

  2,384      300,098   
     

 

 

 
  1,543,597   
     

 

 

 

Household Products–0.22%

Kimberly-Clark

  1,400      149,954   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–2


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Household Products (continued)

     

Procter & Gamble

     4,375       $ 358,487   
     

 

 

 
  508,441   
     

 

 

 

Industrial Conglomerates–0.16%

General Electric

  15,285      379,221   
     

 

 

 
  379,221   
     

 

 

 

Insurance–1.38%

Aflac

  3,370      215,714   

Allstate

  13,500      960,795   

American Equity Investment Life Holding

  5,890      171,576   

Fidelity & Guaranty Life

  5,430      115,116   

@Infinity Property & Casualty

  1,600      131,280   

Marsh & McLennan

  16,200      908,658   

Primerica

  2,650      134,885   

Prudential Financial

  1,520      122,071   

@Selective Insurance Group

  5,000      145,250   

Travelers

  2,315      250,321   

United Fire Group

  3,410      108,336   
     

 

 

 
  3,264,002   
     

 

 

 

Internet & Catalog Retail–1.22%

†Liberty Interactive Class A

  41,670      1,216,347   

†Priceline Group

  663      771,831   

†Shutterfly

  2,880      130,291   

†TripAdvisor

  9,197      764,914   
     

 

 

 
  2,883,383   
     

 

 

 

Internet Software & Services–2.39%

  

†Coupons.com

  4,330      50,834   

†eBay

  24,746      1,427,349   

†Endurance International Group Holdings

  1,260      24,016   

Equinix

  5,336      1,242,488   

†Facebook Class A

  3,270      268,843   

†Google Class A

  1,713      950,201   

†Google Class C

  1,154      632,392   

†GrubHub

  4,000      181,560   

@j2 Global

  2,610      171,425   

†SciQuest

  7,570      128,160   

†Yahoo

  5,482      243,593   

†Yelp

  7,111      336,706   
     

 

 

 
  5,657,567   
     

 

 

 

IT Services–1.95%

Accenture Class A

  3,000      281,070   

Convergys

  6,710      153,458   

†ExlService Holdings

  2,240      83,328   

International Business Machines

  405      65,003   

†InterXion Holding

  4,670      131,694   

MasterCard Class A

  15,140      1,307,945   
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

IT Services (continued)

     

TeleTech Holdings

     4,950       $ 125,977   

Visa Class A

     23,262         1,521,567   

Xerox

     73,600         945,760   
     

 

 

 
  4,615,802   
     

 

 

 

Life Sciences Tools & Services–0.13%

  

Thermo Fisher Scientific

  2,315      310,997   
     

 

 

 
  310,997   
     

 

 

 

Machinery–0.53%

Barnes Group

  4,920      199,211   

Caterpillar

  815      65,224   

Columbus McKinnon

  5,630      151,672   

Cummins

  855      118,537   

Deere

  1,030      90,321   

ESCO Technologies

  3,920      152,802   

Federal Signal

  6,360      100,424   

Kadant

  4,230      222,540   

Parker-Hannifin

  1,280      152,038   
     

 

 

 
  1,252,769   
     

 

 

 

Media–0.65%

Cinemark Holdings

  1,560      70,309   

Comcast Class A

  4,415      247,527   

†Discovery Communications Class A

  8,057      247,833   

†Discovery Communications Class C

  21,781      641,995   

Disney (Walt)

  1,150      120,623   

National CineMedia

  6,030      91,053   

Regal Entertainment Group Class A

  1,450      33,118   

Viacom Class B

  1,130      77,179   
     

 

 

 
  1,529,637   
     

 

 

 

Metals & Mining–0.12%

Kaiser Aluminum

  1,820      139,940   

Worthington Industries

  5,280      140,501   
     

 

 

 
  280,441   
     

 

 

 

Multiline Retail–0.19%

Macy’s

  3,730      242,114   

Nordstrom

  2,625      210,840   
     

 

 

 
  452,954   
     

 

 

 

Multi-Utilities–0.18%

MDU Resources Group

  4,855      103,606   

NorthWestern

  2,900      155,991   

Sempra Energy

  1,515      165,165   
     

 

 

 
  424,762   
     

 

 

 

Oil, Gas & Consumable Fuels–3.03%

  

†Bonanza Creek Energy

  2,160      53,266   

†Carrizo Oil & Gas

  3,170      157,391   

Chevron

  11,676      1,225,746   

ConocoPhillips

  13,800      859,188   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–3


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

†Diamondback Energy

     1,840       $ 141,386   

EOG Resources

     8,852         811,640   

Exxon Mobil

     4,050         344,250   

Kinder Morgan

     16,888         710,309   

Marathon Oil

     33,305         869,594   

Occidental Petroleum

     14,845         1,083,685   

†Parsley Energy Class A

     2,870         45,863   

†RSP Permian

     2,130         53,655   

Williams

     15,923         805,545   
     

 

 

 
  7,161,518   
     

 

 

 

Paper & Forest Products–0.16%

†Boise Cascade

  3,250      121,745   

International Paper

  2,115      117,361   

Neenah Paper

  2,190      136,963   
     

 

 

 
  376,069   
     

 

 

 

Pharmaceuticals–3.11%

AbbVie

  4,520      264,601   

†Actavis

  4,478      1,332,612   

†Akorn

  4,320      205,243   

Johnson & Johnson

  10,262      1,032,357   

†Medicines

  2,500      70,050   

Merck

  21,890      1,258,237   

Perrigo

  3,757      621,971   

Pfizer

  39,945      1,389,687   

†Prestige Brands Holdings

  3,230      138,535   

†Valeant Pharmaceuticals International

  5,300      1,052,686   
     

 

 

 
  7,365,979   
     

 

 

 

Professional Services–0.25%

Kforce

  8,610      192,089   

Nielsen

  2,890      128,807   

†On Assignment

  3,210      123,168   

†WageWorks

  2,620      139,725   
     

 

 

 
  583,789   
     

 

 

 

Real Estate Investment Trusts–4.43%

American Campus Communities

  1,550      66,449   

American Realty Capital Properties

  5,150      50,727   

American Tower

  2,415      227,372   

Apartment Investment & Management

  2,500      98,400   

AvalonBay Communities

  1,775      309,294   

Boston Properties

  2,350      330,128   

Brandywine Realty Trust

  7,675      122,647   

Camden Property Trust

  1,050      82,037   

Corporate Office Properties Trust

  2,000      58,760   

Cousins Properties

  4,875      51,675   

Crown Castle International

  13,458      1,110,823   

DCT Industrial Trust

  5,632      195,205   

DDR

  8,725      162,459   

Douglas Emmett

  4,800      143,088   

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Real Estate Investment Trusts (continued)

  

Duke Realty

     9,425       $ 205,182   

DuPont Fabros Technology

     4,350         142,158   

EastGroup Properties

     1,810         108,853   

EPR Properties

     4,655         279,440   

Equity Lifestyle Properties

     1,325         72,809   

Equity One

     2,500         66,725   

Equity Residential

     4,675         363,995   

Essex Property Trust

     975         224,153   

Extra Space Storage

     1,275         86,152   

Federal Realty Investment Trust

     525         77,285   

First Industrial Realty Trust

     5,475         117,329   

First Potomac Realty Trust

     2,925         34,778   

General Growth Properties

     10,075         297,716   

Health Care REIT

     1,425         110,238   

Healthcare Realty Trust

     2,725         75,701   

Healthcare Trust of America Class A

     2,512         69,984   

Highwoods Properties

     2,700         123,606   

Host Hotels & Resorts

     15,410         310,974   

Kilroy Realty

     1,625         123,776   

Kimco Realty

     5,000         134,250   

Kite Realty Group Trust

     5,512         155,273   

LaSalle Hotel Properties

     5,855         227,525   

Lexington Realty Trust

     5,750         56,523   

Liberty Property Trust

     1,350         48,195   

LTC Properties

     500         23,000   

Macerich

     1,450         122,279   

National Retail Properties

     5,610         229,842   

Pebblebrook Hotel Trust

     1,950         90,811   

Post Properties

     1,700         96,781   

Prologis

     6,675         290,763   

PS Business Parks

     775         64,356   

Public Storage

     1,275         251,353   

Ramco-Gershenson Properties Trust

     11,320         210,552   

Regency Centers

     2,075         141,183   

RLJ Lodging Trust

     2,900         90,799   

Sabra Health Care REIT

     1,475         48,896   

Simon Property Group

     3,975         777,669   

SL Green Realty

     1,825         234,293   

Sovran Self Storage

     1,640         154,062   

Spirit Realty Capital

     7,325         88,486   

†Strategic Hotels & Resorts

     7,825         97,265   

Tanger Factory Outlet Centers

     2,875         101,114   

Taubman Centers

     725         55,919   

UDR

     4,325         147,180   

Urban Edge Properties

     1,350         31,995   

Ventas

     4,000         292,080   

Vornado Realty Trust

     2,700         302,400   
     

 

 

 
  10,464,762   
     

 

 

 

Road & Rail–0.25%

Hunt (J.B.) Transport Services

  1,425      121,688   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–4


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

U.S. MARKETS (continued)

     

Road & Rail (continued)

     

†Roadrunner Transportation Systems

     3,500       $ 88,445   

†Swift Transportation

     3,570         92,891   

Union Pacific

     2,735         296,228   
     

 

 

 
  599,252   
     

 

 

 

Semiconductors & Semiconductor Equipment–1.22%

  

†Applied Micro Circuits

  18,280      93,228   

Avago Technologies

  1,715      217,771   

Broadcom Class A

  21,200      917,854   

Intel

  35,946      1,124,031   

Maxim Integrated Products

  5,750      200,157   

†Semtech

  6,500      173,193   

†Synaptics

  2,070      168,301   
     

 

 

 
  2,894,535   
     

 

 

 

Software–2.24%

†Adobe Systems

  8,059      595,882   

CA

  29,871      974,093   

†Callidus Software

  8,600      109,048   

†Electronic Arts

  15,225      895,458   

†Guidewire Software

  2,970      156,252   

Intuit

  6,198      600,958   

Microsoft

  31,116      1,265,021   

†Proofpoint

  3,150      186,543   

†salesforce.com

  2,535      169,363   

SS&C Technologies Holdings

  3,220      200,606   

†Tyler Technologies

  1,180      142,225   
     

 

 

 
  5,295,449   
     

 

 

 

Specialty Retail–1.34%

†Boot Barn Holdings

  1,910      45,687   

DSW Class A

  3,770      139,038   

†Express

  6,460      106,784   

L Brands

  10,506      990,611   

Lowe’s

  12,400      922,436   

†Sally Beauty Holdings

  14,061      483,277   

Tractor Supply

  2,515      213,926   

†Urban Outfitters

  5,670      258,835   
     

 

 

 
  3,160,594   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.36%

  

Apple

  5,165      642,681   

EMC

  8,070      206,269   
     

 

 

 
  848,950   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.55%

  

†G-III Apparel Group

  1,780      200,517   

†Iconix Brand Group

  4,440      149,495   

†Madden (Steven)

  5,910      224,580   

NIKE Class B

  7,281      730,503   
     

 

 

 
  1,305,095   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

U.S. MARKETS (continued)

  

Trading Companies & Distributors–0.07%

  

Applied Industrial Technologies

     3,650       $ 165,491   
     

 

 

 
  165,491   
     

 

 

 

Total U.S. Markets
(Cost $63,998,858)

  105,283,157   
     

 

 

 

§DEVELOPED MARKETS–16.86%

  

Aerospace & Defense–0.26%

  

Meggitt

  74,771      607,767   
     

 

 

 
  607,767   
     

 

 

 

Air Freight & Logistics–0.45%

  

Deutsche Post

  33,821      1,053,885   
     

 

 

 
  1,053,885   
     

 

 

 

Airlines–0.17%

@Westjet Airlines Class VV

  17,187      402,860   
     

 

 

 
  402,860   
     

 

 

 

Auto Components–0.39%

Sumitomo Rubber Industries

  50,100      923,357   
     

 

 

 
  923,357   
     

 

 

 

Automobiles–0.61%

Toyota Motor

  20,800      1,451,675   
     

 

 

 
  1,451,675   
     

 

 

 

Banks–2.38%

BNP Paribas

  678      41,237   

†ING Groep CVA

  59,153      866,633   

Mitsubishi UFJ Financial Group

  225,600      1,397,001   

Nordea Bank

  109,163      1,329,665   

Standard Chartered

  74,688      1,209,659   

UniCredit

  116,311      788,886   
     

 

 

 
  5,633,081   
     

 

 

 

Beverages–0.61%

Carlsberg Class B

  9,758      804,603   

Coca-Cola Amatil

  78,497      642,640   
     

 

 

 
  1,447,243   
     

 

 

 

Construction & Engineering–0.40%

  

Vinci

  16,526      944,368   
     

 

 

 
  944,368   
     

 

 

 

Containers & Packaging–0.39%

  

Rexam

  107,361      920,089   
     

 

 

 
  920,089   
     

 

 

 

Diversified Telecommunication Services–0.49%

  

Nippon Telegraph & Telephone

  18,714      1,155,042   
     

 

 

 
  1,155,042   
     

 

 

 

Energy Equipment & Services–0.19%

  

†Saipem

  37,171      378,173   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–5


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

  

  

§DEVELOPED MARKETS (continued)

  

  

Energy Equipment & Services (continued)

  

  

Subsea 7

     7,069       $ 60,711   
     

 

 

 
  438,884   
     

 

 

 

Food & Staples Retailing–0.33%

  

Tesco

  221,962      792,279   
     

 

 

 
  792,279   
     

 

 

 

Food Products–0.46%

†Aryzta

  17,885      1,096,400   
     

 

 

 
  1,096,400   
     

 

 

 

Household Durables–0.29%

  

Techtronic Industries

  202,000      681,023   
     

 

 

 
  681,023   
     

 

 

 

Industrial Conglomerates–0.39%

  

Koninklijke Philips

  32,416      919,812   
     

 

 

 
  919,812   
     

 

 

 

Insurance–0.59%

AXA

  54,991      1,384,336   
     

 

 

 
  1,384,336   
     

 

 

 

IT Services–0.98%

†CGI Group Class A

  30,832      1,307,619   

Teleperformance

  14,686      1,006,644   
     

 

 

 
  2,314,263   
     

 

 

 

Life Sciences Tools & Services–0.09%

  

†ICON

  3,090      217,938   
     

 

 

 
  217,938   
     

 

 

 

Media–0.16%

Publicis Groupe

  4,931      380,530   
     

 

 

 
  380,530   
     

 

 

 

Metals & Mining–0.45%

Anglo American ADR

  11,085      82,639   

AuRico Gold

  67,847      187,474   

Rio Tinto

  15,586      642,696   

Yamana Gold

  44,739      160,356   
     

 

 

 
  1,073,165   
     

 

 

 

Multi-Utilities–0.18%

National Grid

  32,536      418,270   
     

 

 

 
  418,270   
     

 

 

 

Oil, Gas & Consumable Fuels–0.49%

  

Suncor Energy

  20,200      590,220   

TOTAL

  11,678      580,586   
     

 

 

 
  1,170,806   
     

 

 

 

Pharmaceuticals–3.07%

Novartis

  14,521      1,433,230   

Novo Nordisk ADR

  18,555      990,651   
     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

  

  

§DEVELOPED MARKETS (continued)

  

  

Pharmaceuticals (continued)

  

  

Sanofi

     13,206       $ 1,304,455   

STADA Arzneimittel

     21,303         708,978   

Teva Pharmaceutical Industries ADR

     45,400         2,828,420   
     

 

 

 
  7,265,734   
     

 

 

 

Road & Rail–0.39%

East Japan Railway

  11,472      919,144   
     

 

 

 
  919,144   
     

 

 

 

Software–0.18%

Playtech

  36,062      414,785   
     

 

 

 
  414,785   
     

 

 

 

Specialty Retail–0.58%

Nitori Holdings

  20,118      1,361,632   
     

 

 

 
  1,361,632   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.62%

  

Kering

  2,870      560,382   

Yue Yuen Industrial Holdings

  259,000      916,456   
     

 

 

 
  1,476,838   
     

 

 

 

Tobacco–0.38%

Japan Tobacco

  28,300      894,551   
     

 

 

 
  894,551   
     

 

 

 

Trading Companies & Distributors–0.57%

  

ITOCHU

  84,660      916,028   

Rexel

  22,477      423,900   
     

 

 

 
  1,339,928   
     

 

 

 

Wireless Telecommunication Services–0.32%

  

Tele2 Class B

  64,147      767,254   
     

 

 

 
  767,254   
     

 

 

 

Total Developed Markets
(Cost $31,259,953)

  39,866,939   
     

 

 

 

×EMERGING MARKETS–10.47%

  

Airlines–0.03%

Gol Linhas Aereas Inteligentes ADR

  27,200      66,096   
     

 

 

 
  66,096   
     

 

 

 

Automobiles–0.16%

Hyundai Motor

  877      132,877   

Mahindra & Mahindra

  12,890      245,858   
     

 

 

 
  378,735   
     

 

 

 

Banks–1.38%

Akbank

  84,642      248,343   

Banco Santander Brasil ADR

  35,004      154,368   

Bangkok Bank

  39,193      221,994   

China Construction Bank

  351,239      291,524   

Grupo Financiero Banorte Class O

  22,000      127,582   

ICICI Bank ADR

  35,600      368,816   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–6


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

×EMERGING MARKETS (continued)

  

Banks (continued)

     

Industrial & Commercial Bank of China

     447,238       $ 330,814   

Itau Unibanco Holding ADR

     22,472         248,540   

†KB Financial Group ADR

     10,503         369,075   

Powszechna Kasa Oszczednosci Bank Polski

     11,073         99,086   

@=Sberbank

     136,705         147,677   

Shinhan Financial Group

     7,467         280,665   

Standard Bank Group

     27,673         382,471   
     

 

 

 
  3,270,955   
     

 

 

 

Beverages–0.50%

†Anadolu Efes Biracilik Ve Malt Sanayii

  26,082      217,583   

Cia Cervecerias Unidas ADR

  6,300      130,788   

†Fomento Economico Mexicano ADR

  3,165      295,927   

@Lotte Chilsung Beverage

  226      351,433   

Tsingtao Brewery

  26,072      174,825   
     

 

 

 
  1,170,556   
     

 

 

 

Building Products–0.22%

@KCC

  1,033      526,391   
     

 

 

 
  526,391   
     

 

 

 

Chemicals–0.09%

Braskem ADR

  16,068      111,512   

Sociedad Quimica y Minera de Chile ADR

  5,500      100,375   
     

 

 

 
  211,887   
     

 

 

 

Construction & Engineering–0.03%

  

†Empresas ICA ADR

  19,000      61,940   
     

 

 

 
  61,940   
     

 

 

 

Construction Materials–0.42%

  

†Cemex ADR

  38,255      362,275   

†Cemex Latam Holdings

  13,816      71,737   

Siam Cement - Foreign

  9,904      155,181   

Siam Cement NVDR

  7,859      123,603   

Ultratech Cement

  6,199      286,590   
     

 

 

 
  999,386   
     

 

 

 

Diversified Financial Services–0.15%

  

Reliance Capital

  17,708      120,802   

Remgro

  10,875      238,021   
     

 

 

 
  358,823   
     

 

 

 

Diversified Telecommunication Services–0.15%

  

†KT ADR

  12,066      157,823   

Telefonica Brasil ADR

  12,695      194,107   
     

 

 

 
  351,930   
     

 

 

 

Electronic Equipment, Instruments & Components–0.33%

  

Hon Hai Precision Industry

  128,004      375,131   

 

    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

×EMERGING MARKETS (continued)

  

  

Electronic Equipment, Instruments & Components (continued)

  

†LG Display ADR

     17,791       $ 254,589   

Samsung SDI

     1,255         154,208   
     

 

 

 
  783,928   
     

 

 

 

Food & Staples Retailing–0.16%

  

Cia Brasileira de Distribuicao ADR

  5,400      161,028   

Wal-Mart de Mexico Class V

  83,577      208,306   
     

 

 

 
  369,334   
     

 

 

 

Food Products–0.54%

BRF ADR

  12,599      249,208   

China Mengniu Dairy

  58,000      308,230   

@Lotte Confectionery

  152      244,631   

Tingyi Cayman Islands Holding

  99,541      214,312   

@Uni-President China Holdings

  407,600      269,713   
     

 

 

 
  1,286,094   
     

 

 

 

Hotels, Restaurants & Leisure–0.04%

  

@Arcos Dorados Holdings

  19,600      96,628   
     

 

 

 
  96,628   
     

 

 

 

Household Durables–0.07%

LG Electronics

  2,998      158,979   
     

 

 

 
  158,979   
     

 

 

 

Insurance–0.11%

Samsung Life Insurance

  2,945      256,394   
     

 

 

 
  256,394   
     

 

 

 

Internet Software & Services–1.01%

  

†Baidu ADR

  8,738      1,820,999   

†SINA

  5,296      170,319   

†@Sohu.com

  7,400      394,642   
     

 

 

 
  2,385,960   
     

 

 

 

IT Services–0.06%

†WNS Holdings ADR

  6,210      151,027   
     

 

 

 
  151,027   
     

 

 

 

Media–0.26%

†Grupo Televisa ADR

  18,514      611,147   
     

 

 

 
  611,147   
     

 

 

 

Metals & Mining–0.14%

†Anglo American Platinum

  3,671      89,882   

@Gerdau

  18,100      43,095   

Gerdau ADR

  14,100      45,120   

†Impala Platinum Holdings

  7,671      37,099   

Vale ADR

  22,152      125,159   
     

 

 

 
  340,355   
     

 

 

 
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–7


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

×EMERGING MARKETS (continued)

  

Multiline Retail–0.08%

  

Woolworths Holdings

     28,251       $ 200,323   
     

 

 

 
  200,323   
     

 

 

 

Oil, Gas & Consumable Fuels–1.40%

  

Cairn India

  37,143      127,745   

China Petroleum & Chemical

  198,850      158,466   

CNOOC ADR

  1,177      166,922   

@Gazprom ADR

  50,996      240,053   

Lukoil ADR

  6,108      280,540   

PetroChina ADR

  1,836      204,182   

†Petroleo Brasileiro ADR

  44,869      269,663   

Polski Koncern Naftowy Orlen

  10,070      157,166   

PTT-Foreign

  23,078      229,007   

#Reliance Industries GDR 144A

  32,314      854,705   

@Rosneft GDR

  33,951      145,638   

Sasol ADR

  5,353      182,216   

Tambang Batubara Bukit Asam Persero

  133,400      109,373   

YPF ADR

  6,600      181,170   
     

 

 

 
  3,306,846   
     

 

 

 

Paper & Forest Products–0.20%

†Fibria Celulose ADR

  26,010      367,521   

Nine Dragons Paper Holdings

  156,500      97,860   
     

 

 

 
  465,381   
     

 

 

 

Personal Products–0.10%

†Hypermarcas

  37,200      229,703   
     

 

 

 
  229,703   
     

 

 

 

Real Estate Management & Development–0.07%

  

#@=Etalon Group GDR 144A

  10,500      22,418   

@UEM Sunrise

  386,868      143,821   
     

 

 

 
  166,239   
     

 

 

 

Road & Rail–0.01%

America Latina Logistica

  21,742      27,381   
     

 

 

 
  27,381   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.54%

  

MediaTek

  22,000      297,479   

Taiwan Semiconductor Manufacturing

  98,944      460,393   

Taiwan Semiconductor Manufacturing ADR

  13,100      307,588   

United Microelectronics

  432,000      214,298   
     

 

 

 
  1,279,758   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.64%

  

Samsung Electronics

  1,169      1,516,616   
     

 

 

 
  1,516,616   
     

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

×EMERGING MARKETS (continued)

     

Transportation Infrastructure–0.01%

  

  

Santos Brasil Participacoes

     9,575       $ 32,757   
     

 

 

 
  32,757   
     

 

 

 

Wireless Telecommunication Services–1.57%

  

America Movil ADR

  10,858      222,155   

China Mobile

  45,348      590,993   

China Mobile ADR

  5,893      383,222   

MegaFon GDR

  10,726      170,695   

Mobile Telesystems ADR

  9,700      97,970   

MTN Group

  12,693      214,001   

SK Telecom ADR

  42,600      1,159,146   

Tim Participacoes ADR

  28,200      467,556   

Turkcell Iletisim Hizmetleri ADR

  13,810      179,944   

Vodacom Group

  20,666      225,767   
     

 

 

 
  3,711,449   
     

 

 

 

Total Emerging Markets
(Cost $24,821,102)

  24,772,998   
     

 

 

 

Total Common Stock
(Cost $120,079,913)

  169,923,094   
     

 

 

 

CONVERTIBLE PREFERRED STOCK–0.08%

  

Alcoa 5.375% exercise price $19.39, expiration date 10/1/17

  250      10,960   

ArcelorMittal 6.00% exercise price $20.36, expiration date 12/21/15

  500      7,633   

Bank of America 7.25% exercise price $50.00, expiration date 12/31/49

  13      14,913   

#Chesapeake Energy 144A 5.75% exercise price $26.14, expiration date 12/31/49

  13      11,261   

Crown Castle International 4.50% exercise price $90.25, expiration date 11/1/16

  150      15,725   

Dominion Resources 6.125% exercise price $65.06, expiration date 4/1/16

  158      8,873   

@Dynegy 5.375% exercise price $38.75, expiration date 11/1/17

  90      9,823   

Exelon 6.50% exercise price $43.75, expiration date 6/1/17

  150      7,297   

Halcon Resources 5.75% exercise price $6.16, expiration date 12/31/49

  14      4,133   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–8


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

CONVERTIBLE PREFERRED STOCK (continued)

  

HealthSouth 6.50% exercise price $29.70, expiration date 12/31/49

     14       $ 20,855   

Huntington Bancshares 8.50% exercise price $11. 95, expiration date 12/31/49

     14         18,662   

Intelsat 5.75% exercise price $22.05, expiration date 5/1/16

     539         18,757   

Maiden Holdings 7.25% exercise price $15.35, expiration date 9/15/16

     249         13,033   

SandRidge Energy 8.50% exercise price $8.01, expiration date 12/31/49

     138         5,261   

T-Mobile US 5.50% exercise price $31.02, expiration date 12/15/17

     222         13,023   

Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49

     13         15,899   
     

 

 

 

Total Convertible Preferred Stock
(Cost $221,733)

   

  196,108   
     

 

 

 

EXCHANGE-TRADED FUNDS–9.55%

  

iShares MSCI EAFE Growth Index ETF

  163,775      11,472,439   

iShares MSCI EAFE Index ETF

  83,270      5,343,436   

Vanguard FTSE Developed Markets ETF

  144,660      5,761,808   
     

 

 

 

Total Exchange-Traded Funds
(Cost $16,390,029)

   

  22,577,683   
     

 

 

 

PREFERRED STOCK–0.11%

  

Alabama Power 5.625%

  2,475      63,607   

•Bank of America 6.10%

  30,000      30,506   

•Integrys Energy Group 6.00%

  1,700      47,787   

•Morgan Stanley 5.55%

  55,000      55,687   

National Retail Properties 5.70%

  1,125      28,069   

Public Storage 5.20%

  1,200      29,064   

U.S. Airways 0.00%

  8      0   
     

 

 

 

Total Preferred Stock
(Cost $245,947)

  254,720   
     

 

 

 
     Principal
Amount°
        

AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS–0.18%

  

  

Fannie Mae Grantor Trust

     

Series 2001-T7 A1
7.50% 2/25/41

     50         60   
     Principal
Amount°
     Value
(U.S. $)
 

AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS (continued)

  

  

Fannie Mae REMICs

     

Series 1996-46 ZA
7.50% 11/25/26

     904       $ 1,033   

Series 2003-26 AT
5.00% 11/25/32

     18,479         19,071   

Series 2010-41 PN
4.50% 4/25/40

     65,000         71,193   

•*Series 2012-122 SD
5.926% 11/25/42

     86,277         20,966   

*Series 2013-26 ID
3.00% 4/25/33

     85,445         12,850   

*Series 2013-38 AI
3.00% 4/25/33

     82,769         11,727   

*Series 2013-44 DI
3.00% 5/25/33

     207,397         30,669   

Series 2014-36 ZE
3.00% 6/25/44

     35,885         33,193   

Freddie Mac REMICs

     

Series 2326 ZQ 6.50% 6/15/31

     7,450         8,592   

Series 4065 DE 3.00% 6/15/32

     10,000         10,276   

*Series 4185 LI 3.00% 3/15/33

     85,707         13,183   

*Series 4191 CI 3.00% 4/15/33

     87,010         11,840   

GNMA Series 2010-113 KE
4.50% 9/20/40

     155,000         173,402   
     

 

 

 

Total Agency Collateralized Mortgage Obligations
(Cost $403,844)

    

  418,055   
     

 

 

 

AGENCY MORTGAGE-BACKED SECURITIES–3.67%

   

Fannie Mae ARM

•2.42% 5/1/43

  28,252      28,889   

•2.546% 6/1/43

  9,963      10,227   

•3.196% 4/1/44

  41,570      43,373   

•3.266% 3/1/44

  38,492      40,292   

•3.31% 9/1/43

  29,593      31,039   

•5.141% 8/1/35

  2,025      2,160   

Fannie Mae S.F. 15 yr

2.50% 2/1/28

  88,759      91,398   

3.00% 5/1/28

  6,593      6,919   

3.50% 7/1/26

  21,772      23,225   

4.00% 5/1/25

  14,294      15,199   

4.00% 6/1/25

  50,074      53,237   

4.00% 11/1/25

  99,560      107,409   

4.00% 12/1/26

  23,427      24,825   

4.00% 1/1/27

  152,653      164,184   

4.00% 5/1/27

  51,599      54,999   

4.00% 8/1/27

  28,315      30,093   

4.50% 4/1/18

  2,253      2,363   

4.50% 5/1/20

  574      605   

4.50% 8/1/20

  717      755   

4.50% 10/1/20

  766      808   

4.50% 9/1/24

  1,342      1,447   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–9


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

   

Fannie Mae S.F. 15 yr (continued)

  

  

4.50% 12/1/24

     1,843       $ 1,987   

4.50% 4/1/25

     11,889         12,818   

5.00% 12/1/20

     2,545         2,754   

5.00% 6/1/23

     4,957         5,380   

Fannie Mae S.F. 15 yr TBA

     

2.50% 5/1/30

     206,000         211,142   

Fannie Mae S.F. 20 yr

     

3.00% 2/1/33

     3,373         3,496   

3.00% 8/1/33

     13,251         13,736   

3.50% 4/1/33

     4,063         4,297   

3.50% 9/1/33

     19,031         20,329   

4.00% 1/1/31

     6,263         6,746   

4.00% 2/1/31

     18,867         20,319   

5.00% 11/1/23

     1,572         1,746   

6.00% 9/1/29

     14,412         16,414   

Fannie Mae S.F. 30 yr

     

3.00% 7/1/42

     25,658         26,295   

3.00% 10/1/42

     399,685         409,668   

3.00% 12/1/42

     63,729         65,321   

3.00% 1/1/43

     148,051         151,714   

3.00% 2/1/43

     13,440         13,774   

3.00% 4/1/43

     99,825         102,270   

3.00% 5/1/43

     86,579         88,689   

4.00% 8/1/43

     11,503         12,406   

4.50% 7/1/36

     8,303         9,090   

4.50% 11/1/40

     21,927         24,013   

4.50% 3/1/41

     45,888         50,295   

4.50% 4/1/41

     58,646         64,256   

4.50% 7/1/41

     16,150         17,707   

4.50% 10/1/41

     27,432         30,071   

4.50% 1/1/42

     542,726         593,837   

4.50% 9/1/42

     325,260         356,548   

4.50% 12/1/43

     1,561         1,702   

4.50% 5/1/44

     6,803         7,433   

4.50% 6/1/44

     37,459         40,994   

5.00% 2/1/35

     34,171         38,165   

5.00% 4/1/35

     8,043         8,958   

5.00% 7/1/35

     10,183         11,329   

5.00% 10/1/35

     24,166         26,887   

5.00% 11/1/35

     12,096         13,461   

5.00% 4/1/37

     6,477         7,210   

5.00% 8/1/37

     18,074         20,128   

5.00% 2/1/38

     6,741         7,499   

5.50% 12/1/32

     1,333         1,510   

5.50% 2/1/33

     19,445         22,030   

5.50% 11/1/34

     7,402         8,384   

5.50% 12/1/34

     32,505         36,788   

5.50% 3/1/35

     3,410         3,837   

5.50% 5/1/35

     11,872         13,421   

5.50% 6/1/35

     5,223         5,880   

5.50% 1/1/36

     3,816         4,313   
     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

   

Fannie Mae S.F. 30 yr (continued)

  

  

5.50% 4/1/36

     17,755       $ 19,984   

5.50% 5/1/36

     3,333         3,761   

5.50% 7/1/36

     1,998         2,260   

5.50% 9/1/36

     39,197         44,389   

5.50% 11/1/36

     5,728         6,454   

5.50% 1/1/37

     23,343         26,292   

5.50% 4/1/37

     79,111         89,683   

5.50% 8/1/37

     7,709         8,704   

5.50% 1/1/38

     700         788   

5.50% 2/1/38

     12,302         13,905   

5.50% 3/1/38

     14,166         16,093   

5.50% 6/1/38

     52,535         59,116   

5.50% 9/1/38

     51,648         58,298   

5.50% 12/1/38

     28,125         31,833   

5.50% 1/1/39

     21,189         23,895   

5.50% 2/1/39

     81,014         91,550   

5.50% 10/1/39

     63,676         71,653   

5.50% 7/1/40

     18,817         21,182   

5.50% 9/1/41

     228,988         257,685   

6.00% 5/1/36

     25,128         28,720   

6.00% 6/1/36

     2,523         2,885   

6.00% 7/1/36

     5,283         6,017   

6.00% 12/1/36

     2,810         3,230   

6.00% 2/1/37

     8,298         9,478   

6.00% 5/1/37

     22,065         25,178   

6.00% 6/1/37

     1,464         1,688   

6.00% 7/1/37

     1,464         1,680   

6.00% 8/1/37

     18,857         21,567   

6.00% 9/1/37

     2,704         3,088   

6.00% 11/1/37

     3,847         4,426   

6.00% 5/1/38

     34,863         39,780   

6.00% 7/1/38

     974         1,112   

6.00% 9/1/38

     88,050         100,771   

6.00% 10/1/38

     30,635         35,001   

6.00% 11/1/38

     6,345         7,259   

6.00% 1/1/39

     12,937         14,790   

6.00% 9/1/39

     108,633         123,987   

6.00% 3/1/40

     11,201         12,782   

6.00% 7/1/40

     44,444         50,706   

6.00% 9/1/40

     10,244         11,694   

6.00% 11/1/40

     3,890         4,483   

6.00% 5/1/41

     104,800         119,736   

6.50% 3/1/40

     73,788         85,928   

Fannie Mae S.F. 30 yr TBA

     

3.00% 5/1/45

     1,806,000         1,841,944   

3.50% 5/1/45

     726,000         760,683   

4.50% 5/1/45

     336,000         365,636   

Freddie Mac ARM

     

•2.342% 12/1/33

     12,239         13,092   

•2.482% 6/1/37

     5,198         5,578   

•2.532% 1/1/44

     80,098         82,625   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–10


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

   

Freddie Mac S.F. 15 yr

     

3.50% 11/1/25

     5,689       $ 6,050   

3.50% 6/1/26

     5,990         6,366   

3.50% 1/1/27

     6,795         7,218   

4.00% 5/1/25

     3,974         4,232   

4.50% 5/1/20

     5,274         5,567   

4.50% 7/1/25

     4,562         4,919   

4.50% 6/1/26

     10,588         11,420   

4.50% 9/1/26

     16,693         18,027   

5.50% 5/1/20

     140,369         152,237   

Freddie Mac S.F. 20 yr

     

3.00% 6/1/34

     14,596         15,089   

3.50% 1/1/34

     30,729         32,414   

Freddie Mac S.F. 30 yr

     

3.00% 10/1/42

     29,097         29,760   

3.00% 11/1/42

     25,204         25,848   

4.50% 6/1/39

     4,471         4,872   

4.50% 10/1/39

     11,645         12,705   

4.50% 4/1/41

     79,296         86,675   

5.50% 3/1/34

     2,819         3,181   

5.50% 12/1/34

     2,576         2,912   

5.50% 6/1/36

     1,797         2,022   

5.50% 11/1/36

     2,322         2,599   

5.50% 12/1/36

     846         950   

5.50% 9/1/37

     3,678         4,129   

5.50% 4/1/38

     12,913         14,493   

5.50% 6/1/38

     1,365         1,532   

5.50% 7/1/38

     13,498         15,142   

5.50% 6/1/39

     14,027         15,734   

5.50% 3/1/40

     10,714         12,027   

5.50% 8/1/40

     6,523         7,315   

5.50% 1/1/41

     6,226         6,975   

5.50% 6/1/41

     74,377         83,351   

6.00% 2/1/36

     5,939         6,820   

6.00% 1/1/38

     3,784         4,295   

6.00% 6/1/38

     10,637         12,099   

6.00% 8/1/38

     13,601         15,527   

6.00% 5/1/40

     4,112         4,677   

6.00% 7/1/40

     23,175         26,480   

6.50% 4/1/39

     15,174         17,383   

GNMA I S.F. 30 yr 5.00% 6/15/40

     5,686         6,341   
     

 

 

 

Total Agency Mortgage-Backed Securities
(Cost $8,526,602)

   

  8,672,945   
     

 

 

 

COMMERCIAL MORTGAGE-BACKED

SECURITIES–1.18%

  

  

Banc of America Commercial Mortgage Trust

   

•Series 2006-1 AM
5.421% 9/10/45

  10,000      10,274   
     Principal
Amount°
     Value
(U.S. $)
 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

   

  

Banc of America Commercial Mortgage Trust (continued)

   

•Series 2007-4 AM
5.821% 2/10/51

     40,000       $ 43,461   

Bear Stearns Commercial Mortgage Securities Trust Series 2007-PWR18 A4 5.70% 6/11/50

     25,000         27,060   

CD Commercial Mortgage Trust

  

  

•Series 2005-CD1 AM 5.225% 7/15/44

     50,000         50,771   

•Series 2005-CD1 C 5.225% 7/15/44

     15,000         15,215   

Citigroup Commercial Mortgage Trust

  

Series 2014-GC25 A4
3.635% 10/10/47

     45,000         48,001   

Series 2015-GC27 A5
3.137% 2/10/48

     15,000         15,361   

COMM Mortgage Trust

  

Series 2014-CR19 A5
3.796% 8/10/47

     25,000         27,014   

Series 2014-CR20 A4
3.59% 11/10/47

     70,000         74,468   

Series 2014-CR20 AM
3.938% 11/10/47

     35,000         37,380   

Series 2014-CR21 A3
3.528% 12/10/47

     35,000         37,055   

#Series 2015-3BP A 144A
3.178% 2/10/35

     100,000         102,354   

Series 2015-DC1 A5 3.35% 2/10/48

     25,000         26,069   

Commercial Mortgage Trust Series 2007-GG9 AM 5.475% 3/10/39

     25,000         26,366   

•Credit Suisse First Boston Mortgage Securities Series 2005-C5 AM
5.10% 8/15/38

     25,000         25,191   

#•DB-UBS Mortgage Trust Series 2011-LC1A C 144A 5.558% 11/10/46

     100,000         113,478   

FREMF Mortgage Trust

     

#•Series 2011-K10 B 144A
4.618% 11/25/49

     25,000         27,428   

#•Series 2011-K15 B 144A
4.932% 8/25/44

     10,000         11,121   

#•Series 2011-K702 B 144A
4.771% 4/25/44

     10,000         10,742   

#•Series 2011-K703 B 144A
4.884% 7/25/44

     10,000         10,800   

#•Series 2012-K19 B 144A
4.037% 5/25/45

     10,000         10,684   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–11


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

  

  

FREMF Mortgage Trust (continued)

     

#•Series 2012-K22 B 144A
3.687% 8/25/45

     35,000       $ 36,357   

#•Series 2012-K22 C 144A
3.687% 8/25/45

     30,000         30,295   

#•Series 2012-K707 B 144A
3.883% 1/25/47

     15,000         15,722   

#•Series 2012-K708 B 144A
3.761% 2/25/45

     45,000         46,974   

#•Series 2012-K708 C 144A
3.761% 2/25/45

     10,000         10,242   

#•Series 2013-K26 C 144A
3.60% 12/25/45

     15,000         15,035   

#•Series 2013-K30 C 144A
3.556% 6/25/45

     30,000         29,601   

#•Series 2013-K31 C 144A
3.627% 7/25/46

     65,000         64,827   

#•Series 2013-K33 B 144A
3.504% 8/25/46

     30,000         30,706   

#•Series 2013-K33 C 144A
3.504% 8/25/46

     20,000         19,797   

#•Series 2013-K712 144A
3.369% 5/25/45

     70,000         72,025   

#•Series 2013-K713 144A
3.165% 4/25/46

     75,000         76,449   

#•Series 2013-K713 C 144A
3.165% 4/25/46

     45,000         44,625   

#•Series 2014-K716 C 144A
3.954% 8/25/47

     20,000         20,477   

#GRACE Mortgage Trust Series 2014-GRCE A 144A
3.369% 6/10/28

     700,000         739,696   

#GS Mortgage Securities Trust Series 2010-C1 A2 144A
4.592% 8/10/43

     100,000         111,666   

#Hilton USA Trust Series 2013-HLT BFX 144A
3.367% 11/5/30

     100,000         101,271   

#Houston Galleria Mall Trust Series 2015-HGLR A1A2 144A
3.087% 3/5/37

     100,000         101,062   

JPMBB Commercial Mortgage Securities Trust

  

  

Series 2014-C18 A1
1.254% 2/15/47

     50,024         49,997   

•Series 2014-C22 B
4.562% 9/15/47

     15,000         16,387   

JPMorgan Chase Commercial Mortgage Securities Trust

  

•Series 2005-CB11 E
5.724% 8/12/37

     15,000         16,291   
     Principal
Amount°
    

Value

(U.S. $)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

  

  

JPMorgan Chase Commercial Mortgage Securities Trust (continued)

   

  

•Series 2005-LDP4 AJ
5.04% 10/15/42

     60,000       $ 60,444   

•Series 2005-LDP5 D
5.382% 12/15/44

     25,000         25,528   

Series 2006-LDP8 AM
5.44% 5/15/45

     89,000         93,477   

LB-UBS Commercial Mortgage Trust

  

  

Series 2004-C1 A4
4.568% 1/15/31

     3,759         3,824   

•Series 2006-C6 AJ
5.452% 9/15/39

     35,000         36,705   

Series 2006-C6 AM
5.413% 9/15/39

     35,000         36,936   

Morgan Stanley Bank of America Merrill Lynch Trust

  

Series 2014-C18 A4
3.923% 10/15/47

     20,000         21,811   

Series 2014-C19 AS
3.832% 12/15/47

     10,000         10,554   

Morgan Stanley Capital I Trust

     

•Series 2005-HQ7 AJ
5.204% 11/14/42

     50,000         50,636   

•Series 2006-T21 AM
5.204% 10/12/52

     35,000         35,889   

WF-RBS Commercial Mortgage Trust Series 2014-C23 A5
3.917% 10/15/57

     20,000         21,858   
     

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $2,753,492)

   

  2,797,457   
     

 

 

 

CONVERTIBLE BONDS–0.20%

Alaska Communications Systems Group 6.25% exercise price $10.28, expiration date 4/27/18

  24,000      23,655   

BGC Partners 4.50% exercise price $9.84, expiration date 7/13/16

  11,000      11,990   

BioMarin Pharmaceutical 1.50% exercise price $94.15, expiration date 10/13/20

  12,000      18,233   

Blackstone Mortgage Trust 5.25% exercise price $28. 66, expiration date 12/1/18

  21,000      21,906   

#Campus Crest Communities Operating Partnership 144A 4.75% exercise price $12.56, expiration date 10/11/18

  13,000      12,586   

Cardtronics 1.00% exercise price $52.35, expiration date 11/27/20

  19,000      18,893   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–12


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

CONVERTIBLE BONDS (continued)

     

Cemex 3.25% exercise price $9.65, expiration date 3/9/16

     14,000       $ 15,741   

Chart Industries 2.00% exercise price $69.03, expiration date 7/30/18

     5,000         4,834   

Chesapeake Energy 2.25% exercise price $80.28, expiration date 12/14/38

     11,000         10,037   

Chesapeake Energy 2.50% exercise price $47.77, expiration date 5/15/37

     12,000         11,557   

#Ciena 144A 3.75% exercise price $20.17, expiration date 10/15/18

     13,000         15,998   

Gain Capital Holdings 4.125% exercise price $12.00, expiration date 11/30/18

     6,000         6,469   

fGeneral Cable 4.50% exercise price $34.47, expiration date 11/15/29

     19,000         15,141   

Gilead Sciences 1.625% exercise price $22.71, expiration date 4/29/16

     4,000         17,240   

Illumina 0.25% exercise price $83.55, expiration date 3/11/16

     5,000         11,066   

Intel 3.25% exercise price $21.47, expiration date 8/1/39

     5,000         7,903   

Jefferies Group 3.875% exercise price $44.94, expiration date 10/31/29

     17,000         17,244   

#Lexington Realty Trust 144A 6.00% exercise price $6.60, expiration date 1/11/30

     7,000         10,163   

Liberty Interactive 0.75% exercise price $1,000.00, expiration date 3/30/43

     19,000         26,612   

#Liberty Interactive 144A 1.00% exercise price $64.31, expiration date 9/28/43

     14,000         13,755   

Mylan 3.75% exercise price $13.32, expiration date 9/10/15

     5,000         22,253   

Novellus Systems 2.625% exercise price $34.78, expiration date 5/14/41

     10,000         20,469   

NuVasive 2.75% exercise price $42.13, expiration date 6/30/17

     16,000         20,060   

#NXP Semiconductors 144A 1.00% exercise price $102.84, expiration date 11/27/19

     8,000         9,570   
     Principal
Amount°
     Value
(U.S. $)
 

CONVERTIBLE BONDS (continued)

     

#Oclaro 144A 6.00% exercise price $1.95, expiration date 2/14/20

     4,000       $ 4,893   

Peabody Energy 4.75% exercise price $57.15, expiration date 12/15/41

     19,000         6,804   

#PROS Holdings 144A 2.00% exercise price $33.79, expiration date 11/27/19

     9,000         9,293   

SanDisk 1.50% exercise price $51.16, expiration date 8/11/17

     8,000         10,935   

Spectrum Pharmaceuticals 2.75% exercise price $10.53, expiration date 12/13/18

     5,000         4,597   

Spirit Realty Capital 3.75% exercise price $13.10, expiration date 5/13/21

     15,000         15,019   

Titan Machinery 3.75% exercise price $43.17, expiration date 4/30/19

     5,000         3,475   

#TPG Specialty Lending 144A 4.50% exercise price $25.83, expiration date 12/15/19

     17,000         16,979   

#Vantage Drilling 144A 5.50% exercise price $2.39, expiration date 7/15/43

     21,000         12,810   

Vector Group 1.75% exercise price $25.87, expiration date 4/15/20

     16,000         17,220   

•Vector Group 2.50% exercise price $16.78, expiration date 1/14/19

     7,000         9,903   
     

 

 

 

Total Convertible Bonds
(Cost $429,614)

  475,303   
     

 

 

 

CORPORATE BONDS–9.20%

Aerospace & Defense–0.03%

Lockheed Martin 3.80% 3/1/45

  20,000      19,969   

TransDigm

6.00% 7/15/22

  30,000      30,150   

6.50% 7/15/24

  25,000      25,250   
     

 

 

 
  75,369   
     

 

 

 

Air Freight & Logistics–0.04%

#Aviation Capital Group 144A
6.75% 4/6/21

  40,000      45,579   

United Parcel Service
5.125% 4/1/19

  45,000      51,216   
     

 

 

 
  96,795   
     

 

 

 
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–13


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

            Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

  

  

Airlines–0.06%

        

#tAir Canada 2015-1 Class A Pass Through Trust 144A
3.60% 3/15/27

        25,000       $ 25,000   

tAmerican Airlines 2014-1 Class A Pass Through Trust
3.70% 10/1/26

        25,000         25,875   

tAmerican Airlines 2015-1 Class A Pass Through Trust
3.375% 5/1/27

        25,000         25,187   

tUnited Airlines 2014-1 Class A Pass Through Trust
4.00% 4/11/26

        20,000         21,100   

tUnited Airlines 2014-2 Class A Pass Through Trust
3.75% 9/3/26

        45,000         46,913   
        

 

 

 
  144,075   
        

 

 

 

Auto Components–0.11%

American Axle & Manufacturing 6.25% 3/15/21

  35,000      37,013   

BorgWarner 3.375% 3/15/25

  10,000      10,314   

Dana Holding 5.50% 12/15/24

  12,000      12,420   

Lear 5.25% 1/15/25

  85,000      87,125   

TRW Automotive

#144A 4.45% 12/1/23

  70,000      70,700   

#144A 4.50% 3/1/21

  40,000      40,400   
        

 

 

 
  257,972   
        

 

 

 

Automobiles–0.14%

Daimler 2.75% 12/10/18

  NOK      320,000      41,779   

Ford Motor 7.45% 7/16/31

  51,000      70,595   

General Motors

3.50% 10/2/18

  80,000      82,365   

5.00% 4/1/35

  40,000      42,819   

#Hyundai Capital America 144A
2.55% 2/6/19

  50,000      50,897   

Toyota Finance Australia
3.04% 12/20/16

  NZD      50,000      36,906   
        

 

 

 
  325,361   
        

 

 

 

Beverages–0.07%

#Pernod-Ricard 144A
5.75% 4/7/21

  150,000      174,295   
        

 

 

 
  174,295   
        

 

 

 

Biotechnology–0.08%

Celgene

3.95% 10/15/20

  55,000      59,425   

4.625% 5/15/44

  10,000      10,680   

Gilead Sciences

3.50% 2/1/25

  50,000      52,791   

4.50% 2/1/45

  10,000      11,072   
     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

     

Biotechnology (continued)

     

Immucor 11.125% 8/15/19

     55,000       $ 59,331   
     

 

 

 
  193,299   
     

 

 

 

Building Products–0.04%

#Builders FirstSource 144A
7.625% 6/1/21

  20,000      20,200   

Nortek 8.50% 4/15/21

  60,000      64,500   
     

 

 

 
  84,700   
     

 

 

 

Capital Markets–0.08%

Affiliated Managers Group
3.50% 8/1/25

  40,000      40,036   

Bank of New York Mellon
2.15% 2/24/20

  10,000      10,089   

E*TRADE Financial
4.625% 9/15/23

  30,000      30,600   

Jefferies Group

5.125% 1/20/23

  20,000      20,793   

6.45% 6/8/27

  25,000      27,125   

6.50% 1/20/43

  15,000      14,973   

Lazard Group 6.85% 6/15/17

  28,000      31,123   

State Street 3.10% 5/15/23

  25,000      25,333   
     

 

 

 
  200,072   
     

 

 

 

Chemicals–0.37%

CF Industries

6.875% 5/1/18

  95,000      108,378   

7.125% 5/1/20

  50,000      60,313   

Dow Chemical

3.50% 10/1/24

  20,000      20,350   

8.55% 5/15/19

  223,000      279,450   

#Grace (W.R.) 144A
5.125% 10/1/21

  20,000      20,800   

LYB International Finance
4.875% 3/15/44

  5,000      5,392   

LyondellBasell Industries
4.625% 2/26/55

  100,000      100,028   

Methanex 4.25% 12/1/24

  55,000      55,834   

#NOVA Chemicals 144A
5.00% 5/1/25

  63,000      65,993   

PolyOne 5.25% 3/15/23

  25,000      26,063   

Potash of Saskatchewan
3.00% 4/1/25

  35,000      35,120   

PPG Industries 2.30% 11/15/19

  35,000      35,434   

Rockwood Specialties Group
4.625% 10/15/20

  30,000      31,313   

#TPC Group 144A
8.75% 12/15/20

  25,000      23,000   
     

 

 

 
  867,468   
     

 

 

 
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–14


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

          Principal      Value  
          Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

  

Commercial Banks–0.53%

        

Australia & New Zealand Banking Group
2.625% 12/10/18

   CAD      25,000       $ 20,631   

BB&T 2.45% 1/15/20

        35,000         35,628   

#BBVA Banco Continental 144A 5.00% 8/26/22

        25,000         26,700   

#BBVA Bancomer 144A
7.25% 4/22/20

        100,000         111,000   

City National 5.25% 9/15/20

        45,000         51,716   

Cooperatieve Centrale Raiffeisen-Boerenleenbank 4.25% 1/13/22

   AUD      12,000         9,642   

KeyBank 5.45% 3/3/16

        250,000         260,173   

•National City Bank
0.634% 6/7/17

        335,000         333,540   

Northern Trust 3.95% 10/30/25

        30,000         32,270   

#•PNC Preferred Funding Trust II 144A 1.493% 3/31/49

        100,000         92,000   

•USB Capital IX 3.50% 10/29/49

        275,000         228,937   

•Wells Fargo 5.875% 6/15/50

        20,000         21,204   

Zions Bancorp 4.50% 6/13/23

        20,000         21,187   
        

 

 

 
  1,244,628   
        

 

 

 

Commercial Services & Supplies–0.22%

  

#Algeco Scotsman Global Finance 144A 8.50% 10/15/18

  200,000      199,250   

#Brambles USA 144A
3.95% 4/1/15

  20,000      20,000   

#CDK Global 144A
4.50% 10/15/24

  30,000      30,979   

HD Supply

7.50% 7/15/20

  15,000      16,125   

11.50% 7/15/20

  30,000      34,837   

#Prestige Brands 144A
5.375% 12/15/21

  55,000      55,963   

Service International
5.375% 5/15/24

  35,000      36,750   

Spectrum Brands
6.375% 11/15/20

  35,000      37,275   

United Rentals North America

4.625% 7/15/23

  35,000      35,481   

5.75% 11/15/24

  55,000      57,063   
        

 

 

 
  523,723   
        

 

 

 

Computers & Peripherals–0.06%

  

Apple 3.45% 2/9/45

  10,000      9,518   

NetApp 3.25% 12/15/22

  40,000      39,625   

Seagate HDD Cayman

#144A 4.75% 1/1/25

  40,000      41,500   

#144A 5.75% 12/1/34

  50,000      53,601   
        

 

 

 
  144,244   
        

 

 

 
          Principal      Value  
          Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

  

Construction & Engineering–0.02%

  

  

AECOM

        

#144A 5.75% 10/15/22

        10,000       $ 10,375   

#144A 5.875% 10/15/24

        39,000         41,047   
        

 

 

 
  51,422   
        

 

 

 

Construction Materials–0.09%

#Cemex 144A 4.375% 3/5/23

EUR   100,000      107,948   

MUFG Americas Holdings

2.25% 2/10/20

  30,000      30,092   

3.00% 2/10/25

  70,000      69,354   
        

 

 

 
  207,394   
        

 

 

 

Consumer Finance–0.09%

Ally Financial

4.125% 2/13/22

  15,000      14,663   

4.625% 3/30/25

  85,000      83,937   

General Motors Financial

4.00% 1/15/25

  15,000      15,329   

4.375% 9/25/21

  35,000      37,217   

SunTrust Banks 2.35% 11/1/18

  60,000      60,984   
        

 

 

 
  212,130   
        

 

 

 

Containers & Packaging–0.06%

  

Berry Plastics 5.50% 5/15/22

  25,000      25,719   

#BWAY Holding 144A
9.125% 8/15/21

  50,000      52,250   

#Consolidated Container 144A
10.125% 7/15/20

  20,000      17,500   

#Plastipak Holdings 144A
6.50% 10/1/21

  50,000      51,125   
        

 

 

 
  146,594   
        

 

 

 

Diversified Consumer Services–0.05%

  

#Red de Carreteras de Occidente 144A 9.00% 6/10/28

MXN   2,000,000      126,795   
        

 

 

 
  126,795   
        

 

 

 

Diversified Financial Services–0.50%

  

Bank of America
4.25% 10/22/26

  50,000      51,688   

CME Group 3.00% 3/15/25

  40,000      40,457   

#ERAC USA Finance 144A
4.50% 2/15/45

  10,000      10,158   

General Electric Capital

2.10% 12/11/19

  70,000      71,426   

2.20% 1/9/20

  30,000      30,351   

4.25% 1/17/18

NZD   50,000      37,673   

5.55% 5/4/20

  30,000      34,969   

6.00% 8/7/19

  56,000      65,482   

•7.125% 12/15/49

  100,000      117,750   

Goldman Sachs Group

2.60% 4/23/20

  115,000      116,358   

5.20% 12/17/19

NZD   33,000      25,281   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–15


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

          Principal      Value  
          Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

  

Diversified Financial Services (continued)

  

  

JPMorgan Chase

        

•0.886% 1/28/19

        26,000       $ 26,073   

4.125% 12/15/26

        135,000         140,279   

•6.75% 8/29/49

        30,000         32,700   

Morgan Stanley

        

4.35% 9/8/26

        55,000         57,732   

5.00% 9/30/21

   AUD      14,000         11,431   

National Rural Utilities Cooperative Finance

        

2.85% 1/27/25

        45,000         45,406   

•4.75% 4/30/43

        60,000         60,330   

#Peachtree Corners Funding Trust 144A 3.976% 2/15/25

        100,000         101,649   

#SUAM Finance 144A
4.875% 4/17/24

        100,000         103,750   
        

 

 

 
  1,180,943   
        

 

 

 

Diversified Telecommunication Services–0.48%

  

AT&T

4.35% 6/15/45

  30,000      28,812   

5.35% 9/1/40

  60,000      65,714   

Bell Canada 3.35% 3/22/23

CAD   19,000      15,803   

CenturyLink

5.80% 3/15/22

  120,000      125,550   

6.75% 12/1/23

  45,000      49,725   

Hughes Satellite Systems
7.625% 6/15/21

  15,000      16,556   

Intelsat Luxembourg
8.125% 6/1/23

  115,000      106,375   

Level 3 Financing
5.375% 8/15/22

  55,000      56,873   

Motorola Solutions
4.00% 9/1/24

  65,000      67,297   

Orange 5.50% 2/6/44

  45,000      53,635   

SBA Tower Trust

#144A 2.24% 4/16/18

  40,000      40,030   

#144A 2.898% 10/15/19

  25,000      25,304   

#SES 144A 3.60% 4/4/23

  75,000      78,702   

Telefonica Emisiones
6.421% 6/20/16

  75,000      79,714   

Verizon Communications

4.40% 11/1/34

  75,000      76,650   

4.862% 8/21/46

  115,000      120,694   

5.15% 9/15/23

  70,000      80,310   

Windstream

7.50% 4/1/23

  15,000      14,400   

7.75% 10/1/21

  30,000      30,075   
        

 

 

 
  1,132,219   
        

 

 

 

Electric Utilities–0.47%

  

Berkshire Hathaway Energy
3.75% 11/15/23

  110,000      117,471   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Electric Utilities (continued)

     

Cleveland Electric Illuminating
5.50% 8/15/24

     5,000       $ 6,032   

ComEd Financing III 6.35% 3/15/33

     60,000         61,971   

Dominion Gas Holdings
3.60% 12/15/24

     115,000         120,819   

DTE Energy 2.40% 12/1/19

     45,000         45,782   

#•Electricite de France 144A
5.25% 12/29/49

     100,000         104,600   

Entergy Arkansas 3.70% 6/1/24

     20,000         21,454   

Great Plains Energy 4.85% 6/1/21

     30,000         33,596   

Indiana Michigan Power
3.20% 3/15/23

     15,000         15,431   

IPALCO Enterprises 5.00% 5/1/18

     45,000         47,925   

ITC Holdings 3.65% 6/15/24

     65,000         67,499   

LG&E & KU Energy

     

3.75% 11/15/20

     60,000         63,576   

4.375% 10/1/21

     115,000         127,109   

#Metropolitan Edison 144A
4.00% 4/15/25

     30,000         31,403   

NextEra Energy Capital Holdings

     

2.40% 9/15/19

     65,000         65,831   

3.625% 6/15/23

     25,000         26,211   

NV Energy 6.25% 11/15/20

     65,000         77,237   

Pennsylvania Electric 5.20% 4/1/20

     55,000         60,955   

#Trans-Allegheny Interstate Line 144A 3.85% 6/1/25

     15,000         15,701   
     

 

 

 
  1,110,603   
     

 

 

 

Electronic Equipment, Instruments & Components–0.07%

  

CDW 5.00% 9/1/23

  10,000      10,175   

Thermo Fisher Scientific

2.40% 2/1/19

  60,000      60,898   

4.15% 2/1/24

  85,000      91,946   
     

 

 

 
  163,019   
     

 

 

 

Energy Equipment & Services–0.02%

  

Bristow Group 6.25% 10/15/22

  35,000      33,425   

Exterran Partners 6.00% 4/1/21

  15,000      13,875   
     

 

 

 
  47,300   
     

 

 

 

Food & Staples Retailing–0.02%

Walgreens Boots Alliance
3.80% 11/18/24

  55,000      56,979   
     

 

 

 
  56,979   
     

 

 

 

Food Products–0.08%

Campbell Soup 3.30% 3/19/25

  55,000      56,036   

Smithfield Foods 6.625% 8/15/22

  25,000      26,844   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–16


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Food Products (continued)

     

Smucker (J.M.)

     

#144A 3.00% 3/15/22

     15,000       $ 15,249   

#144A 3.50% 3/15/25

     65,000         66,961   

#144A 4.25% 3/15/35

     20,000         20,785   
     

 

 

 
  185,875   
     

 

 

 

Gas Utilities–0.02%

  

AmeriGas Finance 7.00% 5/20/22

  40,000      43,100   
     

 

 

 
  43,100   
     

 

 

 

Health Care Equipment & Supplies–0.21%

  

Becton Dickinson 3.734% 12/15/24

  50,000      52,434   

Boston Scientific

2.65% 10/1/18

  5,000      5,059   

6.00% 1/15/20

  80,000      92,178   

CareFusion 6.375% 8/1/19

  75,000      87,769   

Kinetic Concepts 10.50% 11/1/18

  35,000      37,975   

Medtronic

#144A 3.15% 3/15/22

  30,000      31,180   

#144A 3.50% 3/15/25

  110,000      115,138   

Zimmer Holdings

3.15% 4/1/22

  20,000      20,261   

3.55% 4/1/25

  60,000      61,320   
     

 

 

 
  503,314   
     

 

 

 

Health Care Providers & Services–0.21%

  

Air Medical Group Holdings
9.25% 11/1/18

  7,000      7,385   

Community Health Systems
6.875% 2/1/22

  45,000      48,319   

DaVita Healthcare Partners
5.125% 7/15/24

  90,000      91,969   

#Fresenius Medical Care US Finance II 144A 5.875% 1/31/22

  40,000      44,200   

HCA 5.375% 2/1/25

  125,000      131,719   

HealthSouth

5.125% 3/15/23

  10,000      10,225   

5.75% 11/1/24

  10,000      10,450   

Highmark

#144A 4.75% 5/15/21

  40,000      42,128   

#144A 6.125% 5/15/41

  20,000      21,478   

#Milacron 144A 7.75% 2/15/21

  30,000      31,200   

Tenet Healthcare 6.00% 10/1/20

  58,000      61,625   
     

 

 

 
  500,698   
     

 

 

 

Hotels, Restaurants & Leisure–0.26%

  

#Caesars Growth Properties Holdings 144A 9.375% 5/1/22

  35,000      27,037   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Hotels, Restaurants & Leisure (continued)

  

International Game Technology
5.35% 10/15/23

     75,000       $ 76,209   

#Landry’s 144A 9.375% 5/1/20

     20,000         21,550   

Marriott International 3.375% 10/15/20

     40,000         41,941   

MGM Resorts International
6.00% 3/15/23

     85,000         87,763   

#PF Chang’s China Bistro 144A
10.25% 6/30/20

     15,000         15,600   

Pinnacle Entertainment 7.50% 4/15/21

     40,000         42,400   

Starwood Hotels & Resorts Worldwide

     

3.75% 3/15/25

     35,000         35,992   

4.50% 10/1/34

     10,000         10,439   

Wyndham Worldwide

     

4.25% 3/1/22

     5,000         5,226   

5.625% 3/1/21

     55,000         62,184   

Wynn Las Vegas

     

5.375% 3/15/22

     15,000         15,600   

#144A 5.50% 3/1/25

     180,000         183,150   
     

 

 

 
  625,091   
     

 

 

 

Independent Power Producers & Energy Traders–0.10%

  

AES

5.50% 3/15/24

  45,000      45,113   

5.50% 4/15/25

  50,000      49,500   

Calpine 5.375% 1/15/23

  30,000      30,150   

Dynegy Finance I/II

#144A 6.75% 11/1/19

  15,000      15,544   

#144A 7.375% 11/1/22

  20,000      21,100   

#144A 7.625% 11/1/24

  80,000      84,100   
     

 

 

 
  245,507   
     

 

 

 

Industrial Conglomerates–0.02%

  

#Gates Global 144A 6.00% 7/15/22

  50,000      47,437   
     

 

 

 
  47,437   
     

 

 

 

Insurance–0.31%

  

American International Group
3.875% 1/15/35

  70,000      70,592   

Berkshire Hathaway Finance
2.90% 10/15/20

  55,000      58,163   

•Chubb 6.375% 3/29/67

  55,000      58,575   

#Five Corners Funding Trust 144A
4.419% 11/15/23

  100,000      107,475   

#HUB International 144A 7.875% 10/1/21

  50,000      51,375   

MetLife 6.817% 8/15/18

  85,000      99,141   

Prudential Financial

•5.625% 6/15/43

  20,000      21,300   

•5.875% 9/15/42

  55,000      60,019   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–17


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

     

Insurance (continued)

     

TIAA Asset Management Finance

     

#144A 2.95% 11/1/19

     35,000       $ 35,909   

#144A 4.125% 11/1/24

     80,000         84,607   

#USI 144A 7.75% 1/15/21

     10,000         10,300   

•Voya Financial 5.65% 5/15/53

     35,000         36,750   

XLIT

     

4.45% 3/31/25

     20,000         20,170   

•6.50% 12/29/49

     35,000         31,063   
     

 

 

 
  745,439   
     

 

 

 

Internet & Catalog Retail–0.09%

#Netflix 144A 5.875% 2/15/25

  110,000      113,437   

Priceline Group 3.65% 3/15/25

  90,000      91,777   
     

 

 

 
  205,214   
     

 

 

 

Internet Software & Services–0.12%

Baidu 3.25% 8/6/18

  200,000      207,505   

Equinix

4.875% 4/1/20

  23,000      23,863   

5.375% 4/1/23

  52,000      54,236   
     

 

 

 
  285,604   
     

 

 

 

IT Services–0.04%

First Data

11.25% 1/15/21

  49,000      55,860   

11.75% 8/15/21

  20,000      23,225   

Xerox 6.35% 5/15/18

  5,000      5,651   
     

 

 

 
  84,736   
     

 

 

 

Machinery–0.10%

Crane

2.75% 12/15/18

  15,000      15,391   

4.45% 12/15/23

  60,000      64,322   

Ingersoll-Rand Global Holding

4.25% 6/15/23

  55,000      58,827   

LSB Industries 7.75% 8/1/19

  10,000      10,475   

Meritor 6.75% 6/15/21

  25,000      26,000   

Parker Hannifin 3.30% 11/21/24

  5,000      5,256   

Trinity Industries 4.55% 10/1/24

  50,000      50,361   
     

 

 

 
  230,632   
     

 

 

 

Media–0.74%

CC Holdings GS V 3.849% 4/15/23

  15,000      15,212   

CCO Holdings 5.25% 9/30/22

  25,000      25,656   

CCOH Safari 5.75% 12/1/24

  90,000      92,925   

#Columbus International 144A
7.375% 3/30/21

  200,000      211,000   

Comcast 3.375% 2/15/25

  155,000      162,298   

#Cox Communications 144A
3.85% 2/1/25

  65,000      67,077   

#CSC Holdings 144A 5.25% 6/1/24

  105,000      107,363   
     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

  

  

Media (continued)

     

DISH DBS 5.00% 3/15/23

     75,000       $ 73,110   

Gray Television 7.50% 10/1/20

     80,000         84,600   

Historic TW 6.875% 6/15/18

     175,000         203,673   

Lamar Media 5.00% 5/1/23

     35,000         35,963   

#MDC Partners 144A 6.75% 4/1/20

     30,000         31,725   

#Nielsen Finance 144A 5.00% 4/15/22

     35,000         35,350   

#SES GLOBAL Americas Holdings
144A 5.30% 3/25/44

     110,000         123,909   

Sinclair Television Group

     

5.375% 4/1/21

     45,000         46,350   

#144A 5.625% 8/1/24

     5,000         5,113   

Sirius XM Radio

     

#144A 5.375% 4/15/25

     35,000         35,263   

#144A 6.00% 7/15/24

     55,000         57,887   

Time Warner Cable 8.25% 4/1/19

     108,000         132,214   

#Univision Communications 144A 5.125% 5/15/23

     25,000         25,500   

Viacom 4.85% 12/15/34

     115,000         119,177   

WPP Finance 2010 5.625% 11/15/43

     55,000         65,063   
     

 

 

 
  1,756,428   
     

 

 

 

Metals & Mining–0.30%

AK Steel 7.625% 5/15/20

  25,000      21,625   

ArcelorMittal 10.60% 6/1/19

  145,000      177,897   

FMG Resources August 2006

#144A 6.875% 4/1/22

  79,000      58,657   

#144A 8.25% 11/1/19

  12,000      10,365   

#Gerdau Holdings 144A 7.00% 1/20/20

  100,000      107,250   

#Lundin Mining 144A 7.50% 11/1/20

  25,000      26,000   

Novelis 8.75% 12/15/20

  50,000      53,813   

Ryerson

9.00% 10/15/17

  25,000      25,313   

11.25% 10/15/18

  6,000      6,120   

#Tupy Overseas 144A 6.625% 7/17/24

  200,000      193,000   

Yamana Gold 4.95% 7/15/24

  25,000      24,625   
     

 

 

 
  704,665   
     

 

 

 

Multi-Utilities–0.25%

Ameren Illinois 9.75% 11/15/18

  263,000      334,182   

CMS Energy 6.25% 2/1/20

  60,000      70,964   

•Integrys Energy Group 6.11% 12/1/66

  85,000      83,332   

Puget Energy 6.00% 9/1/21

  35,000      41,382   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–18


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

  

  

Multi-Utilities (continued)

  

  

•Wisconsin Energy 6.25% 5/15/67

     50,000       $ 50,123   
     

 

 

 
  579,983   
     

 

 

 

Oil, Gas & Consumable Fuels–1.25%

  

Anadarko Petroleum 4.50% 7/15/44

  15,000      15,408   

California Resources

#144A 5.50% 9/15/21

  25,000      22,305   

#144A 6.00% 11/15/24

  30,000      26,475   

Chaparral Energy 7.625% 11/15/22

  10,000      6,800   

Chesapeake Energy

4.875% 4/15/22

  60,000      56,550   

5.75% 3/15/23

  45,000      44,100   

Chevron

1.961% 3/3/20

  45,000      45,319   

2.411% 3/3/22

  25,000      25,070   

Cimarex Energy 4.375% 6/1/24

  25,000      24,937   

ConocoPhillips 4.30% 11/15/44

  25,000      26,602   

Continental Resources 4.50% 4/15/23

  105,000      102,075   

•Enbridge Energy Partners 8.05% 10/1/37

  125,000      134,687   

Energy Transfer Partners

4.05% 3/15/25

  55,000      55,576   

4.90% 3/15/35

  20,000      19,928   

5.15% 3/15/45

  30,000      30,302   

9.70% 3/15/19

  65,000      81,773   

EnLink Midstream Partners 5.05% 4/1/45

  45,000      45,952   

•Enterprise Products Operating
7.034% 1/15/68

  130,000      140,635   

EOG Resources 3.15% 4/1/25

  40,000      40,846   

Exxon Mobil

2.397% 3/6/22

  25,000      25,220   

2.709% 3/6/25

  90,000      91,033   

Freeport-McMoran Oil & Gas
6.50% 11/15/20

  23,000      24,466   

#Kinder Morgan 144A 5.00% 2/15/21

  25,000      26,754   

Kinder Morgan Energy Partners
9.00% 2/1/19

  115,000      140,197   

Laredo Petroleum 7.375% 5/1/22

  50,000      51,813   

MarkWest Energy Partners
4.875% 12/1/24

  70,000      71,918   

Murphy Oil USA 6.00% 8/15/23

  60,000      64,650   

Newfield Exploration

5.375% 1/1/26

  50,000      50,600   

5.625% 7/1/24

  45,000      47,025   
     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

  

  

Oil, Gas & Consumable Fuels (continued)

  

Noble Energy

     

3.90% 11/15/24

     20,000       $ 20,387   

5.05% 11/15/44

     35,000         36,869   

Noble Holding International
4.00% 3/16/18

     5,000         5,031   

Oasis Petroleum 6.875% 3/15/22

     45,000         44,100   

ONEOK Partners 3.80% 3/15/20

     25,000         25,519   

PDC Energy 7.75% 10/15/22

     15,000         15,825   

Petrobras Global Finance

     

3.00% 1/15/19

     33,000         28,572   

4.875% 3/17/20

     90,000         81,045   

Petroleos Mexicanos

     

6.00% 3/5/20

     100,000         114,550   

6.50% 6/2/41

     25,000         28,437   

Plains All American Pipeline
8.75% 5/1/19

     120,000         149,703   

Pride International 6.875% 8/15/20

     210,000         239,425   

Regency Energy Partners 5.875% 3/1/22

     15,000         16,350   

Sunoco Logistics Partners Operations 3.45% 1/15/23

     30,000         29,567   

Talisman Energy 5.50% 5/15/42

     65,000         64,603   

•TransCanada PipeLines 6.35% 5/15/67

     130,000         126,425   

Valero Energy

     

3.65% 3/15/25

     40,000         40,992   

4.90% 3/15/45

     20,000         20,759   

Williams 4.55% 6/24/24

     40,000         38,812   

Williams Partners

     

4.00% 9/15/25

     10,000         9,828   

7.25% 2/1/17

     95,000         104,411   

#Woodside Finance 144A 8.75% 3/1/19

     105,000         129,090   

YPF

     

#144A 8.75% 4/4/24

     25,000         25,640   

#144A 8.875% 12/19/18

     25,000         25,774   
     

 

 

 
  2,960,730   
     

 

 

 

Paper & Forest Products–0.10%

Fibria Overseas Finance 5.25% 5/12/24

  25,000      24,875   

Georgia-Pacific

#144A 3.60% 3/1/25

  10,000      10,272   

8.00% 1/15/24

  125,000      166,122   

Masco 4.45% 4/1/25

  25,000      25,875   
     

 

 

 
  227,144   
     

 

 

 

Pharmaceuticals–0.23%

Actavis Funding 3.45% 3/15/22

  40,000      41,033   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–19


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

  

  

Pharmaceuticals (continued)

     

Actavis Funding (continued)

     

3.80% 3/15/25

     55,000       $ 56,877   

4.55% 3/15/35

     5,000         5,229   

AmerisourceBergen 3.25% 3/1/25

     30,000         30,462   

EMD Finance

     

#144A 2.95% 3/19/22

     25,000         25,332   

#144A 3.25% 3/19/25

     55,000         55,760   

Express Scripts Holding

     

2.25% 6/15/19

     40,000         40,220   

3.50% 6/15/24

     45,000         46,417   

Lilly (Eli) 2.75% 6/1/25

     30,000         30,171   

Merck

     

2.35% 2/10/22

     40,000         40,073   

2.75% 2/10/25

     90,000         90,043   

Omnicare 5.00% 12/1/24

     25,000         26,250   

#VRX Escrow 144A 5.875% 5/15/23

     45,000         46,237   
     

 

 

 
  534,104   
     

 

 

 

Real Estate Investment Trusts–0.48%

 

Alexandria Real Estate Equities 4.50% 7/30/29

  25,000      26,461   

American Tower Trust I

#144A 1.551% 3/15/43

  20,000      19,975   

#144A 3.07% 3/15/23

  55,000      55,424   

AvalonBay Communities 3.50% 11/15/24

  30,000      30,884   

CBL & Associates

4.60% 10/15/24

  50,000      50,931   

5.25% 12/1/23

  10,000      10,723   

Corporate Office Properties

3.60% 5/15/23

  40,000      38,889   

5.25% 2/15/24

  40,000      43,598   

DDR

3.625% 2/1/25

  65,000      65,001   

7.50% 4/1/17

  10,000      11,123   

7.875% 9/1/20

  85,000      106,056   

Education Realty Operating Partnership 4.60% 12/1/24

  45,000      46,868   

Excel Trust 4.625% 5/15/24

  25,000      26,281   

GEO Group

5.125% 4/1/23

  30,000      30,750   

5.875% 10/15/24

  35,000      36,575   

Hospitality Properties Trust 4.50% 3/15/25

  45,000      46,133   

Host Hotels & Resorts

3.75% 10/15/23

  45,000      45,692   

4.75% 3/1/23

  65,000      70,168   

5.875% 6/15/19

  30,000      31,135   

#Omega Healthcare Investors 144A 4.50% 4/1/27

  40,000      39,492   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

  

Real Estate Investment Trusts (continued)

  

  

#WEA Finance 144A 3.75% 9/17/24

     300,000       $ 310,898   
     

 

 

 
  1,143,057   
     

 

 

 

Real Estate Management & Development–0.02%

 

Carey (W.P.) 4.60% 4/1/24

  35,000      36,264   
     

 

 

 
  36,264   
     

 

 

 

Road & Rail–0.02%

Norfolk Southern 3.85% 1/15/24

  40,000      43,247   
     

 

 

 
  43,247   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.13%

 

#Micron Technology 144A 5.25% 8/1/23

  110,000      112,200   

National Semiconductor 6.60% 6/15/17

  165,000      184,702   
     

 

 

 
  296,902   
     

 

 

 

Software–0.07%

#Activision Blizzard 144A 6.125% 9/15/23

  50,000      54,625   

Microsoft

2.70% 2/12/25

  25,000      25,128   

3.50% 2/12/35

  25,000      24,987   

3.75% 2/12/45

  50,000      50,324   

Oracle 4.30% 7/8/34

  20,000      21,744   
     

 

 

 
  176,808   
     

 

 

 

Specialty Retail–0.16%

Bed Bath & Beyond 4.915% 8/1/34

  50,000      53,713   

#~Chinos Intermediate Holdings A PIK 144A 7.75% 5/1/19

  35,000      30,800   

QVC

4.375% 3/15/23

  85,000      86,747   

5.45% 8/15/34

  55,000      54,714   

Sally Holdings 5.75% 6/1/22

  30,000      32,063   

Signet UK Finance 4.70% 6/15/24

  115,000      118,261   
     

 

 

 
  376,298   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.02%

 

#INVISTA Finance 144A 4.25% 10/15/19

  50,000      49,937   
     

 

 

 
  49,937   
     

 

 

 

Transportation Infrastructure–0.01%

 

#AP Moeller - Maersk 144A 2.55% 9/22/19

  25,000      25,437   
     

 

 

 
  25,437   
     

 

 

 
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–20


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

  

Wireless Telecommunication Services–0.16%

 

#Crown Castle Towers 144A 4.883% 8/15/20

     210,000       $ 231,220   

Sprint

     

7.125% 6/15/24

     75,000         73,500   

7.875% 9/15/23

     20,000         20,500   

T-Mobile USA 6.125% 1/15/22

     60,000         62,100   
     

 

 

 
  387,320   
     

 

 

 

Total Corporate Bonds
(Cost $21,066,129)

  21,768,370   
     

 

 

 

MUNICIPAL BONDS–0.20%

City of Atlanta, Georgia Water & Wastewater Revenue 5.00% 11/1/40

  25,000      28,827   

Golden State, California Tobacco Securitization Asset-Back Senior Notes Series A-1

5.125% 6/1/47

  20,000      15,455   

5.75% 6/1/47

  25,000      21,161   

Golden State, California Tobacco Securitization Asset-Back Series A

5.00% 6/1/40

  75,000      85,294   

5.00% 6/1/45

  25,000      28,317   

New Jersey State Transportation Trust Fund Series AA 5.00% 6/15/44

  25,000      26,588   

New York City, New York Series I 5.00% 8/1/22

  20,000      24,081   

New York City, New York Water & Sewer System Series EE 5.00% 6/15/45

  35,000      40,135   

New York State Thruway Authority Series A 5.00% 5/1/19

  25,000      28,516   

State of California 5.00% 3/1/45

  45,000      52,033   

State of Maryland Local Facilities Series A 5.00% 8/1/21

  25,000      30,290   

State of Texas Transportation Commission Series A 5.00% 10/1/44

  65,000      75,897   

Texas Private Activity Bond Surface Transportation Senior Lien Revenue Bond (NTE Mobility) 6.75% 6/30/43 (AMT)

  20,000      24,504   
     

 

 

 

Total Municipal Bonds
(Cost $469,272)

  481,098   
     

 

 

 

NON-AGENCY ASSET-BACKED SECURITIES–0.67%

 

AEP Texas Central Transition Funding II Series 2006-A A4 5.17% 1/1/18

  100,000      106,273   

•Ally Master Owner Trust
Series 2013-2 A 0.625% 4/15/18

  100,000      100,074   

American Express Credit Account Master Trust

•Series 2012-3 B 0.675% 3/15/18

  100,000      99,993   
    

Principal

Amount°

    

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

American Express Credit Account Master Trust (continued)

     

•Series 2013-2 A 0.595% 5/17/21

     100,000       $ 100,333   

Avis Budget Rental Car Funding AESOP

     

#Series 2011-3A A 144A 3.41% 11/20/17

     100,000         103,214   

#Series 2013-1A A 144A 1.92% 9/20/19

     100,000         99,989   

#Series 2014-1A A 144A 2.46% 7/20/20

     100,000         101,232   

BA Credit Card Trust

     

•Series 2014-A2 A 0.445% 9/16/19

     30,000         30,006   

•Series 2014-A3 A 0.462% 1/15/20

     35,000         34,985   

#Cabela’s Credit Card Master Note Trust Series 2012-2A A1 144A 1.45% 6/15/20

     100,000         100,479   

Chase Issuance Trust

     

•Series 2014-A5 A5 0.545% 4/15/21

     100,000         100,000   

•Series 2014-A8 A 0.425% 11/15/18

     40,000         40,010   

Ford Credit Floorplan Master Owner Trust A Series 2013-3 B 1.14% 6/15/17

     20,000         20,028   

•GE Dealer Floorplan Master Note Trust Series 2014-2 A 0.626% 10/20/19

     50,000         49,976   

#HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44

     49,500         49,624   

#MMAF Equipment Finance
Series 2014-AA A4 144A 1.59% 2/8/22

     100,000         99,601   

Synchrony Credit Card Master Note Trust

     

Series 2012-6 A 1.36% 8/17/20

     100,000         99,984   

Series 2014-1 A 1.61% 11/15/20

     100,000         100,291   

#•Trafigura Securitisation Finance Series 2012-1A A 144A 2.575% 10/15/15

     150,000         150,054   
     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $1,585,353)

   

  1,586,146   
     

 

 

 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS–0.14%

  

 

Bank of America Alternative Loan Trust Series 2005-3 2A1 5.50% 4/25/20

  3,216      3,313   

Series 2005-6 7A1 5.50% 7/25/20

  2,789      2,806   

•ChaseFlex Trust Series 2006-1 A4 4.925% 6/25/36

  100,000      86,575   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–21


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

           

Principal

Amount°

     Value
(U.S. $)
 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS (continued)

  

  

Credit Suisse First Boston Mortgage Securities Series 2005-5 6A3 5.00% 7/25/35

        27,762       $ 27,811   

•GSR Mortgage Loan Trust Series 2006-AR1 3A1 2.78% 1/25/36

        18,896         17,060   

JPMorgan Mortgage Trust Series 2006-S1 1A1 6.00% 4/25/36

        30,505         30,800   

•Series 2007-A1 7A4 2.517% 7/25/35

        17,676         15,558   

#•Sequoia Mortgage Trust Series 2013-11 B1 144A 3.705% 9/25/43

        96,676         94,147   

#•Springleaf Mortgage Loan Trust Series 2012-1A A 144A 2.667% 9/25/57

        29,716         30,099   

¿Structured Asset Securities Corporation Mortgage Pass Through Certificates Series 2004-20 2A1 5.50% 11/25/34

        16,812         17,159   
        

 

 

 

Total Non-Agency Collateralized Mortgage Obligations
(Cost $291,088)

   

  325,328   
        

 

 

 

DREGIONAL BONDS–0.06%

 

Australia–0.03%

New South Wales Treasury 4.00% 5/20/26

  AUD      66,700      56,970   

Queensland Treasury #144A 4.75% 7/21/25

  AUD      14,000      12,451   
        

 

 

 
  69,421   
        

 

 

 

Canada–0.03%

 

Province of Ontario Canada 3.45% 6/2/45

  CAD      12,000      10,697   

Province of Quebec Canada 6.00% 10/1/29

  CAD      50,000      56,274   
        

 

 

 
  66,971   
        

 

 

 

Total Regional Bonds
(Cost $141,182)

   

  136,392   
        

 

 

 

«SENIOR SECURED LOANS–2.37%

 

Activision Blizzard Tranche B 1st Lien 3.25% 10/11/20

  104,650      105,303   

Aramark Tranche E 3.25% 9/7/19

  67,900      68,148   

Azure Midstream Tranche B 7.50% 11/15/18

  23,723      22,626   

BJ’s Wholesale Club Tranche B 1st Lien 4.50% 9/26/19

  362,558      363,321   

Caesars Growth Partners Tranche B 1st Lien 6.25% 5/8/21

  44,663      39,778   
          Principal
Amount°
     Value
(U.S. $)
 

«SENIOR SECURED LOANS (continued)

  

Calpine Construction Finance
Tranche B 3.00% 5/3/20

        107,728       $ 106,482   

Charter Communications
Tranche B 1st Lien 4.25% 9/12/21

        190,000         191,848   

Community Health Systems
Tranche D 4.25% 1/27/21

        89,315         89,858   

Community Health Systems
Tranche F 1st Lien 3.428% 12/31/18

        24,309         24,346   

Dollar Tree Tranche B 1st Lien 4.25% 3/9/22

        160,000         161,878   

Drillships Financing Holding
Tranche B1 6.00% 3/31/21

        44,325         34,013   

Emdeon 1st Lien 3.75% 11/2/18

        72,312         72,531   

Energy Transfer Equity 1st Lien 3.25% 12/2/19

        235,000         231,677   

FCA US Tranche B 1st Lien 3.50% 5/24/17

        9,796         9,813   

First Data Tranche B 1st Lien 4.174% 3/24/21

        225,450         226,460   

Gardner Denver 1st Lien 4.25% 7/30/20

        189,519         180,179   

HCA Tranche B5 1st Lien 2.928% 3/31/17

        116,230         116,412   

Hilton Worldwide Finance
Tranche B2 3.50% 10/25/20

        232,800         233,382   

Huntsman International Tranche B 1st Lien 3.75% 10/1/21

        189,525         190,433   

IASIS Healthcare Tranche B 1st Lien 4.50% 5/3/18

        63,056         63,269   

iHeartCommunications Tranche D 6.928% 1/30/19

        120,000         114,341   

Immucor Tranche B2 5.00% 8/19/18

        77,895         78,322   

Infor US Tranche B5 1st Lien 3.75% 6/3/20

        176,296         174,947   

Intelsat Jackson Holdings Tranche B2 3.75% 6/30/19

        134,296         133,944   

JLL/Delta Dutch Newco 1st Lien 4.25% 3/11/21

        24,813         24,745   

KIK Custom Products 1st Lien 5.50% 4/29/19

        394,486         394,880   

Landry’s Tranche B 4.00% 4/24/18

        38,793         38,942   

Level 3 Financing Tranche B 4.00% 1/15/20

        75,000         75,266   

MPH Acquisition Tranche B 3.75% 3/31/21

        227,066         226,681   

Neiman Marcus Tranche 1st Lien 4.25% 10/25/20

        70,000         69,869   

NEP/NCP Tranche B 1st Lien 4.25% 1/22/20

        44,551         43,548   
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–22


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

        Principal
Amount°
   

Value

(U.S. $)

 

«SENIOR SECURED LOANS (continued)

  

Novelis Tranche B
3.75% 3/10/17

      46,900      $ 46,924   

Numericable 4.50% 5/21/20

      85,570        85,912   

Numericable U.S. Tranche B2 1st Lien 4.50% 5/21/20

      74,030        74,325   

OSI Restaurants Tranche B 1st Lien 3.50% 10/26/19

      30,100        30,175   

Panda Liberty Tranche B
7.50% 8/21/20

      5,000        5,038   

Republic of Angola (Unsecured) 6.594% 12/16/23

      92,000        91,080   

Salix Pharmaceuticals Tranche B 5.50% 1/2/20

      157,895        158,156   

Scientific Games International
6.00% 10/18/20

      69,125        69,436   

Sensus 2nd Lien 8.50% 5/9/18

      80,000        79,000   

Smart & Final Tranche B 1st Lien 4.75% 11/15/19

      23,097        23,249   

Sprouts Farmers 4.00% 4/23/20

      50,363        50,568   

Univision Communications Tranche C4 4.00% 3/1/20

      185,219        185,136   

USI Insurance Services Tranche B 1st Lien 4.25% 12/27/19

      53,769        53,926   

Valeant Pharmaceuticals International Tranche BE 3.50% 8/5/20

      245,734        246,149   

Wide Open West Finance
4.75% 4/1/19

      274,400        275,043   

Zayo Group Tranche B 1st Lien 4.00% 7/2/19

      213,243        213,850   
     

 

 

 

Total Senior Secured Loans
(Cost $5,584,749)

  5,595,209   
     

 

 

 

DSOVEREIGN BONDS–0.91%

  

Australia–0.01%

Australia Government Bond
3.75% 4/21/37

AUD   35,000      30,776   
     

 

 

 
  30,776   
     

 

 

 

Brazil–0.01%

Brazil Notas do Tesouro Nacional Series F 10.00% 1/1/17

BRL   58,000      17,273   
     

 

 

 
  17,273   
     

 

 

 

Canada–0.00%

Canadian Government Bond
2.75% 12/1/48

CAD   10,000      9,392   
     

 

 

 
  9,392   
     

 

 

 
         Principal
Amount°
    Value
(U.S. $)
 

DSOVEREIGN BONDS (continued)

  

Chile–0.04%

      

Chile Government International Bond 5.50% 8/5/20

  CLP      50,000,000      $ 85,512   
      

 

 

 
  85,512   
      

 

 

 

Colombia–0.11%

Colombia Government International Bonds

  

4.375% 3/21/23

COP   90,000,000      31,658   

5.00% 6/15/45

  200,000      206,500   

9.85% 6/28/27

COP   37,000,000      18,482   
      

 

 

 
  256,640   
      

 

 

 

Dominican Republic–0.04%

  

#Dominican Republic International Bond 144A 6.85% 1/27/45

  100,000      105,500   
      

 

 

 
  105,500   
      

 

 

 

Indonesia–0.11%

#Indonesia Government International Bond 144A 4.625% 4/15/43

  200,000      196,250   

Indonesia Treasury Bond
8.375% 3/15/24

IDR   927,000,000      75,525   
      

 

 

 
  271,775   
      

 

 

 

Italy–0.16%

Italy Buoni Poliennali Del Tesoro

  

1.35% 4/15/22

EUR   145,000      160,405   

2.50% 12/1/24

EUR   182,000      218,165   
      

 

 

 
  378,570   
      

 

 

 

Ivory Coast–0.09%

#Ivory Coast Government International Bond 144A 6.375% 3/3/28

  200,000      201,000   
      

 

 

 
  201,000   
      

 

 

 

Kazakhstan–0.08%

#Kazakhstan Government International Bond 144A 3.875% 10/14/24

  200,000      185,780   
      

 

 

 
  185,780   
      

 

 

 

Mexico–0.05%

Mexican Bonos 7.50% 6/3/27

MXN   1,507,000      109,912   
      

 

 

 
  109,912   
      

 

 

 

Norway–0.04%

Kommunalbanken 5.00% 3/28/19

NZD   24,000      18,690   

Norway Government Bonds

2.00% 5/24/23

NOK   113,000      14,727   

3.00% 3/14/24

NOK   455,000      64,105   
      

 

 

 
  97,522   
      

 

 

 
 

 

LVIP Delaware Foundation® Aggressive Allocation Fund–23


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

         Principal
Amount°
    

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

  

Peru–0.01%

       

#Peruvian Government International Bond 144A 6.95% 8/12/31

   PEN     100,000       $ 33,277   
       

 

 

 
  33,277   
       

 

 

 

Poland–0.01%

Poland Government Bond 3.25% 7/25/25

PLN   95,000      27,262   
       

 

 

 
  27,262   
       

 

 

 

Portugal–0.01%

#Portugal Government International Bond 144A 5.125% 10/15/24

  18,000      19,931   
       

 

 

 
  19,931   
       

 

 

 

Republic of Korea–0.03%

Inflation Linked Korea Treasury Bond 1.125% 6/10/23

KRW   76,923,191      66,986   
       

 

 

 
  66,986   
       

 

 

 

South Africa–0.04%

South Africa Government Bond 8.00% 1/31/30

ZAR   1,224,000      99,634   
       

 

 

 
  99,634   
       

 

 

 

Sweden–0.01%

Sweden Government Bond 1.50% 11/13/23

SEK   150,000      19,177   
       

 

 

 
  19,177   
       

 

 

 

United Kingdom–0.05%

United Kingdom Gilt 3.50% 1/22/45

GBP   21,100      39,211   

United Kingdom Gilt Inflation Linked 0.125% 3/22/24

GBP   41,088      67,674   
       

 

 

 
  106,885   
       

 

 

 

Uruguay–0.01%

Uruguay Government International Bond 5.10% 6/18/50

  25,000      26,063   
       

 

 

 
  26,063   
       

 

 

 

Total Sovereign Bonds
(Cost $2,178,176)

   

  2,148,867   
       

 

 

 
          Principal
Amount°
    

Value

(U.S. $)

 

SUPRANATIONAL BANKS–0.08%

 

  

European Bank for Reconstruction & Development

  

6.00% 3/3/16

   INR      2,300,000       $ 36,741   

7.375% 4/15/19

   IDR      300,000,000         22,824   

Inter-American Development Bank

        

6.00% 9/5/17

   INR      3,300,000         52,736   

7.25% 7/17/17

   IDR      470,000,000         35,398   

International Bank for Reconstruction & Development 4.625% 10/6/21

   NZD      47,000         36,748   
        

 

 

 

Total Supranational Banks
(Cost $192,816)

   

  184,447   
        

 

 

 

U.S. TREASURY OBLIGATIONS–0.44%

 

U.S. Treasury Bond 2.50% 2/15/45

  890,000      881,935   

U.S. Treasury Notes

1.375% 2/29/20

  30,000      30,009   

1.375% 3/31/20

  15,000      15,004   

2.00% 2/15/25

  115,000      115,737   

2.25% 11/15/24

  10,000      10,281   
        

 

 

 

Total U.S. Treasury Obligations
(Cost $1,040,541)

   

  1,052,966   
        

 

 

 
          Number of
Shares
        

MONEY MARKET FUND–0.07%

 

  

Dreyfus Treasury & Agency Cash Management - Institutional Shares

        171,487         171,487   
        

 

 

 

Total Money Market Fund
(Cost $171,487)

  171,487   
        

 

 

 
          Principal
Amount°
        

SHORT-TERM INVESTMENT–0.53%

 

  

Discounted Commercial Paper–0.53%

 

  

Abbey National North America 0.06% 4/1/15

        1,255,000         1,255,000   
        

 

 

 

Total Short-Term Investment
(Cost $1,255,000)

   

  1,255,000   
        

 

 

 
 

 

TOTAL VALUE OF SECURITIES–101.49% (Cost $183,026,967)

  240,020,675   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(1.49%)

  (3,517,064
  

 

 

 

NET ASSETS APPLICABLE TO 14,477,900 SHARES OUTSTANDING–100.00%

$ 236,503,611   
  

 

 

 

 

 

# Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $10,142,732, which represents 4.29% of the Fund’s net assets.

 

D Securities have been classified by country of origin.

 

~ 100% of the income received on this PIK security was in the form of cash.

 

LVIP Delaware Foundation® Aggressive Allocation Fund–24


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

Non-income producing for the period.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

* Interest only security. An interest only security is the interest only portion of a fixed income security which is separated and sold individually from the principal portion of the security.

 

« Includes $63,205 cash and $455 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

@ Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $3,641,639, which represents 1.54% of the Fund’s net assets.

 

¨ 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.

 

= Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $170,095, which represents 0.07% of the Fund’s net assets.

 

The rate shown is the effective yield at the time of purchase.

 

« Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

× Emerging Markets – developing countries with relatively low per capita income, often with above-average economic growth potential but with more risk.

 

§ Developed Markets – countries that are thought to be most developed and therefore less risky than emerging markets.

 

° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

f Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2015.

The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

   Contracts to
Receive (Deliver)
     In Exchange For      Settlement Date    Unrealized
Appreciation
(Depreciation)

BAML

   AUD      (105,732    USD      82,764         4/30/15          $ 2,386      

BAML

   CAD      (126,333    USD      100,883         4/30/15            1,181      

BAML

   EUR      1,002       USD      (1,094      4/30/15            (17   

BAML

   NZD      (140,111    USD      106,678         4/30/15            2,241      

BNP

   AUD      (14,124    USD      11,060         4/30/15            323      

BNP

   NOK      (1,003,647    USD      126,956         4/30/15            2,464      

BNYM

   EUR      (47,377    USD      50,823         4/1/15            (130   

BNYM

   KRW      (3,861,207    USD      3,485         4/1/15            4      

HSBC

   GBP      (32,054    USD      47,762         4/30/15            225      

JPMC

   COP      (123,077,491    USD      47,626         4/30/15            469      

JPMC

   KRW      (73,705,250    USD      66,563         4/30/15            167      

JPMC

   PLN      (82,145    USD      22,000         4/30/15            351      

JPMC

   SEK      (998    USD      118         4/30/15            2      

TD

   EUR      (215,673    USD      233,981         4/30/15            1,940      

TD

   JPY      (2,453,198    USD      20,509         4/30/15            48      
                    

 

 

    
$ 11,654   
                    

 

 

    

 

LVIP Delaware Foundation® Aggressive Allocation Fund–25


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

Futures Contracts

 

Contracts to Buy (Sell)    Notional
Cost (Proceeds)
     Notional
Value
     Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 
  (10)      E-mini MSCI EAFE Index    $ (904,920    $ (914,950      6/22/15       $ (10,030
  (17)      E-mini MSCI Emerging Markets Index      (797,164      (826,540      6/22/15         (29,376
  (9)      E-mini S&P 500 Index      (925,376      (927,361      6/22/15         (1,985
  7      U.S. Treasury 10 yr Notes      899,959         902,344         6/22/15         2,385   
  23      U.S. Treasury 5 yr Notes      2,761,835         2,764,852         7/1/15         3,017   
  2      U.S. Treasury Ultra Bonds      335,693         339,750         6/22/15         4,057   
    

 

 

          

 

 

 
$ 1,370,027    $ (31,932
    

 

 

          

 

 

 

The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

ADR–American Depositary Receipt

AMT–Subject to Alternative Minimum Tax

ARM–Adjustable Rate Mortgage

AUD–Australian Dollar

BAML–Bank of America Merrill Lynch

BNP–BNP Paribas

BNYM–Bank of New York Mellon

BRL–Brazilian Real

CAD–Canadian Dollar

CLP–Chilean Peso

COP–Colombian Peso

CVA–Dutch Certificate

DB–Deutsche Bank

EAFE–Europe Australasia Far East

ETF–Exchange-Traded Fund

EUR–Euro

GBP–British Pound Sterling

GDR–Global Depositary Receipt

GE–General Electric

GNMA–Government National Mortgage Association

GS–Goldman Sachs

HSBC–Hong Kong Shanghai Bank

IDR–Indonesian Rupiah

INR–Indian Rupee

JPMC–JPMorgan Chase Bank

JPY–Japanese Yen

KRW–South Korean Won

LB–Lehman Brothers

MXN–Mexican Peso

NOK–Norwegian Kroner

NVDR–Non-Voting Depositary Receipt

NZD–New Zealand Dollar

PEN–Peruvian Nuevo Sol

PIK–Pay-in-kind

PLN–Polish Zloty

REIT–Real Estate Investment Trust

REMIC–Real Estate Mortgage Investment Conduit

SEK–Swedish Krona

S.F.–Single Family

TBA–To be announced

TD–Toronto Dominion Bank

 

LVIP Delaware Foundation® Aggressive Allocation Fund–26


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

Summary of Abbreviations: (continued)

UBS–Union Bank of Switzerland

USD–U.S. Dollar

yr–Year

ZAR–South African Rand

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1      Level 2      Level 3      Total  

Common Stock

           

U.S. Markets

           

Aerospace & Defense

   $ 3,201,369       $ —         $ —         $ 3,201,369   

Air Freight & Logistics

     436,996         —           —           436,996   

Auto Components

     1,288,801         —           —           1,288,801   

Automobiles

     218,616         —           —           218,616   

Banks

     4,043,531         —           —           4,043,531   

Beverages

     416,098         —           —           416,098   

Biotechnology

     4,196,026         —           —           4,196,026   

Building Products

     336,708         —           —           336,708   

Capital Markets

     2,221,324         —           —           2,221,324   

Chemicals

     1,961,002         —           —           1,961,002   

Commercial Services & Supplies

     1,604,322         —           —           1,604,322   

Communications Equipment

     3,347,042         —           —           3,347,042   

Construction & Engineering

     284,997         —           —           284,997   

Consumer Finance

     221,878         —           —           221,878   

Containers & Packaging

     200,477         —           —           200,477   

Diversified Financial Services

     939,845         —           —           939,845   

Diversified Telecommunication Services

     2,410,187         —           —           2,410,187   

Electric Utilities

     1,326,332         —           —           1,326,332   

Electrical Equipment

     147,770         —           —           147,770   

Electronic Equipment, Instruments & Components

     438,891         —           —           438,891   

Energy Equipment & Services

     1,275,410         —           —           1,275,410   

Food & Staples Retailing

     2,949,487         —           —           2,949,487   

Food Products

     3,549,223         —           —           3,549,223   

Gas Utilities

     50,480         —           —           50,480   

Health Care Equipment & Supplies

     1,987,863         —           —           1,987,863   

Health Care Providers & Services

     2,903,426         —           —           2,903,426   

Hotels, Restaurants & Leisure

     1,543,597         —           —           1,543,597   

Household Products

     508,441         —           —           508,441   

Industrial Conglomerates

     379,221         —           —           379,221   

Insurance

     3,264,002         —           —           3,264,002   

Internet & Catalog Retail

     2,883,383         —           —           2,883,383   

Internet Software & Services

     5,657,567         —           —           5,657,567   

IT Services

     4,615,802         —           —           4,615,802   

Life Sciences Tools & Services

     310,997         —           —           310,997   

Machinery

     1,252,769         —           —           1,252,769   

Media

     1,529,637         —           —           1,529,637   

Metals & Mining

     280,441         —           —           280,441   

Multiline Retail

     452,954         —           —           452,954   

Multi-Utilities

     424,762         —           —           424,762   

Oil, Gas & Consumable Fuels

     7,161,518         —           —           7,161,518   

Paper & Forest Products

     376,069         —           —           376,069   

Pharmaceuticals

     7,365,979         —           —           7,365,979   

Professional Services

     583,789         —           —           583,789   

Real Estate Investment Trusts

     10,464,762         —           —           10,464,762   

Road & Rail

     599,252         —           —           599,252   

Semiconductors & Semiconductor Equipment

     2,894,535         —           —           2,894,535   

Software

     5,295,449         —           —           5,295,449   

 

LVIP Delaware Foundation® Aggressive Allocation Fund–27


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Level 1      Level 2          Level 3        Total  

Specialty Retail

   $ 3,160,594       $       $—    $ 3,160,594   

Technology Hardware, Storage & Peripherals

     848,950                    848,950   

Textiles, Apparel & Luxury Goods

     1,305,095                    1,305,095   

Trading Companies & Distributors

     165,491                    165,491   

Developed Markets

           

Aerospace & Defense

             607,767            607,767   

Air Freight & Logistics

             1,053,885            1,053,885   

Airlines

     402,860                    402,860   

Auto Components

             923,357            923,357   

Automobiles

             1,451,675            1,451,675   

Banks

             5,633,081            5,633,081   

Beverages

             1,447,243            1,447,243   

Construction & Engineering

             944,368            944,368   

Containers & Packaging

             920,089            920,089   

Diversified Telecommunication Services

             1,155,042            1,155,042   

Energy Equipment & Services

             438,884            438,884   

Food & Staples Retailing

             792,279            792,279   

Food Products

             1,096,400            1,096,400   

Household Durables

             681,023            681,023   

Industrial Conglomerates

             919,812            919,812   

Insurance

             1,384,336            1,384,336   

IT Services

     1,307,619         1,006,644            2,314,263   

Life Sciences Tools & Services

     217,938                    217,938   

Media

             380,530            380,530   

Metals & Mining

     430,469         642,696            1,073,165   

Multi-Utilities

             418,270            418,270   

Oil, Gas & Consumable Fuels

     590,220         580,586            1,170,806   

Pharmaceuticals

     3,819,071         3,446,663            7,265,734   

Road & Rail

             919,144            919,144   

Software

             414,785            414,785   

Specialty Retail

             1,361,632            1,361,632   

Textiles, Apparel & Luxury Goods

             1,476,838            1,476,838   

Tobacco

             894,551            894,551   

Trading Companies & Distributors

             1,339,928            1,339,928   

Wireless Telecommunication Services

             767,254            767,254   

Emerging Markets

           

Airlines

     66,096                    66,096   

Automobiles

             378,735            378,735   

Banks

     1,268,381         2,002,574            3,270,955   

Beverages

     426,715         743,841            1,170,556   

Building Products

             526,391            526,391   

Chemicals

     211,887                    211,887   

Construction & Engineering

     61,940                    61,940   

Construction Materials

     434,012         565,374            999,386   

Diversified Financial Services

             358,823            358,823   

Diversified Telecommunication Services

     351,930                    351,930   

Electronic Equipment, Instruments & Components

     254,589         529,339            783,928   

Food & Staples Retailing

     369,334                    369,334   

Food Products

     827,151         458,943            1,286,094   

Hotels, Restaurants & Leisure

     96,628                    96,628   

Household Durables

             158,979            158,979   

Insurance

             256,394            256,394   

Internet Software & Services

     2,385,960                    2,385,960   

IT Services

     151,027                    151,027   

Media

     611,147                    611,147   

Metals & Mining

     213,374         126,981            340,355   

Multiline Retail

             200,323            200,323   

 

LVIP Delaware Foundation® Aggressive Allocation Fund–28


LVIP Delaware Foundation® Aggressive Allocation Fund

Schedule of Investments (continued)

 

     Level 1      Level 2      Level 3      Total  

Oil, Gas & Consumable Fuels

   $ 2,285,036       $ 1,021,810       $       $ 3,306,846   

Paper & Forest Products

     367,521         97,860                 465,381   

Personal Products

     229,703                         229,703   

Real Estate Management & Development

             166,239                 166,239   

Road & Rail

     27,381                         27,381   

Semiconductors & Semiconductor Equipment

     307,588         972,170                 1,279,758   

Technology Hardware, Storage & Peripherals

             1,516,616                 1,516,616   

Transportation Infrastructure

     32,757                         32,757   

Wireless Telecommunication Services

     2,509,993         1,201,456                 3,711,449   

Convertible Preferred Stock

     132,052         64,056                 196,108   

Exchange-Traded Funds

     22,577,683                         22,577,683   

Preferred Stock

     168,527         86,193                 254,720   

Agency Collateralized Mortgage Obligations

             418,055                 418,055   

Agency Mortgage-Backed Securities

             8,672,945                 8,672,945   

Commercial Mortgage-Backed Securities

             2,797,457                 2,797,457   

Convertible Bonds

             475,303                 475,303   

Corporate Bonds

             21,768,370                 21,768,370   

Municipal Bonds

             481,098                 481,098   

Non-Agency Asset-Backed Securities

             1,586,146                 1,586,146   

Non-Agency Collateralized Mortgage Obligations

             325,328                 325,328   

Regional Bonds

             136,392                 136,392   

Senior Secured Loans

             5,504,129         91,080         5,595,209   

Sovereign Bonds

             2,148,867                 2,148,867   

Supranational Banks

             184,447                 184,447   

U.S. Treasury Obligations

             1,052,966                 1,052,966   

Money Market Fund

     171,487                         171,487   

Short-Term Investments

             1,255,000                 1,255,000   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

$ 148,591,233    $ 91,338,362    $ 91,080    $ 240,020,675   
  

 

 

    

 

 

    

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ 11,654    $    $ 11,654   
  

 

 

    

 

 

    

 

 

    

 

 

 

Futures Contracts

$ (31,932 $    $    $ (31,932
  

 

 

    

 

 

    

 

 

    

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, a portion of the Fund’s common stock investments were categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Delaware Foundation® Aggressive Allocation Fund–29


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK–34.82%

     

U.S. MARKETS–22.06%

     

Aerospace & Defense–0.67%

     

Boeing

     850       $ 127,568   

†Esterline Technologies

     1,540         176,207   

Honeywell International

     1,500         156,465   

†KEYW Holding

     8,120         66,828   

Lockheed Martin

     750         152,220   

Northrop Grumman

     4,000         643,840   

Raytheon

     5,900         644,575   

Rockwell Collins

     650         62,757   

United Technologies

     1,500         175,800   
     

 

 

 
  2,206,260   
     

 

 

 

Air Freight & Logistics–0.09%

FedEx

  1,050      173,723   

†XPO Logistics

  2,930      133,227   
     

 

 

 
  306,950   
     

 

 

 

Auto Components–0.27%

BorgWarner

  1,600      96,768   

Johnson Controls

  12,900      650,676   

†Tenneco

  2,350      134,937   
     

 

 

 
  882,381   
     

 

 

 

Automobiles–0.04%

Ford Motor

  9,000      145,260   
     

 

 

 
  145,260   
     

 

 

 

Banks–0.84%

BB&T

  16,200      631,638   

BBCN Bancorp

  5,480      79,296   

Bryn Mawr Bank

  1,030      31,322   

Cardinal Financial

  4,350      86,913   

Citigroup

  4,050      208,656   

City Holding

  1,990      93,590   

†First NBC Bank Holding

  2,460      81,131   

Flushing Financial

  3,530      70,847   

@Independent Bank (Massachusetts)

  2,360      103,533   

JPMorgan Chase

  4,550      275,639   

KeyCorp

  7,600      107,616   

Old National Bancorp

  5,410      76,768   

Prosperity Bancshares

  2,250      118,080   

Sterling Bancorp

  8,250      110,633   

Susquehanna Bancshares

  6,360      87,196   

†Texas Capital Bancshares

  1,810      88,057   

Webster Financial

  3,240      120,042   

Wells Fargo

  5,000      272,000   

†Western Alliance Bancorp

  3,830      113,521   
     

 

 

 
  2,756,478   
     

 

 

 

Beverages–0.09%

Coca-Cola

  1,550      62,853   

PepsiCo

  2,350      224,707   
     

 

 

 
  287,560   
     

 

 

 
     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Biotechnology–0.88%

     

†Acorda Therapeutics

     3,330       $ 110,822   

†Alkermes

     1,650         100,601   

†Biogen

     925         390,572   

†Celgene

     12,034         1,387,279   

†Cepheid

     2,680         152,492   

†Gilead Sciences

     2,410         236,493   

†Isis Pharmaceuticals

     1,770         112,696   

†Ligand Pharmaceuticals Class B

     1,810         139,569   

†Spectrum Pharmaceuticals

     7,640         46,375   

†TESARO

     980         56,252   

†Vanda Pharmaceuticals

     6,570         61,101   

†Vertex Pharmaceuticals

     850         100,275   
     

 

 

 
  2,894,527   
     

 

 

 

Building Products–0.08%

AAON

  5,655      138,717   

†Continental Building Products

  5,190      117,242   
     

 

 

 
  255,959   
     

 

 

 

Capital Markets–0.47%

Ameriprise Financial

  900      117,756   

Bank of New York Mellon

  15,500      623,720   

BlackRock

  350      128,044   

Evercore Partners Class A

  3,380      174,611   

Greenhill

  1,290      51,149   

Invesco

  2,350      93,271   

Raymond James Financial

  1,900      107,882   

State Street

  1,650      121,325   

†Stifel Financial

  2,140      119,305   
     

 

 

 
  1,537,063   
     

 

 

 

Chemicals–0.42%

Axiall

  2,270      106,554   

†Chemtura

  2,900      79,141   

duPont (E.I.) deNemours

  8,478      605,923   

Eastman Chemical

  1,850      128,131   

Huntsman

  4,200      93,114   

Innophos Holdings

  1,340      75,522   

LyondellBasell Industries Class A

  750      65,850   

Minerals Technologies

  1,710      125,001   

Quaker Chemical

  1,110      95,060   
     

 

 

 
  1,374,296   
     

 

 

 

Commercial Services & Supplies–0.33%

  

McGrath RentCorp

  3,120      102,679   

Republic Services

  2,100      85,176   

Tetra Tech

  3,100      74,462   

United Stationers

  2,980      122,150   

US Ecology

  1,360      67,959   

Waste Management

  11,700      634,491   
     

 

 

 
  1,086,917   
     

 

 

 
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–1


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Communications Equipment–0.71%

  

Cisco Systems

     27,750       $ 763,819   

†NETGEAR

     2,510         82,529   

Plantronics

     1,760         93,192   

QUALCOMM

     19,804         1,373,209   
     

 

 

 
  2,312,749   
     

 

 

 

Construction & Engineering–0.06%

  

Granite Construction

  2,870      100,852   

†MasTec

  980      18,914   

†MYR Group

  2,400      75,216   
     

 

 

 
  194,982   
     

 

 

 

Consumer Finance–0.05%

Capital One Financial

  1,950      153,699   
     

 

 

 
  153,699   
     

 

 

 

Containers & Packaging–0.04%

MeadWestvaco

  2,800      139,636   
     

 

 

 
  139,636   
     

 

 

 

Diversified Financial Services–0.20%

  

Intercontinental Exchange

  2,759      643,592   
     

 

 

 
  643,592   
     

 

 

 

Diversified Telecommunication Services–0.51%

  

AT&T

  25,557      834,436   

Atlantic Tele-Network

  1,150      79,603   

†inContact

  10,210      111,289   

Verizon Communications

  13,060      635,108   
     

 

 

 
  1,660,436   
     

 

 

 

Electric Utilities–0.28%

Cleco

  2,150      117,218   

Edison International

  11,150      696,541   

OGE Energy

  3,100      97,991   
     

 

 

 
  911,750   
     

 

 

 

Electrical Equipment–0.03%

Eaton

  1,500      101,910   
     

 

 

 
  101,910   
     

 

 

 

Electronic Equipment, Instruments & Components–0.09%

  

†Anixter International

  1,250      95,163   

†FARO Technologies

  2,320      144,142   

†Rofin-Sinar Technologies

  2,450      59,363   
     

 

 

 
  298,668   
     

 

 

 

Energy Equipment & Services–0.27%

  

Bristow Group

  770      41,927   

Core Laboratories

  750      78,367   

Halliburton

  13,000      570,440   

†Pioneer Energy Services

  2,350      12,737   

†RigNet

  2,280      65,185   

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Energy Equipment & Services (continued)

  

Schlumberger

     1,500       $ 125,160   
     

 

 

 
  893,816   
     

 

 

 

Food & Staples Retailing–0.62%

Casey’s General Stores

  2,700      243,270   

CVS Health

  8,090      834,969   

Walgreens Boots Alliance

  11,223      950,364   
     

 

 

 
  2,028,603   
     

 

 

 

Food Products–0.73%

Archer-Daniels-Midland

  13,400      635,160   

General Mills

  2,500      141,500   

J&J Snack Foods

  1,010      107,767   

Kraft Foods Group

  9,733      847,890   

Mondelez International

  18,400      664,056   
     

 

 

 
  2,396,373   
     

 

 

 

Gas Utilities–0.01%

South Jersey Industries

  630      34,196   
     

 

 

 
  34,196   
     

 

 

 

Health Care Equipment & Supplies–0.42%

  

Baxter International

  9,600      657,600   

CONMED

  2,670      134,808   

CryoLife

  7,190      74,560   

†DexCom

  2,500      155,850   

†Merit Medical Systems

  3,737      71,937   

†Quidel

  4,010      108,190   

West Pharmaceutical Services

  3,130      188,457   
     

 

 

 
  1,391,402   
     

 

 

 

Health Care Providers & Services–0.61%

  

†Air Methods

  2,560      119,270   

Cardinal Health

  7,100      640,917   

†Express Scripts Holding

  2,100      182,217   

Quest Diagnostics

  8,600      660,910   

UnitedHealth Group

  2,250      266,153   

†WellCare Health Plans

  1,380      126,215   
     

 

 

 
  1,995,682   
     

 

 

 

Hotels, Restaurants & Leisure–0.33%

  

†Buffalo Wild Wings

  650      117,806   

Cheesecake Factory

  2,480      122,338   

†Del Frisco’s Restaurant Group

  5,000      100,750   

Jack in the Box

  1,500      143,880   

McDonald’s

  450      43,848   

†Popeyes Louisiana Kitchen

  2,350      140,577   

Starbucks

  2,050      194,135   

Wynn Resorts

  1,644      206,947   
     

 

 

 
  1,070,281   
     

 

 

 

Household Products–0.11%

Kimberly-Clark

  1,000      107,110   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–2


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Household Products (continued)

     

Procter & Gamble

     3,020       $ 247,459   
     

 

 

 
  354,569   
     

 

 

 

Industrial Conglomerates–0.08%

General Electric

  10,500      260,505   
     

 

 

 
  260,505   
     

 

 

 

Insurance–0.68%

Aflac

  2,300      147,223   

Allstate

  9,100      647,647   

American Equity Investment Life Holding

  4,000      116,520   

Fidelity & Guaranty Life

  3,810      80,772   

@Infinity Property & Casualty

  1,120      91,896   

Marsh & McLennan

  11,200      628,208   

Primerica

  1,840      93,656   

Prudential Financial

  1,100      88,341   

@Selective Insurance Group

  3,390      98,479   

Travelers

  1,530      165,439   

United Fire Group

  2,350      74,659   
     

 

 

 
  2,232,840   
     

 

 

 

Internet & Catalog Retail–0.61%

†Liberty Interactive Class A

  28,686      837,344   

†Priceline Group

  456      530,852   

†Shutterfly

  1,970      89,123   

†TripAdvisor

  6,320      525,634   
     

 

 

 
  1,982,953   
     

 

 

 

Internet Software & Services–1.20%

  

†Coupons.com

  4,850      56,939   

†eBay

  17,038      982,752   

†Endurance International Group Holdings

  870      16,582   

Equinix

  3,671      854,792   

†Facebook Class A

  2,250      184,984   

†Google Class A

  1,236      685,609   

†Google Class C

  795      435,660   

†GrubHub

  2,730      123,915   

@j2 Global

  1,770      116,254   

†SciQuest

  5,210      88,205   

†Yahoo

  3,700      164,409   

†Yelp

  4,897      231,873   
     

 

 

 
  3,941,974   
     

 

 

 

IT Services–0.97%

Accenture Class A

  2,050      192,065   

Convergys

  4,580      104,745   

†ExlService Holdings

  1,500      55,800   

International Business Machines

  290      46,545   

†InterXion Holding

  3,210      90,522   

MasterCard Class A

  10,429      900,961   

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

IT Services (continued)

     

TeleTech Holdings

     3,370       $ 85,767   

Visa Class A

     16,022         1,047,999   

Xerox

     51,000         655,350   
     

 

 

 
  3,179,754   
     

 

 

 

Life Sciences Tools & Services–0.06%

  

Thermo Fisher Scientific

  1,550      208,227   
     

 

 

 
  208,227   
     

 

 

 

Machinery–0.26%

Barnes Group

  3,330      134,832   

Caterpillar

  600      48,018   

Columbus McKinnon

  3,820      102,911   

Cummins

  600      83,184   

Deere

  650      56,999   

ESCO Technologies

  2,650      103,297   

Federal Signal

  4,440      70,108   

Kadant

  2,900      152,569   

Parker-Hannifin

  850      100,963   
     

 

 

 
  852,881   
     

 

 

 

Media–0.32%

Cinemark Holdings

  1,150      51,831   

Comcast Class A

  3,050      170,998   

†Discovery Communications Class A

  5,542      170,472   

†Discovery Communications Class C

  14,994      441,948   

Disney (Walt)

  750      78,667   

National CineMedia

  4,050      61,155   

Regal Entertainment Group Class A

  950      21,698   

Viacom Class B

  800      54,640   
     

 

 

 
  1,051,409   
     

 

 

 

Metals & Mining–0.06%

Kaiser Aluminum

  1,250      96,113   

Worthington Industries

  3,630      96,594   
     

 

 

 
  192,707   
     

 

 

 

Multiline Retail–0.09%

Macy’s

  2,500      162,275   

Nordstrom

  1,750      140,560   
     

 

 

 
  302,835   
     

 

 

 

Multi-Utilities–0.09%

MDU Resources Group

  3,450      73,623   

NorthWestern

  2,020      108,656   

Sempra Energy

  1,100      119,922   
     

 

 

 
  302,201   
     

 

 

 

Oil, Gas & Consumable Fuels–1.50%

  

†Bonanza Creek Energy

  1,500      36,990   

†Carrizo Oil & Gas

  2,100      104,265   

Chevron

  7,971      836,796   

ConocoPhillips

  9,400      585,244   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–3


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

  

†Diamondback Energy

     1,280       $ 98,355   

EOG Resources

     6,105         559,767   

Exxon Mobil

     2,750         233,750   

Kinder Morgan

     11,626         488,990   

Marathon Oil

     22,765         594,394   

Occidental Petroleum

     10,200         744,600   

†Parsley Energy Class A

     1,960         31,321   

†RSP Permian

     1,450         36,525   

Williams

     10,959         554,416   
     

 

 

 
  4,905,413   
     

 

 

 

Paper & Forest Products–0.08%

†Boise Cascade

  2,230      83,536   

International Paper

  1,500      83,235   

Neenah Paper

  1,480      92,559   
     

 

 

 
  259,330   
     

 

 

 

Pharmaceuticals–1.56%

AbbVie

  3,100      181,474   

†Actavis

  3,083      917,458   

†Akorn

  2,980      141,580   

Johnson & Johnson

  7,089      713,153   

†Medicines

  1,750      49,035   

Merck

  15,647      899,390   

Perrigo

  2,582      427,450   

Pfizer

  27,464      955,473   

†Prestige Brands Holdings

  2,250      96,503   

†Valeant Pharmaceuticals International

  3,651      725,162   
     

 

 

 
  5,106,678   
     

 

 

 

Professional Services–0.12%

Kforce

  5,900      131,629   

Nielsen

  1,950      86,911   

†On Assignment

  2,180      83,647   

†WageWorks

  1,730      92,261   
     

 

 

 
  394,448   
     

 

 

 

Real Estate Investment Trusts–2.13%

  

American Campus Communities

  950      40,727   

American Realty Capital Properties

  3,375      33,244   

American Tower

  1,700      160,055   

Apartment Investment & Management

  1,675      65,928   

AvalonBay Communities

  1,200      209,100   

Boston Properties

  1,575      221,256   

Brandywine Realty Trust

  5,050      80,699   

Camden Property Trust

  725      56,644   

Corporate Office Properties Trust

  1,325      38,929   

Cousins Properties

  3,225      34,185   

Crown Castle International

  9,264      764,651   

DCT Industrial Trust

  3,828      132,678   

DDR

  5,775      107,531   

Douglas Emmett

  3,150      93,901   
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Real Estate Investment Trusts (continued)

  

Duke Realty

     6,225       $ 135,518   

DuPont Fabros Technology

     3,000         98,040   

EastGroup Properties

     1,360         81,790   

EPR Properties

     3,105         186,393   

Equity Lifestyle Properties

     875         48,081   

Equity One

     1,625         43,371   

Equity Residential

     3,100         241,366   

Essex Property Trust

     625         143,687   

Extra Space Storage

     875         59,124   

Federal Realty Investment Trust

     300         44,163   

First Industrial Realty Trust

     3,625         77,684   

First Potomac Realty Trust

     1,925         22,888   

General Growth Properties

     6,650         196,507   

Health Care REIT

     900         69,624   

Healthcare Realty Trust

     1,800         50,004   

Healthcare Trust of America Class A

     1,662         46,303   

Highwoods Properties

     1,800         82,404   

Host Hotels & Resorts

     10,255         206,946   

Kilroy Realty

     1,075         81,883   

Kimco Realty

     3,300         88,605   

Kite Realty Group Trust

     3,802         107,102   

LaSalle Hotel Properties

     4,020         156,217   

Lexington Realty Trust

     3,825         37,600   

Liberty Property Trust

     875         31,237   

LTC Properties

     300         13,800   

Macerich

     950         80,113   

National Retail Properties

     3,875         158,759   

Pebblebrook Hotel Trust

     1,300         60,541   

Post Properties

     1,100         62,623   

Prologis

     4,400         191,664   

PS Business Parks

     500         41,520   

Public Storage

     875         172,497   

Ramco-Gershenson Properties Trust

     7,675         142,755   

Regency Centers

     1,425         96,957   

RLJ Lodging Trust

     1,925         60,272   

Sabra Health Care REIT

     950         31,493   

Simon Property Group

     2,625         513,555   

SL Green Realty

     1,200         154,056   

Sovran Self Storage

     1,140         107,092   

Spirit Realty Capital

     4,800         57,984   

†Strategic Hotels & Resorts

     5,150         64,015   

Tanger Factory Outlet Centers

     1,925         67,702   

Taubman Centers

     425         32,780   

UDR

     2,875         97,836   

Urban Edge Properties

     875         20,737   

Ventas

     2,650         193,503   

Vornado Realty Trust

     1,750         196,000   
     

 

 

 
  6,994,319   
     

 

 

 

Road & Rail–0.13%

Hunt (J.B.) Transport Services

  1,000      85,395   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–4


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Road & Rail (continued)

     

†Roadrunner Transportation Systems

     2,360       $ 59,637   

†Swift Transportation

     2,440         63,489   

Union Pacific

     1,900         205,789   
     

 

 

 
  414,310   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.60%

  

†Applied Micro Circuits

  12,390      63,189   

Avago Technologies

  1,200      152,376   

Broadcom Class A

  14,400      623,448   

Intel

  24,711      772,713   

Maxim Integrated Products

  3,950      137,499   

†Semtech

  4,360      116,172   

†Synaptics

  1,390      113,014   
     

 

 

 
  1,978,411   
     

 

 

 

Software–1.11%

†Adobe Systems

  5,542      409,775   

CA

  20,609      672,059   

†Callidus Software

  5,870      74,432   

†Electronic Arts

  10,484      616,616   

†Guidewire Software

  2,020      106,272   

Intuit

  4,261      413,147   

Microsoft

  21,576      877,172   

†Proofpoint

  2,130      126,139   

†salesforce.com

  1,700      113,577   

SS&C Technologies Holdings

  2,220      138,306   

†Tyler Technologies

  820      98,835   
     

 

 

 
    3,646,330   
     

 

 

 

Specialty Retail–0.66%

†Boot Barn Holdings

  1,330      31,814   

DSW Class A

  2,550      94,044   

†Express

  4,440      73,393   

L Brands

  7,228      681,528   

Lowe’s

  8,600      639,754   

†Sally Beauty Holdings

  9,683      332,805   

Tractor Supply

  1,700      144,602   

†Urban Outfitters

  3,900      178,035   
     

 

 

 
  2,175,975   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.18%

  

Apple

  3,530      439,238   

EMC

  5,550      141,858   
     

 

 

 
  581,096   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.28%

  

†G-III Apparel Group

  1,230      138,559   

†Iconix Brand Group

  3,060      103,030   

†Madden (Steven)

  4,322      164,236   

NIKE Class B

  5,012      502,854   
     

 

 

 
  908,679   
     

 

 

 
     Number of
Shares
     Value
(U.S. $)
 

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Trading Companies & Distributors–0.04%

  

Applied Industrial Technologies

     2,510       $ 113,803   
     

 

 

 
  113,803   
     

 

 

 

Total U.S. Markets
(Cost $43,715,835)

  72,303,073   
     

 

 

 

§DEVELOPED MARKETS–7.52%

  

Aerospace & Defense–0.11%

Meggitt

  45,490      369,760   
     

 

 

 
  369,760   
     

 

 

 

Air Freight & Logistics–0.20%

  

Deutsche Post

  20,628      642,783   
     

 

 

 
  642,783   
     

 

 

 

Airlines–0.07%

  

@Westjet Airlines Class VV

  10,416      244,149   
     

 

 

 
  244,149   
     

 

 

 

Auto Components–0.17%

  

Sumitomo Rubber Industries

  31,000      571,339   
     

 

 

 
  571,339   
     

 

 

 

Automobiles–0.27%

  

Toyota Motor

  12,800      893,339   
     

 

 

 
  893,339   
     

 

 

 

Banks–1.05%

  

†ING Groep CVA

  36,608      536,333   

Mitsubishi UFJ Financial Group

  138,900      860,122   

Nordea Bank

  67,188      818,387   

Standard Chartered

  45,700      740,165   

UniCredit

  71,556      485,332   
     

 

 

 
  3,440,339   
     

 

 

 

Beverages–0.27%

  

Carlsberg Class B

  5,945      490,200   

Coca-Cola Amatil

  48,317      395,562   
     

 

 

 
  885,762   
     

 

 

 

Construction & Engineering–0.18%

  

Vinci

  10,294      588,244   
     

 

 

 
  588,244   
     

 

 

 

Containers & Packaging–0.17%

  

Rexam

  65,032      557,328   
     

 

 

 
  557,328   
     

 

 

 

Diversified Telecommunication Services–0.22%

  

Nippon Telegraph & Telephone

  11,641      718,491   
     

 

 

 
  718,491   
     

 

 

 

Energy Equipment & Services–0.08%

  

†Saipem

  22,708      231,028   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–5


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

  

  

§DEVELOPED MARKETS (continued)

  

  

Energy Equipment & Services (continued)

  

Subsea 7

     4,289       $ 36,835   
     

 

 

 
  267,863   
     

 

 

 

Food & Staples Retailing–0.15%

  

Tesco

  136,601      487,588   
     

 

 

 
  487,588   
     

 

 

 

Food Products–0.21%

  

†Aryzta

  10,993      673,901   
     

 

 

 
  673,901   
     

 

 

 

Household Durables–0.13%

  

Techtronic Industries

  123,500      416,368   
     

 

 

 
  416,368   
     

 

 

 

Industrial Conglomerates–0.17%

  

Koninklijke Philips

  19,967      566,569   
     

 

 

 
  566,569   
     

 

 

 

Insurance–0.26%

  

AXA

  33,843      851,959   
     

 

 

 
  851,959   
     

 

 

 

IT Services–0.44%

  

†CGI Group Class A

  18,999      805,768   

Teleperformance

  9,458      648,293   
     

 

 

 
  1,454,061   
     

 

 

 

Life Sciences Tools & Services–0.05%

  

†ICON

  2,140      150,934   
     

 

 

 
  150,934   
     

 

 

 

Media–0.07%

  

Publicis Groupe

  3,035      234,214   
     

 

 

 
  234,214   
     

 

 

 

Metals & Mining–0.20%

  

Anglo American ADR

  7,600      56,658   

AuRico Gold

  42,269      116,797   

Rio Tinto

  9,486      391,160   

Yamana Gold

  28,037      100,492   
     

 

 

 
  665,107   
     

 

 

 

Multi-Utilities–0.08%

  

National Grid

  20,168      259,272   
     

 

 

 
  259,272   
     

 

 

 

Oil, Gas & Consumable Fuels–0.22%

  

Suncor Energy

  12,300      359,391   

TOTAL

  7,264      361,139   
     

 

 

 
  720,530   
     

 

 

 

Pharmaceuticals–1.40%

  

Novartis

  9,071      895,312   

Novo Nordisk ADR

  12,739      680,135   
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

  

Pharmaceuticals (continued)

     

Sanofi

     8,127       $ 802,764   

STADA Arzneimittel

     13,027         433,547   

Teva Pharmaceutical Industries ADR

     28,600         1,781,780   
     

 

 

 
  4,593,538   
     

 

 

 

Road & Rail–0.17%

  

East Japan Railway

  6,967      558,201   
     

 

 

 
  558,201   
     

 

 

 

Software–0.08%

  

Playtech

  22,077      253,930   
     

 

 

 
  253,930   
     

 

 

 

Specialty Retail–0.25%

  

Nitori Holdings

  12,306      832,898   
     

 

 

 
  832,898   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.28%

  

Kering

  1,760      343,649   

Yue Yuen Industrial Holdings

  161,000      569,689   
     

 

 

 
  913,338   
     

 

 

 

Tobacco–0.17%

  

Japan Tobacco

  17,400      550,007   
     

 

 

 
  550,007   
     

 

 

 

Trading Companies & Distributors–0.26%

  

ITOCHU

  53,242      576,082   

Rexel

  13,737      259,070   
     

 

 

 
  835,152   
     

 

 

 

Wireless Telecommunication Services–0.14%

  

Tele2 Class B

  39,238      469,321   
     

 

 

 
  469,321   
     

 

 

 

Total Developed Markets
(Cost $19,272,449)

   

  24,666,285   
     

 

 

 

×EMERGING MARKETS–5.24%

  

Airlines–0.02%

Gol Linhas Aereas Inteligentes ADR

  29,513      71,717   
     

 

 

 
  71,717   
     

 

 

 

Automobiles–0.09%

  

Hyundai Motor

  709      107,422   

Mahindra & Mahindra

  9,127      174,084   
     

 

 

 
  281,506   
     

 

 

 

Banks–0.69%

  

Akbank

  58,536      171,747   

Banco Santander Brasil ADR

  24,400      107,604   

Bangkok Bank

  27,505      155,791   

China Construction Bank

  233,619      193,901   

Grupo Financiero Banorte Class O

  15,200      88,147   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–6


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

×EMERGING MARKETS (continued)

  

  

Banks (continued)

     

ICICI Bank ADR

     25,300       $ 262,108   

Industrial & Commercial Bank of China

     302,080         223,443   

Itau Unibanco Holding ADR

     17,365         192,057   

†KB Financial Group ADR

     7,322         257,295   

Powszechna Kasa Oszczednosci Bank Polski

     7,525         67,337   

@=Sberbank

     93,948         101,489   

Shinhan Financial Group

     5,128         192,748   

Standard Bank Group

     18,623         257,390   
     

 

 

 
  2,271,057   
     

 

 

 

Beverages–0.25%

  

†Anadolu Efes Biracilik Ve Malt Sanayii

  17,754      148,108   

Cia Cervecerias Unidas ADR

  4,400      91,344   

†Fomento Economico Mexicano ADR

  2,234      208,879   

@Lotte Chilsung Beverage

  155      241,027   

Tsingtao Brewery

  17,542      117,627   
     

 

 

 
  806,985   
     

 

 

 

Building Products–0.11%

  

@KCC

  702      357,722   
     

 

 

 
  357,722   
     

 

 

 

Chemicals–0.04%

  

Braskem ADR

  10,903      75,667   

Sociedad Quimica y Minera de Chile ADR

  3,600      65,700   
     

 

 

 
  141,367   
     

 

 

 

Construction & Engineering–0.01%

  

†Empresas ICA ADR

  13,100      42,706   
     

 

 

 
  42,706   
     

 

 

 

Construction Materials–0.22%

  

†Cemex ADR

  25,591      242,347   

†Cemex Latam Holdings

  9,350      48,548   

Siam Cement - Foreign

  7,393      115,837   

Siam Cement NVDR

  6,400      100,656   

Ultratech Cement

  4,280      197,872   
     

 

 

 
  705,260   
     

 

 

 

Diversified Financial Services–0.08%

  

Reliance Capital

  12,259      83,629   

Remgro

  7,509      164,349   
     

 

 

 
  247,978   
     

 

 

 

Diversified Telecommunication Services–0.08%

  

†KT ADR

  8,200      107,256   

Telefonica Brasil ADR

  9,095      139,063   
     

 

 

 
  246,319   
     

 

 

 
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

×EMERGING MARKETS (continued)

  

  

Electronic Equipment, Instruments & Components–0.16%

  

Hon Hai Precision Industry

     86,166       $ 252,520   

†LG Display ADR

     12,100         173,151   

Samsung SDI

     868         106,655   
     

 

 

 
  532,326   
     

 

 

 

Food & Staples Retailing–0.07%

  

Cia Brasileira de Distribuicao ADR

  3,400      101,388   

Wal-Mart de Mexico Class V

  56,157      139,965   
     

 

 

 
  241,353   
     

 

 

 

Food Products–0.24%

  

BRF ADR

  8,601      170,128   

China Mengniu Dairy

  40,000      212,572   

@Lotte Confectionery

  105      168,989   

Tingyi Cayman Islands Holding

  22,606      48,671   

@Uni-President China Holdings

  269,000      178,000   
     

 

 

 
  778,360   
     

 

 

 

Hotels, Restaurants & Leisure–0.02%

  

@Arcos Dorados Holdings

  13,100      64,583   
     

 

 

 
  64,583   
     

 

 

 

Household Durables–0.03%

  

LG Electronics

  2,085      110,564   
     

 

 

 
  110,564   
     

 

 

 

Insurance–0.05%

  

Samsung Life Insurance

  2,036      177,256   
     

 

 

 
  177,256   
     

 

 

 

Internet Software & Services–0.48%

  

†Baidu ADR

  5,936      1,237,062   

†SINA

  3,725      119,796   

†@Sohu.com

  4,100      218,653   
     

 

 

 
  1,575,511   
     

 

 

 

IT Services–0.03%

  

†WNS Holdings ADR

  4,260      103,603   
     

 

 

 
  103,603   
     

 

 

 

Media–0.13%

  

†Grupo Televisa ADR

  12,698      419,161   
     

 

 

 
  419,161   
     

 

 

 

Metals & Mining–0.08%

  

†Anglo American Platinum

  2,531      61,970   

@Gerdau

  12,300      29,286   

Gerdau ADR

  9,200      29,440   

†Impala Platinum Holdings

  5,484      26,522   

Steel Authority of India

  27,341      29,602   

Vale ADR

  15,700      88,705   
     

 

 

 
  265,525   
     

 

 

 
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–7


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

×EMERGING MARKETS (continued)

  

  

Multiline Retail–0.04%

     

Woolworths Holdings

     19,455       $ 137,952   
     

 

 

 
  137,952   
     

 

 

 

Oil, Gas & Consumable Fuels–0.70%

  

Cairn India

  27,966      96,182   

China Petroleum & Chemical

  140,050      111,608   

CNOOC ADR

  890      126,220   

@Gazprom ADR

  35,057      165,023   

Lukoil ADR

  3,598      165,256   

PetroChina ADR

  1,008      112,100   

†Petroleo Brasileiro ADR

  29,755      178,828   

Polski Koncern Naftowy Orlen

  7,265      113,387   

PTT-Foreign

  17,078      169,468   

#Reliance Industries GDR 144A

  24,127      638,159   

@Rosneft GDR

  24,108      103,415   

Sasol ADR

  3,424      116,553   

Tambang Batubara Bukit Asam Persero

  92,000      75,430   

YPF ADR

  4,800      131,760   
     

 

 

 
  2,303,389   
     

 

 

 

Paper & Forest Products–0.10%

  

†Fibria Celulose ADR

  18,405      260,063   

Nine Dragons Paper Holdings

  106,000      66,282   
     

 

 

 
  326,345   
     

 

 

 

Personal Products–0.05%

  

†Hypermarcas

  25,800      159,310   
     

 

 

 
  159,310   
     

 

 

 

Real Estate Management & Development–0.03%

  

#@=Etalon Group GDR 144A

  6,900      14,731   

@UEM Sunrise

  225,402      83,795   
     

 

 

 
  98,526   
     

 

 

 

Road & Rail–0.01%

  

America Latina Logistica

  15,422      19,422   
     

 

 

 
  19,422   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.29%

  

MediaTek

  18,000      243,392   

Taiwan Semiconductor Manufacturing

  75,594      351,744   

Taiwan Semiconductor Manufacturing ADR

  9,100      213,668   

United Microelectronics

  298,000      147,826   
     

 

 

 
  956,630   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.35%

  

Samsung Electronics

  886      1,149,462   
     

 

 

 
  1,149,462   
     

 

 

 
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

×EMERGING MARKETS (continued)

  

  

Transportation Infrastructure–0.01%

     

Santos Brasil Participacoes

     7,138       $ 24,419   
     

 

 

 
  24,419   
     

 

 

 

Wireless Telecommunication Services–0.78%

  

America Movil ADR

  7,500      153,450   

China Mobile

  31,120      405,568   

China Mobile ADR

  4,200      273,126   

MegaFon GDR

  7,736      123,112   

Mobile Telesystems ADR

  6,900      69,690   

MTN Group

  8,529      143,797   

SK Telecom ADR

  29,000      789,090   

Tim Participacoes ADR

  18,600      308,388   

Turkcell Iletisim Hizmetleri ADR

  9,551      124,450   

Vodacom Group

  14,772      161,378   
     

 

 

 
  2,552,049   
     

 

 

 

Total Emerging Markets
(Cost $17,051,085)

   

  17,168,363   
     

 

 

 

Total Common Stock
(Cost $80,039,369)

  114,137,721   
     

 

 

 

CONVERTIBLE PREFERRED STOCK–0.29%

  

Alcoa 5.375% exercise price $19.39, expiration date 10/1/17

  1,250      54,800   

ArcelorMittal 6.00% exercise price $20.36, expiration date 12/21/15

  2,325      35,492   

Bank of America 7.25% exercise price $50.00, expiration date 12/31/49

  42      48,179   

#Chesapeake Energy 144A 5.75% exercise price $26.14, expiration date 12/31/49

  70      60,637   

Dominion Resources 6.125% exercise price $65.06, expiration date 4/1/16

  788      44,254   

@Dynegy 5.375% exercise price $38.75, expiration date 11/1/17

  520      56,758   

Exelon 6.50% exercise price $43.75, expiration date 6/1/17

  1,200      58,380   

Halcon Resources 5.75% exercise price $6.16, expiration date 12/31/49

  55      16,239   

HealthSouth 6.50% exercise price $29.70, expiration date 12/31/49

  81      120,660   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–8


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

CONVERTIBLE PREFERRED STOCK (continued)

  

Huntington Bancshares 8.50% exercise price $11.95, expiration date 12/31/49

     62       $ 82,646   

Intelsat 5.75% exercise price $22.05, expiration date 5/1/16

     2,626         91,385   

Maiden Holdings 7.25% exercise price $15.35, expiration date 9/15/16

     2,150         112,531   

SandRidge Energy 8.50% exercise price $8.01, expiration date 12/31/49

     838         31,949   

T-Mobile US 5.50% exercise price $31.02, expiration date 12/15/17

     785         46,048   

Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49

     84         102,732   
     

 

 

 

Total Convertible Preferred Stock
(Cost $1,104,394)

  962,690   
     

 

 

 

EXCHANGE-TRADED FUNDS–5.65%

  

iShares MSCI EAFE Growth Index ETF

  126,335      8,849,767   

iShares MSCI EAFE Index ETF

  72,500      4,652,325   

Vanguard FTSE Developed Markets ETF

  125,855      5,012,805   
     

 

 

 

Total Exchange-Traded Funds
(Cost $13,729,946)

  18,514,897   
     

 

 

 

PREFERRED STOCK–0.31%

Alabama Power 5.625%

  9,280      238,496   

•Bank of America 6.10%

  120,000      122,025   

•Integrys Energy Group 6.00%

  8,750      245,963   

•Morgan Stanley 5.55%

  170,000      172,125   

National Retail Properties 5.70%

  5,050      125,997   

Public Storage 5.20%

  5,000      121,100   
     

 

 

 

Total Preferred Stock
(Cost $986,174)

  1,025,706   
     

 

 

 
     Principal         
     Amount°         

AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS–1.02%

  

  

Fannie Mae REMICs

     

Series 1996-46 ZA
7.50% 11/25/26

     3,165         3,614   

Series 2003-26 AT
5.00% 11/25/32

     67,359         69,517   

Series 2010-41 PN
4.50% 4/25/40

     235,000         257,388   
     Principal      Value  
     Amount°      (U.S. $)  
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued)    

Fannie Mae REMICs (continued)

     

Series 2010-96 DC
4.00% 9/25/25

     432,890       $ 457,827   

•*Series 2012-122 SD
5.926% 11/25/42

     232,949         56,608   

*Series 2013-26 ID
3.00% 4/25/33

     311,874         46,903   

*Series 2013-38 AI
3.00% 4/25/33

     302,105         42,803   

*Series 2013-44 DI
3.00% 5/25/33

     933,286         138,012   

Series 2014-36 ZE
3.00% 6/25/44

     150,717         139,409   

Freddie Mac REMICs

     

Series 2326 ZQ 6.50% 6/15/31

     6,386         7,364   

Series 2557 WE 5.00% 1/15/18

     7,059         7,359   

Series 3416 GK 4.00% 7/15/22

     8,262         8,326   

Series 4065 DE 3.00% 6/15/32

     40,000         41,105   

*Series 4185 LI 3.00% 3/15/33

     231,409         35,595   

*Series 4191 CI 3.00% 4/15/33

     95,711         13,024   

Freddie Mac Structured Agency Credit Risk Debt Notes

  

  

•Series 2014-DN2 M2
1.824% 4/25/24

     524,600         521,396   

•Series 2014-DN4 M2
2.574% 10/25/24

     500,000         506,805   

•Series 2015-DN1 M1
1.424% 1/25/25

     246,948         247,452   

¨Freddie Mac Structured Pass Through Securities Series T-58 2A 6.50% 9/25/43

     86,851         100,635   

GNMA Series 2010-113 KE 4.50% 9/20/40

     575,000         643,264   
     

 

 

 

Total Agency Collateralized Mortgage Obligations
(Cost $3,291,503)

   

  3,344,406   
     

 

 

 

AGENCY MORTGAGE-BACKED SECURITIES–10.99%

  

Fannie Mae 6.50% 8/1/17

  10,281      10,622   

Fannie Mae ARM

•2.311% 4/1/36

  35,502      37,870   

•2.315% 11/1/35

  24,706      26,452   

•2.42% 5/1/43

  120,954      123,680   

•2.546% 6/1/43

  42,840      43,974   

•3.196% 4/1/44

  171,589      179,028   

•3.266% 3/1/44

  163,591      171,242   

•3.31% 9/1/43

  126,161      132,325   

•5.141% 8/1/35

  1,620      1,728   

Fannie Mae Relocation 15 yr
4.00% 9/1/20

  34,901      36,718   

Fannie Mae Relocation 30 yr
5.00% 1/1/34

  20,957      23,069   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–9


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae Relocation 30 yr (continued)

  

5.00% 10/1/35

     8,546       $ 9,412   

5.00% 2/1/36

     35,806         39,278   

Fannie Mae S.F. 15 yr

     

2.50% 2/1/28

     342,821         353,013   

3.00% 5/1/28

     29,667         31,136   

3.50% 7/1/26

     100,150         106,836   

3.50% 12/1/28

     35,545         38,091   

4.00% 5/1/25

     60,750         64,595   

4.00% 6/1/25

     214,049         227,571   

4.00% 11/1/25

     389,945         420,684   

4.00% 12/1/26

     102,073         108,165   

4.00% 1/1/27

     645,982         694,781   

4.00% 5/1/27

     224,656         239,458   

4.00% 8/1/27

     120,123         127,667   

4.50% 4/1/18

     9,625         10,093   

5.50% 6/1/23

     67,172         73,830   

Fannie Mae S.F. 15 yr TBA

     

2.50% 5/1/30

     944,000         967,563   

Fannie Mae S.F. 20 yr

     

3.00% 2/1/33

     14,333         14,859   

3.00% 8/1/33

     57,421         59,525   

3.50% 4/1/33

     17,064         18,048   

3.50% 9/1/33

     80,654         86,154   

4.00% 1/1/31

     27,011         29,092   

4.00% 2/1/31

     82,152         88,472   

5.00% 11/1/23

     6,994         7,768   

6.00% 9/1/29

     63,825         72,689   

Fannie Mae S.F. 30 yr

     

3.00% 7/1/42

     105,134         107,746   

3.00% 10/1/42

     1,692,355         1,734,629   

3.00% 12/1/42

     273,650         280,482   

3.00% 1/1/43

     642,107         657,995   

3.00% 2/1/43

     67,200         68,872   

3.00% 4/1/43

     407,183         417,155   

3.00% 5/1/43

     353,178         361,779   

4.00% 5/1/43

     89,325         96,607   

4.00% 8/1/43

     48,668         52,487   

4.00% 7/1/44

     185,857         201,094   

4.50% 7/1/36

     36,232         39,665   

4.50% 11/1/40

     97,573         106,859   

4.50% 3/1/41

     196,409         215,273   

4.50% 4/1/41

     244,910         268,338   

4.50% 7/1/41

     72,251         79,216   

4.50% 10/1/41

     116,059         127,223   

4.50% 1/1/42

     2,334,200         2,553,993   

4.50% 9/1/42

     1,385,498         1,518,774   

4.50% 12/1/43

     17,173         18,721   

4.50% 5/1/44

     81,630         89,193   

4.50% 6/1/44

     164,456         179,974   

5.00% 2/1/35

     119,223         133,157   

5.00% 7/1/35

     44,331         49,321   

 

     Principal
Amount°
     Value
(U.S. $)
 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

     

5.00% 10/1/35

     105,023       $ 116,849   

5.00% 11/1/35

     51,099         56,864   

5.00% 4/1/37

     27,526         30,641   

5.00% 8/1/37

     76,041         84,683   

5.00% 2/1/38

     29,297         32,592   

5.50% 12/1/32

     5,830         6,606   

5.50% 2/1/33

     82,113         93,031   

5.50% 4/1/34

     30,207         34,204   

5.50% 11/1/34

     31,545         35,728   

5.50% 12/1/34

     141,400         160,030   

5.50% 1/1/35

     13,239         14,982   

5.50% 3/1/35

     14,869         16,731   

5.50% 5/1/35

     51,007         57,662   

5.50% 6/1/35

     22,925         25,808   

5.50% 1/1/36

     19,079         21,563   

5.50% 4/1/36

     75,128         84,561   

5.50% 7/1/36

     8,706         9,845   

5.50% 11/1/36

     24,254         27,326   

5.50% 1/1/37

     99,378         111,930   

5.50% 4/1/37

     392,283         445,264   

5.50% 8/1/37

     81,606         92,223   

5.50% 1/1/38

     2,412         2,715   

5.50% 2/1/38

     54,309         61,388   

5.50% 3/1/38

     59,388         67,469   

5.50% 6/1/38

     223,671         251,691   

5.50% 9/1/38

     221,705         250,253   

5.50% 1/1/39

     89,729         101,189   

5.50% 2/1/39

     342,601         387,157   

5.50% 10/1/39

     275,380         309,877   

5.50% 7/1/40

     82,375         92,730   

5.50% 9/1/41

     977,857         1,100,398   

6.00% 5/1/36

     107,761         123,163   

6.00% 6/1/36

     10,091         11,538   

6.00% 12/1/36

     11,529         13,252   

6.00% 2/1/37

     34,106         38,957   

6.00% 5/1/37

     95,843         109,363   

6.00% 6/1/37

     5,990         6,903   

6.00% 7/1/37

     6,010         6,898   

6.00% 8/1/37

     79,960         91,442   

6.00% 9/1/37

     12,361         14,118   

6.00% 11/1/37

     15,994         18,402   

6.00% 5/1/38

     150,454         171,674   

6.00% 7/1/38

     4,157         4,743   

6.00% 9/1/38

     371,876         425,605   

6.00% 10/1/38

     132,870         151,811   

6.00% 11/1/38

     25,896         29,625   

6.00% 1/1/39

     56,404         64,486   

6.00% 2/1/39

     69,062         78,968   

6.00% 9/1/39

     470,146         536,592   

6.00% 3/1/40

     47,008         53,643   

6.00% 7/1/40

     186,739         213,049   

6.00% 9/1/40

     42,258         48,238   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–10


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

  

6.00% 11/1/40

     16,855       $ 19,424   

6.00% 5/1/41

     444,140         507,448   

6.50% 2/1/36

     56,633         68,320   

6.50% 6/1/36

     61,403         74,042   

6.50% 10/1/36

     49,905         60,767   

6.50% 8/1/37

     3,078         3,534   

7.00% 12/1/37

     7,437         8,087   

7.50% 6/1/31

     12,842         16,202   

Fannie Mae S.F. 30 yr TBA

     

3.00% 5/1/45

     7,248,000         7,392,252   

3.50% 5/1/45

     3,103,000         3,251,241   

4.50% 5/1/45

     1,076,000         1,170,907   

Freddie Mac ARM

     

•2.249% 7/1/36

     36,434         38,850   

•2.307% 4/1/34

     9,580         10,180   

•2.342% 12/1/33

     9,179         9,819   

•2.482% 6/1/37

     3,713         3,984   

•2.532% 1/1/44

     347,643         358,609   

Freddie Mac S.F. 15 yr

     

3.50% 11/1/25

     23,842         25,354   

3.50% 6/1/26

     26,956         28,648   

3.50% 1/1/27

     23,784         25,263   

4.00% 5/1/25

     17,221         18,339   

4.50% 5/1/20

     3,691         3,897   

4.50% 8/1/24

     101,557         109,505   

4.50% 7/1/25

     19,929         21,488   

4.50% 6/1/26

     46,809         50,490   

4.50% 9/1/26

     64,809         69,986   

5.00% 6/1/18

     24,122         25,347   

Freddie Mac S.F. 20 yr

     

3.00% 6/1/34

     58,385         60,356   

3.50% 1/1/34

     140,476         148,180   

Freddie Mac S.F. 30 yr

     

3.00% 10/1/42

     124,472         127,306   

3.00% 11/1/42

     111,739         114,591   

4.50% 6/1/39

     19,161         20,878   

4.50% 10/1/39

     52,907         57,725   

4.50% 4/1/41

     328,430         358,997   

4.50% 3/1/42

     94,679         103,452   

5.50% 3/1/34

     11,892         13,420   

5.50% 12/1/34

     11,914         13,470   

5.50% 6/1/36

     7,976         8,974   

5.50% 11/1/36

     3,129         3,503   

5.50% 12/1/36

     3,666         4,116   

5.50% 9/1/37

     15,475         17,372   

5.50% 4/1/38

     55,400         62,180   

5.50% 6/1/38

     1,889         2,121   

5.50% 7/1/38

     56,986         63,928   

5.50% 6/1/39

     60,674         68,060   

5.50% 3/1/40

     43,526         48,858   

5.50% 8/1/40

     32,616         36,575   

5.50% 1/1/41

     8,993         10,076   
     Principal
Amount°
     Value
(U.S. $)
 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Freddie Mac S.F. 30 yr (continued)

  

5.50% 6/1/41

     309,156       $ 346,457   

6.00% 2/1/36

     25,834         29,667   

6.00% 1/1/38

     16,287         18,485   

6.00% 6/1/38

     45,994         52,319   

6.00% 8/1/38

     42,449         48,458   

6.00% 5/1/40

     20,561         23,383   

6.00% 7/1/40

     100,425         114,748   

6.50% 4/1/39

     69,802         79,964   

7.00% 11/1/33

     1,842         2,264   

GNMA I S.F.30 yr

     

5.00% 6/15/40

     23,312         25,999   

7.00% 12/15/34

     95,917         116,110   

7.50% 1/15/32

     6,741         8,497   
     

 

 

 

Total Agency Mortgage-Backed Securities
(Cost $35,456,609)

   

  36,012,973   
     

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES–3.61%

  

Banc of America Commercial Mortgage Trust

  

•Series 2006-1 AM
5.421% 9/10/45

  45,000      46,234   

•Series 2007-4 AM
5.821% 2/10/51

  130,000      141,247   

Bear Stearns Commercial Mortgage Securities Trust Series 2007-PWR18 A4
5.70% 6/11/50

  100,000      108,238   

CD Commercial Mortgage Trust

•Series 2005-CD1 AM
5.225% 7/15/44

  205,000      208,160   

•Series 2005-CD1 C
5.225% 7/15/44

  55,000      55,787   

Citigroup Commercial Mortgage Trust

Series 2014-GC25 A4
3.635% 10/10/47

  195,000      208,005   

Series 2015-GC27 A5
3.137% 2/10/48

  70,000      71,685   

COMM Mortgage Trust

Series 2014-CR19 A5
3.796% 8/10/47

  110,000      118,862   

Series 2014-CR20 A4
3.59% 11/10/47

  290,000      308,510   

Series 2014-CR20 AM
3.938% 11/10/47

  135,000      144,181   

Series 2014-CR21 A3
3.528% 12/10/47

  160,000      169,395   

 #Series 2015-3BP A 144A
3.178% 2/10/35

  400,000      409,417   

Series 2015-DC1 A5
3.35% 2/10/48

  100,000      104,275   

Commercial Mortgage Trust
Series 2007-GG9 AM
5.475% 3/10/39

  85,000      89,646   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–11


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

    

Value

(U.S. $)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

  

  

•Credit Suisse First Boston Mortgage Securities Series 2005-C5 AM 5.10% 8/15/38

     115,000       $ 115,879   

DB-UBS Mortgage Trust

     

#Series 2011-LC1A A3 144A
5.002% 11/10/46

     705,000         804,941   

#•Series 2011-LC1A C 144A
5.558% 11/10/46

     200,000         226,957   

FREMF Mortgage Trust

     

#•Series 2011-K10 B 144A
4.618% 11/25/49

     110,000         120,682   

#•Series 2011-K15 B 144A
4.932% 8/25/44

     15,000         16,681   

#•Series 2011-K702 B 144A
4.771% 4/25/44

     50,000         53,711   

#•Series 2011-K703 B 144A
4.884% 7/25/44

     40,000         43,199   

#•Series 2012-K19 B 144A
4.037% 5/25/45

     40,000         42,736   

#•Series 2012-K22 B 144A
3.687% 8/25/45

     150,000         155,815   

#•Series 2012-K22 C 144A
3.687% 8/25/45

     120,000         121,182   

#•Series 2012-K707 B 144A
3.883% 1/25/47

     60,000         62,889   

#•Series 2012-K708 B 144A
3.761% 2/25/45

     195,000         203,553   

#•Series 2012-K708 C 144A
3.761% 2/25/45

     60,000         61,449   

#•Series 2012-K711 144A
3.562% 8/25/45

     520,000         542,559   

#•Series 2013-K26 C 144A
3.60% 12/25/45

     70,000         70,164   

#•Series 2013-K30 C 144A
3.556% 6/25/45

     130,000         128,272   

#•Series 2013-K31 C 144A
3.627% 7/25/46

     250,000         249,334   

#•Series 2013-K33 B 144A
3.504% 8/25/46

     120,000         122,824   

#•Series 2013-K33 C 144A
3.504% 8/25/46

     75,000         74,240   

#•Series 2013-K712 144A
3.369% 5/25/45

     285,000         293,243   

#•Series 2013-K713 144A
3.165% 4/25/46

     300,000         305,797   

#•Series 2013-K713 C 144A
3.165% 4/25/46

     180,000         178,500   

#•Series 2014-K716 C 144A
3.954% 8/25/47

     95,000         97,264   

#GRACE Mortgage Trust Series 2014-GRCE A 144A
3.369% 6/10/28

     1,440,000         1,521,661   

 

     Principal
Amount°
     Value
(U.S. $)
 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

  

  

GS Mortgage Securities Trust

     

•Series 2006-GG6 A4
5.553% 4/10/38

     215,000       $ 218,484   

#Series 2010-C1 A2 144A
4.592% 8/10/43

     345,000         385,248   

Hilton USA Trust

     

#Series 2013-HLT AFX 144A
2.662% 11/5/30

     485,000         486,103   

#Series 2013-HLT BFX 144A
3.367% 11/5/30

     285,000         288,622   

#Houston Galleria Mall Trust Series 2015-HGLR A1A2 144A
3.087% 3/5/37

     280,000         282,974   

JPMBB Commercial Mortgage Securities Trust

  

Series 2014-C18 A1 1.254% 2/15/47

     220,937         220,818   

•Series 2014-C22 B 4.562% 9/15/47

     55,000         60,085   

JPMorgan Chase Commercial Mortgage Securities Trust

   

  

•Series 2005-CB11 E 5.724% 8/12/37

     60,000         65,165   

•Series 2005-LDP4 AJ 5.04% 10/15/42

     255,000         256,888   

•Series 2005-LDP5 D 5.382% 12/15/44

     105,000         107,218   

Series 2006-LDP8 AM 5.44% 5/15/45

     384,000         403,317   

#•Series 2011-C5 C 144A
5.323% 8/15/46

     100,000         112,229   

LB-UBS Commercial Mortgage Trust

  

  

Series 2004-C1 A4 4.568% 1/15/31

     13,961         14,202   

•Series 2006-C6 AJ 5.452% 9/15/39

     210,000         220,231   

Series 2006-C6 AM 5.413% 9/15/39

     140,000         147,744   

Morgan Stanley Bank of America Merrill Lynch Trust

  

  

Series 2014-C18 A4 3.923% 10/15/47

     85,000         92,698   

Series 2014-C19 AS 3.832% 12/15/47

     50,000         52,769   

Morgan Stanley Capital I Trust

     

•Series 2005-HQ7 AJ 5.204% 11/14/42

     155,000         156,970   

•Series 2005-HQ7 C 5.204% 11/14/42

     200,000         201,256   

•Series 2006-T21 AM 5.204% 10/12/52

     140,000         143,556   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–12


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

  

  

WF-RBS Commercial Mortgage Trust Series 2014-C23 A5
3.917% 10/15/57

     105,000       $ 114,753   
     

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $11,667,014)

   

  11,828,504   
     

 

 

 

CONVERTIBLE BONDS–0.83%

  

Alaska Communications Systems Group 6.25% exercise price $10.28, expiration date 4/27/18

  131,000      129,117   

Ares Capital 5.75% exercise price $19.13, expiration date 2/1/16

  39,000      40,389   

BGC Partners 4.50% exercise price $9.84, expiration date 7/13/16

  66,000      71,940   

BioMarin Pharmaceutical 1.50% exercise price $94.15, expiration date 10/13/20

  59,000      89,643   

Blackstone Mortgage Trust 5.25% exercise price $28.66, expiration date 12/1/18

  115,000      119,959   

Blucora 4.25% exercise price $21.66, expiration date 3/29/19

  64,000      59,800   

#Campus Crest Communities Operating Partnership 144A 4.75% exercise price $12.56, expiration date 10/11/18

  96,000      92,940   

Cardtronics 1.00% exercise price $52.35, expiration date 11/27/20

  95,000      94,466   

Cemex 3.25% exercise price $9.65, expiration date 3/9/16

  71,000      79,831   

Chart Industries 2.00% exercise price $69.03, expiration date 7/30/18

  31,000      29,973   

Chesapeake Energy 2.25% exercise price $80.28, expiration date 12/14/38

  49,000      44,713   

#Ciena 144A 3.75% exercise price $20.17, expiration date 10/15/18

  65,000      79,991   

fGeneral Cable 4.50% exercise price $34.47, expiration date 11/15/29

  97,000      77,297   

Gilead Sciences 1.625% exercise price $22.71, expiration date 4/29/16

  25,000      107,750   

Illumina 0.25% exercise price $83.55, expiration date 3/11/16

  27,000      59,754   
     Principal
Amount°
     Value
(U.S. $)
 

CONVERTIBLE BONDS (continued)

     

Intel 3.25% exercise price $21.47, expiration date 8/1/39

     30,000       $ 47,419   

j2 Global 3.25% exercise price $69.37, expiration date 6/14/29

     98,000         113,313   

Jefferies Group 3.875% exercise price $44.94, expiration date 10/31/29

     65,000         65,934   

#Lexington Realty Trust 144A 6.00% exercise price $6.60, expiration date 1/11/30

     34,000         49,364   

Liberty Interactive 0.75% exercise price $1,000.00, expiration date 3/30/43

     114,000         159,671   

#Liberty Interactive 144A 1.00% exercise price $64.31, expiration date 9/28/43

     77,000         75,653   

fMeritor 4.00% exercise price $26.73, expiration date 2/12/27

     49,000         50,929   

Mylan 3.75% exercise price $13.32, expiration date 9/10/15

     20,000         89,013   

Novellus Systems 2.625% exercise price $34.78, expiration date 5/14/41

     50,000         102,344   

NuVasive 2.75% exercise price $42.13, expiration date 6/30/17

     109,000         136,659   

#NXP Semiconductors 144A 1.00% exercise price $102.84, expiration date 11/27/19

     51,000         61,009   

#Oclaro 144A 6.00% exercise price $1.95, expiration date 2/14/20

     19,000         23,239   

Peabody Energy 4.75% exercise price $57.15, expiration date 12/15/41

     88,000         31,515   

#PROS Holdings 144A 2.00% exercise price $33.79, expiration date 11/27/19

     53,000         54,723   

SanDisk 1.50% exercise price $51.16, expiration date 8/11/17

     53,000         72,444   

Spectrum Pharmaceuticals 2.75% exercise price $10.53, expiration date 12/13/18

     31,000         28,501   

Spirit Realty Capital 3.75% exercise price $13.10, expiration date 5/13/21

     73,000         73,092   

Titan Machinery 3.75% exercise price $43.17, expiration date 4/30/19

     31,000         21,545   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–13


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CONVERTIBLE BONDS (continued)

  

#TPG Specialty Lending 144A 4.50% exercise price $25.83, expiration date 12/15/19

     84,000       $ 83,895   

#Vantage Drilling 144A 5.50% exercise price $2.39, expiration date 7/15/43

     119,000         72,590   

Vector Group 1.75% exercise price $25.87, expiration date 4/15/20

     73,000         78,566   

•Vector Group 2.50% exercise price $16.78, expiration date 1/14/19

     35,000         49,514   
     

 

 

 

Total Convertible Bonds
(Cost $2,475,517)

  2,718,495   
     

 

 

 

CORPORATE BONDS–30.54%

Aerospace & Defense–0.16%

#Accudyne Industries 144A
7.75% 12/15/20

  215,000      192,963   

Lockheed Martin 3.80% 3/1/45

  80,000      79,878   

TransDigm

6.00% 7/15/22

  145,000      145,725   

6.50% 7/15/24

  105,000      106,050   
     

 

 

 
  524,616   
     

 

 

 

Air Freight & Logistics–0.06%

#Aviation Capital Group 144A
6.75% 4/6/21

  165,000      188,012   
     

 

 

 
  188,012   
     

 

 

 

Airlines–0.19%

#tAir Canada 2015-1 Class A Pass Through Trust 144A 3.60% 3/15/27

  110,000      110,000   

tAmerican Airlines 2014-1 Class A Pass Through Trust 3.70% 10/1/26

  100,000      103,500   

tAmerican Airlines 2015-1 Class A Pass Through Trust 3.375% 5/1/27

  120,000      120,900   

tUnited Airlines 2014-1 Class A Pass Through Trust 4.00% 4/11/26

  80,000      84,400   

tUnited Airlines 2014-2 Class A Pass Through Trust 3.75% 9/3/26

  185,000      192,863   
     

 

 

 
  611,663   
     

 

 

 

Auto Components–0.45%

American Axle & Manufacturing 6.25% 3/15/21

  210,000      222,075   

BorgWarner 3.375% 3/15/25

  55,000      56,728   

Lear 5.25% 1/15/25

  375,000      384,375   

 

            Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

  

Auto Components (continued)

        

Magna International
3.625% 6/15/24

        300,000       $ 306,229   

TRW Automotive

        

#144A 4.45% 12/1/23

        295,000         297,950   

#144A 4.50% 3/1/21

        190,000         191,900   
        

 

 

 
  1,459,257   
        

 

 

 

Automobiles–0.25%

Daimler 2.75% 12/10/18

  NOK      720,000      94,002   

Ford Motor 7.45% 7/16/31

  225,000      311,450   

General Motors

3.50% 10/2/18

  190,000      195,616   

5.00% 4/1/35

  155,000      165,923   

Toyota Finance Australia
3.04% 12/20/16

  NZD      80,000      59,050   
        

 

 

 
  826,041   
        

 

 

 

Beverages–0.13%

Pernod-Ricard

#144A 4.25% 7/15/22

  150,000      161,921   

#144A 5.75% 4/7/21

  225,000      261,443   
        

 

 

 
  423,364   
        

 

 

 

Biotechnology–0.33%

Celgene

3.95% 10/15/20

  390,000      421,381   

4.625% 5/15/44

  115,000      122,823   

Gilead Sciences

3.50% 2/1/25

  205,000      216,443   

4.50% 2/1/45

  85,000      94,114   

Immucor 11.125% 8/15/19

  220,000      237,325   
        

 

 

 
  1,092,086   
        

 

 

 

Building Products–0.11%

#Builders FirstSource 144A 7.625% 6/1/21

  80,000      80,800   

Nortek 8.50% 4/15/21

  265,000      284,875   
        

 

 

 
  365,675   
        

 

 

 

Capital Markets–0.27%

Affiliated Managers Group 3.50% 8/1/25

  175,000      175,159   

Bank of New York Mellon 2.15% 2/24/20

  45,000      45,398   

E*TRADE Financial
4.625% 9/15/23

  120,000      122,400   

Jefferies Group

5.125% 1/20/23

  135,000      140,355   

6.45% 6/8/27

  110,000      119,350   

6.50% 1/20/43

  60,000      59,890   

Lazard Group 6.85% 6/15/17

  101,000      112,265   

State Street 3.10% 5/15/23

  110,000      111,464   
        

 

 

 
  886,281   
        

 

 

 
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–14


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

            Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Chemicals–1.22%

        

CF Industries

        

6.875% 5/1/18

        345,000       $ 393,584   

7.125% 5/1/20

        210,000         253,314   

Dow Chemical

        

3.50% 10/1/24

        85,000         86,487   

8.55% 5/15/19

        1,129,000         1,414,794   

#Grace (W.R.) 144A 5.125% 10/1/21

        80,000         83,200   

LYB International Finance 4.875% 3/15/44

        15,000         16,177   

LyondellBasell Industries 4.625% 2/26/55

        430,000         430,119   

Methanex 4.25% 12/1/24

        245,000         248,715   

#NOVA Chemicals 144A 5.00% 5/1/25

        162,000         169,695   

#OCP 144A 5.625% 4/25/24

        200,000         218,250   

PolyOne 5.25% 3/15/23

        145,000         151,163   

Potash of Saskatchewan 3.00% 4/1/25

        140,000         140,482   

PPG Industries 2.30% 11/15/19

        155,000         156,923   

Rockwood Specialties Group 4.625% 10/15/20

        135,000         140,906   

#TPC Group 144A 8.75% 12/15/20

        120,000         110,400   
        

 

 

 
  4,014,209   
        

 

 

 

Commercial Banks–2.65%

 

#Akbank 144A 4.00% 1/24/20

  200,000      195,600   

Australia & New Zealand Banking Group 2.625% 12/10/18

  CAD      59,000      48,689   

Barclays Bank 7.625% 11/21/22

  200,000      234,500   

BB&T 5.25% 11/1/19

  520,000      588,596   

#BBVA Banco Continental 144A 5.00% 8/26/22

  110,000      117,480   

#BBVA Bancomer 144A 6.50% 3/10/21

  300,000      333,564   

Branch Banking & Trust 3.80% 10/30/26

  260,000      274,142   

City National 5.25% 9/15/20

  195,000      224,105   

Cooperatieve Centrale Raiffeisen-Boerenleenbank

  

2.50% 9/4/20

  NOK      270,000      35,000   

4.25% 1/13/22

  AUD      36,000      28,927   

4.625% 12/1/23

  330,000      357,388   

#Credit Suisse 144A 6.50% 8/8/23

  250,000      286,072   

#Credit Suisse Group Funding Guernsey 144A 3.75% 3/26/25

  350,000      354,826   

#Export-Import Bank of China 144A 2.50% 7/31/19

  200,000      202,895   

KeyBank 6.95% 2/1/28

  615,000      820,638   

Northern Trust 3.95% 10/30/25

  135,000      145,217   
            Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

PNC Bank

        

3.30% 10/30/24

        250,000       $ 260,047   

6.875% 4/1/18

        740,000         849,199   

#•PNC Preferred Funding Trust II 144A 1.493% 3/31/49

        500,000         460,000   

#Santander UK 144A 5.00% 11/7/23

        400,000         431,503   

•SunTrust Bank 0.553% 8/24/15

        220,000         219,937   

SVB Financial Group 3.50% 1/29/25

        200,000         199,101   

#Turkiye Garanti Bankasi 144A 4.75% 10/17/19

        200,000         202,404   

US Bank 2.80% 1/27/25

        250,000         250,117   

•USB Capital IX 3.50% 10/29/49

        780,000         649,350   

Wells Fargo

        

4.75% 8/27/24

     AUD         30,000         24,798   

•5.875% 6/15/50

        80,000         84,816   

Woori Bank

        

#144A 2.875% 10/2/18

        200,000         205,713   

#144A 4.75% 4/30/24

        400,000         428,347   

Zions Bancorp 4.50% 6/13/23

        170,000         180,086   
        

 

 

 
  8,693,057   
        

 

 

 

Commercial Services & Supplies–0.65%

 

#Algeco Scotsman Global Finance 144A 8.50% 10/15/18

  365,000      363,631   

#Brambles USA 144A 3.95% 4/1/15

  95,000      95,000   

#CDK Global 144A 4.50% 10/15/24

  140,000      144,570   

HD Supply

7.50% 7/15/20

  87,000      93,525   

11.50% 7/15/20

  95,000      110,319   

#HPHT Finance 15 144A 2.875% 3/17/20

  200,000      202,273   

#Prestige Brands 144A 5.375% 12/15/21

  275,000      279,813   

Reynolds Group Issuer 8.25% 2/15/21

  100,000      107,500   

Service International 5.375% 5/15/24

  145,000      152,250   

Spectrum Brands 6.375% 11/15/20

  190,000      202,350   

United Rentals North America

4.625% 7/15/23

  145,000      146,994   

5.75% 11/15/24

  235,000      243,813   
        

 

 

 
  2,142,038   
        

 

 

 

Computers & Peripherals–0.20%

 

Apple 3.45% 2/9/45

  50,000      47,592   

NetApp 3.25% 12/15/22

  195,000      193,173   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–15


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

            Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Computers & Peripherals (continued)

  

Seagate HDD Cayman

        

#144A 4.75% 1/1/25

        170,000       $ 176,376   

#144A 5.75% 12/1/34

        220,000         235,843   
        

 

 

 
  652,984   
        

 

 

 

Construction & Engineering–0.05%

 

#AECOM 144A 5.875% 10/15/24

  166,000      174,715   
        

 

 

 
  174,715   
        

 

 

 

Construction Materials–0.39%

 

#Cemex 144A 7.25% 1/15/21

  200,000      214,000   

#Cemex Finance 144A 9.375% 10/12/22

  200,000      228,000   

#Hutchison Whampoa International 14 144A 3.625% 10/31/24

  200,000      205,305   

MUFG Americas Holdings

2.25% 2/10/20

  130,000      130,398   

3.00% 2/10/25

  295,000      292,278   

#Tenedora Nemak 144A 5.50% 2/28/23

  200,000      207,900   
        

 

 

 
  1,277,881   
        

 

 

 

Consumer Finance–0.33%

 

Ally Financial

4.125% 2/13/22

  60,000      58,650   

4.625% 3/30/25

  360,000      355,500   

Ford Motor Credit 5.875% 8/2/21

  200,000      235,758   

General Motors Financial

3.15% 1/15/20

  30,000      30,390   

4.00% 1/15/25

  65,000      66,425   

4.375% 9/25/21

  160,000      170,134   

#Hyundai Capital America 144A 2.125% 10/2/17

  155,000      156,625   
        

 

 

 
  1,073,482   
        

 

 

 

Containers & Packaging–0.18%

 

Berry Plastics 5.50% 5/15/22

  115,000      118,306   

#BWAY Holding 144A 9.125% 8/15/21

  200,000      209,000   

#Consolidated Container 144A 10.125% 7/15/20

  95,000      83,125   

#Plastipak Holdings 144A 6.50% 10/1/21

  175,000      178,937   
        

 

 

 
  589,368   
        

 

 

 

Diversified Consumer Services–0.15%

 

#ENA Norte Trust 144A 4.95% 4/25/23

  224,278      231,568   

#Red de Carreteras de Occidente 144A 9.00% 6/10/28

  MXN      4,000,000      253,591   
        

 

 

 
  485,159   
        

 

 

 
            Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Financial Services–1.86%

 

Bank of America 4.25% 10/22/26

        180,000       $ 186,076   

CME Group 3.00% 3/15/25

        160,000         161,828   

#Consolidated Energy Finance 144A 6.75% 10/15/19

        476,000         481,950   

#•Corp Financiera De Desarrollo 144A 5.25% 7/15/29

        200,000         208,470   

ERAC USA Finance

        

#144A 4.50% 2/15/45

        35,000         35,553   

#144A 5.25% 10/1/20

        425,000         485,510   

General Electric Capital

        

2.10% 12/11/19

        235,000         239,788   

4.25% 1/17/18

     NZD         175,000         131,855   

5.55% 5/4/20

        150,000         174,843   

6.00% 8/7/19

        234,000         273,620   

•7.125% 12/15/49

        400,000         471,000   

Goldman Sachs Group

        

2.60% 4/23/20

        485,000         490,728   

•3.617% 8/21/19

     AUD         10,000         7,694   

5.20% 12/17/19

     NZD         141,000         108,018   

•HSBC Holdings 6.375% 3/29/49

        485,000         497,125   

JPMorgan Chase

        

•0.886% 1/28/19

        74,000         74,206   

4.125% 12/15/26

        545,000         566,312   

•6.75% 8/29/49

        125,000         136,250   

Morgan Stanley

        

•1.106% 1/24/19

        77,000         77,328   

4.35% 9/8/26

        245,000         257,172   

5.00% 9/30/21

     AUD         38,000         31,026   

National Rural Utilities Cooperative Finance

  

2.85% 1/27/25

        175,000         176,579   

•4.75% 4/30/43

        275,000         276,513   

#Peachtree Corners Funding Trust 144A 3.976% 2/15/25

        140,000         142,309   

#SUAM Finance 144A 4.875% 4/17/24

        305,000         316,437   

#•USB Realty 144A 1.40% 12/22/49

        100,000         91,500   
        

 

 

 
  6,099,690   
        

 

 

 

Diversified Telecommunication Services–1.88%

 

#Altice 144A 7.75% 5/15/22

  200,000      203,875   

AT&T

4.35% 6/15/45

  140,000      134,458   

5.35% 9/1/40

  250,000      273,809   

Bell Canada 3.35% 3/22/23

  CAD      53,000      44,082   

#Bharti Airtel International Netherlands 144A 5.35% 5/20/24

  200,000      221,250   

CenturyLink

5.80% 3/15/22

  420,000      439,425   

6.75% 12/1/23

  195,000      215,475   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–16


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Telecommunication Services (continued)

  

#Digicel Group 144A 8.25% 9/30/20

     400,000       $ 402,600   

Hughes Satellite Systems 7.625% 6/15/21

     95,000         104,856   

Intelsat Luxembourg 8.125% 6/1/23

     475,000         439,375   

Level 3 Financing 5.375% 8/15/22

     40,000         41,362   

Motorola Solutions 4.00% 9/1/24

     270,000         279,542   

#MTN Mauritius Investments 144A 4.755% 11/11/24

     200,000         201,900   

Orange 5.50% 2/6/44

     180,000         214,538   

SBA Tower Trust

     

#144A 2.24% 4/16/18

     180,000         180,137   

#144A 2.898% 10/15/19

     90,000         91,094   

#SES 144A 3.60% 4/4/23

     325,000         341,040   

Telefonica Emisiones 4.57% 4/27/23

     150,000         165,342   

#Telemar Norte Leste 144A 5.50% 10/23/20

     265,000         234,127   

#UPCB Finance IV 144A 5.375% 1/15/25

     200,000         200,000   

Verizon Communications

     

4.40% 11/1/34

     305,000         311,709   

4.862% 8/21/46

     470,000         493,269   

5.15% 9/15/23

     275,000         315,503   

#Virgin Media Finance 144A 6.375% 4/15/23

     200,000         214,000   

#Wind Acquisition Finance 144A 7.375% 4/23/21

     220,000         228,800   

Windstream

     

7.50% 4/1/23

     60,000         57,600   

7.75% 10/1/21

     125,000         125,313   
     

 

 

 
  6,174,481   
     

 

 

 

Electric Utilities–1.82%

 

#AES Gener 144A 5.25% 8/15/21

  200,000      215,628   

Berkshire Hathaway Energy

3.75% 11/15/23

  310,000      331,055   

4.50% 2/1/45

  120,000      131,190   

Cleveland Electric Illuminating 5.50% 8/15/24

  285,000      343,803   

ComEd Financing III 6.35% 3/15/33

  220,000      227,229   

Dominion Gas Holdings 3.60% 12/15/24

  270,000      283,661   

DTE Energy 2.40% 12/1/19

  195,000      198,388   

Electricite de France

#144A 4.60% 1/27/20

  95,000      106,039   

#•144A 5.25% 12/29/49

  370,000      387,020   

#•Enel 144A 8.75% 9/24/73

  390,000      471,305   
    

Principal

Amount°

    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

Entergy Arkansas 3.70% 6/1/24

     85,000       $ 91,178   

#Eskom Holdings 144A 7.125% 2/11/25

     200,000         201,900   

Great Plains Energy 4.85% 6/1/21

     125,000         139,985   

Indiana Michigan Power 3.20% 3/15/23

     125,000         128,589   

IPALCO Enterprises 5.00% 5/1/18

     175,000         186,375   

ITC Holdings 3.65% 6/15/24

     265,000         275,189   

LG&E & KU Energy

     

3.75% 11/15/20

     265,000         280,796   

4.375% 10/1/21

     395,000         436,591   

#Metropolitan Edison 144A 4.00% 4/15/25

     125,000         130,845   

NextEra Energy Capital Holdings

     

2.40% 9/15/19

     245,000         248,134   

3.625% 6/15/23

     125,000         131,057   

NV Energy 6.25% 11/15/20

     280,000         332,714   

Pennsylvania Electric 5.20% 4/1/20

     220,000         243,819   

Public Service of New Hampshire 3.50% 11/1/23

     160,000         170,562   

Public Service of Oklahoma 5.15% 12/1/19

     165,000         186,493   

#Trans-Allegheny Interstate Line 144A 3.85% 6/1/25

     75,000         78,504   
     

 

 

 
  5,958,049   
     

 

 

 

Electronic Equipment, Instruments & Components–0.17%

 

Jabil Circuit 7.75% 7/15/16

  85,000      91,587   

Thermo Fisher Scientific

2.40% 2/1/19

  245,000      248,667   

3.30% 2/15/22

  210,000      215,657   
     

 

 

 
  555,911   
     

 

 

 

Energy Equipment & Services–0.07%

 

Bristow Group 6.25% 10/15/22

  165,000      157,575   

Exterran Partners 6.00% 4/1/21

  75,000      69,375   
     

 

 

 
  226,950   
     

 

 

 

Food & Staples Retailing–0.15%

 

#Cencosud 144A 5.15% 2/12/25

  260,000      257,329   

Walgreens Boots Alliance 3.80% 11/18/24

  220,000      227,917   
     

 

 

 
  485,246   
     

 

 

 

Food Products–0.44%

 

#BRF 144A 3.95% 5/22/23

  200,000      186,190   

Campbell Soup 3.30% 3/19/25

  240,000      244,519   

#JBS Investments 144A 7.75% 10/28/20

  430,000      456,875   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–17


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Food Products (continued)

     

Smithfield Foods 6.625% 8/15/22

     120,000       $ 128,850   

Smucker (J.M.)

     

#144A 3.00% 3/15/22

     60,000         60,996   

#144A 3.50% 3/15/25

     270,000         278,145   

#144A 4.25% 3/15/35

     85,000         88,336   
     

 

 

 
  1,443,911   
     

 

 

 

Gas Utilities–0.07%

 

AmeriGas Finance 7.00% 5/20/22

  205,000      220,887   
     

 

 

 
  220,887   
     

 

 

 

Health Care Equipment & Supplies–0.70%

 

Becton Dickinson 3.734% 12/15/24

  210,000      220,224   

Boston Scientific

2.65% 10/1/18

  75,000      75,888   

6.00% 1/15/20

  285,000      328,384   

CareFusion 6.375% 8/1/19

  330,000      386,185   

Kinetic Concepts 10.50% 11/1/18

  165,000      179,025   

Medtronic

#144A 3.15% 3/15/22

  140,000      145,507   

#144A 3.50% 3/15/25

  285,000      298,312   

Zimmer Holdings

3.15% 4/1/22

  75,000      75,977   

3.375% 11/30/21

  330,000      339,610   

3.55% 4/1/25

  245,000      250,390   
     

 

 

 
  2,299,502   
     

 

 

 

Health Care Providers & Services–0.54%

 

Air Medical Group Holdings 9.25% 11/1/18

  24,000      25,320   

Community Health Systems 6.875% 2/1/22

  120,000      128,850   

DaVita Healthcare Partners 5.125% 7/15/24

  205,000      209,484   

#Fresenius Medical Care US Finance II 144A 5.875% 1/31/22

  175,000      193,375   

HCA 5.375% 2/1/25

  510,000      537,413   

HealthSouth 5.125% 3/15/23

  50,000      51,125   

Highmark

#144A 4.75% 5/15/21

  150,000      157,980   

#144A 6.125% 5/15/41

  65,000      69,804   

#Milacron 144A 7.75% 2/15/21

  145,000      150,800   

Tenet Healthcare 6.00% 10/1/20

  238,000      252,875   
     

 

 

 
  1,777,026   
     

 

 

 

Hotels, Restaurants & Leisure–0.75%

 

#Caesars Growth Properties Holdings 144A 9.375% 5/1/22

  155,000      119,737   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Hotels, Restaurants & Leisure (continued)

  

International Game Technology 5.35% 10/15/23

     310,000       $ 314,998   

#Landry’s 144A 9.375% 5/1/20

     90,000         96,975   

MGM Resorts International 6.00% 3/15/23

     360,000         371,700   

#PF Chang’s China Bistro 144A 10.25% 6/30/20

     80,000         83,200   

Pinnacle Entertainment 7.50% 4/15/21

     155,000         164,300   

Starwood Hotels & Resorts Worldwide

     

3.75% 3/15/25

     150,000         154,253   

4.50% 10/1/34

     50,000         52,194   

Wyndham Worldwide

     

4.25% 3/1/22

     40,000         41,805   

5.625% 3/1/21

     210,000         237,428   

Wynn Las Vegas

     

5.375% 3/15/22

     65,000         67,600   

#144A 5.50% 3/1/25

     740,000         752,950   
     

 

 

 
  2,457,140   
     

 

 

 

Independent Power Producers & Energy Traders–0.39%

 

AES

5.50% 3/15/24

  205,000      205,513   

5.50% 4/15/25

  215,000      212,850   

Calpine 5.375% 1/15/23

  125,000      125,625   

Dynegy Finance I/II

#144A 6.75% 11/1/19

  55,000      56,994   

#144A 7.375% 11/1/22

  85,000      89,675   

#144A 7.625% 11/1/24

  330,000      346,913   

#Perusahaan Listrik Negara 144A 5.50% 11/22/21

  210,000      230,213   
     

 

 

 
  1,267,783   
     

 

 

 

Industrial Conglomerates–0.05%

 

#Gates Global 144A 6.00% 7/15/22

  190,000      180,263   
     

 

 

 
  180,263   
     

 

 

 

Insurance–0.85%

 

American International Group 3.875% 1/15/35

  270,000      272,285   

•Chubb 6.375% 3/29/67

  223,000      237,495   

#Five Corners Funding Trust 144A 4.419% 11/15/23

  325,000      349,295   

#HUB International 144A 7.875% 10/1/21

  220,000      226,050   

#MetLife Capital Trust X 144A 9.25% 4/8/38

  400,000      597,500   

•Prudential Financial 5.625% 6/15/43

  165,000      175,725   

TIAA Asset Management Finance

#144A 2.95% 11/1/19

  160,000      164,157   

#144A 4.125% 11/1/24

  335,000      354,292   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–18


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

     

Insurance (continued)

     

#USI 144A 7.75% 1/15/21

     40,000       $ 41,200   

•Voya Financial 5.65% 5/15/53

     165,000         173,250   

XLIT

     

4.45% 3/31/25

     80,000         80,679   

•6.50% 12/29/49

     140,000         124,250   
     

 

 

 
  2,796,178   
     

 

 

 

Internet & Catalog Retail–0.23%

#Netflix 144A 5.875% 2/15/25

  360,000      371,250   

Priceline Group 3.65% 3/15/25

  380,000      387,501   
     

 

 

 
  758,751   
     

 

 

 

Internet Software & Services–0.51%

  

#Alibaba Group Holding 144A
3.125% 11/28/21

  515,000      519,405   

Baidu

2.75% 6/9/19

  200,000      202,467   

3.25% 8/6/18

  350,000      363,134   

Equinix

4.875% 4/1/20

  108,000      112,050   

5.375% 4/1/23

  247,000      257,621   

#Tencent Holdings 144A 2.875% 2/11/20

  200,000      201,681   
     

 

 

 
  1,656,358   
     

 

 

 

IT Services–0.03%

First Data 11.75% 8/15/21

  98,000      113,803   
     

 

 

 
  113,803   
     

 

 

 

Machinery–0.31%

Crane

2.75% 12/15/18

  60,000      61,564   

4.45% 12/15/23

  245,000      262,649   

Ingersoll-Rand Global Holding 4.25% 6/15/23

  310,000      331,568   

LSB Industries 7.75% 8/1/19

  50,000      52,375   

Meritor 6.75% 6/15/21

  95,000      98,800   

Parker Hannifin 3.30% 11/21/24

  15,000      15,767   

Trinity Industries 4.55% 10/1/24

  205,000      206,481   
     

 

 

 
  1,029,204   
     

 

 

 

Media–2.32%

CC Holdings GS V 3.849% 4/15/23

  175,000      177,473   

CCO Holdings 5.25% 9/30/22

  110,000      112,887   

CCOH Safari 5.75% 12/1/24

  380,000      392,350   

#Columbus International 144A 7.375% 3/30/21

  290,000      305,950   

Comcast 3.375% 2/15/25

  665,000      696,310   

#Cox Communications 144A
3.85% 2/1/25

  280,000      288,945   

#CSC Holdings 144A 5.25% 6/1/24

  450,000      460,125   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Media (continued)

     

DISH DBS 5.00% 3/15/23

     155,000       $ 151,094   

Gray Television 7.50% 10/1/20

     145,000         153,337   

Historic TW 6.875% 6/15/18

     620,000         721,584   

Interpublic Group 2.25% 11/15/17

     130,000         131,127   

Lamar Media 5.00% 5/1/23

     210,000         215,775   

#MDC Partners 144A 6.75% 4/1/20

     140,000         148,050   

#Nielsen Finance 144A 5.00% 4/15/22

     145,000         146,450   

#Numericable-SFR 144A 6.00% 5/15/22

     200,000         202,750   

#SES GLOBAL Americas Holdings 144A 5.30% 3/25/44

     495,000         557,590   

Sinclair Television Group

     

5.375% 4/1/21

     125,000         128,750   

#144A 5.625% 8/1/24

     65,000         66,463   

Sirius XM Radio

     

#144A 5.375% 4/15/25

     135,000         136,013   

#144A 6.00% 7/15/24

     240,000         252,600   

#Sky 144A 3.75% 9/16/24

     270,000         279,692   

Time Warner Cable 8.25% 4/1/19

     482,000         590,068   

#Unitymedia KabelBW 144A 6.125% 1/15/25

     200,000         212,000   

#Univision Communications 144A 5.125% 5/15/23

     100,000         102,000   

Viacom 4.85% 12/15/34

     480,000         497,435   

#VTR Finance 144A 6.875% 1/15/24

     200,000         208,000   

WPP Finance 2010 5.625% 11/15/43

     230,000         272,083   
     

 

 

 
  7,606,901   
     

 

 

 

Metals & Mining–0.60%

AK Steel 7.625% 5/15/20

  105,000      90,825   

ArcelorMittal 10.60% 6/1/19

  410,000      503,019   

FMG Resources August 2006

#144A 6.875% 4/1/22

  331,000      245,767   

#144A 8.25% 11/1/19

  49,000      42,324   

#Gerdau Holdings 144A 7.00% 1/20/20

  145,000      155,513   

#Gerdau Trade 144A 5.75% 1/30/21

  100,000      100,375   

#Lundin Mining 144A 7.50% 11/1/20

  105,000      109,200   

Novelis 8.75% 12/15/20

  215,000      231,394   

Ryerson

9.00% 10/15/17

  120,000      121,500   

11.25% 10/15/18

  32,000      32,640   

#Tupy Overseas 144A 6.625% 7/17/24

  230,000      221,950   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–19


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Metals & Mining (continued)

     

Yamana Gold 4.95% 7/15/24

     115,000       $ 113,277   
     

 

 

 
  1,967,784   
     

 

 

 

Multi-Utilities–0.71%

Ameren Illinois 9.75% 11/15/18

  1,087,000      1,381,202   

CenterPoint Energy 5.95% 2/1/17

  10,000      10,851   

CMS Energy 6.25% 2/1/20

  215,000      254,289   

•Integrys Energy Group 6.11% 12/1/66

  325,000      318,623   

Puget Energy 6.00% 9/1/21

  130,000      153,705   

•Wisconsin Energy 6.25% 5/15/67

  215,000      215,531   
     

 

 

 
  2,334,201   
     

 

 

 

Oil, Gas & Consumable Fuels–3.78%

  

Anadarko Petroleum 4.50% 7/15/44

  55,000      56,496   

California Resources

#144A 5.50% 9/15/21

  110,000      98,142   

#144A 6.00% 11/15/24

  145,000      127,963   

Chaparral Energy 7.625% 11/15/22

  45,000      30,600   

Chesapeake Energy

4.875% 4/15/22

  245,000      230,913   

5.75% 3/15/23

  190,000      186,200   

Chevron

1.961% 3/3/20

  190,000      191,348   

2.411% 3/3/22

  105,000      105,295   

Cimarex Energy 4.375% 6/1/24

  110,000      109,725   

ConocoPhillips 4.30% 11/15/44

  100,000      106,409   

Continental Resources 4.50% 4/15/23

  450,000      437,464   

•Enbridge Energy Partners 8.05% 10/1/37

  470,000      506,425   

Energy Transfer Partners

4.05% 3/15/25

  245,000      247,565   

4.90% 3/15/35

  85,000      84,693   

5.15% 3/15/45

  120,000      121,210   

9.70% 3/15/19

  253,000      317,928   

EnLink Midstream Partners
5.05% 4/1/45

  185,000      188,914   

•Enterprise Products Operating
7.034% 1/15/68

  505,000      546,313   

EOG Resources 3.15% 4/1/25

  160,000      163,384   

Exxon Mobil

2.397% 3/6/22

  115,000      116,012   

2.709% 3/6/25

  375,000      379,303   

Freeport-McMoran Oil & Gas 6.50% 11/15/20

  113,000      120,204   

#Kinder Morgan 144A 5.00% 2/15/21

  110,000      117,716   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

Kinder Morgan Energy Partners
9.00% 2/1/19

     440,000       $ 536,406   

Laredo Petroleum 7.375% 5/1/22

     235,000         243,519   

#Lukoil International Finance 144A
3.416% 4/24/18

     200,000         184,650   

MarkWest Energy Partners 4.875% 12/1/24

     285,000         292,809   

Murphy Oil USA 6.00% 8/15/23

     285,000         307,087   

Newfield Exploration

     

5.375% 1/1/26

     140,000         141,680   

5.625% 7/1/24

     195,000         203,775   

Noble Energy

     

3.90% 11/15/24

     75,000         76,450   

5.05% 11/15/44

     150,000         158,009   

Noble Holding International 4.00% 3/16/18

     30,000         30,187   

Oasis Petroleum 6.875% 3/15/22

     200,000         196,000   

ONEOK Partners 3.80% 3/15/20

     95,000         96,972   

ONGC Videsh 3.25% 7/15/19

     200,000         203,569   

PDC Energy 7.75% 10/15/22

     75,000         79,125   

Petrobras Global Finance

     

3.00% 1/15/19

     140,000         121,215   

4.875% 3/17/20

     230,000         207,115   

Petroleos Mexicanos

     

#144A 4.25% 1/15/25

     30,000         30,481   

6.50% 6/2/41

     170,000         193,375   

#Petronas Global Sukuk 144A 2.707% 3/18/20

     220,000         221,349   

Plains All American Pipeline 8.75% 5/1/19

     435,000         542,673   

Pride International 6.875% 8/15/20

     875,000         997,603   

Regency Energy Partners 5.875% 3/1/22

     65,000         70,850   

#Reliance Industries 144A 4.875% 2/10/45

     250,000         239,217   

Talisman Energy 5.50% 5/15/42

     280,000         278,290   

•TransCanada PipeLines 6.35% 5/15/67

     560,000         544,600   

Valero Energy

     

3.65% 3/15/25

     165,000         169,094   

4.90% 3/15/45

     100,000         103,795   

Williams 4.55% 6/24/24

     165,000         160,101   

Williams Partners

     

4.00% 9/15/25

     110,000         108,112   

7.25% 2/1/17

     340,000         373,682   

#Woodside Finance 144A 8.75% 3/1/19

     380,000         467,181   

YPF #144A 8.75% 4/4/24

     110,000         112,816   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–20


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

YPF (continued)

     

#144A 8.875% 12/19/18

     110,000       $ 113,405   
     

 

 

 
  12,395,414   
     

 

 

 

Paper & Forest Products–0.30%

Georgia-Pacific

#144A 3.60% 3/1/25

  45,000      46,224   

8.00% 1/15/24

  520,000      691,069   

#Inversiones 144A 6.125% 11/5/19

  100,000      111,300   

Masco 4.45% 4/1/25

  115,000      119,025   
     

 

 

 
  967,618   
     

 

 

 

Pharmaceuticals–0.72%

Actavis Funding

3.45% 3/15/22

  170,000      174,389   

3.80% 3/15/25

  240,000      248,189   

4.55% 3/15/35

  30,000      31,371   

AmerisourceBergen 3.25% 3/1/25

  125,000      126,927   

EMD Finance

#144A 2.95% 3/19/22

  120,000      121,593   

#144A 3.25% 3/19/25

  230,000      233,179   

Lilly (Eli) 2.75% 6/1/25

  130,000      130,743   

Merck

2.35% 2/10/22

  160,000      160,292   

2.75% 2/10/25

  390,000      390,186   

Omnicare 5.00% 12/1/24

  120,000      126,000   

Perrigo

4.00% 11/15/23

  200,000      209,347   

5.30% 11/15/43

  200,000      227,435   

#VRX Escrow 144A 5.875% 5/15/23

  185,000      190,087   
     

 

 

 
  2,369,738   
     

 

 

 

Real Estate Investment Trusts–1.36%

  

Alexandria Real Estate Equities 4.50% 7/30/29

  110,000      116,428   

American Tower Trust I

#144A 1.551% 3/15/43

  95,000      94,883   

#144A 3.07% 3/15/23

  245,000      246,887   

AvalonBay Communities
3.50% 11/15/24

  140,000      144,126   

CBL & Associates

4.60% 10/15/24

  205,000      208,817   

5.25% 12/1/23

  35,000      37,530   

Corporate Office Properties

3.60% 5/15/23

  175,000      170,138   

5.25% 2/15/24

  180,000      196,192   

DDR

3.625% 2/1/25

  100,000      100,002   

7.50% 4/1/17

  110,000      122,348   

7.875% 9/1/20

  365,000      455,419   

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Real Estate Investment Trusts (continued)

  

Education Realty Operating Partnership 4.60% 12/1/24

     185,000       $ 192,679   

Excel Trust 4.625% 5/15/24

     115,000         120,893   

GEO Group

     

5.125% 4/1/23

     120,000         123,000   

5.875% 10/15/24

     150,000         156,750   

Hospitality Properties Trust 4.50% 3/15/25

     180,000         184,533   

Host Hotels & Resorts

     

3.75% 10/15/23

     190,000         192,924   

4.75% 3/1/23

     235,000         253,686   

5.875% 6/15/19

     115,000         119,352   

#Omega Healthcare Investors 144A 4.50% 4/1/27

     180,000         177,714   

Regency Centers 5.875% 6/15/17

     171,000         187,033   

#Trust F/1401 144A 5.25% 12/15/24

     200,000         215,500   

#WEA Finance 144A 3.75% 9/17/24

     620,000         642,523   
     

 

 

 
  4,459,357   
     

 

 

 

Real Estate Management & Development–0.05%

  

Carey (W.P.) 4.60% 4/1/24

  160,000      165,780   
     

 

 

 
  165,780   
     

 

 

 

Road & Rail–0.06%

Burlington Northern Santa Fe 3.40% 9/1/24

  5,000      5,229   

Norfolk Southern 3.85% 1/15/24

  165,000      178,393   
     

 

 

 
  183,622   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.48%

  

#Micron Technology 144A 5.25% 8/1/23

  460,000      469,200   

National Semiconductor 6.60% 6/15/17

  605,000      677,239   

#Samsung Electronics America 144A 1.75% 4/10/17

  415,000      418,674   
     

 

 

 
  1,565,113   
     

 

 

 

Software–0.29%

#Activision Blizzard 144A 6.125% 9/15/23

  235,000      256,737   

Microsoft

2.70% 2/12/25

  100,000      100,512   

3.50% 2/12/35

  110,000      109,944   

3.75% 2/12/45

  220,000      221,426   

#MTS International Funding 144A 8.625% 6/22/20

  150,000      157,887   

Oracle 4.30% 7/8/34

  95,000      103,284   
     

 

 

 
  949,790   
     

 

 

 
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–21


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Specialty Retail–0.49%

     

Bed Bath & Beyond 4.915% 8/1/34

     225,000       $ 241,710   

#~Chinos Intermediate Holdings A PIK 144A 7.75% 5/1/19

     165,000         145,200   

QVC

     

4.375% 3/15/23

     360,000         367,399   

5.45% 8/15/34

     230,000         228,804   

Sally Holdings 5.75% 6/1/22

     175,000         187,031   

Signet UK Finance 4.70% 6/15/24

     430,000         442,193   
     

 

 

 
  1,612,337   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.07%

  

#INVISTA Finance 144A 4.25% 10/15/19

  215,000      214,731   
     

 

 

 
  214,731   
     

 

 

 

Transportation Infrastructure–0.04%

  

#AP Moeller - Maersk 144A 2.55% 9/22/19

  115,000      117,011   
     

 

 

 
  117,011   
     

 

 

 

Wireless Telecommunication Services–0.68%

  

#Crown Castle Towers 144A 4.883% 8/15/20

  900,000      990,945   

Millicom International Cellular

#144A 6.00% 3/15/25

  200,000      200,250   

#144A 6.625% 10/15/21

  200,000      212,250   

Sprint 7.125% 6/15/24

  340,000      333,200   

T-Mobile USA 6.125% 1/15/22

  270,000      279,450   

#VimpelCom Communications 144A 7.748% 2/2/21

  200,000      198,740   
     

 

 

 
  2,214,835   
     

 

 

 

Total Corporate Bonds
(Cost $97,098,238)

  100,105,253   
     

 

 

 

MUNICIPAL BONDS–0.81%

City of Atlanta, Georgia Water & Wastewater Revenue 5.00% 11/1/40

  105,000      121,071   

Golden State, California Tobacco Securitization Asset-Back Senior Notes Series A-1

5.125% 6/1/47

  95,000      73,410   

5.75% 6/1/47

  105,000      88,874   

Golden State, California Tobacco Securitization Asset-Back Series A

5.00% 6/1/40

  325,000      369,606   

5.00% 6/1/45

  100,000      113,266   

New Jersey State Transportation Trust Fund Series AA 5.00% 6/15/44

  110,000      116,986   

New York City, New York Series I 5.00% 8/1/22

  75,000      90,304   
     Principal      Value  
     Amount°      (U.S. $)  

MUNICIPAL BONDS (continued)

     

New York City, New York Water & Sewer System Series EE 5.00% 6/15/45

     160,000       $ 183,475   

New York State Thruway Authority Series A 5.00% 5/1/19

     105,000         119,766   

Oregon State Taxable Pension 5.892% 6/1/27

     485,000         608,224   

State of California 5.00% 3/1/45

     185,000         213,915   

State of Maryland Local Facilities Series A 5.00% 8/1/21

     105,000         127,217   

State of Texas Transportation Commission Series A 5.00% 10/1/44

     270,000         315,263   

Texas Private Activity Bond Surface Transportation Senior Lien Revenue Bond (NTE Mobility) 6.75% 6/30/43 (AMT)

     80,000         98,014   
     

 

 

 

Total Municipal Bonds
(Cost $2,468,139)

  2,639,391   
     

 

 

 

NON-AGENCY ASSET-BACKED SECURITIES–1.31%

  

AEP Texas Central Transition Funding II Series 2006-A A4 5.17% 1/1/18

  125,000      132,841   

•Ally Master Owner Trust Series 2013-2 A 0.625% 4/15/18

  230,000      230,170   

American Express Credit Account Master Trust

•Series 2012-3 B 0.675% 3/15/18

  170,000      169,989   

•Series 2013-2 A 0.595% 5/17/21

  125,000      125,416   

Avis Budget Rental Car Funding AESOP

#Series 2011-3A A 144A 3.41% 11/20/17

  140,000      144,500   

#Series 2013-1A A 144A 1.92% 9/20/19

  190,000      189,980   

#Series 2014-1A A 144A 2.46% 7/20/20

  240,000      242,957   

BA Credit Card Trust

•Series 2014-A2 A 0.445% 9/16/19

  120,000      120,025   

•Series 2014-A3 A 0.462% 1/15/20

  155,000      154,935   

#Cabela’s Credit Card Master Note Trust Series 2012-2A A1 144A 1.45% 6/15/20

  195,000      195,933   

Chase Issuance Trust

•Series 2014-A5 A5 0.545% 4/15/21

  200,000      200,000   

•Series 2014-A8 A 0.425% 11/15/18

  170,000      170,043   

fCiticorp Residential Mortgage Securities Series 2006-3 A5 5.948% 11/25/36

  400,000      398,936   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–22


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

    

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

#DB Master Finance Series 2015-1A A2I 144A 3.262% 2/20/45

     115,000       $ 116,112   

Ford Credit Floorplan Master Owner Trust A Series 2013-3 B
1.14% 6/15/17

     85,000         85,117   

•GE Dealer Floorplan Master Note Trust Series 2014-2 A
0.626% 10/20/19

     200,000         199,902   

#•Golden Credit Card Trust Series 2014-2A A 144A 0.625% 3/15/21

     100,000         100,034   

#Great America Leasing Receivables Series 2013-1 B 144A 1.44% 5/15/18

     100,000         99,650   

#HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44

     252,450         253,081   

#•MASTR Specialized Loan Trust Series 2005-2 A2 144A 5.006% 7/25/35

     3,643         3,633   

Mid-State Trust Series 11 A1
4.864% 7/15/38

     87,886         93,309   

#MMAF Equipment Finance Series
2014-AA A4 144A 1.59% 2/8/22

     195,000         194,222   

Synchrony Credit Card Master Note Trust

     

Series 2012-6 A 1.36% 8/17/20

     155,000         154,976   

Series 2014-1 A 1.61% 11/15/20

     180,000         180,523   

Series 2015-1 A 2.37% 3/15/23

     160,000         162,072   

#•Trafigura Securitisation Finance Series 2012-1A A 144A 2.575% 10/15/15

     180,000         180,065   
     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $4,243,628)

   

  4,298,421   
     

 

 

 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS–0.28%

  

  

Bank of America Alternative Loan Trust

Series 2005-3 2A1 5.50% 4/25/20

  12,219      12,589   

Series 2005-6 7A1 5.50% 7/25/20

  11,156      11,226   

•ChaseFlex Trust Series 2006-1 A4
4.925% 6/25/36

  255,000      220,767   

Credit Suisse First Boston Mortgage Securities Series 2005-5 6A3
5.00% 7/25/35

  115,012      115,216   

#•GSMPS Mortgage Loan Trust 144A Series 1998-3 A 144A 7.75% 9/19/27

  26,786      28,042   

JPMorgan Mortgage Trust Series
2006-S1 1A1 6.00% 4/25/36

  129,283      130,534   
           

Principal

Amount°

    

Value

(U.S. $)

 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS (continued)

  

  

•MASTR ARM Trust Series 2003-6 1A2 2.45% 12/25/33

        24,873       $ 24,757   

#•Sequoia Mortgage Trust Series 2013-11 B1 144A 3.705% 9/25/43

        96,676         94,147   

#•Springleaf Mortgage Loan Trust Series 2012-1A A 144A
2.667% 9/25/57

        87,661         88,792   

t Structured Asset Securities Corporation Mortgage Pass Through Certificates Series 2004-20 2A1
5.50% 11/25/34

        69,901         71,344   

t WaMu Mortgage Pass Through Certificates Trust Series 2003-S10 A2 5.00% 10/25/18

        38,398         39,402   

Wells Fargo Mortgage Backed Securities Trust Series 2006-2 3A1 5.75% 3/25/36

        90,291         92,730   
        

 

 

 

Total Non-Agency Collateralized Mortgage Obligations
(Cost $833,317)

    

  929,546   
        

 

 

 

DREGIONAL BONDS–0.07%

  

Australia–0.02%

New South Wales Treasury
4.00% 5/20/26

  AUD      49,900      42,621   

Queensland Treasury #144A
4.75% 7/21/25

  AUD      36,000      32,016   
        

 

 

 
  74,637   
        

 

 

 

Canada–0.05%

Province of Ontario Canada
3.45% 6/2/45

  CAD      37,000      32,981   

Province of Quebec Canada
6.00% 10/1/29

  CAD      118,000      132,807   
        

 

 

 
  165,788   
        

 

 

 

Total Regional Bonds
(Cost $249,516)

   

  240,425   
        

 

 

 

«SENIOR SECURED LOANS–7.31%

  

Activision Blizzard Tranche B 1st Lien 3.25% 10/11/20

  444,763      447,264   

Aramark Tranche E 3.25% 9/7/19

  281,300      282,325   

Azure Midstream Tranche B 7.50% 11/15/18

  93,520      89,195   

BJ’s Wholesale Club Tranche B 1st Lien 4.50% 9/26/19

  1,524,818      1,528,028   

Caesars Growth Partners Tranche B 1st Lien 6.25% 5/8/21

  203,463      181,209   

Calpine Construction Finance Tranche B 3.00% 5/3/20

  450,164      444,957   
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–23


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

«SENIOR SECURED LOANS (continued)

  

Charter Communications Tranche B 1st Lien 4.25% 9/12/21

     805,000       $ 812,829   

Community Health Systems Tranche D 4.25% 1/27/21

     399,900         402,329   

Community Health Systems Tranche F 1st Lien 3.428% 12/31/18

     103,988         104,145   

Dollar Tree Tranche B 1st Lien 4.25% 3/9/22

     685,000         693,038   

Drillships Financing Holding Tranche B1 6.00% 3/31/21

     201,925         154,946   

Emdeon 1st Lien 3.75% 11/2/18

     304,063         304,982   

Energy Transfer Equity 1st Lien 3.25% 12/2/19

     995,000         980,931   

FCA US Tranche B 1st Lien 3.50% 5/24/17

     39,186         39,251   

First Data Tranche B 1st Lien 4.174% 3/24/21

     953,637         957,909   

Gardner Denver 1st Lien 4.25% 7/30/20

     797,975         758,650   

HCA Tranche B4 3.025% 5/1/18

     788,000         789,312   

HCA Tranche B5 1st Lien 2.928% 3/31/17

     523,035         523,854   

Hilton Worldwide Finance Tranche B2 3.50% 10/25/20

     656,367         658,008   

Huntsman International Tranche B 1st Lien 3.75% 10/1/21

     807,975         811,845   

IASIS Healthcare Tranche B 1st Lien 4.50% 5/3/18

     116,411         116,804   

iHeartCommunications Tranche D 6.928% 1/30/19

     510,000         485,951   

Immucor Tranche B2 5.00% 8/19/18

     495,600         498,311   

Infor US Tranche B5 1st Lien 3.75% 6/3/20

     537,489         533,374   

Intelsat Jackson Holdings
Tranche B2 3.75% 6/30/19

     604,575         602,988   

JLL/Delta Dutch Newco 1st Lien 4.25% 3/11/21

     357,300         356,323   

KIK Custom Products 1st Lien 5.50% 4/29/19

     987,459         988,447   

Landry’s Tranche B 4.00% 4/24/18

     181,036         181,731   

Level 3 Financing Tranche B 4.00% 1/15/20

     300,000         301,063   

MPH Acquisition Tranche B 3.75% 3/31/21

     967,500         965,860   

Neiman Marcus Tranche 1st Lien 4.25% 10/25/20

     295,000         294,447   

NEP/NCP Tranche B 1st Lien 4.25% 1/22/20

     198,004         193,549   
         Principal
Amount°
    

Value

(U.S. $)

 

«SENIOR SECURED LOANS (continued)

  

Novelis Tranche B 3.75% 3/10/17

       205,187       $ 205,294   

Numericable 4.50% 5/21/20

       363,673         365,124   

Numericable U.S. Tranche B2 1st Lien 4.50% 5/21/20

       314,627         315,882   

OSI Restaurants Tranche B 1st Lien 3.50% 10/26/19

       116,100         116,391   

Panda Liberty Tranche B 7.50% 8/21/20

       20,000         20,150   

Republic of Angola (Unsecured) 6.594% 12/16/23

       400,000         396,000   

Salix Pharmaceuticals Tranche B 5.50% 1/2/20

       671,053         672,163   

Scientific Games International 6.00% 10/18/20

       311,062         312,462   

Sensus 2nd Lien 8.50% 5/9/18

       300,000         296,250   

Smart & Final Tranche B 1st Lien 4.75% 11/15/19

       89,088         89,673   

Sprouts Farmers 4.00% 4/23/20

       208,646         209,494   

Stena 1st Lien 4.00% 3/3/21

       396,000         357,639   

Univision Communications Tranche C4 4.00% 3/1/20

       725,708         725,385   

USI Insurance Services
Tranche B 1st Lien 4.25% 12/27/19

       205,299         205,898   

Valeant Pharmaceuticals International Tranche BE 3.50% 8/5/20

       1,038,859         1,040,615   

Wide Open West Finance 4.75% 4/1/19

       1,244,600         1,247,519   

Zayo Group Tranche B 1st Lien 4.00% 7/2/19

       894,464         897,009   
       

 

 

 

Total Senior Secured Loans
(Cost $23,952,385)

  23,956,803   
       

 

 

 

DSOVEREIGN BONDS–1.84%

  

Australia–0.01%

Australia Government Bond 3.75% 4/21/37

AUD

  41,000      36,052   
       

 

 

 
  36,052   
       

 

 

 

Brazil–0.02%

Brazil Notas do Tesouro Nacional Series F
10.00% 1/1/17

BRL

  221,000      65,815   
       

 

 

 
  65,815   
       

 

 

 

Canada–0.01%

Canadian Government Bond 2.75% 12/1/48

CAD

  26,000      24,420   
       

 

 

 
  24,420   
       

 

 

 
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–24


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

          Principal
Amount°
    

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

Chile–0.07%

        

Chile Government International Bond 5.50% 8/5/20

   CLP      135,000,000       $ 230,881   
        

 

 

 
  230,881   
        

 

 

 

Colombia–0.13%

Colombia Government International Bonds

  

4.375% 3/21/23

COP   377,000,000      132,611   

5.00% 6/15/45

  200,000      206,500   

9.85% 6/28/27

COP   154,000,000      76,927   
        

 

 

 
  416,038   
        

 

 

 

Dominican Republic–0.03%

#Dominican Republic International Bond 144A 6.85% 1/27/45

  100,000      105,500   
        

 

 

 
  105,500   
        

 

 

 

Indonesia–0.15%

#Indonesia Government International Bond 144A 4.625% 4/15/43

  200,000      196,250   

Indonesia Treasury Bond 8.375% 3/15/24

IDR   3,754,000,000      305,847   
        

 

 

 
  502,097   
        

 

 

 

Italy–0.63%

Italy Buoni Poliennali Del Tesoro

1.35% 4/15/22

EUR   746,000      825,255   

2.50% 12/1/24

EUR   1,024,000      1,227,478   
        

 

 

 
  2,052,733   
        

 

 

 

Ivory Coast–0.06%

#Ivory Coast Government International Bond 144A 6.375% 3/3/28

  200,000      201,000   
        

 

 

 
  201,000   
        

 

 

 

Kazakhstan–0.06%

#Kazakhstan Government International Bond 144A 3.875% 10/14/24

  200,000      185,780   
        

 

 

 
  185,780   
        

 

 

 

Mexico–0.12%

Mexican Bonos 7.50% 6/3/27

MXN   5,441,000      396,836   
        

 

 

 
  396,836   
        

 

 

 

Norway–0.02%

Kommunalbanken 5.00% 3/28/19

NZD   91,000      70,867   
        

 

 

 
  70,867   
        

 

 

 
          Principal
Amount°
     Value
(U.S. $)
 

DSOVEREIGN BONDS (continued)

  

Pakistan–0.06%

        

#Pakistan Government International Bond 144A 7.25% 4/15/19

        200,000       $ 206,579   
        

 

 

 
  206,579   
        

 

 

 

Peru–0.06%

#Peruvian Government International Bond 144A 6.95% 8/12/31

PEN   600,000      199,661   
        

 

 

 
  199,661   
        

 

 

 

Poland–0.02%

Poland Government Bond 3.25% 7/25/25

PLN   265,000      76,047   
        

 

 

 
  76,047   
        

 

 

 

Portugal–0.01%

#Portugal Government International Bond 144A 5.125% 10/15/24

  15,000      16,609   
        

 

 

 
  16,609   
        

 

 

 

Republic of Korea–0.06%

Inflation Linked Korea Treasury Bond 1.125% 6/10/23

KRW   220,407,494      191,934   
        

 

 

 
  191,934   
        

 

 

 

Senegal–0.06%

#Senegal Government International Bond 144A 6.25% 7/30/24

  200,000      195,893   
        

 

 

 
  195,893   
        

 

 

 

South Africa–0.12%

South Africa Government Bond 8.00% 1/31/30

ZAR   4,971,000      404,641   
        

 

 

 
  404,641   
        

 

 

 

Sweden–0.02%

Sweden Government Bond 1.50% 11/13/23

SEK   425,000      54,335   
        

 

 

 
  54,335   
        

 

 

 

United Kingdom–0.09%

United Kingdom Gilt 3.50% 1/22/45

GBP   56,200      104,440   

United Kingdom Gilt Inflation Linked 0.125% 3/22/24

GBP   113,783      187,406   
        

 

 

 
  291,846   
        

 

 

 
 

 

LVIP Delaware Foundation® Conservative Allocation Fund–25


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

            Principal
Amount°
    

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

Uruguay–0.03%

        

Uruguay Government International Bond 5.10% 6/18/50

        97,000       $ 101,123   
        

 

 

 
  101,123   
        

 

 

 

Total Sovereign Bonds
(Cost $6,181,330)

  6,026,687   
        

 

 

 

SUPRANATIONAL BANKS–0.24%

  

European Bank for Reconstruction & Development

6.00% 3/3/16

  INR      9,400,000      150,158   

7.375% 4/15/19

  IDR      1,210,000,000      92,057   

Inter-American Development Bank

6.00% 9/5/17

  INR      13,100,000      209,347   

7.25% 7/17/17

  IDR      1,720,000,000      129,543   

International Bank for Reconstruction & Development

•2.465% 9/24/18

  AUD      104,000      79,286   

4.625% 10/6/21

  NZD      170,000      132,919   
        

 

 

 

Total Supranational Banks
(Cost $844,319)

   

  793,310   
        

 

 

 

U.S. TREASURY OBLIGATIONS–0.41%

  

U.S. Treasury Bond 2.50% 2/15/45

  790,000      782,841   

U.S. Treasury Notes

1.375% 2/29/20

  115,000      115,036   

1.375% 3/31/20

  55,000      55,013   

2.00% 2/15/25

  375,000      377,402   
        

 

 

 

Total U.S. Treasury Obligations
(Cost $1,306,374)

   

  1,330,292   
        

 

 

 
     Number of
Shares
    

Value

(U.S. $)

 

MONEY MARKET FUND–0.02%

  

Dreyfus Treasury & Agency Cash Management - Institutional Shares

     55,295       $ 55,295   
     

 

 

 

Total Money Market Fund
(Cost $55,295)

  55,295   
     

 

 

 
     Principal
Amount°
        

SHORT-TERM INVESTMENTS–3.66%

  

Certificates of Deposit–3.05%

     

Banco Estado Chile 0.20% 4/7/15

     5,000,000         5,000,029   

HSBC Bank USA 0.27% 7/13/15

     5,000,000         5,000,720   
     

 

 

 
  10,000,749   
     

 

 

 

Discounted Commercial Paper–0.61%

  

HSBC USA 0.24% 4/20/15

  1,000,000      999,946   

JPMorgan Securities 0.23% 4/9/15

  1,000,000      999,970   
     

 

 

 
  1,999,916   
     

 

 

 

Total Short-Term Investments
(Cost $11,999,822)

  12,000,665   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–104.01% (Cost $297,982,889)

  340,921,480   

« LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(4.01%)

  (13,149,310
  

 

 

 

NET ASSETS APPLICABLE TO 21,518,850 SHARES OUTSTANDING–100.00%

$ 327,772,170   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $45,378,207, which represents 13.84% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

~

100% of the income received on this PIK security was in the form of cash.

 

Non-income producing for the period.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

*

Interest only security. An interest only security is the interest only portion of a fixed income security which is separated and sold individually from the principal portion of the security.

 

«

Includes $29,872 cash and $245,630 due to broker as collateral for futures contracts as of March 31, 2015.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $2,437,782, which represents 0.74% of the Fund’s net assets.

 

LVIP Delaware Foundation® Conservative Allocation Fund–26


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

¿

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.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $116,220, which represents 0.04% of the Fund’s net assets.

 

The rate shown is the effective yield at the time of purchase.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

×

Emerging Markets – developing countries with relatively low per capita income, often with above-average economic growth potential but with more risk.

 

§

Developed Markets – countries that are thought to be most developed and therefore less risky than emerging markets.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

f

Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2015.

The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

   Contracts to
Receive (Deliver)
    In Exchange For     Settlement Date    Unrealized
Appreciation
(Depreciation)

BAML

   AUD      (267,304   USD      209,239        4/30/15          $ 6,033     

BAML

   CAD      (322,010   USD      257,141        4/30/15            3,011     

BAML

   EUR                      3,069      USD      (3,352     4/30/15            (51  

BAML

   NZD      (389,861   USD      296,833        4/30/15            6,236     

BNP

   AUD      (137,333   USD      107,541        4/30/15            3,140     

BNP

   NOK      (1,060,737   USD      134,177        4/30/15            2,605     

BNYM

   EUR      (29,160   USD      31,280        4/1/15            (80  

BNYM

   KRW      (2,655,801   USD      2,397        4/1/15            2     

HSBC

   GBP      (100,198   USD              149,235        4/30/15            639     

JPMC

   COP      (513,953,056   USD      198,879        4/30/15            1,956     

JPMC

   KRW      (211,964,600   USD      191,425        4/30/15            479     

JPMC

   PLN      (238,968   USD      64,000        4/30/15            1,022     

JPMC

   SEK      (42,272   USD      4,977        4/30/15            67     

TD

   EUR      (862,689   USD      935,922        4/30/15            7,761     

TD

   JPY      (6,235,213   USD      52,126        4/30/15            121     
                  

 

 

   
$ 32,941   
                  

 

 

   

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
     Notional
Value
     Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 

(7)

  E-mini MSCI EAFE Index    $ (633,444    $ (640,465      6/22/15         $ (7,021)     

(13)

  E-mini MSCI Emerging Markets Index      (609,596      (632,060      6/22/15           (22,464)     

(7)

  E-mini S&P 500 Index      (719,736      (721,280      6/22/15           (1,544)     

39 

  U.S. Treasury 10 yr Notes      5,014,055         5,027,344         6/22/15           13,289      

96 

  U.S. Treasury 5 yr Notes      11,527,647         11,540,250         7/1/15           12,603      

14 

  U.S. Treasury Ultra Bonds      2,349,854         2,378,250         6/22/15           28,396      
    

 

 

          

 

 

 
$ 16,928,780    $ 23,259     
    

 

 

          

 

 

 

The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts and notional values 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.

 

LVIP Delaware Foundation® Conservative Allocation Fund–27


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

Summary of Abbreviations:

ADR–American Depositary Receipt

AMT–Subject to Alternative Minimum Tax

ARM–Adjustable Rate Mortgage

AUD–Australian Dollar

BAML–Bank of America Merrill Lynch

BNP–BNP Paribas

BNYM–Bank of New York Mellon

BRL–Brazilian Real

CAD–Canadian Dollar

CLP–Chilean Peso

COP–Colombian Peso

CVA–Dutch Certificate

DB–Deutsche Bank

EAFE–Europe Australasia Far East

ETF–Exchange-Traded Fund

EUR–Euro

GBP–British Pound Sterling

GDR–Global Depositary Receipt

GE–General Electric

GNMA–Government National Mortgage Association

GSMPS–Goldman Sachs Reperforming Mortgage Securities

GS–Goldman Sachs

HSBC–Hong Kong Shanghai Bank

IDR–Indonesian Rupiah

INR–Indian Rupee

JPMC–JPMorgan Chase Bank

JPY–Japanese Yen

KRW–South Korean Won

LB–Lehman Brothers

MASTR–Mortgage Asset Securitization Transactions, Inc.

MXN–Mexican Peso

NOK–Norwegian Krone

NVDR–Non-Voting Depositary Receipt

NZD–New Zealand Dollar

PEN–Peruvian Nuevo Sol

PIK–Pay-in-kind

PLN–Polish Zloty

REIT–Real Estate Investment Trust

REMIC–Real Estate Mortgage Investment Conduit

SEK–Swedish Krona

S.F.–Single Family

TBA–To be announced

TD–Toronto Dominion Bank

UBS–Union Bank of Switzerland

USD–U.S. Dollar

yr–Year

ZAR–South African Rand

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

         Level 1            Level 2            Level 3            Total    

Common Stock

                   

U.S. Markets

                   

Aerospace & Defense

     $ 2,206,260        $        $        $ 2,206,260  

Air Freight & Logistics

       306,950                            306,950  

Auto Components

       882,381                            882,381  

Automobiles

       145,260                            145,260  

Banks

       2,756,478                            2,756,478  

 

LVIP Delaware Foundation® Conservative Allocation Fund–28


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

         Level 1            Level 2            Level 3            Total    

Beverages

     $ 287,560        $        $        $ 287,560  

Biotechnology

       2,894,527                            2,894,527  

Building Products

       255,959                            255,959  

Capital Markets

       1,537,063                            1,537,063  

Chemicals

       1,374,296                            1,374,296  

Commercial Services & Supplies

       1,086,917                            1,086,917  

Communications Equipment

       2,312,749                            2,312,749  

Construction & Engineering

       194,982                            194,982  

Consumer Finance

       153,699                            153,699  

Containers & Packaging

       139,636                            139,636  

Diversified Financial Services

       643,592                            643,592  

Diversified Telecommunication Services

       1,660,436                            1,660,436  

Electric Utilities

       911,750                            911,750  

Electrical Equipment

       101,910                            101,910  

Electronic Equipment, Instruments & Components

       298,668                            298,668  

Energy Equipment & Services

       893,816                            893,816  

Food & Staples Retailing

       2,028,603                            2,028,603  

Food Products

       2,396,373                            2,396,373  

Gas Utilities

       34,196                            34,196  

Health Care Equipment & Supplies

       1,391,402                            1,391,402  

Health Care Providers & Services

       1,995,682                            1,995,682  

Hotels, Restaurants & Leisure

       1,070,281                            1,070,281  

Household Products

       354,569                            354,569  

Industrial Conglomerates

       260,505                            260,505  

Insurance

       2,232,840                            2,232,840  

Internet & Catalog Retail

       1,982,953                            1,982,953  

Internet Software & Services

       3,941,974                            3,941,974  

IT Services

       3,179,754                            3,179,754  

Life Sciences Tools & Services

       208,227                            208,227  

Machinery

       852,881                            852,881  

Media

       1,051,409                            1,051,409  

Metals & Mining

       192,707                            192,707  

Multiline Retail

       302,835                            302,835  

Multi-Utilities

       302,201                            302,201  

Oil, Gas & Consumable Fuels

       4,905,413                            4,905,413  

Paper & Forest Products

       259,330                            259,330  

Pharmaceuticals

       5,106,678                            5,106,678  

Professional Services

       394,448                            394,448  

Real Estate Investment Trusts

       6,994,319                            6,994,319  

Road & Rail

       414,310                            414,310  

Semiconductors & Semiconductor Equipment

       1,978,411                            1,978,411  

Software

       3,646,330                            3,646,330  

Specialty Retail

       2,175,975                            2,175,975  

Technology Hardware, Storage & Peripherals

       581,096                            581,096  

Textiles, Apparel & Luxury Goods

       908,679                            908,679  

Trading Companies & Distributors

       113,803                            113,803  

Developed Markets

                   

Aerospace & Defense

                369,760                   369,760  

Air Freight & Logistics

                642,783                   642,783  

Airlines

       244,149                            244,149  

Auto Components

                571,339                   571,339  

Automobiles

                893,339                   893,339  

Banks

                3,440,339                   3,440,339  

Beverages

                885,762                   885,762  

Construction & Engineering

                588,244                   588,244  

Containers & Packaging

                557,328                   557,328  

Diversified Telecommunication Services

                718,491                   718,491  

 

LVIP Delaware Foundation® Conservative Allocation Fund–29


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

         Level 1            Level 2            Level 3            Total    

Energy Equipment & Services

     $        $ 267,863        $        $ 267,863  

Food & Staples Retailing

                487,588                   487,588  

Food Products

                673,901                   673,901  

Household Durables

                416,368                   416,368  

Industrial Conglomerates

                566,569                   566,569  

Insurance

                851,959                   851,959  

IT Services

       805,768          648,293                   1,454,061  

Life Sciences Tools & Services

       150,934                            150,934  

Media

                234,214                   234,214  

Metals & Mining

       273,947          391,160                   665,107  

Multi-Utilities

                259,272                   259,272  

Oil, Gas & Consumable Fuels

       359,391          361,139                   720,530  

Pharmaceuticals

       2,461,915          2,131,623                   4,593,538  

Road & Rail

                558,201                   558,201  

Software

                253,930                   253,930  

Specialty Retail

                832,898                   832,898  

Textiles, Apparel & Luxury Goods

                913,338                   913,338  

Tobacco

                550,007                   550,007  

Trading Companies & Distributors

                835,152                   835,152  

Wireless Telecommunication Services

                469,321                   469,321  

Emerging Markets

                   

Airlines

       71,717                            71,717  

Automobiles

                281,506                   281,506  

Banks

       907,211          1,363,846                   2,271,057  

Beverages

       300,223          506,762                   806,985  

Building Products

                357,722                   357,722  

Chemicals

       141,367                            141,367  

Construction & Engineering

       42,706                            42,706  

Construction Materials

       290,895          414,365                   705,260  

Diversified Financial Services

                247,978                   247,978  

Diversified Telecommunication Services

       246,319                            246,319  

Electronic Equipment, Instruments & Components

       173,151          359,175                   532,326  

Food & Staples Retailing

       241,353                            241,353  

Food Products

       560,700          217,660                   778,360  

Hotels, Restaurants & Leisure

       64,583                            64,583  

Household Durables

                110,564                   110,564  

Insurance

                177,256                   177,256  

Internet Software & Services

       1,575,511                            1,575,511  

IT Services

       103,603                            103,603  

Media

       419,161                            419,161  

Metals & Mining

       147,431          118,094                   265,525  

Multiline Retail

                137,952                   137,952  

Oil, Gas & Consumable Fuels

       1,572,291          731,098                   2,303,389  

Paper & Forest Products

       260,063          66,282                   326,345  

Personal Products

       159,310                            159,310  

Real Estate Management & Development

                98,526                   98,526  

Road & Rail

       19,422                            19,422  

Semiconductors & Semiconductor Equipment

       213,668          742,962                   956,630  

Technology Hardware, Storage & Peripherals

                1,149,462                   1,149,462  

Transportation Infrastructure

       24,419                            24,419  

Wireless Telecommunication Services

       1,718,194          833,855                   2,552,049  

Convertible Preferred Stock

       649,534          313,156                   962,690  

Exchange-Traded Funds

       18,514,897                            18,514,897  

Preferred Stock

       731,556          294,150                   1,025,706  

Agency Collateralized Mortgage Obligations

                3,344,406                   3,344,406  

Agency Mortgage-Backed Securities

                36,012,973                   36,012,973  

Commercial Mortgage-Backed Securities

                11,828,504                   11,828,504  

 

LVIP Delaware Foundation® Conservative Allocation Fund–30


LVIP Delaware Foundation® Conservative Allocation Fund

Schedule of Investments (continued)

 

         Level 1            Level 2            Level 3            Total    

Convertible Bonds

     $        $ 2,718,495        $        $ 2,718,495  

Corporate Bonds

                100,105,253                   100,105,253  

Municipal Bonds

                2,639,391                   2,639,391  

Non-Agency Asset-Backed Securities

                4,298,421                   4,298,421  

Non-Agency Collateralized Mortgage Obligations

                929,546                   929,546  

Regional Bonds

                240,425                   240,425  

Senior Secured Loans

                23,560,803          396,000          23,956,803  

Sovereign Bonds

                6,026,687                   6,026,687  

Supranational Banks

                793,310                   793,310  

U.S. Treasury Obligations

                1,330,292                   1,330,292  

Money Market Fund

       55,295                            55,295  

Short-Term Investments

                12,000,665                   12,000,665  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 105,803,757     $ 234,721,723     $ 396,000     $ 340,921,480  
    

 

 

      

 

 

      

 

 

      

 

 

 

Foreign Currency Exchange Contracts

  $     $ 32,941     $     $ 32,941  
    

 

 

      

 

 

      

 

 

      

 

 

 

Futures Contracts

  $ 23,259     $     $     $ 23,259  
    

 

 

      

 

 

      

 

 

      

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, a portion of the Fund’s common stock investments were categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Delaware Foundation® Conservative Allocation Fund–31


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK–52.57%

     

U.S. MARKETS–33.40%

     

Aerospace & Defense–1.01%

     

Boeing

     450       $ 67,536   

†Esterline Technologies

     750         85,815   

Honeywell International

     780         81,362   

†KEYW Holding

     4,120         33,908   

Lockheed Martin

     390         79,154   

Northrop Grumman

     2,000         321,920   

Raytheon

     2,900         316,825   

Rockwell Collins

     320         30,896   

United Technologies

     760         89,072   
     

 

 

 
  1,106,488   
     

 

 

 

Air Freight & Logistics–0.14%

FedEx

  510      84,379   

†XPO Logistics

  1,515      68,887   
     

 

 

 
  153,266   
     

 

 

 

Auto Components–0.41%

BorgWarner

  820      49,594   

Johnson Controls

  6,500      327,860   

†Tenneco

  1,175      67,469   
     

 

 

 
  444,923   
     

 

 

 

Automobiles–0.07%

Ford Motor

  4,700      75,858   
     

 

 

 
  75,858   
     

 

 

 

Banks–1.27%

BB&T

  8,200      319,718   

BBCN Bancorp

  2,790      40,371   

Bryn Mawr Bank

  510      15,509   

Cardinal Financial

  2,230      44,555   

Citigroup

  2,090      107,677   

City Holding

  1,010      47,500   

†First NBC Bank Holding

  1,240      40,895   

Flushing Financial

  1,805      36,226   

@Independent Bank (Massachusetts)

  1,215      53,302   

JPMorgan Chase

  2,330      141,151   

KeyCorp

  3,900      55,224   

Old National Bancorp

  2,750      39,023   

Prosperity Bancshares

  1,135      59,565   

Sterling Bancorp

  4,140      55,517   

Susquehanna Bancshares

  3,195      43,803   

†Texas Capital Bancshares

  835      40,623   

Webster Financial

  1,630      60,392   

Wells Fargo

  2,490      135,456   

†Western Alliance Bancorp

  1,930      57,205   
     

 

 

 
  1,393,712   
     

 

 

 

Beverages–0.13%

Coca-Cola

  810      32,845   

PepsiCo

  1,180      112,832   
     

 

 

 
  145,677   
     

 

 

 

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Biotechnology–1.34%

     

†Acorda Therapeutics

     1,690       $ 56,243   

†Alkermes

     870         53,044   

†Biogen

     475         200,564   

†Celgene

     6,114         704,822   

†Cepheid

     1,355         77,099   

†Gilead Sciences

     1,240         121,681   

†Isis Pharmaceuticals

     895         56,985   

†Ligand Pharmaceuticals Class B

     920         70,941   

†Spectrum Pharmaceuticals

     3,900         23,673   

†TESARO

     500         28,700   

†Vanda Pharmaceuticals

     3,315         30,830   

†Vertex Pharmaceuticals

     450         53,087   
     

 

 

 
  1,477,669   
     

 

 

 

Building Products–0.11%

AAON

  2,710      66,476   

†Continental Building Products

  2,630      59,412   
     

 

 

 
  125,888   
     

 

 

 

Capital Markets–0.72%

Ameriprise Financial

  480      62,803   

Bank of New York Mellon

  8,100      325,944   

BlackRock

  170      62,193   

Evercore Partners Class A

  1,705      88,080   

Greenhill

  650      25,773   

Invesco

  1,190      47,231   

Raymond James Financial

  990      56,212   

State Street

  880      64,706   

†Stifel Financial

  1,095      61,046   
     

 

 

 
  793,988   
     

 

 

 

Chemicals–0.65%

Axiall

  1,175      55,155   

†Chemtura

  1,455      39,707   

duPont (E.I.) deNemours

  4,500      321,615   

Eastman Chemical

  980      67,875   

Huntsman

  2,180      48,331   

Innophos Holdings

  640      36,070   

LyondellBasell Industries Class A

  390      34,242   

Minerals Technologies

  875      63,963   

Quaker Chemical

  540      46,246   
     

 

 

 
  713,204   
     

 

 

 

Commercial Services & Supplies–0.50%

  

McGrath RentCorp

  1,540      50,681   

Republic Services

  1,080      43,805   

Tetra Tech

  1,535      36,871   

United Stationers

  1,525      62,510   

US Ecology

  670      33,480   

Waste Management

  5,900      319,957   
     

 

 

 
  547,304   
     

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–1


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Communications Equipment–1.06%

  

Cisco Systems

     13,790       $ 379,570   

†NETGEAR

     1,285         42,251   

Plantronics

     865         45,802   

QUALCOMM

     10,056         697,283   
     

 

 

 
  1,164,906   
     

 

 

 

Construction & Engineering–0.09%

  

Granite Construction

  1,445      50,777   

†MasTec

  505      9,747   

†MYR Group

  1,160      36,354   
     

 

 

 
  96,878   
     

 

 

 

Consumer Finance–0.07%

Capital One Financial

  950      74,879   
     

 

 

 
  74,879   
     

 

 

 

Containers & Packaging–0.06%

MeadWestvaco

  1,420      70,815   
     

 

 

 
  70,815   
     

 

 

 

Diversified Financial Services–0.30%

  

Intercontinental Exchange

  1,433      334,276   
     

 

 

 
  334,276   
     

 

 

 

Diversified Telecommunication Services–0.77%

  

AT&T

  13,120      428,368   

Atlantic Tele-Network

  595      41,186   

†inContact

  5,135      55,971   

Verizon Communications

  6,600      320,958   
     

 

 

 
  846,483   
     

 

 

 

Electric Utilities–0.41%

Cleco

  1,070      58,336   

Edison International

  5,500      343,585   

OGE Energy

  1,490      47,099   
     

 

 

 
  449,020   
     

 

 

 

Electrical Equipment–0.05%

Eaton

  770      52,314   
     

 

 

 
  52,314   
     

 

 

 

Electronic Equipment, Instruments & Components–0.14%

  

†Anixter International

  620      47,201   

†FARO Technologies

  1,175      73,003   

†Rofin-Sinar Technologies

  1,240      30,045   
     

 

 

 
  150,249   
     

 

 

 

Energy Equipment & Services–0.40%

  

Bristow Group

  390      21,235   

Core Laboratories

  330      34,482   

Halliburton

  6,300      276,444   

†Pioneer Energy Services

  1,170      6,341   

†RigNet

  1,160      33,164   
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Energy Equipment & Services (continued)

  

Schlumberger

     750       $ 62,580   
     

 

 

 
  434,246   
     

 

 

 

Food & Staples Retailing–0.93%

Casey’s General Stores

  1,355      122,085   

CVS Health

  4,080      421,097   

Walgreens Boots Alliance

  5,686      481,490   
     

 

 

 
  1,024,672   
     

 

 

 

Food Products–1.13%

Archer-Daniels-Midland

  7,000      331,800   

General Mills

  1,270      71,882   

J&J Snack Foods

  510      54,417   

Kraft Foods Group

  5,133      447,161   

Mondelez International

  9,400      339,246   
     

 

 

 
  1,244,506   
     

 

 

 

Gas Utilities–0.02%

South Jersey Industries

  330      17,912   
     

 

 

 
  17,912   
     

 

 

 

Health Care Equipment & Supplies–0.64%

  

Baxter International

  4,800      328,800   

CONMED

  1,335      67,404   

CryoLife

  3,640      37,747   

†DexCom

  1,275      79,483   

†Merit Medical Systems

  1,915      36,864   

†Quidel

  2,040      55,039   

West Pharmaceutical Services

  1,595      96,035   
     

 

 

 
  701,372   
     

 

 

 

Health Care Providers & Services–0.92%

  

†Air Methods

  1,295      60,334   

Cardinal Health

  3,600      324,972   

†Express Scripts Holding

  1,080      93,712   

Quest Diagnostics

  4,300      330,455   

UnitedHealth Group

  1,130      133,668   

†WellCare Health Plans

  685      62,650   
     

 

 

 
  1,005,791   
     

 

 

 

Hotels, Restaurants & Leisure–0.49%

  

†Buffalo Wild Wings

  330      59,809   

Cheesecake Factory

  1,235      60,923   

†Del Frisco’s Restaurant Group

  2,545      51,282   

Jack in the Box

  770      73,858   

McDonald’s

  200      19,488   

†Popeyes Louisiana Kitchen

  1,175      70,289   

Starbucks

  1,040      98,488   

Wynn Resorts

  834      104,984   
     

 

 

 
  539,121   
     

 

 

 

Household Products–0.16%

Kimberly-Clark

  490      52,484   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–2


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Household Products (continued)

     

Procter & Gamble

     1,540       $ 126,188   
     

 

 

 
  178,672   
     

 

 

 

Industrial Conglomerates–0.12%

General Electric

  5,340      132,485   
     

 

 

 
  132,485   
     

 

 

 

Insurance–1.03%

Aflac

  1,130      72,331   

Allstate

  4,700      334,499   

American Equity Investment Life

Holding

  1,955      56,949   

Fidelity & Guaranty Life

  1,915      40,598   

@Infinity Property & Casualty

  560      45,948   

Marsh & McLennan

  5,700      319,713   

Primerica

  910      46,319   

Prudential Financial

  520      41,761   

@Selective Insurance Group

  1,750      50,838   

Travelers

  790      85,423   

United Fire Group

  1,220      38,759   
     

 

 

 
  1,133,138   
     

 

 

 

Internet & Catalog Retail–0.92%

†Liberty Interactive Class A

  14,544      424,539   

†Priceline Group

  232      270,083   

†Shutterfly

  1,000      45,240   

†TripAdvisor

  3,205      266,560   
     

 

 

 
  1,006,422   
     

 

 

 

Internet Software & Services–1.81%

  

†Coupons.com

  2,455      28,822   

†eBay

  8,638      498,240   

†Endurance International Group

Holdings

  440      8,386   

Equinix

  1,860      433,101   

†Facebook Class A

  1,130      92,903   

†Google Class A

  607      336,703   

†Google Class C

  406      222,488   

†GrubHub

  1,395      63,319   

@j2 Global

  930      61,082   

†SciQuest

  2,610      44,187   

†Yahoo

  1,900      84,427   

†Yelp

  2,484      117,617   
     

 

 

 
  1,991,275   
     

 

 

 

IT Services–1.46%

Accenture Class A

  1,020      95,564   

Convergys

  2,320      53,058   

†ExlService Holdings

  800      29,760   

International Business Machines

  140      22,470   

†InterXion Holding

  1,625      45,825   

MasterCard Class A

  5,282      456,312   

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

IT Services (continued)

     

TeleTech Holdings

     1,720       $ 43,774   

Visa Class A

     8,110         530,475   

Xerox

     25,500         327,675   
     

 

 

 
  1,604,913   
     

 

 

 

Life Sciences Tools & Services–0.10%

  

Thermo Fisher Scientific

  810      108,815   
     

 

 

 
  108,815   
     

 

 

 

Machinery–0.40%

Barnes Group

  1,905      77,133   

Caterpillar

  260      20,808   

Columbus McKinnon

  1,870      50,378   

Cummins

  280      38,819   

Deere

  360      31,568   

ESCO Technologies

  1,335      52,038   

Federal Signal

  2,235      35,291   

Kadant

  1,440      75,758   

Parker-Hannifin

  450      53,451   
     

 

 

 
  435,244   
     

 

 

 

Media–0.49%

†=Century Communications

  5,000      0   

Cinemark Holdings

  540      24,338   

Comcast Class A

  1,560      87,461   

†Discovery Communications Class A

  2,809      86,405   

†Discovery Communications Class C

  7,607      224,216   

Disney (Walt)

  400      41,956   

National CineMedia

  2,050      30,955   

Regal Entertainment Group Class A

  510      11,648   

Viacom Class B

  420      28,686   
     

 

 

 
  535,665   
     

 

 

 

Metals & Mining–0.09%

Kaiser Aluminum

  620      47,672   

Worthington Industries

  1,875      49,894   
     

 

 

 
  97,566   
     

 

 

 

Multiline Retail–0.14%

Macy’s

  1,310      85,032   

Nordstrom

  910      73,091   
     

 

 

 
  158,123   
     

 

 

 

Multi-Utilities–0.13%

MDU Resources Group

  1,660      35,424   

NorthWestern

  985      52,983   

Sempra Energy

  530      57,781   
     

 

 

 
  146,188   
     

 

 

 

Oil, Gas & Consumable Fuels–2.30%

  

†Bonanza Creek Energy

  730      18,002   

†Carrizo Oil & Gas

  1,050      52,133   

Chevron

  4,330      454,563   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–3


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

ConocoPhillips

     4,790       $ 298,225   

†Diamondback Energy

     645         49,562   

EOG Resources

     3,099         284,147   

Exxon Mobil

     1,420         120,700   

Kinder Morgan

     5,890         247,733   

Marathon Oil

     11,370         296,871   

Occidental Petroleum

     5,260         383,980   

†Parsley Energy Class A

     1,030         16,459   

†RSP Permian

     750         18,893   

Williams

     5,559         281,230   
     

 

 

 
  2,522,498   
     

 

 

 

Paper & Forest Products–0.12%

†Boise Cascade

  1,095      41,019   

International Paper

  730      40,508   

Neenah Paper

  750      46,905   
     

 

 

 
  128,432   
     

 

 

 

Pharmaceuticals–2.35%

AbbVie

  1,580      92,493   

†Actavis

  1,552      461,916   

†Akorn

  1,510      71,740   

Johnson & Johnson

  3,660      368,196   

†Medicines

  885      24,798   

Merck

  7,900      454,092   

Perrigo

  1,309      216,705   

Pfizer

  13,879      482,850   

†Prestige Brands Holdings

  1,055      45,249   

†Valeant Pharmaceuticals International

  1,848      367,050   
     

 

 

 
  2,585,089   
     

 

 

 

Professional Services–0.18%

Kforce

  2,925      65,257   

Nielsen

  1,000      44,570   

†On Assignment

  1,105      42,399   

†WageWorks

  885      47,197   
     

 

 

 
  199,423   
     

 

 

 

Real Estate Investment Trusts–3.24%

  

American Campus Communities

  525      22,507   

American Realty Capital Properties

  1,800      17,730   

American Tower

  870      81,911   

Apartment Investment & Management

  850      33,456   

AvalonBay Communities

  600      104,550   

Boston Properties

  800      112,384   

Brandywine Realty Trust

  2,600      41,548   

Camden Property Trust

  350      27,345   

Corporate Office Properties Trust

  700      20,566   

Cousins Properties

  1,650      17,490   

Crown Castle International

  4,693      387,360   

DCT Industrial Trust

  1,913      66,305   

DDR

  3,000      55,860   

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Real Estate Investment Trusts (continued)

  

Douglas Emmett

     1,600       $ 47,696   

Duke Realty

     3,200         69,664   

DuPont Fabros Technology

     1,510         49,347   

EastGroup Properties

     640         38,490   

EPR Properties

     1,560         93,647   

Equity Lifestyle Properties

     425         23,354   

Equity One

     850         22,687   

Equity Residential

     1,550         120,683   

Essex Property Trust

     300         68,970   

Extra Space Storage

     450         30,407   

Federal Realty Investment Trust

     175         25,762   

First Industrial Realty Trust

     1,850         39,645   

First Potomac Realty Trust

     1,000         11,890   

General Growth Properties

     3,425         101,209   

Health Care REIT

     450         34,812   

Healthcare Realty Trust

     925         25,697   

Healthcare Trust of America Class A

     837         23,319   

Highwoods Properties

     925         42,347   

Host Hotels & Resorts

     5,260         106,147   

Kilroy Realty

     550         41,893   

Kimco Realty

     1,700         45,645   

Kite Realty Group Trust

     1,917         54,002   

LaSalle Hotel Properties

     2,050         79,663   

Lexington Realty Trust

     1,950         19,169   

Liberty Property Trust

     450         16,065   

LTC Properties

     175         8,050   

Macerich

     500         42,165   

National Retail Properties

     1,960         80,301   

Pebblebrook Hotel Trust

     675         31,435   

Post Properties

     575         32,735   

Prologis

     2,225         96,921   

PS Business Parks

     275         22,836   

Public Storage

     425         83,785   

Ramco-Gershenson Properties Trust

     3,860         71,796   

Regency Centers

     725         49,329   

RLJ Lodging Trust

     1,000         31,310   

Sabra Health Care REIT

     500         16,575   

Simon Property Group

     1,350         264,114   

SL Green Realty

     650         83,447   

Sovran Self Storage

     570         53,546   

Spirit Realty Capital

     2,475         29,898   

†Strategic Hotels & Resorts

     2,650         32,940   

Tanger Factory Outlet Centers

     950         33,412   

Taubman Centers

     250         19,283   

UDR

     1,500         51,045   

Urban Edge Properties

     462         10,949   

Ventas

     1,350         98,577   

Vornado Realty Trust

     900         100,800   
     

 

 

 
  3,566,471   
     

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–4


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Road & Rail–0.19%

     

Hunt (J.B.) Transport Services

     500       $ 42,697   

†Roadrunner Transportation Systems

     1,185         29,945   

†Swift Transportation

     1,235         32,135   

Union Pacific

     960         103,978   
     

 

 

 
  208,755   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.93%

  

†Applied Micro Circuits

  6,285      32,053   

Avago Technologies

  640      81,267   

Broadcom Class A

  7,600      329,042   

Intel

  12,820      400,881   

Maxim Integrated Products

  2,020      70,316   

†Semtech

  2,085      55,555   

†Synaptics

  710      57,727   
     

 

 

 
  1,026,841   
     

 

 

 

Software–1.68%

†Adobe Systems

  2,809      207,697   

CA

  10,366      338,035   

†Callidus Software

  2,960      37,533   

†Electronic Arts

  5,315      312,602   

†Guidewire Software

  1,010      53,136   

Intuit

  2,165      209,918   

Microsoft

  11,021      448,059   

†Proofpoint

  1,080      63,958   

†salesforce.com

  920      61,465   

SS&C Technologies Holdings

  1,120      69,776   

†Tyler Technologies

  410      49,417   
     

 

 

 
  1,851,596   
     

 

 

 

Specialty Retail–1.00%

†Boot Barn Holdings

  675      16,146   

DSW Class A

  1,300      47,944   

†Express

  2,290      37,854   

L Brands

  3,663      345,384   

Lowe’s

  4,300      319,877   

†Sally Beauty Holdings

  4,912      168,825   

Tractor Supply

  890      75,703   

†Urban Outfitters

  1,980      90,387   
     

 

 

 
  1,102,120   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.27%

  

Apple

  1,820      226,463   

EMC

  2,850      72,846   
     

 

 

 
  299,309   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.41%

  

†G-III Apparel Group

  610      68,717   

†Iconix Brand Group

  1,520      51,178   

†Madden (Steven)

  2,051      77,919   

NIKE Class B

  2,537      254,537   
     

 

 

 
  452,351   
     

 

 

 
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

U.S. MARKETS (continued)

     

Trading Companies & Distributors–0.05%

  

Applied Industrial Technologies

     1,290       $ 58,489   
     

 

 

 
  58,489   
     

 

 

 

Total U.S. Markets
(Cost $22,950,582)

  36,715,297   
     

 

 

 

§DEVELOPED MARKETS–11.36%

  

Aerospace & Defense–0.17%

Meggitt

  23,222      188,757   
     

 

 

 
  188,757   
     

 

 

 

Air Freight & Logistics–0.30%

Deutsche Post

  10,699      333,388   
     

 

 

 
  333,388   
     

 

 

 

Airlines–0.11%

@Westjet Airlines Class VV

  5,243      122,895   
     

 

 

 
  122,895   
     

 

 

 

Auto Components–0.26%

Sumitomo Rubber Industries

  15,800      291,199   
     

 

 

 
  291,199   
     

 

 

 

Automobiles–0.42%

Toyota Motor

  6,600      460,628   
     

 

 

 
  460,628   
     

 

 

 

Banks–1.58%

†ING Groep CVA

  18,733      274,452   

Mitsubishi UFJ Financial Group

  69,900      432,847   

Nordea Bank

  33,669      410,107   

Standard Chartered

  23,270      376,885   

UniCredit

  36,306      246,247   
     

 

 

 
  1,740,538   
     

 

 

 

Beverages–0.41%

Carlsberg Class B

  3,072      253,304   

Coca-Cola Amatil

  24,507      200,634   
     

 

 

 
  453,938   
     

 

 

 

Construction & Engineering–0.27%

  

Vinci

  5,116      292,351   
     

 

 

 
  292,351   
     

 

 

 

Containers & Packaging–0.25%

Rexam

  32,345      277,198   
     

 

 

 
  277,198   
     

 

 

 

Diversified Telecommunication Services–0.33%

  

Nippon Telegraph & Telephone

  5,874      362,548   
     

 

 

 
  362,548   
     

 

 

 

Energy Equipment & Services–0.13%

  

†Saipem

  11,967      121,751   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–5


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

Energy Equipment & Services (continued)

  

Subsea 7

     2,158       $ 18,533   
     

 

 

 
  140,284   
     

 

 

 

Food & Staples Retailing–0.23%

Tesco

  69,517      248,136   
     

 

 

 
  248,136   
     

 

 

 

Food Products–0.32%

†Aryzta

  5,662      347,096   
     

 

 

 
  347,096   
     

 

 

 

Household Durables–0.19%

Techtronic Industries

  63,500      214,084   
     

 

 

 
  214,084   
     

 

 

 

Industrial Conglomerates–0.26%

Koninklijke Philips

  9,994      283,582   
     

 

 

 
  283,582   
     

 

 

 

Insurance–0.39%

AXA

  16,969      427,175   
     

 

 

 
  427,175   
     

 

 

 

IT Services–0.67%

†CGI Group Class A

  9,665      409,903   

Teleperformance

  4,726      323,941   
     

 

 

 
  733,844   
     

 

 

 

Life Sciences Tools & Services–0.07%

  

†ICON

  1,075      75,820   
     

 

 

 
  75,820   
     

 

 

 

Media–0.11%

Publicis Groupe

  1,544      119,152   
     

 

 

 
  119,152   
     

 

 

 

Metals & Mining–0.30%

Anglo American ADR

  2,900      21,619   

AuRico Gold

  21,000      58,027   

Rio Tinto

  4,920      202,879   

Yamana Gold

  14,226      50,990   
     

 

 

 
  333,515   
     

 

 

 

Multi-Utilities–0.12%

National Grid

  10,124      130,150   
     

 

 

 
  130,150   
     

 

 

 

Oil, Gas & Consumable Fuels–0.33%

  

Suncor Energy

  6,300      184,078   

TOTAL

  3,586      178,283   
     

 

 

 
  362,361   
     

 

 

 

Pharmaceuticals–2.12%

Novartis

  4,521      446,225   

Novo Nordisk ADR

  6,452      344,472   
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

§DEVELOPED MARKETS (continued)

  

Pharmaceuticals (continued)

     

Sanofi

     4,071       $ 402,123   

STADA Arzneimittel

     6,628         220,584   

Teva Pharmaceutical Industries ADR

     14,800         922,040   
     

 

 

 
  2,335,444   
     

 

 

 

Road & Rail–0.25%

East Japan Railway

  3,466      277,698   
     

 

 

 
  277,698   
     

 

 

 

Software–0.12%

Playtech

  11,342      130,456   
     

 

 

 
  130,456   
     

 

 

 

Specialty Retail–0.39%

Nitori Holdings

  6,340      429,106   
     

 

 

 
  429,106   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.42%

  

Kering

  907      177,096   

Yue Yuen Industrial Holdings

  81,000      286,614   
     

 

 

 
  463,710   
     

 

 

 

Tobacco–0.25%

Japan Tobacco

  8,800      278,164   
     

 

 

 
  278,164   
     

 

 

 

Trading Companies & Distributors–0.37%

  

ITOCHU

  25,014      270,653   

Rexel

  6,960      131,261   
     

 

 

 
  401,914   
     

 

 

 

Wireless Telecommunication Services–0.22%

  

Tele2 Class B

  19,951      238,631   
     

 

 

 
  238,631   
     

 

 

 

Total Developed Markets
(Cost $9,834,125)

  12,493,762   
     

 

 

 

×EMERGING MARKETS–7.81%

Airlines–0.04%

Gol Linhas Aereas Inteligentes ADR

  16,500      40,095   
     

 

 

 
  40,095   
     

 

 

 

Automobiles–0.11%

Hyundai Motor

  258      39,090   

Mahindra & Mahindra

  4,244      80,948   
     

 

 

 
  120,038   
     

 

 

 

Banks–1.08%

Akbank

  29,356      86,132   

Banco Santander Brasil ADR

  11,200      49,392   

Bangkok Bank

  19,430      110,054   

China Construction Bank

  133,028      110,411   

Grupo Financiero Banorte Class O

  14,300      82,928   

ICICI Bank ADR

  11,600      120,176   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–6


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

×EMERGING MARKETS (continued)

  

Banks (continued)

     

Industrial & Commercial Bank of China

     153,406       $ 113,471   

Itau Unibanco Holding ADR

     7,908         87,462   

†KB Financial Group ADR

     3,678         129,245   

Powszechna Kasa Oszczednosci Bank Polski

     3,658         32,733   

@=Sberbank

     43,680         47,186   

Shinhan Financial Group

     2,493         93,705   

Standard Bank Group

     9,258         127,956   
     

 

 

 
  1,190,851   
     

 

 

 

Beverages–0.36%

†Anadolu Efes Biracilik Ve Malt Sanayii

  8,730      72,828   

Cia Cervecerias Unidas ADR

  2,200      45,672   

†Fomento Economico Mexicano ADR

  1,200      112,200   

@Lotte Chilsung Beverage

  85      132,176   

Tsingtao Brewery

  5,305      35,572   
     

 

 

 
  398,448   
     

 

 

 

Building Products–0.17%

@KCC

  358      182,428   
     

 

 

 
  182,428   
     

 

 

 

Chemicals–0.07%

Braskem ADR

  6,100      42,334   

Sociedad Quimica y Minera de Chile ADR

  2,100      38,325   
     

 

 

 
  80,659   
     

 

 

 

Construction & Engineering–0.02%

  

†Empresas ICA ADR

  6,100      19,886   
     

 

 

 
  19,886   
     

 

 

 

Construction Materials–0.26%

†Cemex ADR

  10,834      102,598   

†Cemex Latam Holdings

  4,717      24,492   

Siam Cement - Foreign

  2,599      40,722   

Siam Cement NVDR

  1,900      29,882   

Ultratech Cement

  2,012      93,018   
     

 

 

 
  290,712   
     

 

 

 

Diversified Financial Services–0.11%

  

Reliance Capital

  6,162      42,036   

Remgro

  3,534      77,348   
     

 

 

 
  119,384   
     

 

 

 

Diversified Telecommunication Services–0.10%

  

†KT ADR

  4,200      54,936   

Telefonica Brasil ADR

  3,380      51,680   
     

 

 

 
  106,616   
     

 

 

 

Electronic Equipment, Instruments & Components–0.23%

  

Hon Hai Precision Industry

  43,664      127,962   
     Number of      Value  
     Shares      (U.S. $)  

COMMON STOCK (continued)

     

×EMERGING MARKETS (continued)

  

Electronic Equipment, Instruments & Components (continued)

  

†LG Display ADR

     5,100       $ 72,981   

Samsung SDI

     436         53,573   
     

 

 

 
  254,516   
     

 

 

 

Food & Staples Retailing–0.11%

Cia Brasileira de Distribuicao ADR

  1,800      53,676   

Wal-Mart de Mexico Class V

  27,159      67,691   
     

 

 

 
  121,367   
     

 

 

 

Food Products–0.39%

BRF ADR

  4,240      83,867   

China Mengniu Dairy

  19,000      100,972   

@Lotte Confectionery

  60      96,565   

Tingyi Cayman Islands Holding

  24,000      51,672   

@Uni-President China Holdings

  139,600      92,375   
     

 

 

 
  425,451   
     

 

 

 

Hotels, Restaurants & Leisure–0.04%

@Arcos Dorados Holdings

  8,200      40,426   
     

 

 

 
  40,426   
     

 

 

 

Household Durables–0.04%

LG Electronics

  829      43,961   
     

 

 

 
  43,961   
     

 

 

 

Insurance–0.08%

Samsung Life Insurance

  966      84,101   
     

 

 

 
  84,101   
     

 

 

 

Internet Software & Services–0.80%

†Baidu ADR

  3,236      674,382   

†SINA

  1,900      61,104   

†@Sohu.com

  2,600      138,658   
     

 

 

 
  874,144   
     

 

 

 

IT Services–0.05%

†WNS Holdings ADR

  2,165      52,653   
     

 

 

 
  52,653   
     

 

 

 

Media–0.17%

†Grupo Televisa ADR

  5,800      191,458   
     

 

 

 
  191,458   
     

 

 

 

Metals & Mining–0.09%

†Anglo American Platinum

  1,012      24,778   

@Gerdau

  4,000      9,524   

Gerdau ADR

  2,900      9,280   

†Impala Platinum Holdings

  2,386      11,539   

Vale ADR

  7,100      40,115   
     

 

 

 
  95,236   
     

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–7


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

    

Number of

Shares

    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

×EMERGING MARKETS (continued)

  

  

Multiline Retail–0.12%

     

Woolworths Holdings

     19,249       $ 136,492   
     

 

 

 
  136,492   
     

 

 

 

Oil, Gas & Consumable Fuels–0.93%

  

Cairn India

  9,748      33,526   

China Petroleum & Chemical

  60,750      48,412   

CNOOC ADR

  300      42,546   

@Gazprom ADR

  16,397      77,185   

Lukoil ADR

  1,800      82,674   

PetroChina ADR

  900      100,089   

†Petroleo Brasileiro ADR

  15,000      90,150   

PTT-Foreign

  8,924      88,555   

#Reliance Industries GDR 144A

  12,479      330,070   

@Rosneft GDR

  10,702      45,908   

Sasol ADR

  1,700      57,868   

Tambang Batubara Bukit Asam Persero

  36,700      30,090   
     

 

 

 
  1,027,073   
     

 

 

 

Paper & Forest Products–0.13%

  

†Fibria Celulose ADR

  7,731      109,239   

Nine Dragons Paper Holdings

  52,000      32,516   
     

 

 

 
  141,755   
     

 

 

 

Personal Products–0.09%

  

†Hypermarcas

  15,500      95,710   
     

 

 

 
  95,710   
     

 

 

 

Real Estate Management & Development–0.04%

  

#@=Etalon Group GDR 144A

  3,000      6,405   

@UEM Sunrise

  109,206      40,598   
     

 

 

 
  47,003   
     

 

 

 

Road & Rail–0.01%

America Latina Logistica

  9,250      11,649   
     

 

 

 
  11,649   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.36%

  

MediaTek

  10,000      135,218   

Taiwan Semiconductor Manufacturing

  22,204      103,317   

Taiwan Semiconductor Manufacturing ADR

  4,000      93,920   

United Microelectronics

  136,600      67,762   
     

 

 

 
  400,217   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.54%

  

Samsung Electronics

  454      589,002   
     

 

 

 
  589,002   
     

 

 

 

Wireless Telecommunication Services–1.27%

  

America Movil ADR

  6,600      135,036   

China Mobile

  15,298      199,370   

China Mobile ADR

  2,300      149,569   
     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

  

×EMERGING MARKETS (continued)

  

  

Wireless Telecommunication Services (continued)

  

MegaFon GDR

     3,508       $ 55,827   

Mobile Telesystems ADR

     3,400         34,340   

MTN Group

     3,801         64,084   

SK Telecom ADR

     17,100         465,291   

Tim Participacoes ADR

     9,700         160,826   

Turkcell Iletisim Hizmetleri ADR

     4,900         63,847   

Vodacom Group

     6,506         71,075   
     

 

 

 
  1,399,265   
     

 

 

 

Total Emerging Markets
(Cost $8,426,027)

  8,580,596   
     

 

 

 

Total Common Stock
(Cost $41,210,734)

  57,789,655   
     

 

 

 

CONVERTIBLE PREFERRED STOCK–0.18%

  

Alcoa 5.375% exercise price $19.39, expiration date 10/1/17

  250      10,960   

ArcelorMittal 6.00% exercise price $20.36, expiration date 12/21/15

  475      7,251   

Bank of America 7.25% exercise price $50.00, expiration date 12/31/49

  10      11,471   

#Chesapeake Energy 144A 5.75% exercise price $26.14, expiration date 12/31/49

  15      12,994   

Dominion Resources 6.125% exercise price $65.06, expiration date 4/1/16

  193      10,839   

@Dynegy 5.375% exercise price $38.75, expiration date 11/1/17

  110      12,007   

Exelon 6.50% exercise price $43.75, expiration date 6/1/17

  250      12,163   

Halcon Resources 5.75% exercise price $6.16, expiration date 12/31/49

  12      3,543   

HealthSouth 6.50% exercise price $29.70, expiration date 12/31/49

  17      25,324   

Huntington Bancshares 8.50% exercise price $11.95, expiration date 12/31/49

  12      15,996   

Intelsat 5.75% exercise price $22.05, expiration date 5/1/16

  545      18,966   

Maiden Holdings 7.25% exercise price $15.35, expiration date 9/15/16

  450      23,553   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–8


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

CONVERTIBLE PREFERRED STOCK (continued)

  

SandRidge Energy 8.50% exercise price $8.01, expiration date 12/31/49

     178       $ 6,786   

T-Mobile US 5.50% exercise price $31.02, expiration date 12/15/17

     172         10,090   

Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49

     17         20,791   
     

 

 

 

Total Convertible Preferred Stock
(Cost $229,989)

   

  202,734   
     

 

 

 

EXCHANGE-TRADED FUNDS–8.60%

 

iShares MSCI EAFE Growth Index ETF

  65,135      4,562,707   

iShares MSCI EAFE Index ETF

  29,200      1,873,764   

Vanguard FTSE Developed Markets ETF

  75,640      3,012,741   
     

 

 

 

Total Exchange-Traded Funds
(Cost $7,178,939)

   

  9,449,212   
     

 

 

 

PREFERRED STOCK–0.35%

 

Alabama Power 5.625%

  1,650      42,405   

#Ally Financial 144A 7.00%

  200      205,281   

•Bank of America 6.10%

  25,000      25,422   

•Integrys Energy Group 6.00%

  1,900      53,409   

•Morgan Stanley 5.55%

  15,000      15,187   

National Retail Properties 5.70%

  950      23,703   

Public Storage 5.20%

  1,000      24,220   
     

 

 

 

Total Preferred Stock
(Cost $370,966)

   

  389,627   
     

 

 

 
     Principal
Amount°
        

AGENCY ASSET-BACKED SECURITY–0.00%

 

•Fannie Mae REMIC Trust Series 2002-W11 AV1 0.514% 11/25/32

     305         280   
     

 

 

 

Total Agency Asset-Backed Security
(Cost $305)

   

  280   
     

 

 

 

AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS–0.38%

  

 

Fannie Mae REMIC Trust Series 2004-W11 1A2 6.50% 5/25/44

  9,036      10,748   

Fannie Mae REMICs
Series 1996-46 ZA 7.50% 11/25/26

  4,069      4,647   
     Principal
Amount°
     Value
(U.S. $)
 

AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS (continued)

  

  

Fannie Mae REMICs (continued)

     

Series 2003-26 AT 5.00% 11/25/32

     11,326       $ 11,689   

Series 2010-41 PN 4.50% 4/25/40

     40,000         43,811   

•*Series 2012-122 SD 5.926% 11/25/42

     86,277         20,966   

*Series 2013-26 ID 3.00% 4/25/33

     85,445         12,850   

*Series 2013-38 AI 3.00% 4/25/33

     82,769         11,727   

*Series 2013-44 DI 3.00% 5/25/33

     168,510         24,919   

Series 2014-36 ZE 3.00% 6/25/44

     32,809         30,347   

Freddie Mac REMICs

     

Series 1730 Z 7.00% 5/15/24

     3,128         3,569   

Series 2326 ZQ 6.50% 6/15/31

     13,836         15,956   

Series 2557 WE 5.00% 1/15/18

     7,059         7,359   

Series 3656 PM 5.00% 4/15/40

     62,008         68,772   

Series 4065 DE 3.00% 6/15/32

     5,000         5,138   

*Series 4185 LI 3.00% 3/15/33

     85,707         13,183   

*Series 4191 CI 3.00% 4/15/33

     87,010         11,840   

¿Freddie Mac Structured Pass Through Securities Series T-58 2A 6.50% 9/25/43

     11,445         13,262   

GNMA Series 2010-113 KE 4.50% 9/20/40

     95,000         106,278   
     

 

 

 

Total Agency Collateralized Mortgage Obligations
(Cost $406,253)

   

  417,061   
     

 

 

 

AGENCY MORTGAGE-BACKED SECURITIES–7.67%

 

Fannie Mae 6.50% 8/1/17

  1,210      1,250   

Fannie Mae ARM

•2.08% 3/1/38

  3,012      3,195   

•2.311% 4/1/36

  2,421      2,582   

•2.315% 11/1/35

  1,647      1,763   

•2.42% 5/1/43

  23,838      24,375   

•2.546% 6/1/43

  8,966      9,204   

•3.196% 4/1/44

  37,148      38,759   

•3.266% 3/1/44

  33,681      35,256   

•3.31% 9/1/43

  25,700      26,955   

•5.646% 8/1/37

  3,510      3,688   

Fannie Mae Relocation 30 yr 5.00% 11/1/34

  1,277      1,407   

Fannie Mae S.F. 15 yr

2.50% 2/1/28

  60,258      62,050   

3.00% 5/1/28

  5,769      6,054   

3.50% 7/1/26

  17,417      18,580   

4.00% 4/1/24

  7,570      8,017   

4.00% 5/1/25

  13,103      13,932   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–9


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae S.F. 15 yr (continued)

  

  

4.00% 6/1/25

     45,561       $ 48,439   

4.00% 11/1/25

     60,151         64,893   

4.00% 12/1/26

     21,753         23,052   

4.00% 1/1/27

     141,483         152,171   

4.00% 5/1/27

     46,836         49,922   

4.00% 8/1/27

     25,741         27,357   

4.50% 4/1/18

     1,964         2,059   

5.00% 5/1/21

     4,448         4,731   

5.50% 4/1/23

     5,199         5,738   

Fannie Mae S.F. 15 yr TBA 2.50% 5/1/30

     205,000         210,117   

Fannie Mae S.F. 20 yr

     

3.00% 2/1/33

     3,373         3,496   

3.00% 8/1/33

     11,484         11,905   

3.50% 4/1/33

     3,250         3,438   

3.50% 9/1/33

     16,312         17,424   

4.00% 1/1/31

     5,872         6,324   

4.00% 2/1/31

     16,902         18,202   

5.00% 11/1/23

     1,257         1,397   

6.00% 9/1/29

     12,353         14,069   

Fannie Mae S.F. 30 yr

     

3.00% 7/1/42

     21,903         22,447   

3.00% 10/1/42

     348,674         357,383   

3.00% 12/1/42

     55,705         57,096   

3.00% 1/1/43

     132,247         135,520   

3.00% 2/1/43

     13,440         13,774   

3.00% 4/1/43

     83,188         85,225   

3.00% 5/1/43

     56,908         58,291   

4.00% 5/1/43

     17,865         19,321   

4.00% 8/1/43

     9,734         10,497   

4.00% 7/1/44

     38,125         41,250   

4.50% 7/1/36

     6,793         7,437   

4.50% 11/1/40

     17,541         19,211   

4.50% 3/1/41

     25,610         28,065   

4.50% 4/1/41

     53,277         58,374   

4.50% 7/1/41

     16,150         17,707   

4.50% 10/1/41

     5,275         5,783   

4.50% 1/1/42

     512,919         561,216   

4.50% 9/1/42

     309,905         339,716   

4.50% 6/1/44

     37,459         40,994   

5.00% 2/1/35

     5,905         6,595   

5.00% 7/1/35

     9,130         10,157   

5.00% 10/1/35

     21,711         24,156   

5.00% 11/1/35

     10,740         11,951   

5.00% 4/1/37

     5,829         6,489   

5.00% 8/1/37

     16,267         18,115   

5.00% 2/1/38

     6,093         6,778   

5.50% 12/1/32

     1,166         1,321   

5.50% 2/1/33

     17,033         19,298   

5.50% 11/1/34

     6,435         7,288   

5.50% 12/1/34

     64,014         72,448   

5.50% 3/1/35

     3,137         3,530   
     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

  

  

5.50% 6/1/35

     4,643       $ 5,227   

5.50% 1/1/36

     3,816         4,313   

5.50% 4/1/36

     16,592         18,675   

5.50% 7/1/36

     1,855         2,098   

5.50% 9/1/36

     37,300         42,241   

5.50% 11/1/36

     5,302         5,973   

5.50% 1/1/37

     21,773         24,522   

5.50% 2/1/37

     14,237         16,033   

5.50% 4/1/37

     67,838         76,818   

5.50% 8/1/37

     264         299   

5.50% 1/1/38

     311         350   

5.50% 2/1/38

     11,800         13,339   

5.50% 3/1/38

     13,076         14,856   

5.50% 6/1/38

     48,302         54,354   

5.50% 9/1/38

     36,682         41,405   

5.50% 1/1/39

     19,675         22,188   

5.50% 2/1/39

     75,157         84,932   

5.50% 10/1/39

     57,061         64,209   

5.50% 7/1/40

     17,144         19,299   

5.50% 9/1/41

     213,867         240,667   

6.00% 6/1/36

     2,162         2,472   

6.00% 11/1/36

     28,114         32,100   

6.00% 12/1/36

     2,519         2,895   

6.00% 2/1/37

     7,252         8,284   

6.00% 5/1/37

     20,245         23,101   

6.00% 6/1/37

     1,331         1,534   

6.00% 7/1/37

     1,310         1,503   

6.00% 8/1/37

     16,563         18,941   

6.00% 9/1/37

     2,704         3,088   

6.00% 11/1/37

     3,297         3,794   

6.00% 5/1/38

     31,864         36,357   

6.00% 7/1/38

     909         1,037   

6.00% 9/1/38

     81,743         93,553   

6.00% 10/1/38

     27,935         31,915   

6.00% 11/1/38

     5,659         6,474   

6.00% 1/1/39

     11,643         13,311   

6.00% 9/1/39

     97,521         111,304   

6.00% 3/1/40

     9,916         11,315   

6.00% 7/1/40

     40,336         46,019   

6.00% 9/1/40

     8,964         10,232   

6.00% 11/1/40

     3,890         4,483   

6.00% 5/1/41

     98,061         112,040   

6.50% 2/1/36

     7,308         8,815   

7.50% 6/1/31

     5,602         7,068   

Fannie Mae S.F. 30 yr TBA

     

3.00% 5/1/45

     1,960,000         1,999,008   

3.50% 5/1/45

     665,000         696,769   

4.50% 5/1/45

     699,000         760,654   

Freddie Mac ARM

     

•2.265% 10/1/36

     3,720         3,979   

•2.249% 7/1/36

     2,530         2,698   

•2.307% 4/1/34

     1,105         1,175   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–10


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES (continued)

  

Freddie Mac ARM (continued)

     

•2.532% 1/1/44

     71,841       $ 74,107   

Freddie Mac S.F. 15 yr

     

3.50% 11/1/25

     5,148         5,474   

3.50% 6/1/26

     5,990         6,366   

3.50% 10/1/26

     6,649         7,125   

3.50% 1/1/27

     6,795         7,218   

4.00% 5/1/25

     3,974         4,232   

4.50% 8/1/24

     21,135         22,789   

4.50% 7/1/25

     4,082         4,401   

4.50% 6/1/26

     9,473         10,218   

4.50% 9/1/26

     14,729         15,906   

5.00% 6/1/18

     1,451         1,525   

Freddie Mac S.F. 20 yr

     

3.00% 6/1/34

     14,596         15,089   

3.50% 1/1/34

     30,729         32,414   

Freddie Mac S.F. 30 yr

     

3.00% 10/1/42

     25,056         25,627   

3.00% 11/1/42

     20,163         20,678   

4.50% 6/1/39

     3,832         4,176   

4.50% 10/1/39

     9,619         10,496   

4.50% 4/1/41

     72,887         79,670   

5.50% 3/1/34

     2,555         2,883   

5.50% 12/1/34

     2,576         2,912   

5.50% 6/1/36

     1,685         1,896   

5.50% 11/1/36

     3,331         3,729   

5.50% 12/1/36

     846         950   

5.50% 9/1/37

     3,400         3,817   

5.50% 4/1/38

     12,149         13,636   

5.50% 6/1/38

     1,994         2,239   

5.50% 7/1/38

     12,538         14,065   

5.50% 6/1/39

     13,374         15,002   

5.50% 3/1/40

     8,705         9,772   

5.50% 8/1/40

     20,000         22,433   

5.50% 1/1/41

     8,993         10,076   

5.50% 6/1/41

     67,477         75,618   

6.00% 2/1/36

     5,493         6,309   

6.00% 1/1/38

     3,455         3,921   

6.00% 6/1/38

     9,756         11,098   

6.00% 8/1/38

     29,395         33,557   

6.00% 5/1/40

     4,112         4,677   

6.00% 7/1/40

     22,209         25,377   

6.50% 4/1/39

     15,174         17,383   

7.00% 11/1/33

     2,456         3,018   

GNMA I S.F.30 yr

     

5.00% 6/15/40

     5,117         5,707   

7.50% 1/15/32

     1,553         1,952   
     

 

 

 

Total Agency Mortgage-Backed Securities
(Cost $8,331,223)

   

  8,436,488   
     

 

 

 
     Principal
Amount°
     Value
(U.S. $)
 

COMMERCIAL MORTGAGE-BACKED SECURITIES–2.05%

 

Banc of America Commercial Mortgage Trust

  

•Series 2006-1 AM 5.421% 9/10/45

     10,000       $ 10,274   

Series 2006-4 A4 5.634% 7/10/46

     9,198         9,538   

•Series 2007-4 AM 5.821% 2/10/51

     40,000         43,461   

Bear Stearns Commercial Mortgage Securities Trust Series 2007-PWR18 A4 5.70% 6/11/50

     25,000         27,060   

CD Commercial Mortgage Trust

  

  

•Series 2005-CD1 AM 5.225% 7/15/44

     40,000         40,617   

•Series 2005-CD1 C 5.225% 7/15/44

     15,000         15,215   

Citigroup Commercial Mortgage Trust

  

  

Series 2014-GC25 A4 3.635% 10/10/47

     40,000         42,668   

Series 2015-GC27 A5 3.137% 2/10/48

     15,000         15,361   

COMM Mortgage Trust

     

Series 2014-CR19 A5 3.796% 8/10/47

     25,000         27,014   

Series 2014-CR20 A4 3.59% 11/10/47

     60,000         63,830   

Series 2014-CR20 AM 3.938% 11/10/47

     35,000         37,380   

Series 2014-CR21 A3 3.528% 12/10/47

     35,000         37,055   

#Series 2015-3BP A 144A 3.178% 2/10/35

     100,000         102,354   

Series 2015-DC1 A5 3.35% 2/10/48

     20,000         20,855   

Commercial Mortgage Trust

     

Series 2007-GG9 AM 5.475% 3/10/39

     25,000         26,366   

•Credit Suisse First Boston Mortgage Securities Series 2005-C5 AM 5.10% 8/15/38

     25,000         25,191   

DB-UBS Mortgage Trust

     

#Series 2011-LC1A A3 144A 5.002% 11/10/46

     100,000         114,176   

#•Series 2011-LC1A C 144A 5.558% 11/10/46

     100,000         113,478   

FREMF Mortgage Trust

     

#•Series 2011-K10 B 144A 4.618% 11/25/49

     25,000         27,428   

#•Series 2011-K15 B 144A 4.932% 8/25/44

     10,000         11,121   

#•Series 2011-K702 B 144A 4.771% 4/25/44

     10,000         10,742   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund—11


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

     Value
(U.S. $)
 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

  

  

FREMF Mortgage Trust (continued)

     

#•Series 2011-K703 B 144A
4.884% 7/25/44

     10,000       $ 10,800   

#•Series 2012-K19 B 144A
4.037% 5/25/45

     10,000         10,684   

#•Series 2012-K22 B 144A
3.687% 8/25/45

     35,000         36,357   

#•Series 2012-K22 C 144A
3.687% 8/25/45

     25,000         25,246   

#•Series 2012-K707 B 144A
3.883% 1/25/47

     15,000         15,722   

#•Series 2012-K708 B 144A
3.761% 2/25/45

     45,000         46,974   

#•Series 2012-K708 C 144A
3.761% 2/25/45

     10,000         10,242   

#•Series 2013-K26 C 144A
3.60% 12/25/45

     15,000         15,035   

#•Series 2013-K30 C 144A
3.556% 6/25/45

     30,000         29,601   

#•Series 2013-K31 C 144A
3.627% 7/25/46

     60,000         59,840   

#•Series 2013-K33 B 144A
3.504% 8/25/46

     25,000         25,588   

#•Series 2013-K33 C 144A
3.504% 8/25/46

     15,000         14,848   

#•Series 2013-K712 144A
3.369% 5/25/45

     70,000         72,025   

#•Series 2013-K713 144A
3.165% 4/25/46

     65,000         66,256   

#•Series 2013-K713 C 144A
3.165% 4/25/46

     40,000         39,667   

#•Series 2014-K716 C 144A
3.954% 8/25/47

     20,000         20,477   

#GRACE Mortgage Trust Series
2014-GRCE A 144A
3.369% 6/10/28

     100,000         105,671   

GS Mortgage Securities Trust

     

•Series 2006-GG6 A4
5.553% 4/10/38

     20,000         20,324   

#Series 2010-C1 A2 144A
4.592% 8/10/43

     150,000         167,499   

#Hilton USA Trust Series
2013-HLT BFX 144A
3.367% 11/5/30

     100,000         101,271   

#Houston Galleria Mall Trust
Series 2015-HGLR A1A2 144A
3.087% 3/5/37

     100,000         101,062   

JPMBB Commercial Mortgage Securities Trust

  

  

Series 2014-C18 A1
1.254% 2/15/47

     50,024         49,997   

•Series 2014-C22 B
4.562% 9/15/47

     10,000         10,925   

 

     Principal
Amount°
    

Value

(U.S. $)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES

(continued)

  

  

JPMorgan Chase Commercial Mortgage Securities Trust

   

  

•Series 2005-CB11 E
5.724% 8/12/37

     10,000       $ 10,861   

•Series 2005-LDP4 AJ
5.04% 10/15/42

     55,000         55,407   

•Series 2005-LDP5 D
5.382% 12/15/44

     20,000         20,423   

Series 2006-LDP8 AM
5.44% 5/15/45

     79,000         82,974   

LB-UBS Commercial Mortgage Trust

     

Series 2004-C1 A4
4.568% 1/15/31

     3,222         3,277   

•Series 2006-C6 AJ
5.452% 9/15/39

     30,000         31,462   

Series 2006-C6 AM
5.413% 9/15/39

     35,000         36,936   

Morgan Stanley Bank of America Merrill Lynch Trust

  

Series 2014-C18 A4
3.923% 10/15/47

     20,000         21,811   

Series 2014-C19 AS
3.832% 12/15/47

     10,000         10,554   

Morgan Stanley Capital I Trust

     

•Series 2005-HQ7 AJ
5.204% 11/14/42

     50,000         50,636   

•Series 2006-T21 AM
5.204% 10/12/52

     30,000         30,762   

WF-RBS Commercial Mortgage
Trust Series 2014-C23 A5
3.917% 10/15/57

     20,000         21,858   
     

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $2,234,475)

   

  2,254,256   
     

 

 

 

CONVERTIBLE BONDS–0.52%

Alaska Communications
Systems Group 6.25% exercise
price $10.28, expiration date
4/27/18

  28,000      27,597   

Ares Capital 5.75% exercise
price $19.13, expiration date
2/1/16

  8,000      8,285   

BGC Partners 4.50% exercise
price $9.84, expiration date
7/13/16

  16,000      17,440   

BioMarin Pharmaceutical 1.50%
exercise price $94.15,
expiration date 10/13/20

  13,000      19,752   

Blackstone Mortgage Trust
5.25% exercise price $28.66,
expiration date 12/1/18

  23,000      23,992   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–12


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

CONVERTIBLE BONDS (continued)

  

  

#Campus Crest Communities
Operating Partnership 144A
4.75% exercise price $12.56,
expiration date 10/11/18

     21,000       $ 20,331   

Cardtronics 1.00% exercise
price $52.35, expiration date
11/27/20

     24,000         23,865   

Cemex 3.25% exercise price
$9.65, expiration date 3/9/16

     15,000         16,866   

Chart Industries 2.00% exercise
price $69.03, expiration date
7/30/18

     7,000         6,768   

Chesapeake Energy 2.25%
exercise price $80.28,
expiration date 12/14/38

     15,000         13,687   

#Ciena 144A 3.75% exercise price
$20.17, expiration date
10/15/18

     14,000         17,229   

fGeneral Cable 4.50% exercise
price $34.47, expiration date
11/15/29

     21,000         16,734   

Gilead Sciences 1.625% exercise
price $22.71, expiration date
4/29/16

     5,000         21,550   

Illumina 0.25% exercise price
$83.55, expiration date
3/11/16

     6,000         13,279   

Intel 3.25% exercise price
$21.47, expiration date 8/1/39

     6,000         9,484   

j2 Global 3.25% exercise price
$69.37, expiration date
6/14/29

     22,000         25,437   

Jefferies Group 3.875% exercise
price $44.94, expiration date
10/31/29

     14,000         14,201   

#Lexington Realty Trust 144A
6.00% exercise price $6.60,
expiration date 1/11/30

     7,000         10,163   

Liberty Interactive 0.75%
exercise price $1,000.00,
expiration date 3/30/43

     25,000         35,016   

#Liberty Interactive 144A 1.00%
exercise price $64.31,
expiration date 9/28/43

     16,000         15,720   

Mylan 3.75% exercise price
$13.32, expiration date
9/10/15

     5,000         22,253   

Novellus Systems 2.625%
exercise price $34.78,
expiration date 5/14/41

     10,000         20,469   

NuVasive 2.75% exercise price
$42.13, expiration date
6/30/17

     23,000         28,836   
     Principal
Amount°
     Value
(U.S. $)
 

CONVERTIBLE BONDS (continued)

  

  

#NXP Semiconductors 144A
1.00% exercise price $102.84,
expiration date 11/27/19

     11,000       $ 13,159   

#Oclaro 144A 6.00% exercise
price $1.95, expiration date
2/14/20

     4,000         4,893   

Peabody Energy 4.75% exercise
price $57.15, expiration date
12/15/41

     18,000         6,446   

#PROS Holdings 144A 2.00%
exercise price $33.79,
expiration date 11/27/19

     11,000         11,357   

SanDisk 1.50% exercise price
$51.16, expiration date
8/11/17

     12,000         16,403   

Spectrum Pharmaceuticals
2.75% exercise price $10.53,
expiration date 12/13/18

     7,000         6,436   

Spirit Realty Capital 3.75%
exercise price $13.10,
expiration date 5/13/21

     15,000         15,019   

Titan Machinery 3.75% exercise
price $43.17, expiration date
4/30/19

     7,000         4,865   

#TPG Specialty Lending 144A
4.50% exercise price $25.83,
expiration date 12/15/19

     17,000         16,979   

#Vantage Drilling 144A 5.50%
exercise price $2.39,
expiration date 7/15/43

     25,000         15,250   

Vector Group 1.75% exercise
price $25.87, expiration date
4/15/20

     15,000         16,144   

•Vector Group 2.50% exercise
price $16.78, expiration date
1/14/19

     7,000         9,903   

VeriSign 4.136% exercise
price $34.37, expiration date
8/15/37

     6,000         11,929   
     

 

 

 

Total Convertible Bonds
(Cost $505,260)

  577,737   
     

 

 

 

CORPORATE BONDS–19.00%

Aerospace & Defense–0.06%

Lockheed Martin 3.80% 3/1/45

  20,000      19,969   

TransDigm

6.00% 7/15/22

  30,000      30,150   

6.50% 7/15/24

  20,000      20,200   
     

 

 

 
  70,319   
     

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–13


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

         

Principal

Amount°

    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

     

Air Freight & Logistics–0.04%

        

#Aviation Capital Group 144A
6.75% 4/6/21

        35,000       $ 39,881   
        

 

 

 
  39,881   
        

 

 

 

Airlines–0.13%

#tAir Canada 2015-1 Class A Pass
Through Trust 144A
3.60% 3/15/27

  25,000      25,000   

tAmerican Airlines 2014-1
Class A Pass Through Trust
3.70% 10/1/26

  20,000      20,700   

tAmerican Airlines 2015-1
Class A Pass Through Trust
3.375% 5/1/27

  30,000      30,225   

tUnited Airlines 2014-1 Class A
Pass Through Trust
4.00% 4/11/26

  15,000      15,825   

tUnited Airlines 2014-2 Class A
Pass Through Trust
3.75% 9/3/26

  45,000      46,913   
        

 

 

 
  138,663   
        

 

 

 

Auto Components–0.52%

American Axle &
Manufacturing 6.25% 3/15/21

  25,000      26,437   

BorgWarner 3.375% 3/15/25

  10,000      10,314   

Dana Holding 5.50% 12/15/24

  12,000      12,420   

Delphi

4.15% 3/15/24

  40,000      42,601   

5.00% 2/15/23

  20,000      21,500   

Lear 5.25% 1/15/25

  80,000      82,000   

Magna International
3.625% 6/15/24

  65,000      66,350   

#Schaeffler Finance 144A
4.75% 5/15/23

  200,000      202,500   

TRW Automotive

#144A 4.45% 12/1/23

  80,000      80,800   

#144A 4.50% 3/1/21

  25,000      25,250   
        

 

 

 
  570,172   
        

 

 

 

Automobiles–0.24%

Daimler 2.75% 12/10/18

NOK   200,000      26,112   

Ford Motor 7.45% 7/16/31

  45,000      62,290   

General Motors

3.50% 10/2/18

  40,000      41,182   

5.00% 4/1/35

  35,000      37,466   

#Hyundai Capital America 144A
2.55% 2/6/19

  45,000      45,807   

Toyota Finance Australia

2.25% 8/31/16

NOK   30,000      3,767   

3.04% 12/20/16

NZD   60,000      44,288   
        

 

 

 
  260,912   
        

 

 

 
     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

     

Beverages–0.16%

     

#Pernod-Ricard 144A
5.75% 4/7/21

     150,000       $ 174,295   
     

 

 

 
  174,295   
     

 

 

 

Biotechnology–0.24%

Celgene

3.95% 10/15/20

  150,000      162,069   

4.625% 5/15/44

  15,000      16,020   

Gilead Sciences

3.50% 2/1/25

  30,000      31,675   

4.50% 2/1/45

  10,000      11,072   

Immucor 11.125% 8/15/19

  45,000      48,544   
     

 

 

 
  269,380   
     

 

 

 

Building Products–0.05%

#Builders FirstSource 144A
7.625% 6/1/21

  15,000      15,150   

Nortek 8.50% 4/15/21

  35,000      37,625   
     

 

 

 
  52,775   
     

 

 

 

Capital Markets–0.18%

Affiliated Managers Group
3.50% 8/1/25

  40,000      40,036   

Bank of New York Mellon
2.15% 2/24/20

  10,000      10,089   

E*TRADE Financial
4.625% 9/15/23

  25,000      25,500   

Jefferies Group

5.125% 1/20/23

  20,000      20,793   

6.45% 6/8/27

  30,000      32,550   

6.50% 1/20/43

  10,000      9,982   

Lazard Group

3.75% 2/13/25

  10,000      9,882   

6.85% 6/15/17

  19,000      21,119   

State Street 3.10% 5/15/23

  25,000      25,333   
     

 

 

 
  195,284   
     

 

 

 

Chemicals–0.55%

CF Industries

6.875% 5/1/18

  105,000      119,786   

7.125% 5/1/20

  30,000      36,188   

Dow Chemical

3.50% 10/1/24

  20,000      20,350   

4.625% 10/1/44

  70,000      73,470   

#Grace (W.R.) 144A
5.125% 10/1/21

  15,000      15,600   

LYB International Finance
4.875% 3/15/44

  5,000      5,392   

LyondellBasell Industries
4.625% 2/26/55

  95,000      95,026   

Methanex 4.25% 12/1/24

  50,000      50,758   

#NOVA Chemicals 144A
5.00% 5/1/25

  56,000      58,660   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–14


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

          Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

     

Chemicals (continued)

        

PolyOne 5.25% 3/15/23

        15,000       $ 15,637   

Potash of Saskatchewan
3.00% 4/1/25

        30,000         30,103   

PPG Industries 2.30% 11/15/19

        35,000         35,434   

Rockwood Specialties Group
4.625% 10/15/20

        30,000         31,313   

#TPC Group 144A
8.75% 12/15/20

        15,000         13,800   
        

 

 

 
  601,517   
        

 

 

 

Commercial Banks–0.89%

Australia & New Zealand
Banking Group
2.625% 12/10/18

CAD   25,000      20,631   

BB&T

2.45% 1/15/20

  70,000      71,255   

5.25% 11/1/19

  117,000      132,434   

#BBVA Banco Continental 144A
5.00% 8/26/22

  25,000      26,700   

#BBVA Bancomer 144A
6.50% 3/10/21

  150,000      166,782   

City National 5.25% 9/15/20

  40,000      45,970   

Cooperatieve Centrale Raiffeisen-Boerenleenbank

  

2.50% 9/4/20

NOK   110,000      14,259   

4.25% 1/13/22

AUD   24,000      19,284   

Northern Trust 3.95% 10/30/25

  35,000      37,649   

PNC Funding 5.625% 2/1/17

  38,000      40,868   

#•PNC Preferred Funding Trust II
144A 1.493% 3/31/49

  100,000      92,000   

Santander Holdings USA
3.45% 8/27/18

  40,000      41,657   

U.S. Bancorp 3.60% 9/11/24

  80,000      83,560   

•USB Capital IX 3.50% 10/29/49

  140,000      116,550   

Wells Fargo

4.75% 8/27/24

AUD   10,000      8,266   

•5.875% 6/15/50

  20,000      21,204   

Zions Bancorp 4.50% 6/13/23

  40,000      42,373   
        

 

 

 
  981,442   
        

 

 

 

Commercial Services & Supplies–0.54%

  

#Algeco Scotsman Global
Finance 144A 8.50% 10/15/18

  200,000      199,250   

#Brambles USA 144A
3.95% 4/1/15

  20,000      20,000   

#CDK Global 144A
4.50% 10/15/24

  35,000      36,142   

HD Supply

7.50% 7/15/20

  10,000      10,750   

11.50% 7/15/20

  30,000      34,837   

#Prestige Brands 144A
5.375% 12/15/21

  50,000      50,875   
          Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

     

Commercial Services & Supplies (continued)

  

Reynolds Group Issuer
8.25% 2/15/21

        100,000       $ 107,500   

Service International
5.375% 5/15/24

        25,000         26,250   

Spectrum Brands
6.375% 11/15/20

        20,000         21,300   

United Rentals North America

        

4.625% 7/15/23

        30,000         30,413   

5.50% 7/15/25

        5,000         5,106   

5.75% 11/15/24

        45,000         46,688   
        

 

 

 
  589,111   
        

 

 

 

Computers & Peripherals–0.15%

Apple 3.45% 2/9/45

  10,000      9,518   

NetApp 3.25% 12/15/22

  65,000      64,391   

Seagate HDD Cayman

#144A 4.75% 1/1/25

  35,000      36,313   

#144A 5.75% 12/1/34

  50,000      53,601   
        

 

 

 
  163,823   
        

 

 

 

Construction & Engineering–0.04%

AECOM

#144A 5.75% 10/15/22

  10,000      10,375   

#144A 5.875% 10/15/24

  37,000      38,943   
        

 

 

 
  49,318   
        

 

 

 

Construction Materials–0.18%

#Cemex 144A 4.375% 3/5/23

EUR   100,000      107,948   

MUFG Americas Holdings

2.25% 2/10/20

  30,000      30,092   

3.00% 2/10/25

  65,000      64,400   
        

 

 

 
  202,440   
        

 

 

 

Consumer Finance–0.11%

Ally Financial 4.125% 2/13/22

  10,000      9,775   

General Motors Financial

3.15% 1/15/20

  5,000      5,065   

4.00% 1/15/25

  15,000      15,329   

4.375% 9/25/21

  30,000      31,900   

SunTrust Banks 2.35% 11/1/18

  60,000      60,984   
        

 

 

 
  123,053   
        

 

 

 

Containers & Packaging–0.09%

Berry Plastics 5.50% 5/15/22

  20,000      20,575   

#BWAY Holding 144A
9.125% 8/15/21

  45,000      47,025   

#Consolidated Container 144A
10.125% 7/15/20

  10,000      8,750   

#Plastipak Holdings 144A
6.50% 10/1/21

  25,000      25,563   
        

 

 

 
  101,913   
        

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–15


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

            Principal      Value  
            Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Diversified Consumer Services–0.12%

  

#Red de Carreteras de Occidente 144A 9.00% 6/10/28

     MXN         2,000,000       $ 126,795   
        

 

 

 
  126,795   
        

 

 

 

Diversified Financial Services–1.15%

  

Bank of America 4.25% 10/22/26

  95,000      98,207   

CME Group 3.00% 3/15/25

  35,000      35,400   

ERAC USA Finance

#144A 3.30% 10/15/22

  95,000      96,751   

#144A 4.50% 2/15/45

  10,000      10,158   

General Electric Capital

2.10% 12/11/19

  35,000      35,713   

2.20% 1/9/20

  25,000      25,293   

4.25% 1/17/18

  NZD      40,000      30,138   

5.55% 5/4/20

  25,000      29,141   

6.00% 8/7/19

  50,000      58,466   

•7.125% 12/15/49

  100,000      117,750   

Goldman Sachs Group

2.60% 4/23/20

  110,000      111,299   

5.20% 12/17/19

  NZD      31,000      23,749   

JPMorgan Chase

•0.886% 1/28/19

  25,000      25,070   

4.125% 12/15/26

  115,000      119,497   

•6.75% 8/29/49

  30,000      32,700   

Morgan Stanley

•1.106% 1/24/19

  26,000      26,111   

4.35% 9/8/26

  55,000      57,732   

5.00% 9/30/21

  AUD      25,000      20,412   

National Rural Utilities Cooperative Finance

2.85% 1/27/25

  50,000      50,451   

•4.75% 4/30/43

  50,000      50,275   

#Peachtree Corners Funding Trust 144A 3.976% 2/15/25

  100,000      101,649   

#SUAM Finance 144A 4.875% 4/17/24

  100,000      103,750   
        

 

 

 
  1,259,712   
        

 

 

 

Diversified Telecommunication Services–0.85%

  

AT&T

4.35% 6/15/45

  35,000      33,614   

5.35% 9/1/40

  55,000      60,238   

Bell Canada 3.35% 3/22/23

  CAD      18,000      14,971   

CenturyLink

5.80% 3/15/22

  105,000      109,856   

6.75% 12/1/23

  30,000      33,150   

Hughes Satellite Systems 7.625% 6/15/21

  10,000      11,037   

Intelsat Luxembourg 8.125% 6/1/23

  85,000      78,625   

Level 3 Financing 5.375% 8/15/22

  40,000      41,362   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Diversified Telecommunication Services (continued)

  

Motorola Solutions 4.00% 9/1/24

     60,000       $ 62,120   

Orange 5.50% 2/6/44

     40,000         47,675   

SBA Tower Trust

     

#144A 2.24% 4/16/18

     35,000         35,027   

#144A 2.898% 10/15/19

     25,000         25,304   

#SES 144A 3.60% 4/4/23

     70,000         73,455   

Telefonica Emisiones 6.421% 6/20/16

     10,000         10,629   

Verizon Communications

     

4.40% 11/1/34

     65,000         66,430   

4.862% 8/21/46

     120,000         125,941   

5.15% 9/15/23

     70,000         80,310   

Windstream

     

7.50% 4/1/23

     5,000         4,800   

7.75% 10/1/21

     20,000         20,050   
     

 

 

 
  934,594   
     

 

 

 

Electric Utilities–1.62%

#•AES Gener 144A 8.375% 12/18/73

  200,000      220,020   

Ameren Illinois 3.25% 3/1/25

  40,000      41,775   

#American Transmission Systems 144A 5.25% 1/15/22

  75,000      86,293   

Berkshire Hathaway Energy

3.75% 11/15/23

  145,000      154,848   

4.50% 2/1/45

  25,000      27,331   

Cleveland Electric Illuminating 5.50% 8/15/24

  35,000      42,221   

ComEd Financing III 6.35% 3/15/33

  50,000      51,643   

Dominion Gas Holdings 3.60% 12/15/24

  55,000      57,783   

DTE Energy 2.40% 12/1/19

  40,000      40,695   

#•Electricite de France 144A 5.25% 12/29/49

  100,000      104,600   

Entergy Louisiana 4.05% 9/1/23

  90,000      98,977   

Great Plains Energy 4.85% 6/1/21

  45,000      50,395   

Indiana Michigan Power 3.20% 3/15/23

  55,000      56,579   

IPALCO Enterprises 5.00% 5/1/18

  35,000      37,275   

ITC Holdings 3.65% 6/15/24

  60,000      62,307   

LG&E & KU Energy

3.75% 11/15/20

  70,000      74,173   

4.375% 10/1/21

  130,000      143,688   

#Metropolitan Edison 144A 4.00% 4/15/25

  35,000      36,637   

NextEra Energy Capital Holdings

2.40% 9/15/19

  55,000      55,704   

3.625% 6/15/23

  25,000      26,211   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–16


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

     

NV Energy 6.25% 11/15/20

     85,000       $ 101,003   

Pennsylvania Electric 5.20% 4/1/20

     75,000         83,120   

Public Service of New Hampshire 3.50% 11/1/23

     30,000         31,980   

Public Service of Oklahoma 5.15% 12/1/19

     60,000         67,815   

#Trans-Allegheny Interstate Line 144A 3.85% 6/1/25

     25,000         26,168   
     

 

 

 
  1,779,241   
     

 

 

 

Electronic Equipment, Instruments & Components–0.16%

  

CDW 5.00% 9/1/23

  10,000      10,175   

Thermo Fisher Scientific

2.40% 2/1/19

  50,000      50,748   

4.15% 2/1/24

  110,000      118,988   
     

 

 

 
  179,911   
     

 

 

 

Energy Equipment & Services–0.04%

  

Bristow Group 6.25% 10/15/22

  40,000      38,200   

Exterran Partners 6.00% 4/1/21

  10,000      9,250   
     

 

 

 
  47,450   
     

 

 

 

Food & Staples Retailing–0.05%

Walgreens Boots Alliance 3.80% 11/18/24

  50,000      51,799   
     

 

 

 
  51,799   
     

 

 

 

Food Products–0.16%

Campbell Soup 3.30% 3/19/25

  55,000      56,036   

Smithfield Foods 6.625% 8/15/22

  20,000      21,475   

Smucker (J.M.)

#144A 3.00% 3/15/22

  15,000      15,249   

#144A 3.50% 3/15/25

  60,000      61,810   

#144A 4.25% 3/15/35

  20,000      20,785   
     

 

 

 
  175,355   
     

 

 

 

Gas Utilities–0.02%

AmeriGas Finance 7.00% 5/20/22

  25,000      26,937   
     

 

 

 
  26,937   
     

 

 

 

Health Care Equipment & Supplies–0.56%

  

Becton Dickinson 3.734% 12/15/24

  45,000      47,191   

Boston Scientific

2.65% 10/1/18

  15,000      15,178   

6.00% 1/15/20

  65,000      74,895   

CareFusion 6.375% 8/1/19

  70,000      81,918   

Kinetic Concepts 10.50% 11/1/18

  30,000      32,550   

Medtronic

#144A 3.15% 3/15/22

  60,000      62,360   

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Health Care Equipment & Supplies (continued)

  

Medtronic (continued)

     

#144A 3.50% 3/15/25

     65,000       $ 68,036   

Zimmer Holdings

     

3.15% 4/1/22

     15,000         15,195   

3.375% 11/30/21

     70,000         72,039   

3.55% 4/1/25

     55,000         56,210   

4.625% 11/30/19

     80,000         88,194   
     

 

 

 
  613,766   
     

 

 

 

Health Care Providers & Services–0.34%

  

Community Health Systems 6.875% 2/1/22

  40,000      42,950   

DaVita Healthcare Partners 5.125% 7/15/24

  45,000      45,984   

#Fresenius Medical Care US Finance II 144A 5.875% 1/31/22

  20,000      22,100   

HCA 5.375% 2/1/25

  105,000      110,644   

HealthSouth

5.125% 3/15/23

  10,000      10,225   

5.75% 11/1/24

  10,000      10,450   

Highmark

#144A 4.75% 5/15/21

  40,000      42,128   

#144A 6.125% 5/15/41

  15,000      16,109   

#Milacron 144A 7.75% 2/15/21

  20,000      20,800   

Tenet Healthcare 6.00% 10/1/20

  53,000      56,313   
     

 

 

 
  377,703   
     

 

 

 

Hotels, Restaurants & Leisure–0.51%

#Caesars Growth Properties

Holdings 144A 9.375% 5/1/22

  25,000      19,313   

International Game Technology 5.35% 10/15/23

  65,000      66,048   

#Landry’s 144A 9.375% 5/1/20

  45,000      48,487   

Marriott International 3.375% 10/15/20

  40,000      41,941   

MGM Resorts International 6.00% 3/15/23

  80,000      82,600   

#PF Chang’s China Bistro 144A 10.25% 6/30/20

  10,000      10,400   

Starwood Hotels & Resorts Worldwide

3.75% 3/15/25

  35,000      35,992   

4.50% 10/1/34

  10,000      10,439   

Wyndham Worldwide

4.25% 3/1/22

  30,000      31,354   

5.625% 3/1/21

  45,000      50,877   

Wynn Las Vegas

5.375% 3/15/22

  10,000      10,400   

#144A 5.50% 3/1/25

  150,000      152,625   
     

 

 

 
  560,476   
     

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–17


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Household Durables–0.04%

     

Spectrum Brands 6.625% 11/15/22

     40,000       $ 43,000   
     

 

 

 
  43,000   
     

 

 

 

Independent Power Producers & Energy Traders–0.19%

  

AES

5.50% 3/15/24

  45,000      45,113   

5.50% 4/15/25

  45,000      44,550   

Calpine 5.375% 1/15/23

  20,000      20,100   

Dynegy Finance I/II

#144A 6.75% 11/1/19

  10,000      10,363   

#144A 7.375% 11/1/22

  15,000      15,825   

#144A 7.625% 11/1/24

  65,000      68,331   
     

 

 

 
  204,282   
     

 

 

 

Industrial Conglomerates–0.03%

#Gates Global 144A 6.00% 7/15/22

  40,000      37,950   
     

 

 

 
  37,950   
     

 

 

 

Insurance–0.78%

American International Group

3.875% 1/15/35

  45,000      45,381   

•8.175% 5/15/58

  95,000      135,190   

Berkshire Hathaway Finance
2.90% 10/15/20

  50,000      52,875   

•Chubb 6.375% 3/29/67

  50,000      53,250   

#HUB International 144A 7.875% 10/1/21

  35,000      35,963   

Liberty Mutual Group

#144A 4.25% 6/15/23

  40,000      42,679   

#144A 4.95% 5/1/22

  15,000      16,595   

MetLife

6.40% 12/15/36

  50,000      59,500   

6.817% 8/15/18

  130,000      151,627   

Prudential Financial

4.50% 11/15/20

  20,000      22,284   

•5.875% 9/15/42

  40,000      43,650   

TIAA Asset Management Finance

#144A 2.95% 11/1/19

  35,000      35,909   

#144A 4.125% 11/1/24

  75,000      79,319   

#USI 144A 7.75% 1/15/21

  5,000      5,150   

•Voya Financial 5.65% 5/15/53

  30,000      31,500   

XLIT

4.45% 3/31/25

  20,000      20,170   

•6.50% 12/29/49

  30,000      26,625   
     

 

 

 
  857,667   
     

 

 

 

Internet & Catalog Retail–0.15%

#Netflix 144A 5.875% 2/15/25

  80,000      82,500   

Priceline Group 3.65% 3/15/25

  80,000      81,579   
     

 

 

 
  164,079   
     

 

 

 
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Internet Software & Services–0.24%

     

Baidu 3.25% 8/6/18

     200,000       $ 207,505   

Equinix

     

4.875% 4/1/20

     12,000         12,450   

5.375% 4/1/23

     43,000         44,849   
     

 

 

 
  264,804   
     

 

 

 

IT Services–0.15%

First Data

11.25% 1/15/21

  43,000      49,020   

11.75% 8/15/21

  17,000      19,741   

Xerox 6.35% 5/15/18

  85,000      96,063   
     

 

 

 
  164,824   
     

 

 

 

Machinery–0.27%

Crane

2.75% 12/15/18

  10,000      10,261   

4.45% 12/15/23

  55,000      58,962   

Ingersoll-Rand Global Holding 4.25% 6/15/23

  140,000      149,740   

LSB Industries 7.75% 8/1/19

  10,000      10,475   

Meritor 6.75% 6/15/21

  15,000      15,600   

Parker Hannifin 3.30% 11/21/24

  5,000      5,256   

Trinity Industries 4.55% 10/1/24

  45,000      45,325   
     

 

 

 
  295,619   
     

 

 

 

Media–1.47%

CC Holdings GS V 3.849% 4/15/23

  15,000      15,212   

CCO Holdings 5.25% 9/30/22

  15,000      15,394   

CCOH Safari 5.75% 12/1/24

  95,000      98,087   

#Columbus International 144A 7.375% 3/30/21

  200,000      211,000   

Comcast 3.375% 2/15/25

  145,000      151,827   

#Cox Communications 144A 3.85% 2/1/25

  65,000      67,077   

#CSC Holdings 144A 5.25% 6/1/24

  100,000      102,250   

DISH DBS 5.00% 3/15/23

  55,000      53,614   

Gray Television 7.50% 10/1/20

  65,000      68,737   

Historic TW 6.875% 6/15/18

  160,000      186,215   

Interpublic Group 2.25% 11/15/17

  25,000      25,217   

Lamar Media 5.00% 5/1/23

  25,000      25,687   

#MDC Partners 144A 6.75% 4/1/20

  25,000      26,437   

#Nielsen Finance 144A 5.00% 4/15/22

  30,000      30,300   

#SES GLOBAL Americas Holdings 144A 5.30% 3/25/44

  80,000      90,116   

Sinclair Television Group

5.375% 4/1/21

  20,000      20,600   

#144A 5.625% 8/1/24

  25,000      25,563   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–18


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Media (continued)

     

Sirius XM Radio

     

#144A 5.375% 4/15/25

     30,000       $ 30,225   

#144A 6.00% 7/15/24

     55,000         57,888   

Time Warner Cable 8.25% 4/1/19

     100,000         122,421   

#Univision Communications 144A 5.125% 5/15/23

     20,000         20,400   

Viacom 4.85% 12/15/34

     105,000         108,814   

WPP Finance 2010 5.625% 11/15/43

     50,000         59,148   
     

 

 

 
  1,612,229   
     

 

 

 

Metals & Mining–0.31%

ArcelorMittal 10.60% 6/1/19

  65,000      79,747   

FMG Resources August 2006

#144A 6.875% 4/1/22

  73,000      54,203   

#144A 8.25% 11/1/19

  8,000      6,910   

#Gerdau Holdings 144A
7.00% 1/20/20

  100,000      107,250   

#Lundin Mining 144A 7.50% 11/1/20

  22,000      22,880   

Novelis 8.75% 12/15/20

  30,000      32,287   

Ryerson

9.00% 10/15/17

  15,000      15,187   

11.25% 10/15/18

  3,000      3,060   

Yamana Gold 4.95% 7/15/24

  25,000      24,625   
     

 

 

 
  346,149   
     

 

 

 

Multiline Retail–0.02%

Target 2.30% 6/26/19

  20,000      20,506   
     

 

 

 
  20,506   
     

 

 

 

Multi-Utilities–0.43%

Ameren Illinois 9.75% 11/15/18

  170,000      216,011   

American Water Capital 3.40% 3/1/25

  40,000      41,488   

•Integrys Energy Group 6.11% 12/1/66

  60,000      58,823   

NiSource Finance 6.125% 3/1/22

  40,000      48,108   

SCANA 4.125% 2/1/22

  55,000      57,909   

•Wisconsin Energy 6.25% 5/15/67

  50,000      50,123   
     

 

 

 
  472,462   
     

 

 

 

Oil, Gas & Consumable Fuels–2.48%

  

Anadarko Petroleum 4.50% 7/15/44

  10,000      10,272   

California Resources

#144A 5.50% 9/15/21

  20,000      17,844   

#144A 6.00% 11/15/24

  25,000      22,063   

Chaparral Energy 7.625% 11/15/22

  5,000      3,400   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

Chesapeake Energy

     

4.875% 4/15/22

     55,000       $ 51,837   

5.75% 3/15/23

     40,000         39,200   

Chevron

     

1.961% 3/3/20

     40,000         40,284   

2.411% 3/3/22

     25,000         25,070   

Cimarex Energy 4.375% 6/1/24

     25,000         24,937   

ConocoPhillips 4.30% 11/15/44

     20,000         21,282   

Continental Resources 4.50% 4/15/23

     100,000         97,214   

•Enbridge Energy Partners 8.05% 10/1/37

     95,000         102,363   

Energy Transfer Partners

     

4.05% 3/15/25

     55,000         55,576   

4.90% 3/15/35

     20,000         19,928   

5.15% 3/15/45

     25,000         25,252   

9.70% 3/15/19

     48,000         60,386   

EnLink Midstream Partners 5.05% 4/1/45

     40,000         40,846   

•Enterprise Products Operating 7.034% 1/15/68

     110,000         118,999   

EOG Resources 3.15% 4/1/25

     35,000         35,740   

Exxon Mobil

     

2.397% 3/6/22

     25,000         25,220   

2.709% 3/6/25

     85,000         85,975   

Freeport-McMoran Oil & Gas 6.50% 11/15/20

     23,000         24,466   

#Kinder Morgan 144A 5.00% 2/15/21

     25,000         26,754   

Kinder Morgan Energy Partners 9.00% 2/1/19

     95,000         115,815   

Laredo Petroleum 7.375% 5/1/22

     40,000         41,450   

MarkWest Energy Partners 4.875% 12/1/24

     85,000         87,329   

Murphy Oil USA 6.00% 8/15/23

     50,000         53,875   

Newfield Exploration

     

5.375% 1/1/26

     50,000         50,600   

5.625% 7/1/24

     40,000         41,800   

Noble Energy

     

3.90% 11/15/24

     15,000         15,290   

5.05% 11/15/44

     35,000         36,869   

Noble Holding International 4.00% 3/16/18

     10,000         10,062   

Northern Oil and Gas 8.00% 6/1/20

     15,000         13,387   

Oasis Petroleum 6.875% 3/15/22

     45,000         44,100   

ONEOK Partners 3.80% 3/15/20

     20,000         20,415   

PDC Energy 7.75% 10/15/22

     10,000         10,550   

Petrobras Global Finance

     

3.00% 1/15/19

     46,000         39,828   

4.875% 3/17/20

     70,000         63,035   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–19


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Oil, Gas & Consumable Fuels (continued)

  

Petroleos Mexicanos

     

6.00% 3/5/20

     100,000       $ 114,550   

6.50% 6/2/41

     20,000         22,750   

Plains All American Pipeline 8.75% 5/1/19

     95,000         118,515   

Pride International 6.875% 8/15/20

     125,000         142,515   

Regency Energy Partners 5.50% 4/15/23

     40,000         41,500   

Sunoco Logistics Partners Operations 3.45% 1/15/23

     95,000         93,630   

Talisman Energy

     

3.75% 2/1/21

     40,000         39,409   

5.50% 5/15/42

     60,000         59,634   

•TransCanada PipeLines 6.35% 5/15/67

     115,000         111,838   

Valero Energy

     

3.65% 3/15/25

     35,000         35,868   

4.90% 3/15/45

     25,000         25,949   

Williams 4.55% 6/24/24

     35,000         33,961   

Williams Partners

     

4.00% 9/15/25

     15,000         14,743   

7.25% 2/1/17

     85,000         93,421   

#Woodside Finance 144A 8.75% 3/1/19

     85,000         104,501   

YPF

     

#144A 8.75% 4/4/24

     25,000         25,640   

#144A 8.875% 12/19/18

     25,000         25,774   
     

 

 

 
  2,723,511   
     

 

 

 

Paper & Forest Products–0.19%

Fibria Overseas Finance 5.25% 5/12/24

  25,000      24,875   

Georgia-Pacific

#144A 3.60% 3/1/25

  15,000      15,408   

8.00% 1/15/24

  110,000      146,188   

Masco 4.45% 4/1/25

  25,000      25,875   
     

 

 

 
  212,346   
     

 

 

 

Pharmaceuticals–0.51%

Actavis Funding

3.45% 3/15/22

  35,000      35,904   

3.80% 3/15/25

  55,000      56,877   

4.55% 3/15/35

  5,000      5,229   

AmerisourceBergen 3.25% 3/1/25

  30,000      30,462   

EMD Finance

#144A 2.95% 3/19/22

  25,000      25,332   

#144A 3.25% 3/19/25

  55,000      55,760   

Express Scripts Holding

2.25% 6/15/19

  35,000      35,193   

3.50% 6/15/24

  45,000      46,417   
     Principal      Value  
     Amount°      (U.S. $)  

CORPORATE BONDS (continued)

     

Pharmaceuticals (continued)

     

Lilly (Eli) 2.75% 6/1/25

     30,000       $ 30,171   

Merck

     

2.35% 2/10/22

     35,000         35,064   

2.75% 2/10/25

     90,000         90,043   

Omnicare 5.00% 12/1/24

     25,000         26,250   

Par Pharmaceutical 7.375% 10/15/20

     40,000         42,400   

#VRX Escrow 144A 5.875% 5/15/23

     40,000         41,100   
     

 

 

 
  556,202   
     

 

 

 

Real Estate Investment Trusts–0.84%

  

Alexandria Real Estate Equities

4.50% 7/30/29

  25,000      26,461   

4.60% 4/1/22

  80,000      84,659   

American Tower Trust I

#144A 1.551% 3/15/43

  20,000      19,975   

#144A 3.07% 3/15/23

  50,000      50,385   

AvalonBay Communities 3.50% 11/15/24

  30,000      30,884   

CBL & Associates

4.60% 10/15/24

  45,000      45,838   

5.25% 12/1/23

  10,000      10,723   

Corporate Office Properties

3.60% 5/15/23

  35,000      34,028   

5.25% 2/15/24

  45,000      49,048   

DDR

3.625% 2/1/25

  40,000      40,001   

7.50% 4/1/17

  20,000      22,245   

7.875% 9/1/20

  70,000      87,341   

Education Realty Operating Partnership 4.60% 12/1/24

  40,000      41,660   

Excel Trust 4.625% 5/15/24

  25,000      26,281   

GEO Group

5.125% 4/1/23

  30,000      30,750   

5.875% 10/15/24

  25,000      26,125   

Hospitality Properties Trust 4.50% 3/15/25

  40,000      41,007   

Host Hotels & Resorts

3.75% 10/15/23

  60,000      60,923   

4.75% 3/1/23

  80,000      86,361   

#Omega Healthcare Investors 144A 4.50% 4/1/27

  40,000      39,492   

Regency Centers 5.875% 6/15/17

  15,000      16,406   

Weyerhaeuser 4.625% 9/15/23

  50,000      55,062   
     

 

 

 
  925,655   
     

 

 

 

Real Estate Management & Development–0.03%

  

Carey (W.P.) 4.60% 4/1/24

  35,000      36,264   
     

 

 

 
  36,264   
     

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–20


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

CORPORATE BONDS (continued)

  

Road & Rail–0.10%

  

Burlington Northern Santa Fe 3.40% 9/1/24

     85,000       $ 88,889   

Norfolk Southern 3.85% 1/15/24

     15,000         16,218   
     

 

 

 
  105,107   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.13%

 

#Micron Technology 144A 5.25% 8/1/23

  135,000      137,700   
     

 

 

 
  137,700   
     

 

 

 

Software–0.15%

 

#Activision Blizzard 144A 6.125% 9/15/23

  40,000      43,700   

Microsoft

2.70% 2/12/25

  25,000      25,128   

3.50% 2/12/35

  25,000      24,987   

3.75% 2/12/45

  45,000      45,292   

Oracle 4.30% 7/8/34

  20,000      21,744   
     

 

 

 
  160,851   
     

 

 

 

Specialty Retail–0.33%

 

Bed Bath & Beyond 4.915% 8/1/34

  45,000      48,342   

#~Chinos Intermediate Holdings A PIK 144A 7.75% 5/1/19

  35,000      30,800   

QVC

4.375% 3/15/23

  85,000      86,747   

5.45% 8/15/34

  50,000      49,740   

Sally Holdings 5.75% 6/1/22

  20,000      21,375   

Signet UK Finance 4.70% 6/15/24

  125,000      128,544   
     

 

 

 
  365,548   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.04%

 

#INVISTA Finance 144A 4.25% 10/15/19

  45,000      44,944   
     

 

 

 
  44,944   
     

 

 

 

Transportation Infrastructure–0.02%

 

#AP Moeller - Maersk 144A 2.55% 9/22/19

  25,000      25,437   
     

 

 

 
  25,437   
     

 

 

 

Wireless Telecommunication Services–0.35%

 

#Crown Castle Towers 144A 4.883% 8/15/20

  190,000      209,199   

Sprint

7.125% 6/15/24

  60,000      58,800   

7.875% 9/15/23

  35,000      35,875   

T-Mobile USA

6.125% 1/15/22

  70,000      72,450   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Wireless Telecommunication Services (continued)

  

T-Mobile USA (continued)

     

6.836% 4/28/23

     10,000       $ 10,563   
     

 

 

 
  386,887   
     

 

 

 

Total Corporate Bonds
(Cost $20,364,997)

  20,882,060   
     

 

 

 

MUNICIPAL BONDS–0.44%

 

City of Atlanta, Georgia Water & Wastewater Revenue 5.00% 11/1/40

  25,000      28,827   

Golden State, California Tobacco Securitization Asset-Back Senior Notes Series A-1

5.125% 6/1/47

  20,000      15,455   

5.75% 6/1/47

  20,000      16,928   

Golden State, California Tobacco Securitization Asset-Back Series A

5.00% 6/1/40

  75,000      85,294   

5.00% 6/1/45

  25,000      28,317   

New Jersey State Transportation Trust Fund Series AA 5.00% 6/15/44

  20,000      21,270   

New York City, New York Series I 5.00% 8/1/22

  15,000      18,061   

New York City, New York Water & Sewer System Series EE 5.00% 6/15/45

  35,000      40,135   

New York State Thruway Authority Series A 5.00% 5/1/19

  20,000      22,813   

Oregon State Taxable Pension 5.892% 6/1/27

  35,000      43,892   

State of California 5.00% 3/1/45

  40,000      46,252   

State of Maryland Local Facilities Series A 5.00% 8/1/21

  20,000      24,232   

State of Texas Transportation Commission Series A 5.00% 10/1/44

  60,000      70,058   

Texas Private Activity Bond Surface Transportation Senior Lien Revenue Bond (NTE Mobility) 6.75% 6/30/43 (AMT)

  15,000      18,378   
     

 

 

 

Total Municipal Bonds
(Cost $462,603)

  479,912   
     

 

 

 

NON-AGENCY ASSET-BACKED SECURITIES–0.88%

 

•American Express Credit Account Master Trust Series 2012-3 B 0.675% 3/15/18

  100,000      99,993   

#Avis Budget Rental Car Funding AESOP Series 2013-1A A 144A 1.92% 9/20/19

  100,000      99,989   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–21


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

    

Principal

Amount°

     Value
(U.S. $)
 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

BA Credit Card Trust

     

•Series 2014-A2 A 0.445% 9/16/19

     30,000       $ 30,006   

•Series 2014-A3 A 0.462% 1/15/20

     35,000         34,985   

#Cabela’s Credit Card Master Note Trust Series 2012-2A A1 144A 1.45% 6/15/20

     100,000         100,479   

Chase Issuance Trust

     

•Series 2014-A5 A5 0.545% 4/15/21

     100,000         100,000   

•Series 2014-A8 A 0.425% 11/15/18

     35,000         35,009   

Ford Credit Floorplan Master Owner Trust A Series 2013-3 B 1.14% 6/15/17

     20,000         20,028   

•GE Dealer Floorplan Master Note Trust Series 2014-2 A 0.626% 10/20/19

     50,000         49,976   

#HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44

     49,500         49,624   

#•MASTR Specialized Loan Trust Series 2005-2 A2 144A 5.006% 7/25/35

     414         413   

Mid-State Trust Series 11 A1 4.864% 7/15/38

     11,219         11,912   

#MMAF Equipment Finance
Series 2014-AA A4 144A 1.59% 2/8/22

     100,000         99,601   

Synchrony Credit Card Master Note Trust Series 2014-1 A 1.61% 11/15/20

     100,000         100,291   

#•Trafigura Securitisation Finance Series 2012-1A A 144A 2.575% 10/15/15

     140,000         140,050   
     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $972,246)

   

  972,356   
     

 

 

 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS–0.20%

  

 

fAmerican Home Mortgage Investment Trust Series 2005-2 5A1 5.064% 9/25/35

  10,000      9,845   

Bank of America Alternative Loan Trust

Series 2005-3 2A1 5.50% 4/25/20

  7,717      7,951   

Series 2005-6 7A1 5.50% 7/25/20

  1,395      1,403   

•ChaseFlex Trust Series 2006-1 A4 4.925% 6/25/36

  100,000      86,575   
           

Principal

Amount°

     Value
(U.S. $)
 

NON-AGENCY COLLATERALIZED MORTGAGE

OBLIGATIONS (continued)

  

  

Credit Suisse First Boston Mortgage Securities Series 2005-5 6A3 5.00% 7/25/35

        25,779       $ 25,824   

#•GSMPS Mortgage Loan Trust 144A Series 1998-3 A 7.75% 9/19/27

        7,610         7,966   

JPMorgan Mortgage Trust Series 2006-S1 1A1 6.00% 4/25/36

        29,052         29,333   

•MASTR ARM Trust Series
2003-6 1A2 2.45% 12/25/33

        3,050         3,036   

#•Springleaf Mortgage Loan Trust Series 2012-1A A 2.667% 9/25/57

        29,716         30,099   

tStructured Asset Securities Corporation Mortgage Pass Through Certificates Series 2004-20 2A1 5.50% 11/25/34

        14,157         14,449   
        

 

 

 

Total Non-Agency Collateralized Mortgage Obligations
(Cost $180,891)

   

  216,481   
        

 

 

 

DREGIONAL BONDS–0.09%

 

Australia–0.03%

 

New South Wales Treasury 4.00% 5/20/26

  AUD      21,000      17,937   

Queensland Treasury #144A 4.75% 7/21/25

  AUD      13,000      11,561   
        

 

 

 
  29,498   
        

 

 

 

Canada–0.06%

 

Province of Ontario Canada 3.45% 6/2/45

  CAD      11,000      9,805   

Province of Quebec Canada 6.00% 10/1/29

  CAD      50,000      56,274   
        

 

 

 
  66,079   
        

 

 

 

Total Regional Bonds
(Cost $99,283)

   

  95,577   
        

 

 

 

«SENIOR SECURED LOANS–4.49%

 

Activision Blizzard Tranche B 1st Lien 3.25% 10/11/20

  63,538      63,895   

Aramark Tranche E 3.25% 9/7/19

  58,200      58,412   

Azure Midstream Tranche B 7.50% 11/15/18

  22,271      21,241   

BJ’s Wholesale Club Tranche B 1st Lien 4.50% 9/26/19

  327,871      328,561   

Caesars Growth Partners
Tranche B 1st Lien 6.25% 5/8/21

  44,663      39,778   
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–22


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
     Value
(U.S. $)
 

«SENIOR SECURED LOANS (continued)

  

Calpine Construction Finance Tranche B 3.00% 5/3/20

     98,052       $ 96,918   

Charter Communications Tranche B 1st Lien 4.25% 9/12/21

     165,000         166,605   

Community Health Systems Tranche D 4.25% 1/27/21

     191,856         193,022   

Community Health Systems Tranche F 1st Lien 3.428% 12/31/18

     21,608         21,641   

Dollar Tree Tranche B 1st Lien 4.25% 3/9/22

     150,000         151,760   

Drillships Financing Holding Tranche B1 6.00% 3/31/21

     39,400         30,233   

Emdeon 1st Lien 3.75% 11/2/18

     62,790         62,979   

Energy Transfer Equity 1st Lien 3.25% 12/2/19

     220,000         216,889   

FCA US Tranche B 1st Lien 3.50% 5/24/17

     4,898         4,906   

First Data Tranche B 1st Lien 4.174% 3/24/21

     217,237         218,210   

Gardner Denver 1st Lien 4.25% 7/30/20

     174,557         165,955   

HCA Tranche B4 3.025% 5/1/18

     88,650         88,798   

HCA Tranche B5 1st Lien 2.928% 3/31/17

     96,530         96,681   

Hilton Worldwide Finance Tranche B2 3.50% 10/25/20

     200,467         200,968   

Huntsman International Tranche B 1st Lien 3.75% 10/1/21

     194,513         195,444   

iHeartCommunications Tranche D 6.928% 1/30/19

     115,000         109,577   

Immucor Tranche B2 5.00% 8/19/18

     38,856         39,069   

Infor US Tranche B5 1st Lien 3.75% 6/3/20

     150,497         149,345   

Intelsat Jackson Holdings Tranche B2 3.75% 6/30/19

     110,553         110,263   

JLL/Delta Dutch Newco 1st Lien 4.25% 3/11/21

     173,688         173,212   

KIK Custom Products 1st Lien 5.50% 4/29/19

     123,432         123,556   

Landry’s Tranche B 4.00% 4/24/18

     30,173         30,289   

Level 3 Financing Tranche B 4.00% 1/15/20

     60,000         60,213   

MPH Acquisition Tranche B 3.75% 3/31/21

     212,258         211,898   

Neiman Marcus Tranche 1st Lien 4.25% 10/25/20

     65,000         64,878   

NEP/NCP Tranche B 1st Lien 4.25% 1/22/20

     39,601         38,710   
          Principal
Amount°
    

Value

(U.S. $)

 

«SENIOR SECURED LOANS (continued)

  

Novelis Tranche B 3.75% 3/10/17

        37,129       $ 37,148   

Numericable 4.50% 5/21/20

        80,222         80,542   

Numericable U.S. Tranche B2 1st Lien 4.50% 5/21/20

        69,403         69,680   

OSI Restaurants Tranche B 1st Lien 3.50% 10/26/19

        20,425         20,476   

Panda Liberty Tranche B 7.50% 8/21/20

        5,000         5,038   

Republic of Angola (Unsecured) 6.594% 12/16/23

        72,000         71,280   

Salix Pharmaceuticals Tranche B 5.50% 1/2/20

        148,026         148,271   

Scientific Games International 6.00% 10/18/20

        59,250         59,517   

Sprouts Farmers 4.00% 4/23/20

        43,168         43,344   

Univision Communications Tranche C4 4.00% 3/1/20

        193,015         192,929   

USI Insurance Services Tranche B 1st Lien 4.25% 12/27/19

        39,105         39,219   

Valeant Pharmaceuticals International Tranche BE 3.50% 8/5/20

        222,772         223,148   

Wide Open West Finance 4.75% 4/1/19

        225,400         225,929   

Zayo Group Tranche B 1st Lien 4.00% 7/2/19

        181,749         182,266   
        

 

 

 

Total Senior Secured Loans
(Cost $4,916,701)

   

  4,932,693   
        

 

 

 

DSOVEREIGN BONDS–1.56%

  

Australia–0.00%

 

Australia Government Bond 3.75% 4/21/37

AUD   4,000      3,517   
        

 

 

 
  3,517   
        

 

 

 

Brazil–0.01%

 

Brazil Notas do Tesouro Nacional Series F 10.00% 1/1/17

BRL   47,000      13,997   
        

 

 

 
  13,997   
        

 

 

 

Canada–0.01%

 

Canadian Government Bond 2.75% 12/1/48

CAD   11,000      10,332   
        

 

 

 
  10,332   
        

 

 

 

Chile–0.08%

 

Chile Government International Bond 5.50% 8/5/20

CLP   50,000,000      85,512   
        

 

 

 
  85,512   
        

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–23


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

          Principal
Amount°
     Value
(U.S. $)
 

DSOVEREIGN BONDS (continued)

  

Colombia–0.23%

 

Colombia Government International Bonds

  

4.375% 3/21/23

   COP      75,000,000       $ 26,382   

5.00% 6/15/45

        200,000         206,500   

9.85% 6/28/27

   COP      33,000,000         16,484   
        

 

 

 
  249,366   
        

 

 

 

Dominican Republic–0.10%

 

#Dominican Republic International Bond 144A 6.85% 1/27/45

  100,000      105,500   
        

 

 

 
  105,500   
        

 

 

 

Indonesia–0.06%

 

Indonesia Treasury Bond 8.375% 3/15/24

IDR   791,000,000      64,445   
        

 

 

 
  64,445   
        

 

 

 

Italy–0.32%

 

Italy Buoni Poliennali Del Tesoro

  

1.35% 4/15/22

EUR   134,000      148,236   

2.50% 12/1/24

EUR   167,000      200,184   
        

 

 

 
  348,420   
        

 

 

 

Ivory Coast–0.18%

 

#Ivory Coast Government International Bond 144A 6.375% 3/3/28

  200,000      201,000   
        

 

 

 
  201,000   
        

 

 

 

Kazakhstan–0.17%

 

#Kazakhstan Government International Bond 144A 3.875% 10/14/24

  200,000      185,780   
        

 

 

 
  185,780   
        

 

 

 

Mexico–0.08%

 

Mexican Bonos 7.50% 6/3/27

MXN   1,169,000      85,260   
        

 

 

 
  85,260   
        

 

 

 

Norway–0.03%

 

Kommunalbanken 5.00% 3/28/19

NZD   22,000      17,133   

Norway Government Bonds

2.00% 5/24/23

NOK   33,000      4,301   

3.00% 3/14/24

NOK   57,000      8,031   
        

 

 

 
  29,465   
        

 

 

 

Peru–0.03%

 

#Peruvian Government International Bond 144A 6.95% 8/12/31

PEN   100,000      33,277   
        

 

 

 
  33,277   
        

 

 

 

Poland–0.01%

 

Poland Government Bond 3.25% 7/25/25

PLN   47,000      13,488   
        

 

 

 
  13,488   
        

 

 

 
            Principal
Amount°
    

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

Portugal–0.00%

 

#Portugal Government International Bond 144A 5.125% 10/15/24

        4,000       $ 4,429   
        

 

 

 
  4,429   
        

 

 

 

Republic of Korea–0.05%

 

Inflation Linked Korea Treasury Bond 1.125% 6/10/23

  KRW      67,749,704      58,997   
        

 

 

 
  58,997   
        

 

 

 

South Africa–0.07%

 

South Africa Government Bond 8.00% 1/31/30

  ZAR      993,000      80,831   
        

 

 

 
  80,831   
        

 

 

 

Sweden–0.02%

 

Sweden Government Bond 1.50% 11/13/23

  SEK      140,000      17,899   
        

 

 

 
  17,899   
        

 

 

 

United Kingdom–0.09%

 

United Kingdom Gilt 3.50% 1/22/45

  GBP      18,700      34,751   

United Kingdom Gilt Inflation Linked 0.125% 3/22/24

  GBP      40,035      65,939   
        

 

 

 
  100,690   
        

 

 

 

Uruguay–0.02%

 

Uruguay Government International Bond 5.10% 6/18/50

  21,000      21,893   
        

 

 

 
  21,893   
        

 

 

 

Total Sovereign Bonds
(Cost $1,742,478)

   

  1,714,098   
        

 

 

 

SUPRANATIONAL BANKS–0.15%

 

European Bank for Reconstruction & Development

6.00% 3/3/16

  INR      2,000,000      31,949   

7.375% 4/15/19

  IDR      240,000,000      18,259   

Inter-American Development Bank

6.00% 9/5/17

  INR      2,600,000      41,550   

7.25% 7/17/17

  IDR      370,000,000      27,867   

International Bank for Reconstruction & Development

•2.465% 9/24/18

  AUD      17,000      12,960   

4.625% 10/6/21

  NZD      40,000      31,275   
        

 

 

 

Total Supranational Banks
(Cost $173,668)

   

  163,860   
        

 

 

 
 

 

LVIP Delaware Foundation® Moderate Allocation Fund–24


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

U.S. TREASURY OBLIGATIONS–1.84%

 

U.S. Treasury Bonds

     

2.50% 2/15/45

     755,000       $ 748,158   

5.25% 2/15/29

     175,000         239,436   

U.S. Treasury Notes

     

1.375% 2/29/20

     50,000         50,016   

1.375% 3/31/20

     25,000         25,006   

2.00% 2/15/25

     945,000         951,054   

2.25% 11/15/24

     10,000         10,281   
     

 

 

 

Total U.S. Treasury Obligations
(Cost $1,997,430)

   

  2,023,951   
     

 

 

 
     Number of
Shares
        

MONEY MARKET FUND–0.08%

 

  

Dreyfus Treasury & Agency Cash Management - Institutional Shares

     86,126         86,126   
     

 

 

 

Total Money Market Fund
(Cost $86,126)

  86,126   
     

 

 

 
     Principal
Amount°
    

Value

(U.S. $)

 

SHORT-TERM INVESTMENT–3.37%

 

  

Discounted Commercial Paper–3.37%

 

  

Abbey National North America 0.06% 4/1/15

     3,700,000       $ 3,700,000   
     

 

 

 

Total Short-Term Investment
(Cost $3,700,000)

   

  3,700,000   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–104.42% (Cost $95,164,567)

  114,784,164   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(4.42%)

  (4,855,220
  

 

 

 

NET ASSETS APPLICABLE TO 6,858,394 SHARES OUTSTANDING–100.00%

$ 109,928,944   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $8,572,473, which represents 7.80% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

~

100% of the income received on this PIK security was in the form of cash.

 

Non-income producing for the period.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

*

Interest only security. An interest only security is the interest only portion of a fixed income security which is separated and sold individually from the principal portion of the security.

 

«

Includes $23,973 cash pledged as collateral for futures contracts as of March 31, 2015.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $1,255,506, which represents 1.14% of the Fund’s net assets.

 

t

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.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $53,591, which represents 0.05% of the Fund’s net assets.

 

The rate shown is the effective yield at the time of purchase.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

×

Emerging Markets – developing countries with relatively low per capita income, often with above-average economic growth potential but with more risk.

 

LVIP Delaware Foundation® Moderate Allocation Fund–25


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

§

Developed Markets – countries that are thought to be most developed and therefore less risky than emerging markets.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

f

Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2015.

The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

   Contracts to
Receive (Deliver)
    In Exchange For     Settlement Date      Unrealized
Appreciation
(Depreciation)

BAML

   AUD      (99,675     USD         78,023        4/30/15           $ 2,249     

BAML

   CAD      (121,777     USD         97,245        4/30/15             1,139     

BAML

   EUR                          874        USD         (955     4/30/15             (14  

BAML

   NZD      (136,603     USD         104,007        4/30/15             2,185     

BNP

   AUD      (27,602     USD         21,614        4/30/15             631     

BNP

   NOK      (464,918     USD         58,810        4/30/15             1,142     

BNYM

   EUR      (14,612     USD                 15,675        4/1/15             (40  

BNYM

   KRW      (1,163,916     USD         1,051        4/1/15             1     

HSBC

   GBP      (23,337     USD         34,766        4/30/15             156     

JPMC

   COP      (100,741,818     USD         38,983        4/30/15             383     

JPMC

   KRW      (65,187,280     USD         58,870        4/30/15             147     

JPMC

   PLN      (26,137     USD         7,000        4/30/15             112     

TD

   EUR      (172,539     USD         187,186        4/30/15             1,552     

TD

   JPY      (1,839,899     USD         15,381        4/30/15             36     
               

 

 

   
$ 9,679   
               

 

 

   

Futures Contracts

 

Contracts to Buy (Sell)    Notional
Cost (Proceeds)
     Notional
Value
     Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 
  (4)       E-mini MSCI EAFE Index    $ (361,968    $ (365,980      6/22/15         $ (4,012)     
  (7)       E-mini MSCI Emerging Markets Index      (328,244      (340,340      6/22/15           (12,096)     
  (3)       E-mini S&P 500 Index      (308,458      (309,120      6/22/15           (662)     
  (7)       U.S. Treasury 10 yr Notes      (898,167      (902,344      6/22/15           (4,177)     
  18        U.S. Treasury 5 yr Notes      2,161,390         2,163,797         7/1/15           2,407      
        U.S. Treasury Ultra Bonds      503,540         509,625         6/22/15           6,085      
     

 

 

          

 

 

 
$ 768,093    $ (12,455)     
     

 

 

          

 

 

 

The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts and notional values 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.

Summary of Abbreviations:

ADR–American Depositary Receipt

AMT–Subject to Alternative Minimum Tax

ARM–Adjustable Rate Mortgage

AUD–Australian Dollar

BAML–Bank of America Merrill Lynch

BNP–BNP Paribas

BNYM–Bank of New York Mellon

BRL–Brazilian Real

CAD–Canadian Dollar

CLP–Chilean Peso

COP–Colombian Peso

CVA–Dutch Certificate

DB–Deutsche Bank

EAFE–Europe Australasia Far East

 

LVIP Delaware Foundation® Moderate Allocation Fund–26


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

Summary of Abbreviations: (continued)

ETF–Exchange-Traded Fund

EUR–Euro

GBP–British Pound Sterling

GDR–Global Depositary Receipt

GE–General Electric

GNMA–Government National Mortgage Association

GS–Goldman Sachs

GSMPS–Goldman Sachs Reperforming Mortgage Securities

HSBC–Hong Kong Shanghai Bank

IDR–Indonesian Rupiah

INR–Indian Rupee

JPMC–JPMorgan Chase Bank

JPY–Japanese Yen

KRW–South Korean Won

LB–Lehman Brothers

MASTR–Mortgage Asset Securitization Transactions, Inc.

MXN–Mexican Peso

NOK–Norwegian Krone

NVDR–Non-Voting Depositary Receipt

NZD–New Zealand Dollar

PEN–Peruvian Nuevo Sol

PIK–Pay-in-kind

PLN–Polish Zloty

REIT–Real Estate Investment Trust

REMIC–Real Estate Mortgage Investment Conduit

SEK–Swedish Krona

S.F.–Single Family

TBA–To be announced

TD–Toronto Dominion Securities

UBS–Union Bank of Switzerland

USD–U.S. Dollar

yr–Year

ZAR–South African Rand

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1      Level 2      Level 3      Total  

Common Stock

           

U.S. Markets

           

Aerospace & Defense

   $ 1,106,488       $       $       $ 1,106,488   

Air Freight & Logistics

     153,266                         153,266   

Auto Components

     444,923                         444,923   

Automobiles

     75,858                         75,858   

Banks

     1,393,712                         1,393,712   

Beverages

     145,677                         145,677   

Biotechnology

     1,477,669                         1,477,669   

Building Products

     125,888                         125,888   

Capital Markets

     793,988                         793,988   

Chemicals

     713,204                         713,204   

Commercial Services & Supplies

     547,304                         547,304   

Communications Equipment

     1,164,906                         1,164,906   

Construction & Engineering

     96,878                         96,878   

Consumer Finance

     74,879                         74,879   

Containers & Packaging

     70,815                         70,815   

Diversified Financial Services

     334,276                         334,276   

Diversified Telecommunication Services

     846,483                         846,483   

Electric Utilities

     449,020                         449,020   

Electrical Equipment

     52,314                         52,314   

 

LVIP Delaware Foundation® Moderate Allocation Fund–27


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

         Level 1              Level 2              Level 3              Total      

Electronic Equipment, Instruments & Components

   $ 150,249       $       $       $ 150,249   

Energy Equipment & Services

     434,246                         434,246   

Food & Staples Retailing

     1,024,672                         1,024,672   

Food Products

     1,244,506                         1,244,506   

Gas Utilities

     17,912                         17,912   

Health Care Equipment & Supplies

     701,372                         701,372   

Health Care Providers & Services

     1,005,791                         1,005,791   

Hotels, Restaurants & Leisure

     539,121                         539,121   

Household Products

     178,672                         178,672   

Industrial Conglomerates

     132,485                         132,485   

Insurance

     1,133,138                         1,133,138   

Internet & Catalog Retail

     1,006,422                         1,006,422   

Internet Software & Services

     1,991,275                         1,991,275   

IT Services

     1,604,913                         1,604,913   

Life Sciences Tools & Services

     108,815                         108,815   

Machinery

     435,244                         435,244   

Media

     535,665                         535,665   

Metals & Mining

     97,566                         97,566   

Multiline Retail

     158,123                         158,123   

Multi-Utilities

     146,188                         146,188   

Oil, Gas & Consumable Fuels

     2,522,498                         2,522,498   

Paper & Forest Products

     128,432                         128,432   

Pharmaceuticals

     2,585,089                         2,585,089   

Professional Services

     199,423                         199,423   

Real Estate Investment Trusts

     3,566,471                         3,566,471   

Road & Rail

     208,755                         208,755   

Semiconductors & Semiconductor Equipment

     1,026,841                         1,026,841   

Software

     1,851,596                         1,851,596   

Specialty Retail

     1,102,120                         1,102,120   

Technology Hardware, Storage & Peripherals

     299,309                         299,309   

Textiles, Apparel & Luxury Goods

     452,351                         452,351   

Trading Companies & Distributors

     58,489                         58,489   

Developed Markets

           

Aerospace & Defense

             188,757                 188,757   

Air Freight & Logistics

             333,388                 333,388   

Airlines

     122,895                         122,895   

Auto Components

             291,199                 291,199   

Automobiles

             460,628                 460,628   

Banks

             1,740,538                 1,740,538   

Beverages

             453,938                 453,938   

Construction & Engineering

             292,351                 292,351   

Containers & Packaging

             277,198                 277,198   

Diversified Telecommunication Services

             362,548                 362,548   

Energy Equipment & Services

             140,284                 140,284   

Food & Staples Retailing

             248,136                 248,136   

Food Products

             347,096                 347,096   

Household Durables

             214,084                 214,084   

Industrial Conglomerates

             283,582                 283,582   

Insurance

             427,175                 427,175   

IT Services

     409,903         323,941                 733,844   

Life Sciences Tools & Services

     75,820                         75,820   

Media

             119,152                 119,152   

Metals & Mining

     130,636         202,879                 333,515   

Multi-Utilities

             130,150                 130,150   

Oil, Gas & Consumable Fuels

     184,078         178,283                 362,361   

Pharmaceuticals

     1,266,512         1,068,932                 2,335,444   

Road & Rail

             277,698                 277,698   

 

LVIP Delaware Foundation® Moderate Allocation Fund–28


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

         Level 1              Level 2              Level 3              Total      

Software

   $       $ 130,456       $       $ 130,456   

Specialty Retail

             429,106                 429,106   

Textiles, Apparel & Luxury Goods

             463,710                 463,710   

Tobacco

             278,164                 278,164   

Trading Companies & Distributors

             401,914                 401,914   

Wireless Telecommunication Services

             238,631                 238,631   

Emerging Markets

           

Airlines

     40,095                         40,095   

Automobiles

             120,038                 120,038   

Banks

     469,203         721,648                 1,190,851   

Beverages

     157,872         240,576                 398,448   

Building Products

             182,428                 182,428   

Chemicals

     80,659                         80,659   

Construction & Engineering

     19,886                         19,886   

Construction Materials

     127,090         163,622                 290,712   

Diversified Financial Services

             119,384                 119,384   

Diversified Telecommunication Services

     106,616                         106,616   

Electronic Equipment, Instruments & Components

     72,981         181,535                 254,516   

Food & Staples Retailing

     121,367                         121,367   

Food Products

     277,214         148,237                 425,451   

Hotels, Restaurants & Leisure

     40,426                         40,426   

Household Durables

             43,961                 43,961   

Insurance

             84,101                 84,101   

Internet Software & Services

     874,144                         874,144   

IT Services

     52,653                         52,653   

Media

     191,458                         191,458   

Metals & Mining

     58,919         36,317                 95,236   

Multiline Retail

             136,492                 136,492   

Oil, Gas & Consumable Fuels

     749,305         277,768                 1,027,073   

Paper & Forest Products

     109,239         32,516                 141,755   

Personal Products

     95,710                         95,710   

Real Estate Management & Development

             47,003                 47,003   

Road & Rail

     11,649                         11,649   

Semiconductors & Semiconductor Equipment

     93,920         306,297                 400,217   

Technology Hardware, Storage & Peripherals

             589,002                 589,002   

Wireless Telecommunication Services

     1,008,909         390,356                 1,399,265   

Convertible Preferred Stock

     135,365         67,369                 202,734   

Exchange-Traded Funds

     9,449,212                         9,449,212   

Preferred Stock

     143,737         245,890                 389,627   

Agency Asset-Backed Security

             280                 280   

Agency Collateralized Mortgage Obligations

             417,061                 417,061   

Agency Mortgage-Backed Securities

             8,436,488                 8,436,488   

Commercial Mortgage-Backed Securities

             2,254,256                 2,254,256   

Convertible Bonds

             577,737                 577,737   

Corporate Bonds

             20,882,060                 20,882,060   

Municipal Bonds

             479,912                 479,912   

Non-Agency Asset-Backed Securities

             972,356                 972,356   

Non-Agency Collateralized Mortgage Obligations

             216,481                 216,481   

Regional Bonds

             95,577                 95,577   

Senior Secured Loans

             4,861,413         71,280         4,932,693   

Sovereign Bonds

             1,714,098                 1,714,098   

Supranational Banks

             163,860                 163,860   

U.S. Treasury Obligations

             2,023,951                 2,023,951   

Money Market Fund

     86,126                         86,126   

Short-Term Investments

             3,700,000                 3,700,000   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

$ 53,478,896    $ 61,233,988    $ 71,280    $ 114,784,164   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

LVIP Delaware Foundation® Moderate Allocation Fund–29


LVIP Delaware Foundation® Moderate Allocation Fund

Schedule of Investments (continued)

 

     Level 1      Level 2      Level 3      Total  

Foreign Currency Exchange Contracts

   $       $ 9,679       $       $ 9,679   
  

 

 

    

 

 

    

 

 

    

 

 

 

Futures Contracts

$ (12,455 $    $    $ (12,455
  

 

 

    

 

 

    

 

 

    

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, a portion of the Fund’s common stock investments was categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Delaware Foundation® Moderate Allocation Fund–30


LVIP Delaware Growth and Income Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK–99.14%

Aerospace & Defense–5.45%

  

Boeing

  82,800    $     12,426,624   

†Esterline Technologies

  63,200      7,231,344   

Honeywell International

  143,100      14,926,761   

Lockheed Martin

  74,900      15,201,704   

Rockwell Collins

  66,500      6,420,575   

United Technologies

  145,400      17,040,880   
     

 

 

 
  73,247,888   
     

 

 

 

Air Freight & Logistics–1.19%

  

FedEx

  96,500      15,965,925   
     

 

 

 
  15,965,925   
     

 

 

 

Auto Components–0.70%

  

BorgWarner

  156,200      9,446,976   
     

 

 

 
  9,446,976   
     

 

 

 

Automobiles–1.10%

  

Ford Motor

  915,200      14,771,328   
     

 

 

 
  14,771,328   
     

 

 

 

Banks–6.22%

  

Citigroup

  393,700      20,283,424   

JPMorgan Chase

  453,600      27,479,088   

KeyCorp

  730,600      10,345,296   

Wells Fargo

  469,565      25,544,336   
     

 

 

 
  83,652,144   
     

 

 

 

Beverages–1.90%

  

Coca-Cola

  99,400      4,030,670   

PepsiCo

  225,200      21,533,624   
     

 

 

 
  25,564,294   
     

 

 

 

Biotechnology–4.69%

  

†Alkermes

  165,150      10,069,196   

†Celgene

  177,500      20,462,200   

†Gilead Sciences

  231,200      22,687,656   

†Vertex Pharmaceuticals

  82,700      9,756,119   
     

 

 

 
  62,975,171   
     

 

 

 

Capital Markets–4.66%

  

Ameriprise Financial

  96,200      12,586,808   

BlackRock

  28,200      10,316,688   

Evercore Partners Class A

  135,100      6,979,266   

Invesco

  228,400      9,065,196   

Raymond James Financial

  189,700      10,771,166   

State Street

  176,600      12,985,398   
     

 

 

 
  62,704,522   
     

 

 

 

Chemicals–2.12%

  

Eastman Chemical

  188,500      13,055,510   

Huntsman

  406,000      9,001,020   

LyondellBasell Industries Class A

  73,200      6,426,960   
     

 

 

 
  28,483,490   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

Commercial Services & Supplies–0.64%

  

Republic Services

  212,200    $     8,606,832   
     

 

 

 
  8,606,832   
     

 

 

 

Communications Equipment–2.12%

  

Cisco Systems

  424,200      11,676,105   

QUALCOMM

  243,200      16,863,488   
     

 

 

 
  28,539,593   
     

 

 

 

Consumer Finance–1.02%

  

Capital One Financial

  174,765      13,774,977   
     

 

 

 
  13,774,977   
     

 

 

 

Containers & Packaging–1.01%

  

MeadWestvaco

  271,400      13,534,718   
     

 

 

 
  13,534,718   
     

 

 

 

Diversified Financial Services–1.02%

  

Intercontinental Exchange

  58,650      13,681,286   
     

 

 

 
  13,681,286   
     

 

 

 

Diversified Telecommunication Services–1.47%

  

AT&T

  605,100      19,756,515   
     

 

 

 
  19,756,515   
     

 

 

 

Electric Utilities–1.28%

  

Edison International

  123,200      7,696,304   

OGE Energy

  301,600      9,533,576   
     

 

 

 
  17,229,880   
     

 

 

 

Electrical Equipment–0.75%

  

Eaton

  148,000      10,055,120   
     

 

 

 
  10,055,120   
     

 

 

 

Energy Equipment & Services–1.01%

  

Core Laboratories

  65,000      6,791,850   

Schlumberger

  81,700      6,817,048   
     

 

 

 
  13,608,898   
     

 

 

 

Food & Staples Retailing–1.92%

  

Casey’s General Stores

  77,700      7,000,770   

CVS Health

  182,600      18,846,146   
     

 

 

 
  25,846,916   
     

 

 

 

Food Products–1.08%

  

General Mills

  255,300      14,449,980   
     

 

 

 
  14,449,980   
     

 

 

 

Health Care Providers & Services–3.17%

  

†Express Scripts Holding

  201,800      17,510,186   

UnitedHealth Group

  211,900      25,065,651   
     

 

 

 
  42,575,837   
     

 

 

 

Hotels, Restaurants & Leisure–1.61%

  

McDonald’s

  36,400      3,546,816   
 

 

LVIP Delaware Growth and Income Fund–1


LVIP Delaware Growth and Income Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

Hotels, Restaurants & Leisure (continued)

  

Starbucks

  190,500    $     18,040,350   
     

 

 

 
  21,587,166   
     

 

 

 

Household Products–2.52%

  

Kimberly-Clark

  95,200      10,196,872   

Procter & Gamble

  288,800      23,664,272   
     

 

 

 
  33,861,144   
     

 

 

 

Industrial Conglomerates–1.89%

  

General Electric

  1,024,300      25,412,883   
     

 

 

 
  25,412,883   
     

 

 

 

Insurance–2.75%

  

Aflac

  217,000      13,890,170   

Prudential Financial

  102,300      8,215,713   

Travelers

  137,100      14,824,623   
     

 

 

 
  36,930,506   
     

 

 

 

Internet Software & Services–2.91%

  

†Facebook Class A

  217,300      17,865,319   

†Google Class A

  38,400      21,300,480   
     

 

 

 
  39,165,799   
     

 

 

 

IT Services–1.69%

  

Accenture Class A

  200,300      18,766,107   

International Business Machines

  24,300      3,900,150   
     

 

 

 
  22,666,257   
     

 

 

 

Life Sciences Tools & Services–1.36%

  

Thermo Fisher Scientific

  136,500      18,337,410   
     

 

 

 
  18,337,410   
     

 

 

 

Machinery–2.14%

  

Caterpillar

  54,600      4,369,638   

Cummins

  59,700      8,276,808   

Deere.

  68,400      5,997,996   

Parker-Hannifin

  85,300      10,131,934   
     

 

 

 
  28,776,376   
     

 

 

 

Media–2.74%

  

Cinemark Holdings

  106,200      4,786,434   

Comcast Class A

  296,600      16,628,879   

Disney (Walt)

  75,400      7,908,706   

Regal Entertainment Group Class A

  97,248      2,221,144   

Viacom Class B

  77,248      5,276,038   
     

 

 

 
  36,821,201   
     

 

 

 

Multiline Retail–2.23%

  

Macy’s

  250,400      16,253,464   

Nordstrom

  170,200      13,670,464   
     

 

 

 
  29,923,928   
     

 

 

 

Multi-Utilities–1.38%

  

MDU Resources Group

  336,000      7,170,240   
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

Multi-Utilities (continued)

  

Sempra Energy

  104,500    $     11,392,590   
     

 

 

 
  18,562,830   
     

 

 

 

Oil, Gas & Consumable Fuels–5.94%

  

Chevron

  245,500      25,772,590   

ConocoPhillips

  94,200      5,864,892   

EOG Resources

  76,900      7,050,961   

Exxon Mobil

  272,800      23,188,000   

Marathon Oil

  285,100      7,443,961   

Occidental Petroleum

  143,400      10,468,200   
     

 

 

 
  79,788,604   
     

 

 

 

Paper & Forest Products–0.48%

  

International Paper

  116,400      6,459,036   
     

 

 

 
  6,459,036   
     

 

 

 

Pharmaceuticals–6.76%

  

AbbVie

  296,500      17,357,110   

†Actavis

  51,500      15,327,430   

Johnson & Johnson

  66,800      6,720,080   

Merck

  392,600      22,566,648   

Pfizer

  831,942      28,943,262   
     

 

 

 
  90,914,530   
     

 

 

 

Professional Services–0.65%

  

Nielsen

  195,000      8,691,150   
     

 

 

 
  8,691,150   
     

 

 

 

Real Estate Investment Trusts–2.58%

  

American Tower

  163,800      15,421,770   

Host Hotels & Resorts

  474,364      9,572,666   

National Retail Properties

  237,300      9,722,181   
     

 

 

 
  34,716,617   
     

 

 

 

Road & Rail–2.03%

  

Hunt (J.B.) Transport Services

  94,200      8,044,209   

Union Pacific

  178,200      19,300,842   
     

 

 

 
  27,345,051   
     

 

 

 

Semiconductors & Semiconductor Equipment–3.03%

  

Avago Technologies

  112,700      14,310,646   

Intel

  422,200      13,202,194   

Maxim Integrated Products

  378,600      13,179,066   
     

 

 

 
  40,691,906   
     

 

 

 

Software–2.73%

  

Microsoft

  617,400      25,100,397   

†salesforce.com

  173,100      11,564,811   
     

 

 

 
  36,665,208   
     

 

 

 

Specialty Retail–3.04%

  

DSW Class A

  253,924      9,364,717   

Tractor Supply

  170,400      14,494,224   
 

 

LVIP Delaware Growth and Income Fund–2


LVIP Delaware Growth and Income Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Specialty Retail (continued)

  

†Urban Outfitters

  371,700    $ 16,968,105   
     

 

 

 
  40,827,046   
     

 

 

 

Technology Hardware, Storage & Peripherals–4.16%

  

Apple

  338,950      42,175,549   

EMC

  539,000      13,776,840   
     

 

 

 
  55,952,389   
     

 

 

 

Total Common Stock
(Cost $709,886,926)

  1,332,569,327   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

MONEY MARKET FUND–0.03%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  409,818    $ 409,818   
     

 

 

 

Total Money Market Fund
(Cost $409,818)

  409,818   
     

 

 

 
  Principal      
  Amount°      

SHORT-TERM INVESTMENT–0.79%

  

Discounted Commercial Paper–0.79%

  

Abbey National North America
0.06% 4/1/15

  10,660,000           10,660,000   
     

 

 

 

Total Short-Term Investment
(Cost $10,660,000)

  10,660,000   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.96% (Cost $720,956,744)

  1,343,639,145   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.04%

  567,617   
  

 

 

 

NET ASSETS APPLICABLE TO 30,016,414 SHARES OUTSTANDING–100.00%

$ 1,344,206,762   
  

 

 

 

 

 

Non-income producing for the period.

 

The rate shown is the effective yield at the time of purchase.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock.

$ 1,332,569,327    $    $ 1,332,569,327   

Money Market Fund

  409,818           409,818   

Short-Term Investment

       10,660,000      10,660,000   
  

 

 

    

 

 

    

 

 

 

Total

$ 1,332,979,145    $ 10,660,000    $ 1,343,639,145   
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Dimensional U.S. Core Equity 1 Fund.

 

LVIP Delaware Growth and Income Fund–3


LVIP Delaware Social Awareness Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK–98.38%

  

Aerospace & Defense–1.32%

  

Rockwell Collins

  108,100    $     10,437,055   
     

 

 

 
  10,437,055   
     

 

 

 

Air Freight & Logistics–1.26%

  

FedEx

  60,400      9,993,180   
     

 

 

 
  9,993,180   
     

 

 

 

Auto Components–0.98%

  

BorgWarner

  128,400      7,765,632   
     

 

 

 
  7,765,632   
     

 

 

 

Automobiles–1.35%

  

Ford Motor

  662,600      10,694,364   
     

 

 

 
  10,694,364   
     

 

 

 

Banks–2.74%

  

KeyCorp

  551,800      7,813,488   

U.S. Bancorp

  318,500      13,908,895   
     

 

 

 
  21,722,383   
     

 

 

 

Beverages–1.92%

  

PepsiCo

  158,800      15,184,456   
     

 

 

 
  15,184,456   
     

 

 

 

Biotechnology–6.21%

  

†Alkermes

  101,800      6,206,746   

†Celgene

  157,200      18,122,016   

†Gilead Sciences

  189,400      18,585,822   

†Vertex Pharmaceuticals

  53,000      6,252,410   
     

 

 

 
  49,166,994   
     

 

 

 

Capital Markets–6.46%

  

Ameriprise Financial

  70,600      9,237,304   

BlackRock

  29,500      10,792,280   

Invesco

  301,400      11,962,566   

Raymond James Financial

  150,300      8,534,034   

State Street

  143,900      10,580,967   
     

 

 

 
  51,107,151   
     

 

 

 

Chemicals–2.33%

  

Huntsman

  275,400      6,105,618   

LyondellBasell Industries Class A

  48,600      4,267,080   

Praxair

  67,100      8,101,654   
     

 

 

 
  18,474,352   
     

 

 

 

Communications Equipment–2.50%

  

Cisco Systems

  249,000      6,853,725   

QUALCOMM

  186,900      12,959,646   
     

 

 

 
  19,813,371   
     

 

 

 

Consumer Finance–1.35%

  

Capital One Financial

  135,350      10,668,287   
     

 

 

 
  10,668,287   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Containers & Packaging–1.27%

  

MeadWestvaco

  201,900    $     10,068,753   
     

 

 

 
  10,068,753   
     

 

 

 

Diversified Financial Services–1.22%

  

Intercontinental Exchange

  41,550      9,692,369   
     

 

 

 
  9,692,369   
     

 

 

 

Diversified Telecommunication Services–1.64%

  

AT&T

  397,700      12,984,905   
     

 

 

 
  12,984,905   
     

 

 

 

Electric Utilities–0.90%

  

OGE Energy

  225,600      7,131,216   
     

 

 

 
  7,131,216   
     

 

 

 

Electrical Equipment–0.58%

  

Acuity Brands

  27,200      4,573,952   
     

 

 

 
  4,573,952   
     

 

 

 

Energy Equipment & Services–1.02%

  

Baker Hughes

  66,000      4,196,280   

Core Laboratories

  37,000      3,866,130   
     

 

 

 
  8,062,410   
     

 

 

 

Food & Staples Retailing–2.40%

  

CVS Health

  183,900      18,980,319   
     

 

 

 
  18,980,319   
     

 

 

 

Food Products–2.21%

  

General Mills

  308,800      17,478,080   
     

 

 

 
  17,478,080   
     

 

 

 

Health Care Equipment & Supplies–2.12%

  

Abbott Laboratories

  195,800      9,071,414   

Baxter International

  112,700      7,719,950   
     

 

 

 
  16,791,364   
     

 

 

 

Health Care Providers & Services–3.98%

  

†Express Scripts Holding

  145,900      12,659,743   

UnitedHealth Group

  159,200      18,831,768   
     

 

 

 
  31,491,511   
     

 

 

 

Health Care Technology–0.85%

  

†Cerner

  92,100      6,747,246   
     

 

 

 
  6,747,246   
     

 

 

 

Hotels, Restaurants & Leisure–2.05%

  

Starbucks

  171,700      16,259,990   
     

 

 

 
  16,259,990   
     

 

 

 

Industrial Conglomerates–1.52%

  

Roper Industries

  69,800      12,005,600   
     

 

 

 
  12,005,600   
     

 

 

 

Insurance–5.01%

  

Aflac

  236,400      15,131,964   
 

 

LVIP Delaware Social Awareness Fund–1


LVIP Delaware Social Awareness Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Insurance (continued)

  

Prudential Financial

  148,600    $     11,934,066   

Travelers

  116,200      12,564,706   
     

 

 

 
  39,630,736   
     

 

 

 

Internet Software & Services–2.28%

  

†Google Class A

  32,600      18,083,220   
     

 

 

 
  18,083,220   
     

 

 

 

IT Services–2.57%

  

Accenture Class A

  167,300      15,674,337   

International Business Machines

  29,100      4,670,550   
     

 

 

 
  20,344,887   
     

 

 

 

Life Sciences Tools & Services–1.70%

  

Thermo Fisher Scientific

  100,100      13,447,434   
     

 

 

 
  13,447,434   
     

 

 

 

Machinery–3.25%

  

Cummins

  33,000      4,575,120   

Deere

  128,200      11,241,858   

Lincoln Electric Holdings

  64,600      4,224,194   

Parker-Hannifin

  47,600      5,653,928   
     

 

 

 
  25,695,100   
     

 

 

 

Media–5.16%

  

Comcast Class A

  381,400      21,537,655   

Disney (Walt)

  64,200      6,733,938   

Regal Entertainment Group Class A

  209,800      4,791,832   

Viacom Class B

  113,760      7,769,808   
     

 

 

 
  40,833,233   
     

 

 

 

Multiline Retail–3.15%

  

Macy’s

  177,300      11,508,543   

Nordstrom

  167,000      13,413,440   
     

 

 

 
  24,921,983   
     

 

 

 

Oil, Gas & Consumable Fuels–4.56%

  

EOG Resources

  192,400      17,641,156   

EQT

  47,500      3,936,325   

Marathon Oil

  369,200      9,639,812   

†Whiting Petroleum

  159,100      4,916,190   
     

 

 

 
  36,133,483   
     

 

 

 

Pharmaceuticals–3.68%

  

AbbVie

  240,400      14,073,016   

†Actavis

  50,504      15,030,947   
     

 

 

 
  29,103,963   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Professional Services–0.90%

  

Nielsen

  159,100    $ 7,091,087   
     

 

 

 
  7,091,087   
     

 

 

 

Real Estate Investment Trusts–2.24%

  

American Tower

  114,100      10,742,515   

National Retail Properties

  170,100      6,968,997   
     

 

 

 
  17,711,512   
     

 

 

 

Road & Rail–1.85%

  

Hunt (J.B.) Transport Services

  50,100      4,278,289   

Union Pacific

  95,900      10,386,929   
     

 

 

 
  14,665,218   
     

 

 

 

Semiconductors & Semiconductor Equipment–3.87%

  

Avago Technologies

  69,000      8,761,620   

Intel

  237,000      7,410,990   

Maxim Integrated Products

  414,700      14,435,707   
     

 

 

 
  30,608,317   
     

 

 

 

Software–2.89%

  

Microsoft

  330,300      13,428,347   

†salesforce.com

  141,900      9,480,339   
     

 

 

 
  22,908,686   
     

 

 

 

Specialty Retail–3.50%

  

DSW Class A

  193,490      7,135,911   

Tractor Supply

  127,300      10,828,138   

†Urban Outfitters

  212,700      9,709,755   
     

 

 

 
  27,673,804   
     

 

 

 

Technology Hardware, Storage & Peripherals–1.59%

  

EMC

  494,000      12,626,640   
     

 

 

 
  12,626,640   
     

 

 

 

Total Common Stock
(Cost $435,192,875)

   778,774,243   
     

 

 

 

MONEY MARKET FUND–1.59%

Dreyfus Treasury & Agency Cash Management - Institutional Shares

  12,625,446      12,625,445   
     

 

 

 

Total Money Market Fund
(Cost $12,625,446)

  12,625,445   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.97% (Cost $447,818,321)

  791,399,688   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.03%

  227,154   
  

 

 

 

NET ASSETS APPLICABLE TO 16,825,381 SHARES OUTSTANDING–100.00%

$     791,626,842   
  

 

 

 

 

 

Non-income producing for the period.

 

LVIP Delaware Social Awareness Fund–2


LVIP Delaware Social Awareness Fund

Schedule of Investments (continued)

 

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Common Stock

$ 778,774,243   

Money Market Fund

  12,625,445   
  

 

 

 

Total

$ 791,399,688   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Delaware Social Awareness Fund–3


LVIP Delaware Special Opportunities Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK–97.68%

  

Auto Components–2.47%

  

BorgWarner

  104,700    $     6,332,256   

Johnson Controls

  88,500      4,463,940   

†Tenneco

  91,300      5,242,446   
     

 

 

 
  16,038,642   
     

 

 

 

Banks–9.52%

  

Associated Banc-Corp

  175,900      3,271,740   

Bank of Hawaii

  120,800      7,394,168   

Comerica

  300,700      13,570,591   

East West Bancorp

  471,800      19,089,028   

First Horizon National

  536,110      7,661,012   

Hancock Holding

  210,700      6,291,502   

Zions Bancorporation

  168,800      4,557,600   
     

 

 

 
  61,835,641   
     

 

 

 

Beverages–1.38%

  

Dr Pepper Snapple Group

  114,600      8,993,808   
     

 

 

 
  8,993,808   
     

 

 

 

Capital Markets–1.92%

  

Raymond James Financial

  219,550      12,466,049   
     

 

 

 
  12,466,049   
     

 

 

 

Chemicals–7.58%

  

Albemarle

  163,000      8,612,920   

Celanese Class A

  190,900      10,663,674   

Cytec Industries

  255,400      13,801,816   

FMC

  89,100      5,100,975   

†Grace (W.R.)

  111,700      11,043,779   
     

 

 

 
  49,223,164   
     

 

 

 

Commercial Services & Supplies–0.35%

  

Brink’s

  82,000      2,265,660   
     

 

 

 
  2,265,660   
     

 

 

 

Construction & Engineering–0.68%

  

KBR

  304,200      4,404,816   
     

 

 

 
  4,404,816   
     

 

 

 

Containers & Packaging–1.45%

  

Graphic Packaging Holding

  330,800      4,809,832   

†Owens-Illinois

  196,900      4,591,708   
     

 

 

 
  9,401,540   
     

 

 

 

Diversified Consumer Services–1.50%

  

Service International

  374,600      9,758,330   
     

 

 

 
  9,758,330   
     

 

 

 

Electric Utilities–2.19%

  

Edison International

  134,300      8,389,721   

PPL

  172,700      5,813,082   
     

 

 

 
  14,202,803   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Electrical Equipment–1.53%

  

Regal-Beloit

  124,100    $     9,918,072   
     

 

 

 
  9,918,072   
     

 

 

 

Electronic Equipment, Instruments & Components–2.32%

  

Avnet

  252,900      11,254,050   

†Keysight Technologies

  103,150      3,832,023   
     

 

 

 
  15,086,073   
     

 

 

 

Energy Equipment & Services–2.00%

  

Helmerich & Payne

  50,700      3,451,149   

Rowan

  99,100      1,755,061   

Superior Energy Services

  348,600      7,787,724   
     

 

 

 
  12,993,934   
     

 

 

 

Food Products–0.78%

  

Tyson Foods Class A

  132,700      5,082,410   
     

 

 

 
  5,082,410   
     

 

 

 

Health Care Equipment & Supplies–2.63%

  

Becton, Dickinson

  74,000      10,625,660   

Zimmer Holdings

  54,700      6,428,344   
     

 

 

 
  17,054,004   
     

 

 

 

Health Care Providers & Services–5.51%

  

Cigna

  80,300      10,394,032   

McKesson

  49,900      11,287,380   

Omnicare

  73,400      5,656,204   

Universal Health Services Class B

  71,600      8,428,036   
     

 

 

 
  35,765,652   
     

 

 

 

Hotels, Restaurants & Leisure–1.63%

  

Bloomin’ Brands

  211,300      5,140,929   

Starwood Hotels & Resorts Worldwide

  64,900      5,419,150   
     

 

 

 
  10,560,079   
     

 

 

 

Household Durables–2.57%

  

Horton (D.R.)

  280,933      8,000,972   

Newell Rubbermaid

  222,700      8,700,889   
     

 

 

 
  16,701,861   
     

 

 

 

Insurance–11.59%

  

American Financial Group

  274,650      17,618,797   

Berkley (W.R.)

  197,350      9,968,149   

HCC Insurance Holdings

  225,300      12,767,751   

Reinsurance Group of America

  141,000      13,139,790   

Torchmark

  261,150      14,342,358   

Validus Holdings

  176,500      7,430,650   
     

 

 

 
  75,267,495   
     

 

 

 

IT Services–2.71%

  

†Fiserv

  180,800      14,355,520   

†Qorvo

  40,600      3,235,820   
     

 

 

 
  17,591,340   
     

 

 

 
 

 

LVIP Delaware Special Opportunities Fund–1


LVIP Delaware Special Opportunities Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Leisure Products–1.29%

  

Hasbro

  132,500    $     8,379,300   
     

 

 

 
  8,379,300   
     

 

 

 

Life Sciences Tools & Services–2.32%

  

Agilent Technologies

  166,700      6,926,385   

Thermo Fisher Scientific

  60,500      8,127,570   
     

 

 

 
  15,053,955   
     

 

 

 

Machinery–2.03%

  

ITT

  235,400      9,394,814   

Terex

  143,800      3,823,642   
     

 

 

 
  13,218,456   
     

 

 

 

Media–0.72%

  

Meredith

  83,625      4,663,766   
     

 

 

 
  4,663,766   
     

 

 

 

Multiline Retail–2.62%

  

Macy’s

  131,800      8,555,138   

Nordstrom

  105,100      8,441,632   
     

 

 

 
  16,996,770   
     

 

 

 

Multi-Utilities–2.35%

  

Public Service Enterprise Group

  161,400      6,765,888   

Wisconsin Energy

  171,500      8,489,250   
     

 

 

 
  15,255,138   
     

 

 

 

Oil, Gas & Consumable Fuels–3.00%

  

†Newfield Exploration

  256,700      9,007,603   

Tesoro

  41,900      3,825,051   

†Whiting Petroleum

  214,300      6,621,870   
     

 

 

 
  19,454,524   
     

 

 

 

Pharmaceuticals–0.80%

  

†Mylan

  87,300      5,181,255   
     

 

 

 
  5,181,255   
     

 

 

 

Professional Services–1.19%

  

ManpowerGroup

  89,800      7,736,270   
     

 

 

 
  7,736,270   
     

 

 

 

Real Estate Investment Trusts–5.89%

  

Boston Properties

  55,000      7,726,400   

Brandywine Realty Trust

  407,400      6,510,252   

CBL & Associates Properties

  322,200      6,379,560   

Highwoods Properties

  230,400      10,547,712   

Kimco Realty

  264,600      7,104,510   
     

 

 

 
  38,268,434   
     

 

 

 

Road & Rail–2.22%

  

Canadian National Railway

  101,200      6,767,244   

CSX

  230,900      7,647,408   
     

 

 

 
  14,414,652   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Semiconductors & Semiconductor Equipment–0.75%

  

Teradyne

  258,000    $ 4,863,300   
     

 

 

 
  4,863,300   
     

 

 

 

Software–4.59%

  

†Adobe Systems

  132,300      9,782,262   

†Citrix Systems

  41,900      2,676,153   

Symantec

  209,300      4,890,295   

†Synopsys

  268,400      12,432,288   
     

 

 

 
  29,780,998   
     

 

 

 

Specialty Retail–1.29%

  

Staples

  254,300      4,141,275   

Tiffany

  48,400      4,259,684   
     

 

 

 
  8,400,959   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.81%

  

VF

  69,900      5,264,169   
     

 

 

 
  5,264,169   
     

 

 

 

Tobacco–1.29%

  

Reynolds American

  121,400      8,365,674   
     

 

 

 
  8,365,674   
     

 

 

 

Trading Companies & Distributors–2.21%

  

†United Rentals

  157,300      14,339,468   
     

 

 

 
  14,339,468   
     

 

 

 

Total Common Stock
(Cost $344,807,636)

  634,248,461   
     

 

 

 

MONEY MARKET FUND–0.03%

  

Dreyfus Treasury & Agency Cash Management - Institutional Shares

  203,051      203,051   
     

 

 

 

Total Money Market Fund
(Cost $203,051)

  203,051   
     

 

 

 
  Principal      
  Amount°      

SHORT-TERM INVESTMENT–2.27%

  

Discounted Commercial Paper–2.27%

  

Abbey National North America 0.06% 4/1/15

  14,745,000      14,745,000   
     

 

 

 

Total Short-Term Investment
(Cost $14,745,000)

  14,745,000   
     

 

 

 
 

 

LVIP Delaware Special Opportunities Fund–2


LVIP Delaware Special Opportunities Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–99.98% (Cost $359,755,687)

    $ 649,196,512   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.02%

  119,442   
  

 

 

 

NET ASSETS APPLICABLE TO 15,101,266 SHARES OUTSTANDING–100.00%

    $ 649,315,954   
  

 

 

 

 

 

Non-income producing for the period.

 

The rate shown is the effective yield at the time of purchase.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

$ 634,248,461    $    $ 634,248,461   

Money Market Fund

  203,051           203,051   

Short-Term Investment

       14,745,000      14,745,000   
  

 

 

    

 

 

    

 

 

 

Total

$ 634,451,512    $ 14,745,000    $ 649,196,512   
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Delaware Special Opportunities Fund–3


LVIP Dimensional Non-U.S. Equity RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANY–1.88%

  

Money Market Fund–1.88%

  

*Lincoln Variable Insurance Products Trust–LVIP Money Market Fund

  443,594    $     4,435,941   
     

 

 

 

Total Affiliated Investment Company
(Cost $4,435,941)

  4,435,941   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–97.78%

  

International Equity Funds–91.36%

  

**DFA Emerging Markets Core Equity Portfolio

  1,146,636      22,118,615   

**DFA International Core Equity Portfolio

  4,505,659      54,833,871   

**DFA International Real Estate Securities Portfolio

  2,012,437      10,826,912   

**DFA International Small Cap Value Portfolio

  563,713      10,975,485   
  Number of   Value  
  Shares   (U.S. $)  

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

International Equity Funds (continued)

  

**DFA International Vector Equity Portfolio

  1,962,832    $     21,964,087   

**DFA Large Cap International Portfolio

  2,544,399      54,857,234   

**DFA VA International Small Portfolio

  1,528,129      17,558,204   

**DFA VA International Value Portfolio

  1,797,820      21,897,445   
     

 

 

 
  215,031,853   
     

 

 

 

Money Market Fund–6.42%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  15,114,195      15,114,195   
     

 

 

 
  15,114,195   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $221,508,299)

   

  230,146,048   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.66% (Cost $225,944,240)

  234,581,989   

« RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.34%

  789,365   
  

 

 

 

NET ASSETS APPLICABLE TO 24,317,646 SHARES OUTSTANDING–100.00%

$     235,371,354   
  

 

 

 

 

 

*

Standard Class shares.

 

**

Institutional Class shares.

 

«

Includes $1,512,607 cash pledged as collateral for futures contracts and $103,639 foreign currencies due to broker as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

            Unrealized  
  Notional   Notional   Expiration Appreciation  

Contracts to Buy (Sell)

Cost (Proceeds)   Value   Date (Depreciation)  

  (28) British Pound Currency

$ (2,611,425 $ (2,596,475 6/18/15 $ 14,950   

  (28) E-mini MSCI Emerging Markets Index

          (1,306,416                   (1,361,360         6/22/15           (54,944        

  (33) Euro Currency

  (4,350,126   (4,436,025 6/18/15   (85,899

(115) Euro STOXX 50 Index

  (4,417,535   (4,490,702 6/22/15   (73,167

  (26) FTSE 100 Index

  (2,581,832   (2,594,409 6/22/15   (12,577

  (30) Japanese Yen Currency

  (3,089,559   (3,129,750 6/18/15   (40,191

  (20) Nikkei 225 Index (OSE)

  (3,117,736   (3,202,868 6/12/15   (85,132
     

 

 

                    

 

 

   
$ (21,474,629 $ (336,960
     

 

 

                    

 

 

   

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

DFA–Dimensional Fund Advisors

OSE–Osaka Securities Exchange

VA–Variable Annuity

 

LVIP Dimensional Non-U.S. Equity RPM Fund–1


LVIP Dimensional Non-U.S. Equity RPM Fund

Schedule of Investments (continued)

 

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 234,581,989   
  

 

 

 

Futures Contracts

$ (336,960
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Dimensional International Core Equity Managed Volatility Fund.

 

LVIP Dimensional Non-U.S. Equity RPM Fund–2


LVIP Dimensional U.S. Equity RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANY–1.86%

  

Money Market Fund–1.86%

  

*Lincoln Variable Insurance Products Trust–LVIP Money Market Fund

  767,850    $ 7,678,502   
     

 

 

 

Total Affiliated Investment Company
(Cost $7,678,502)

   

  7,678,502   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–97.97%

  

Equity Funds–91.38%

  

**DFA Real Estate Securities Portfolio

  569,915      19,570,885   

**DFA U.S. Core Equity 1 Portfolio

  3,972,408      72,536,164   

**DFA U.S. Large Cap Equity Portfolio

  2,917,035      37,950,620   

**DFA U.S. Large Company Portfolio

  6,033,989      98,414,360   

**DFA U.S. Large Value Portfolio

  1,316,271      30,274,231   

**DFA U.S. Micro Cap Portfolio

  984,009      19,640,817   

 

  Number of   Value  
  Shares   (U.S. $)  

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

Equity Funds (continued)

  

**DFA U.S. Small Cap Portfolio

  1,452,309    $     46,953,166   

**DFA U.S. Small Cap Value Portfolio

  656,166      23,503,856   

**DFA VA U.S. Targeted Value Portfolio

  1,440,996      27,292,472   
     

 

 

 
  376,136,571   
     

 

 

 

Money Market Fund–6.59%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  27,103,390      27,103,390   
     

 

 

 
  27,103,390   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $333,844,947)

   

  403,239,961   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.83% (Cost $341,523,449)

  410,918,463   

« RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.17%

  694,167   
  

 

 

 

NET ASSETS APPLICABLE TO 28,994,899 SHARES OUTSTANDING–100.00%

$     411,612,630   
  

 

 

 

 

 

*

Standard Class shares.

 

**

Institutional Class shares.

« Includes $1,082,251 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

 

Futures Contracts           Unrealized  
  Notional   Notional   Expiration Appreciation  

Contracts to Buy (Sell)

Cost (Proceeds)   Value   Date (Depreciation)  

(60) E-mini Russell 2000 Index

$ (7,333,708 $ (7,493,400 6/22/15 $ (159,692

(94) E-mini S&P 500 Index

  (9,587,361   (9,685,760 6/22/15   (98,399
  

 

 

        

 

 

 
$ (16,921,069 $ (258,091
  

 

 

        

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

DFA–Dimensional Fund Advisors

VA–Variable Annuity

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 410,918,463   
  

 

 

 

Futures Contracts

$ (258,091
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Dimensional U.S. Core Equity 2 Managed Volatility Fund.

 

LVIP Dimensional U.S. Equity RPM Fund–1


LVIP Dimensional/Vanguard Total Bond Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANY–1.99%

  

Money Market Fund–1.99%

  

*Lincoln Variable Insurance Products Trust–LVIP Money Market Fund

  862,210    $ 8,622,098   
     

 

 

 

Total Affiliated Investment Company
(Cost $8,622,098)

  8,622,098   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–98.31%

  

Fixed Income Funds–98.00%

  

**DFA Inflation Protected Securities Portfolio

  2,566,108      30,305,733   

**DFA Intermediate Term Extended Quality Portfolio

  5,549,546      61,045,003   

**DFA One-Year Fixed Income Portfolio

  2,089,390      21,562,509   

**DFA Two-Year Global Fixed Income Portfolio

  3,911,156      38,837,781   

**DFA VA Global Bond Portfolio

  3,196,056      34,709,174   

**DFA VA Short-Term Fixed Portfolio

  2,535,873      25,891,267   
  Number of   Value  
  Shares   (U.S. $)  

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

Fixed Income Funds (continued)

  

Vanguard Long-Term Bond ETF

  136,993    $     13,189,686   

Vanguard Mortgage-Backed Securities ETF

  972,194      51,954,047   

Vanguard Short-Term Corporate Bond ETF

  215,729      17,303,623   

Vanguard Total Bond Market ETF

  1,565,579      130,522,321   
     

 

 

 
  425,321,144   
     

 

 

 

Money Market Fund–0.31%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,359,796      1,359,796   
     

 

 

 
  1,359,796   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $420,691,874)

   

  426,680,940   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–100.30% (Cost $429,313,972)

  435,303,038   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.30%)

  (1,312,292
  

 

 

 

NET ASSETS APPLICABLE TO 40,717,694 SHARES OUTSTANDING–100.00%

$     433,990,746   
  

 

 

 

 

 

*

Standard Class shares.

 

**

Institutional Class shares.

Summary of Abbreviations:

DFA–Dimensional Fund Advisors

ETF–Exchange-Traded Fund

VA–Variable Annuity

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 435,303,038   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Dimensional/Vanguard Total Bond Fund–1


LVIP Vanguard Domestic Equity ETF Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANY–2.02%

  

Money Market Fund–2.02%

  

*Lincoln Variable Insurance Products Trust–LVIP Money Market Fund

  416,505    $      4,165,054   
     

 

 

 

Total Affiliated Investment Company
(Cost $4,165,054)

  4,165,054   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–98.41%

  

Equity Funds–97.92%

  

Vanguard Dividend Appreciation ETF

  252,688      20,333,803   

Vanguard Mega Cap 300 Growth ETF

  391,042      32,589,440   

Vanguard Mega Cap 300 Value ETF

  683,824      40,872,161   

Vanguard Mid-Cap Growth ETF

  77,720      8,395,315   

Vanguard Mid-Cap Value ETF

  135,999      12,499,668   

Vanguard REIT ETF

  100,145      8,419,190   

Vanguard Small-Cap Growth ETF

  47,106      6,207,629   
  Number of   Value  
  Shares   (U.S. $)  

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

Equity Funds (continued)

  

Vanguard Small-Cap Value ETF

  96,602    $     10,568,259   

Vanguard Total Stock Market ETF

  516,004      55,341,429   

**Vanguard Variable Insurance Fund– Small Company Growth Portfolio

  279,102      6,271,429   
     

 

 

 
  201,498,323   
     

 

 

 

Money Market Fund–0.49%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,001,810      1,001,810   
     

 

 

 
  1,001,810   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $148,304,188)

   

  202,500,133   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–100.43% (Cost $152,469,242)

  206,665,187   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.43%)

  (887,945
  

 

 

 

NET ASSETS APPLICABLE TO 13,733,782 SHARES OUTSTANDING–100.00%

$     205,777,242   
  

 

 

 

 

 

*

Standard Class shares.

 

**

Institutional Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

REIT–Real Estate Investment Trust

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 206,665,187   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Vanguard Domestic Equity ETF Fund–1


LVIP Vanguard International Equity ETF Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANY–2.01%

  

Money Market Fund–2.01%

  

*Lincoln Variable Insurance Products Trust–LVIP Money Market Fund

  241,553    $ 2,415,527   
     

 

 

 

Total Affiliated Investment Company
(Cost $2,415,527)

  2,415,527   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–98.20%

  

International Equity Funds–97.75%

  

Vanguard FTSE All-World ex-U.S. ETF

  368,787      17,970,991   

Vanguard FTSE All-World ex-U.S. Small-Cap ETF

  181,023      17,968,343   

Vanguard FTSE Developed Markets ETF

  599,723      23,886,967   

Vanguard FTSE Emerging Markets ETF

  296,097      12,101,484   

Vanguard FTSE European ETF

  196,007      10,627,500   
  Number of   Value  
  Shares   (U.S. $)  

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

International Equity Funds (continued)

  

Vanguard FTSE Pacific ETF

  336,655    $     20,630,218   

Vanguard Global ex-U.S. Real Estate ETF

  85,914      4,834,381   

**Vanguard VA International Portfolio

  458,491      9,646,652   
     

 

 

 
  117,666,536   
     

 

 

 

Money Market Fund–0.45%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  537,223      537,223   
     

 

 

 
  537,223   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $106,937,497)

   

  118,203,759   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.21% (Cost $109,353,024)

  120,619,286   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.21%)

  (247,007
  

 

 

 

NET ASSETS APPLICABLE TO 11,981,119 SHARES OUTSTANDING–100.00%

$     120,372,279   
  

 

 

 

 

 

*

Standard Class shares.

 

**

Retail Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

VA–Variable Annuity

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 120,619,286   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Vanguard International Equity ETF Fund–1


LVIP Franklin Mutual Shares VIP RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES–100.00%

  

Equity Fund–92.79%

  

LOGO Franklin Templeton Variable Insurance Products Trust–Mutual Shares VIP Fund

  4,659,539    $     109,219,603   
     

 

 

 
  109,219,603   
     

 

 

 

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES (continued)

  

Money Market Fund–7.21%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  8,491,730    $     8,491,730   
     

 

 

 
  8,491,730   
     

 

 

 

Total Investment Companies
(Cost $114,953,851)

   117,711,333   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.00% (Cost $114,953,851)

  117,711,333   

« LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–0.00%

  (4,911
  

 

 

 

NET ASSETS APPLICABLE TO 11,302,270 SHARES OUTSTANDING–100.00%

$     117,706,422   
  

 

 

 

 

 

LOGO

Class 1 shares.

 

«

Includes $170,991 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

            Unrealized
  Notional   Notional   Expiration Appreciation

Contracts to Buy (Sell)

Cost (Proceeds)

 

    Value    

  Date (Depreciation)

66     E-mini S&P 500 Index

        $ 6,716,871                    $ 6,800,640            6/22/15         $ 83,769   

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 117,711,333   
  

 

 

 

Futures Contracts

$ 83,769   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Franklin Mutual Shares VIP Managed Volatility Fund.

 

LVIP Franklin Mutual Shares VIP RPM Fund–1


LVIP Franklin Templeton Multi-Asset Opportunities Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK–30.97%

  

U.S. MARKETS–14.65%

  

Aerospace & Defense–0.16%

  

Rockwell Collins

  180    $     17,379   
     

 

 

 
  17,379   
     

 

 

 

Air Freight & Logistics–0.12%

  

United Parcel Service Class B

  140      13,572   
     

 

 

 
  13,572   
     

 

 

 

Automobiles–0.19%

  

General Motors

  580      21,750   
     

 

 

 
  21,750   
     

 

 

 

Banks–0.99%

  

Citigroup

  930      47,914   

JPMorgan Chase

  770      46,647   

SunTrust Banks

  380      15,614   
     

 

 

 
  110,175   
     

 

 

 

Biotechnology–0.94%

  

Amgen

  310      49,553   

†Gilead Sciences

  450      44,159   

†Isis Pharmaceuticals

  180      11,461   
     

 

 

 
  105,173   
     

 

 

 

Capital Markets–0.26%

  

Morgan Stanley

  810      28,909   
     

 

 

 
  28,909   
     

 

 

 

Communications Equipment–0.12%

  

Cisco Systems

  480      13,212   
     

 

 

 
  13,212   
     

 

 

 

Consumer Finance–0.27%

  

Capital One Financial

  380      29,952   
     

 

 

 
  29,952   
     

 

 

 

Diversified Financial Services–0.27%

  

Voya Financial

  690      29,746   
     

 

 

 
  29,746   
     

 

 

 

Electronic Equipment, Instruments & Components–0.19%

  

†Knowles

  1,110      21,390   
     

 

 

 
  21,390   
     

 

 

 

Energy Equipment & Services–0.58%

  

Baker Hughes

  320      20,346   

Halliburton

  690      30,277   

Noble

  1,020      14,566   
     

 

 

 
  65,189   
     

 

 

 

Food & Staples Retailing–0.51%

  

CVS Health

  380      39,220   

Walgreens Boots Alliance

  210      17,783   
     

 

 

 
  57,003   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

U.S. MARKETS (continued)

  

Health Care Equipment & Supplies–0.34%

  

Medtronic

  480    $     37,435   
     

 

 

 
  37,435   
     

 

 

 

Insurance–0.26%

  

American International Group

  530      29,039   
     

 

 

 
  29,039   
     

 

 

 

Machinery–0.21%

  

Stanley Black & Decker

  240      22,886   
     

 

 

 
  22,886   
     

 

 

 

Media–0.79%

  

Comcast Class A

  740      41,488   

†News Class A

  1,190      19,052   

Twenty-First Century Fox Class A

  800      27,072   
     

 

 

 
  87,612   
     

 

 

 

Metals & Mining–0.24%

  

Allegheny Technologies

  890      26,709   
     

 

 

 
  26,709   
     

 

 

 

Multiline Retail–0.55%

  

Macy’s

  590      38,297   

Target

  280      22,980   
     

 

 

 
  61,277   
     

 

 

 

Oil, Gas & Consumable Fuels–0.20%

  

Chesapeake Energy

  740      10,478   

Chevron

  110      11,548   
     

 

 

 
  22,026   
     

 

 

 

Pharmaceuticals–1.05%

  

†Actavis

  228      67,857   

Merck

  220      12,646   

Pfizer

  1,060      36,877   
     

 

 

 
  117,380   
     

 

 

 

Real Estate Investment Trusts–5.45%

  

Boston Properties

  200      28,096   

Equity Lifestyle Properties

  400      21,980   

Equity Residential

  700      54,502   

Essex Property Trust

  200      45,980   

Extra Space Storage

  600      40,542   

General Growth Properties

  1,800      53,190   

Health Care REIT

  500      38,680   

Kilroy Realty

  400      30,468   

Kimco Realty

  1,500      40,275   

Pebblebrook Hotel Trust

  1,200      55,884   

Prologis

  500      21,780   

Realty Income

  700      36,120   

Sabra Health Care REIT

  800      26,520   

Simon Property Group

  260      50,866   

STAG Industrial

  900      21,168   
 

 

LVIP Franklin Templeton Multi-Asset Opportunities Fund–1


LVIP Franklin Templeton Multi-Asset Opportunities Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

U.S. MARKETS (continued)

  

Real Estate Investment Trusts (continued)

  

Urban Edge Properties

  350    $ 8,295   

Vornado Realty Trust

  300      33,600   
     

 

 

 
  607,946   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.25%

  

Applied Materials

  1,260      28,426   
     

 

 

 
  28,426   
     

 

 

 

Software–0.44%

  

Microsoft

  1,210      49,193   
     

 

 

 
  49,193   
     

 

 

 

Specialty Retail–0.27%

  

Foot Locker

  470      29,610   
     

 

 

 
  29,610   
     

 

 

 

Total U.S. Markets
(Cost $1,445,946)

  1,632,989   
     

 

 

 

§DEVELOPED MARKETS–13.79%

  

Aerospace & Defense–0.20%

  

BAE Systems

  2,880      22,318   
     

 

 

 
  22,318   
     

 

 

 

Airlines–0.15%

  

Deutsche Lufthansa

  1,220      17,086   
     

 

 

 
  17,086   
     

 

 

 

Auto Components–0.21%

  

Cie Generale des Etablissements Michelin

  230      22,877   
     

 

 

 
  22,877   
     

 

 

 

Automobiles–0.62%

  

Nissan Motor

  3,900      39,659   

Toyota Motor ADR

  213      29,797   
     

 

 

 
  69,456   
     

 

 

 

Banks–1.82%

  

Barclays

  4,000      14,438   

BNP Paribas

  670      40,774   

Credit Agricole

  2,010      29,542   

DBS Group Holdings

  1,000      14,827   

HSBC Holdings

  4,000      34,231   

†Lloyds Banking Group

  21,620      25,060   

Standard Chartered

  980      15,872   

UniCredit

  4,218      28,609   
     

 

 

 
  203,353   
     

 

 

 

Beverages–0.31%

  

Suntory Beverage & Food

  800      34,250   
     

 

 

 
  34,250   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

§DEVELOPED MARKETS (continued)

  

Building Products–0.23%

  

Cie de Saint-Gobain

  590    $     25,910   
     

 

 

 
  25,910   
     

 

 

 

Capital Markets–0.29%

  

Credit Suisse Group

  1,210      32,554   
     

 

 

 
  32,554   
     

 

 

 

Chemicals–0.28%

  

Akzo Nobel

  420      31,762   
     

 

 

 
  31,762   
     

 

 

 

Commercial Services & Supplies–0.03%

  

Serco Group

  1,730      3,539   
     

 

 

 
  3,539   
     

 

 

 

Construction Materials–0.44%

  

CRH

  1,120      29,297   

HeidelbergCement

  250      19,774   
     

 

 

 
  49,071   
     

 

 

 

Containers & Packaging–0.14%

  

Rexam

  1,840      15,769   
     

 

 

 
  15,769   
     

 

 

 

Diversified Financial Services–0.49%

  

Deutsche Boerse

  300      24,487   

†ING Groep CVA

  2,040      29,887   
     

 

 

 
  54,374   
     

 

 

 

Diversified Telecommunication Services–0.81%

  

Singapore Telecommunications

  9,000      28,718   

Telefonica

  2,181      31,040   

Telenor

  1,500      30,274   
     

 

 

 
  90,032   
     

 

 

 

Electrical Equipment–0.24%

  

†ABB

  1,250      26,517   
     

 

 

 
  26,517   
     

 

 

 

Energy Equipment & Services–0.39%

  

Petrofac

  1,340      18,864   

†Saipem

  761      7,742   

Technip

  270      16,335   
     

 

 

 
  42,941   
     

 

 

 

Food & Staples Retailing–0.35%

  

METRO

  540      18,304   

Tesco

  5,850      20,881   
     

 

 

 
  39,185   
     

 

 

 

Health Care Equipment & Supplies–0.18%

  

Getinge Class B

  830      20,508   
     

 

 

 
  20,508   
     

 

 

 
 

 

LVIP Franklin Templeton Multi-Asset Opportunities Fund–2


LVIP Franklin Templeton Multi-Asset Opportunities Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

§DEVELOPED MARKETS (continued)

  

Industrial Conglomerates–0.24%

  

Siemens ADR

  129    $     13,958   

Toshiba

  3,000      12,568   
     

 

 

 
  26,526   
     

 

 

 

Insurance–1.13%

  

AIA Group

  4,000      25,114   

Aviva

  4,240      33,931   

AXA

  1,160      29,202   

Muenchener Rueckversicherungs

  50      10,746   

†NN Group

  400      11,342   

Swiss Re

  160      15,433   
     

 

 

 
  125,768   
     

 

 

 

Life Sciences Tools & Services–0.15%

  

†QIAGEN

  660      16,565   
     

 

 

 
  16,565   
     

 

 

 

Media–0.26%

  

Sky PLC

  1,980      29,129   
     

 

 

 
  29,129   
     

 

 

 

Multiline Retail–0.24%

  

Marks & Spencer Group

  3,380      26,731   
     

 

 

 
  26,731   
     

 

 

 

Oil, Gas & Consumable Fuels–1.34%

  

BP ADR

  768      30,036   

Eni

  1,418      24,548   

Galp Energia

  1,650      17,847   

Kunlun Energy

  12,000      11,655   

Royal Dutch Shell Class B

  510      15,886   

Talisman Energy

  2,100      16,098   

TOTAL

  670      33,310   
     

 

 

 
  149,380   
     

 

 

 

Pharmaceuticals–2.14%

  

Bayer

  250      37,411   

GlaxoSmithKline

  1,470      33,838   

Merck

  240      26,865   

Novartis

  130      12,831   

Roche Holding

  150      41,219   

Sanofi

  400      39,511   

Teva Pharmaceutical Industries ADR

  747      46,538   
     

 

 

 
  238,213   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.13%

  

Infineon Technologies ADR

  1,200      14,382   
     

 

 

 
  14,382   
     

 

 

 

Specialty Retail–0.19%

  

Kingfisher

  3,760      21,213   
     

 

 

 
  21,213   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

§DEVELOPED MARKETS (continued)

  

Technology Hardware, Storage & Peripherals–0.15%

  

Konica Minolta Holdings

  1,700    $ 17,225   
     

 

 

 
  17,225   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.25%

  

†Michael Kors Holdings

  430      28,273   
     

 

 

 
  28,273   
     

 

 

 

Trading Companies & Distributors–0.13%

  

Noble Group

  21,000      14,066   
     

 

 

 
  14,066   
     

 

 

 

Wireless Telecommunication Services–0.26%

  

Vodafone Group ADR

  879      28,726   
     

 

 

 
  28,726   
     

 

 

 

Total Developed Markets
(Cost $1,688,341)

  1,537,699   
     

 

 

 

×EMERGING MARKETS–2.53%

  

Auto Components–0.10%

  

Hyundai Mobis

  52      11,524   
     

 

 

 
  11,524   
     

 

 

 

Banks–0.22%

  

Bangkok Bank NVDR

  3,200      18,125   

†KB Financial Group ADR

  168      5,904   
     

 

 

 
  24,029   
     

 

 

 

Diversified Telecommunication Services–0.32%

  

China Telecom

  56,000      35,801   
     

 

 

 
  35,801   
     

 

 

 

Health Care Providers & Services–0.16%

  

Sinopharm Group

  4,400      17,916   
     

 

 

 
  17,916   
     

 

 

 

Insurance–0.32%

  

China Life Insurance

  8,000      35,166   
     

 

 

 
  35,166   
     

 

 

 

Machinery–0.28%

  

=CSR

  15,300      20,209   

Weichai Power

  3,000      11,567   
     

 

 

 
  31,776   
     

 

 

 

Metals & Mining–0.32%

  

MMC Norilsk Nickel OJSC ADR

  804      14,332   

POSCO ADR

  394      21,536   
     

 

 

 
  35,868   
     

 

 

 

Oil, Gas & Consumable Fuels–0.14%

  

China Shenhua Energy

  5,000      12,753   

Petroleo Brasileiro ADR

  391      2,381   
     

 

 

 
  15,134   
     

 

 

 
 

 

LVIP Franklin Templeton Multi-Asset Opportunities Fund–3


LVIP Franklin Templeton Multi-Asset Opportunities Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

×EMERGING MARKETS (continued)

  

Semiconductors & Semiconductor Equipment–0.67%

  

Samsung Electronics GDR

  100    $ 64,942   

Taiwan Semiconductor Manufacturing ADR

  432      10,143   
     

 

 

 
  75,085   
     

 

 

 

Total Emerging Markets
(Cost $265,032)

  282,299   
     

 

 

 

Total Common Stock
(Cost $3,399,319)

  3,452,987   
     

 

 

 

EXCHANGE-TRADED FUNDS–5.14%

  

Wisdomtree Europe Hedged Equity Fund

  4,500      297,630   

WisdomTree Japan Hedged Equity Fund

  5,000      275,600   
     

 

 

 

Total Exchange-Traded Funds
(Cost $498,653)

  573,230   
     

 

 

 

INVESTMENT COMPANIES–51.26%

²Franklin Focused Core Equity Fund

  91,183      1,393,270   

²Franklin High Income Fund

  224,412      446,579   

²Franklin Mutual European Fund

  21,300      481,177   

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES (continued)

  

²Franklin Rising Dividends Fund

  27,464    $     1,428,142   

²Franklin Strategic Series - Franklin Strategic Income Fund

  32,425      323,931   

²Franklin Total Return Fund

  44,506      453,964   

²Templeton Global Bond Fund

  96,197      1,187,068   
     

 

 

 

Total Investment Companies
(Cost $5,604,957)

  5,714,131   
     

 

 

 

RIGHTS–0.01%

†Serco Group, exercise price GBP 1.01, expiration date 04/16/15

  1,730      1,052   

†Telefonica, exercise price EUR 10.84, expiration date 4/12/15

  2,181      352   
     

 

 

 

Total Rights
(Cost $1,700)

  1,404   
     

 

 

 

MONEY MARKET FUND–12.58%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,402,529      1,402,529   
     

 

 

 

Total Money Market Fund
(Cost $1,402,529)

  1,402,529   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.96% (Cost $10,907,158)

  11,144,281   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.04%

  3,903   
  

 

 

 

NET ASSETS APPLICABLE TO 1,094,171 SHARES OUTSTANDING–100.00%

$     11,148,184   
  

 

 

 

 

 

²  Class

R-6 shares.

 

Non-income producing for the period.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $20,209, which represents 0.18% of the Fund’s net assets.

 

×

Emerging Markets – developing countries with relatively low per capita income, often with above-average economic growth potential but with more risk.

 

§

Developed Markets – countries that are thought to be most developed and therefore less risky than emerging markets.

 

LVIP Franklin Templeton Multi-Asset Opportunities Fund–4


LVIP Franklin Templeton Multi-Asset Opportunities Fund

Schedule of Investments (continued)

 

The following foreign currency exchange contracts and swap contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

        Unrealized
  Contracts to     Appreciation

Counterparty

Receive (Deliver) In Exchange For Settlement Date

(Depreciation)

BNYM

    THB       589,819       USD       (18,144 )     4/3/15              $ (27 )   

MSC

    HKD               (34,320 )     USD               4,426       4/2/15             (1 )
                                  

 

 

   
            $ (28 )
                                  

 

 

   

Index Swap Contracts

 

      Unrealized
Notional Expiration   Appreciation

Value

Date

Description

(Depreciation)

$740,000

5/11/15 Agreement with Barclays to receive the notional amount multiplied by the change in value of an index of a custom basket of securities and to pay the notional amount multiplied by the fixed rate of 0.70%          $ 4,895            

$256,000

5/11/15 Agreement with Societe Generale to receive the notional amount multiplied by the change in value of an index of a custom basket of securities and to pay the notional amount multiplied by the fixed rate of 0.17%   (1,039
          

 

 

   
$ 3,856   
          

 

 

   

The use of foreign currency exchange contracts and swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts and notional values 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.

Summary of Abbreviations:

ADR–American Depositary Receipt

BNYM–Bank of New York Mellon

GDR–Global Depositary Receipt

HKD–Hong Kong Dollar

MSC–Morgan Stanley Capital

NVDR–Non-Voting Depositary Receipt

REIT–Real Estate Investment Trust

THB–Thailand Baht

USD–United States Dollar

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

 

Level 1

Level 2

Level 3

Total

Common Stock

U.S. Markets

Aerospace & Defense

   $ 17,379          $          $          $ 17,379      

Air Freight & Logistics

  13,572                13,572   

Automobiles

  21,750                21,750   

Banks

  110,175                110,175   

Biotechnology

  105,173                105,173   

Capital Markets

  28,909                28,909   

Communications Equipment

  13,212                13,212   

Consumer Finance

  29,952                29,952   

Diversified Financial Services

  29,746                29,746   

Electronic Equipment, Instruments & Components

  21,390                21,390   

Energy Equipment & Services

  65,189                65,189   

Food & Staples Retailing

  57,003                57,003   

Health Care Equipment & Supplies

  37,435                37,435   

 

LVIP Franklin Templeton Multi-Asset Opportunities Fund–5


LVIP Franklin Templeton Multi-Asset Opportunities Fund

Schedule of Investments (continued)

 

 

Level 1

Level 2

Level 3

Total

Insurance

$ 29,039    $    $    $ 29,039   

Machinery

  22,886                22,886   

Media

  87,612                87,612   

Metals & Mining

  26,709                26,709   

Multiline Retail

  61,277                61,277   

Oil, Gas & Consumable Fuels

  22,026                22,026   

Pharmaceuticals

  117,380                117,380   

Real Estate Investment Trusts

  607,946                607,946   

Semiconductors & Semiconductor Equipment

  28,426                28,426   

Software

  49,193                49,193   

Specialty Retail

  29,610                29,610   

Developed Markets

Aerospace & Defense

       22,318           22,318   

Airlines

       17,086           17,086   

Auto Components

       22,877           22,877   

Automobiles

  29,797      39,659           69,456   

Banks

       203,353           203,353   

Beverages

       34,250           34,250   

Building Products

       25,910           25,910   

Capital Markets

       32,554           32,554   

Chemicals

       31,762           31,762   

Commercial Services & Supplies

  3,539                3,539   

Construction Materials

       49,071           49,071   

Containers & Packaging

       15,769           15,769   

Diversified Financial Services

       54,374           54,374   

Diversified Telecommunication Services

       90,032           90,032   

Electrical Equipment

       26,517           26,517   

Energy Equipment & Services

       42,941           42,941   

Food & Staples Retailing

       39,185           39,185   

Health Care Equipment & Supplies

       20,508           20,508   

Industrial Conglomerates

  13,958      12,568           26,526   

Insurance

       125,768           125,768   

Life Sciences Tools & Services

       16,565           16,565   

Media

       29,129           29,129   

Multiline Retail

       26,731           26,731   

Oil, Gas & Consumable Fuels

  46,134      103,246           149,380   

Pharmaceuticals

  46,538      191,675           238,213   

Semiconductors & Semiconductor Equipment

  14,382                14,382   

Specialty Retail

       21,213           21,213   

Technology Hardware, Storage & Peripherals

       17,225           17,225   

Textiles, Apparel & Luxury Goods

  28,273                28,273   

Trading Companies & Distributors

       14,066           14,066   

Wireless Telecommunication Services

  28,726                28,726   

Emerging Markets

Auto Components

       11,524           11,524   

Banks

  5,904      18,125           24,029   

Diversified Telecommunication Services

       35,801           35,801   

Health Care Providers & Services

       17,916           17,916   

Insurance

       35,166           35,166   

Machinery

       11,567      20,209      31,776   

Metals & Mining

  21,536      14,332           35,868   

Oil, Gas & Consumable Fuels

  2,381      12,753           15,134   

Semiconductors & Semiconductor Equipment

  10,143      64,942           75,085   

Exchange-Traded Funds

  573,230                573,230   

Investment Companies

  5,714,131                5,714,131   

Rights

  1,404                1,404   

Money Market Fund

  1,402,529                1,402,529   
    

 

 

        

 

 

        

 

 

        

 

 

   

Total

$ 9,575,594    $ 1,548,478    $ 20,209    $ 11,144,281   
    

 

 

        

 

 

        

 

 

        

 

 

   

 

 

LVIP Franklin Templeton Multi-Asset Opportunities Fund–6


LVIP Franklin Templeton Multi-Asset Opportunities Fund

Schedule of Investments (continued)

 

 

Level 1

Level 2

Level 3

Total

Foreign Currency Exchange Contracts

   $          $ (28       $          $ (28   
    

 

 

        

 

 

        

 

 

        

 

 

   

Swap Contracts

$    $ 3,856    $    $ 3,856   
    

 

 

        

 

 

        

 

 

        

 

 

   

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Franklin Templeton Multi-Asset Opportunities Fund–7


LVIP Global Income Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Principal
Amount°
 

      Value

      (U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES–0.43%

  

Fannie Mae ARM

•1.919% 11/1/34

  44,866    $ 47,197   

•1.933% 10/1/37

  41,535      43,989   

•1.978% 11/1/37

  64,903      68,821   

•2.053% 4/1/38

  233,612      247,665   

•2.09% 9/1/33

  310,378      328,598   

•2.125% 9/1/34

  186,608      198,805   

•2.247% 2/1/35

  29,696      31,714   

•2.25% 10/1/32

  70,233      74,791   

•2.281% 7/1/34

  67,601      72,122   

•2.33% 9/1/33

  132,005      140,773   

•2.331% 6/1/35

  750,644      799,819   

•2.338% 4/1/34

  251,326      268,198   

•2.345% 6/1/36

  55,349      59,888   

•2.358% 8/1/36

  58,473      62,798   

•2.366% 1/1/37

  14,495      15,570   

•2.368% 5/1/36

  14,634      15,800   

•2.375% 3/1/35

  97,536      104,046   

•2.424% 1/1/37

  145,400      156,711   

•3.963% 4/1/38

  85,241      91,412   

•4.574% 5/1/38

  154,809      165,983   

•5.059% 10/1/35

  318,710      332,400   

Freddie Mac ARM

•1.985% 1/1/36

  52,189      54,928   

•2.212% 5/1/38

  586,622      624,487   

•2.367% 1/1/35

  189,484      202,672   

•2.375% 10/1/34

  48,450      51,129   

•2.405% 1/1/35

  200,469      214,491   

•2.424% 4/1/38

  889,186      952,527   

•2.427% 3/1/34

  24,372      26,081   

•2.471% 5/1/38

  100,387      107,801   

•2.52% 8/1/31

  48,297      51,397   

•2.534% 11/1/33

  23,654      25,405   

•2.564% 4/1/30

  64,881      68,419   

•2.575% 7/1/36

  224,721      235,252   

•2.612% 11/1/36

  29,999      32,403   
     

 

 

 

Total Agency Mortgage-Backed Securities
(Cost $5,864,066)

   

        5,974,092   
     

 

 

 

COMMERCIAL MORTGAGE-BACKED
SECURITIES–1.30%

   

Bank of America Commercial Mortgage Trust

  

•Series 2006-1 D
5.448% 9/10/45

 

170,000

  

 

170,064

  

•Series 2006-4 AJ
5.695% 7/10/46

 

750,000

  

 

775,745

  

Bear Stearns Commercial Mortgage Securities Trust

  

•Series 2006-PW11 AJ
5.438% 3/11/39

 

700,000

  

 

716,482

  

•Series 2006-PW12 AJ
5.742% 9/11/38

 

700,000

  

 

718,710

  

#•Series 2006-PW12 B 144A
5.742% 9/11/38

 

180,000

  

 

176,047

  

  Principal
Amount°
 

      Value

      (U.S. $)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

   

Bear Stearns Commercial Mortgage Securities Trust (continued)

  

•Series 2006-PW13 AJ
5.611% 9/11/41

 

750,000

  

$

772,068

  

•Series 2007-PW16 AM
5.708% 6/11/40

 

500,000

  

 

544,301

  

CD Commercial Mortgage Trust

•Series 2005-CD1 E
5.225% 7/15/44

 

370,000

  

 

370,152

  

Series 2006-CD3 AJ
5.688% 10/15/48

 

500,000

  

 

496,304

  

•Citigroup Commercial Mortgage
Trust Series 2007-C6 AM
5.703% 12/10/49

  850,000      905,264   

#Colony Multifamily Mortgage

Trust Series 2014-1 A 144A
2.543% 4/20/50

 

1,054,773

  

 

1,057,070

  

Commercial Mortgage Trust

•Series 2005-GG5 AJ
5.237% 4/10/37

  590,000      593,731   

•Series 2006-GG7 AJ
5.785% 7/10/38

 

700,000

  

 

716,435

  

•Series 2006-GG7 AM
5.785% 7/10/38

 

260,000

  

 

272,210

  

Series 2007-GG9 A4
5.444% 3/10/39

 

900,000

  

 

949,678

  

Series 2007-GG9 AM
5.475% 3/10/39

 

525,000

  

 

553,693

  

#•G-FORCE Series 2005-RR2

A3FL 144A 0.474% 12/25/39

  254,244      239,625   

JPMorgan Chase Commercial Mortgage Securities Trust

  

Series 2004-LN2 A2
5.115% 7/15/41

 

50,301

  

 

50,331

  

#•Series 2005-LDP1 E 144A
5.984% 3/15/46

 

25,037

  

 

25,022

  

•Series 2005-LDP5 E
5.382% 12/15/44

 

650,000

  

 

655,698

  

Series 2006-CB17 AM
5.464% 12/12/43

 

500,000

  

 

515,958

  

LB-UBS Commercial Mortgage Trust

#•Series 2004-C7 H 144A
4.866% 10/15/36

 

700,000

  

 

718,790

  

•Series 2006-C4 AJ
5.842% 6/15/38

 

750,000

  

 

786,221

  

•Series 2006-C4 AM
5.842% 6/15/38

 

730,000

  

 

768,398

  

•Merrill Lynch Mortgage Trust
Series 2005-CKI1 D
5.282% 11/12/37

  170,000      170,906   

Morgan Stanley Capital I Trust
•Series 2007-HQ11 A1A
5.422% 2/12/44

  706,427            752,210   
 

 

LVIP Global Income Fund––1


LVIP Global Income Fund

Schedule of Investments (continued)

 

    Principal
Amount°
 

      Value

      (U.S. $)

 

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

   

Morgan Stanley Capital I Trust (continued)

  

•Series 2007-IQ16 AM
6.086% 12/12/49

 

500,000

  

$

548,994

  

•Series 2007-IQ16 AMA
6.082% 12/12/49

 

700,000

  

 

761,461

  

#•Resource Capital Series
2014-CRE2 A 144A
1.227% 4/15/32

 

355,000

  

 

352,924

  

•Talisman-6 Finance Series 6 A
0.251% 10/22/16

EUR

 

318,131

  

 

338,285

  

Wachovia Bank Commercial Mortgage Trust

  

•Series 2006-C23 AJ
5.515% 1/15/45

 

650,000

  

 

669,440

  

•Series 2006-C28 AM
5.603% 10/15/48

 

800,000

  

 

847,686

  

        

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $18,357,934)

   

 

      17,989,903

  

        

 

 

 

DCORPORATE BONDS–6.19%

  

Australia–0.02%

FMG Resources August 2006

#144A 6.875% 2/1/18

  133,333      131,000   

#144A 8.25% 11/1/19

  100,000      86,375   
        

 

 

 
  217,375   
        

 

 

 

Belgium–0.01%

Anheuser-Busch InBev
2.875% 9/25/24

EUR

 

100,000

  

 

126,087

  

        

 

 

 
  126,087   
        

 

 

 

British Virgin Islands–0.08%

#Sinopec Group Overseas
Development 2014 144A
1.75% 4/10/17

 

800,000

  

 

801,638

  

#State Grid Overseas Investment

  

2014 144A 2.75% 5/7/19

 

300,000

  

 

305,973

  

        

 

 

 
  1,107,611   
        

 

 

 

Canada–0.06%

Canadian Natural Resources
1.75% 1/15/18

 

500,000

  

 

497,859

  

#VRX Escrow 144A
5.375% 3/15/20

 

300,000

  

 

303,375

  

        

 

 

 
  801,234   
        

 

 

 

Cayman Islands–0.02%

#•Seven & Seven 144A
1.404% 9/11/19

 

270,000

  

 

269,714

  

        

 

 

 
  269,714   
        

 

 

 

China–0.16%

#Alibaba Group Holding 144A
2.50% 11/28/19

 

600,000

  

 

600,861

  

      Principal
Amount°
 

      Value

      (U.S. $)

 

DCORPORATE BONDS (continued)

  

China (continued)

#Export-Import Bank of China
144A 2.50% 7/31/19

 

1,000,000

  

$

1,014,474

  

Industrial & Commercial Bank of China 3.231% 11/13/19

  600,000      617,968   
        

 

 

 
  2,233,303   
        

 

 

 

Denmark–0.12%

Nykredit Realkredit
2.00% 4/1/16

 

DKK

  

 

11,127,000

  

 

1,636,862

  

        

 

 

 
  1,636,862   
        

 

 

 

France–0.13%

Arkema 1.50% 1/20/25

  EUR      200,000      218,996   

Casino Guichard Perrachon
3.311% 1/25/23

 

EUR

  

 

200,000

  

 

245,836

  

#Electricite de France 144A
2.15% 1/22/19

 

1,000,000

  

 

1,013,994

  

Pernod Ricard 2.125% 9/27/24

  EUR      100,000      115,701   

Veolia Environnement
4.625% 3/30/27

 

EUR

  

 

100,000

  

 

145,308

  

        

 

 

 
  1,739,835   
        

 

 

 

Germany–0.22%

KFW 2.05% 2/16/26

  JPY      250,000,000      2,468,474   

#Norddeutsche Landesbank
Girozentrale 144A
2.00% 2/5/19

 

600,000

  

 

609,282

  

        

 

 

 
        3,077,756   
        

 

 

 

Hong Kong–0.11%

CNOOC Nexen Finance
2014 1.625% 4/30/17

  1,100,000      1,098,015   

#Hutchison Whampoa
International 14 144A
1.625% 10/31/17

 

500,000

  

 

498,261

  

        

 

 

 
  1,596,276   
        

 

 

 

Ireland–0.07%

Depfa ACS Bank
1.65% 12/20/16

 

JPY

  

 

120,000,000

  

 

1,021,992

  

        

 

 

 
  1,021,992   
        

 

 

 

Italy–0.30%

Aeroporti di Roma
3.25% 2/20/21

 

EUR

  

 

200,000

  

 

243,212

  

Banca Monte dei Paschi di
Siena 2.875% 4/16/21

 

EUR

  

 

600,000

  

 

724,838

  

Intesa Sanpaolo

•0.198% 5/18/17

  EUR      200,000      213,988   

•1.555% 7/29/15

  EUR      500,000      540,159   

2.375% 1/13/17

  200,000      202,472   

3.875% 1/16/18

  700,000      734,912   

UniCredit
•1.02% 4/10/17

 

EUR

  

 

300,000

  

 

325,090

  

 

 

LVIP Global Income Fund––2


LVIP Global Income Fund

Schedule of Investments (continued)

 

     

Principal

Amount°

 

      Value

      (U.S. $)

 

DCORPORATE BONDS (continued)

  

Italy (continued)

UniCredit (continued)

•1.605% 7/24/15

  EUR      500,000    $       539,683   

Unione di Banche Italiane
2.875% 2/18/19

 

EUR

  

 

500,000

  

 

576,537

  

        

 

 

 
  4,100,891   
        

 

 

 

Luxembourg–0.07%

Actavis Funding 2.35% 3/12/18

  600,000      608,545   

ArcelorMittal 6.125% 6/1/18

  350,000      376,950   
        

 

 

 
  985,495   
        

 

 

 

Mexico–0.05%

Coca-Cola Femsa
2.375% 11/26/18

 

700,000

  

 

716,618

  

        

 

 

 
  716,618   
        

 

 

 

Netherlands–0.13%

#•ING Bank 144A 0.964% 10/1/19

  1,000,000      1,002,855   

Koninklijke KPN 4.25% 3/1/22

  EUR      100,000      131,067   

•Petrobras Global Finance
3.151% 3/17/20

 

700,000

  

 

605,500

  

        

 

 

 
  1,739,422   
        

 

 

 

Portugal–0.02%

Banco Comercial Portugues
4.75% 6/22/17

 

EUR

  

 

200,000

  

 

235,568

  

        

 

 

 
  235,568   
        

 

 

 

Republic of Korea–0.20%

•Export-Import Bank of Korea
1.003% 1/14/17

 

1,500,000

  

 

1,507,773

  

#Hyundai Capital Services 144A
2.625% 9/29/20

 

600,000

  

 

603,285

  

#Woori Bank 144A 4.75% 4/30/24

  650,000      696,064   
        

 

 

 
  2,807,122   
        

 

 

 

South Africa–0.01%

#Edcon 144A 9.50% 3/1/18

  EUR      150,000      123,424   
        

 

 

 
  123,424   
        

 

 

 

Spain–0.05%

Bankinter 1.75% 6/10/19

  EUR      600,000      675,167   
        

 

 

 
  675,167   
        

 

 

 

Sweden–0.05%

•Svenska Handelsbanken
0.761% 6/17/19

 

700,000

  

 

700,951

  

        

 

 

 
  700,951   
        

 

 

 

Switzerland–0.04%

•Credit Suisse New York
0.751% 5/26/17

 

600,000

  

 

600,152

  

        

 

 

 
  600,152   
        

 

 

 
   

Principal

Amount°

 

      Value

      (U.S. $)

 

DCORPORATE BONDS (continued)

  

United Kingdom–0.22%

•Barclays Bank 0.837% 2/17/17

  1,300,000    $ 1,302,951   

#Petrofac 144A 3.40% 10/10/18

  600,000      592,105   

Royal Bank of Scotland
6.934% 4/9/18

EUR

 

200,000

  

 

247,343

  

•Yorkshire Building Society
2.314% 3/23/16

GBP

 

641,000

  

 

965,209

  

        

 

 

 
        3,107,608   
        

 

 

 

United States–4.05%

Altria Group 2.625% 1/14/20

  600,000      610,294   

American Tower 3.40% 2/15/19

  500,000      516,809   

•Amgen 0.862% 5/22/19

  1,000,000      1,001,768   

•Apple 0.503% 5/3/18

  1,000,000      1,003,509   

Bank of America

•1.293% 1/15/19

  1,000,000      1,014,624   

2.65% 4/1/19

  700,000      713,927   

#Bayer US Finance 144A
2.375% 10/8/19

 

1,000,000

  

 

1,017,736

  

BB&T 1.60% 8/15/17

  1,300,000      1,309,048   

Beazer Homes USA
5.75% 6/15/19

 

3,000,000

  

 

2,940,000

  

Becton Dickinson
2.675% 12/15/19

 

600,000

  

 

613,524

  

#California Resources 144A
5.50% 9/15/21

 

300,000

  

 

267,660

  

Capital One Bank USA
2.30% 6/5/19

 

800,000

  

 

802,294

  

Celgene 1.90% 8/15/17

  1,000,000      1,013,322   

CenturyLink 6.00% 4/1/17

  1,000,000      1,068,750   

Chesapeake Energy

•3.503% 4/15/19

  100,000      96,500   

7.25% 12/15/18

  300,000      325,500   

CIT Group 3.875% 2/19/19

  300,000      297,750   

Citigroup

•0.534% 6/9/16

  1,000,000      994,238   

•1.044% 4/8/19

  200,000      200,117   

Constellation Brands
3.875% 11/15/19

 

300,000

  

 

309,750

  

Dell 3.10% 4/1/16

  1,500,000      1,516,875   

DIRECTV Holdings
2.40% 3/15/17

 

1,000,000

  

 

1,018,427

  

DISH DBS 7.125% 2/1/16

  2,500,000      2,603,125   

Dominion Resources
1.40% 9/15/17

 

1,000,000

  

 

1,001,816

  

DPL 6.50% 10/15/16

  350,000      368,375   

Eastman Chemical
2.40% 6/1/17

 

1,000,000

  

 

1,021,506

  

#Enable Midstream Partners
144A 2.40% 5/15/19

 

800,000

  

 

784,700

  

#Energy XXI Gulf Coast 144A
11.00% 3/15/20

 

200,000

  

 

190,750

  

 

 

LVIP Global Income Fund––3


LVIP Global Income Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

DCORPORATE BONDS (continued)

  

United States (continued)

EnLink Midstream Partners
2.70% 4/1/19

 

300,000

  

$

300,214

  

Enterprise Products Operating
3.20% 2/1/16

 

1,000,000

  

 

      1,017,926

  

Ford Motor Credit

•0.784% 9/8/17

  200,000      198,969   

1.50% 1/17/17

  1,000,000      1,002,552   

Freeport-McMoRan
2.30% 11/14/17

 

600,000

  

 

598,462

  

#Glencore Funding 144A
3.125% 4/29/19

 

500,000

  

 

512,400

  

•Goldman Sachs Group
1.417% 4/23/20

 

1,000,000

  

 

1,013,944

  

Halcon Resources
9.75% 7/15/20

 

100,000

  

 

71,000

  

HCA 4.25% 10/15/19

  300,000      308,625   

#Hyundai Capital America 144A
1.45% 2/6/17

 

400,000

  

 

400,623

  

JPMorgan Chase

•1.156% 1/25/18

  1,200,000      1,215,487   

2.20% 10/22/19

  1,000,000      1,003,368   

Juniper Networks
3.30% 6/15/20

 

400,000

  

 

405,260

  

KB Home 4.75% 5/15/19

  100,000      98,000   

Kinder Morgan 3.05% 12/1/19

  700,000      707,697   

#Kinder Morgan Finance 144A
6.00% 1/15/18

 

300,000

  

 

328,993

  

Kraft Foods Group 2.25% 6/5/17

  1,000,000      1,018,603   

•Kroger 0.787% 10/17/16

  1,000,000      1,002,286   

Linn Energy

6.25% 11/1/19

  150,000      119,250   

6.50% 5/15/19

  100,000      84,563   

Lorillard Tobacco 2.30% 8/21/17

  700,000      707,231   

#Metropolitan Life Global

Funding I 144A 1.30% 4/10/17

  1,000,000      1,005,877   

MGM Resorts International
8.625% 2/1/19

 

300,000

  

 

343,500

  

•Mondelez International
0.775% 2/1/19

 

1,000,000

  

 

991,930

  

Morgan Stanley

•1.106% 1/24/19

  1,000,000      1,004,264   

•1.396% 1/27/20

  200,000      203,227   

Navient 5.50% 1/15/19

  350,000      357,875   

#•NBCUniversal Enterprise 144A
0.938% 4/15/18

 

1,000,000

  

 

1,008,098

  

#New York Life Global Funding
144A 2.10% 1/2/19

 

1,000,000

  

 

1,015,486

  

NGL Energy Partners
5.125% 7/15/19

 

200,000

  

 

197,000

  

Pactiv 8.125% 6/15/17

  1,000,000      1,085,000   

Peabody Energy 6.00% 11/15/18

  400,000      318,000   
 

Principal

Amount°

 

      Value

      (U.S. $)

 

DCORPORATE BONDS (continued)

  

United States (continued)

PPL Energy Supply
6.20% 5/15/16

 

2,000,000

  

$

2,069,244

  

#Prudential Covered Trust 2012-1
144A 2.997% 9/30/15

 

1,120,000

  

 

1,131,235

  

Regions Financial
2.00% 5/15/18

 

1,000,000

  

 

999,824

  

Reynolds Group Issuer
9.00% 4/15/19

 

300,000

  

 

315,750

  

Sanchez Energy 7.75% 6/15/21

  250,000      243,750   

Sempra Energy 2.30% 4/1/17

  1,000,000      1,020,492   

#Sprint Communications 144A
9.00% 11/15/18

 

400,000

  

 

460,000

  

#Tenet Healthcare 144A
5.00% 3/1/19

 

100,000

  

 

99,500

  

#TIAA Asset Management Finance
144A 2.95% 11/1/19

  600,000      615,590   

Time Warner 2.10% 6/1/19

  500,000      503,037   

Tyson Foods 2.65% 8/15/19

  500,000      512,491   

Verizon Communications
1.10% 11/1/17

 

1,000,000

  

 

991,724

  

Viacom 2.75% 12/15/19

  600,000      610,109   

Walgreens Boots Alliance
1.75% 11/17/17

 

600,000

  

 

605,837

  

•Wells Fargo 0.887% 4/23/18

  1,400,000      1,409,919   
     

 

 

 
        55,856,906   
     

 

 

 

Total Corporate Bonds
(Cost $86,947,038)

   

 

85,477,369

  

     

 

 

 

MUNICIPAL BONDS–0.06%

University of California

•Series Y-1 0.679% 7/1/41

  785,000      785,126   

•Series Y-2 0.679% 7/1/41

  40,000      40,007   
     

 

 

 

Total Municipal Bonds
(Cost $825,000)

   

 

825,133

  

     

 

 

 

NON-AGENCY ASSET-BACKED SECURITIES–3.02%

  

American Express Credit Account Master Trust

  

•Series 2008-2 A
1.435% 9/15/20

 

300,000

  

 

307,848

  

•Series 2008-6 A
1.375% 2/15/18

 

930,000

  

 

932,681

  

•Series 2012-1 A
0.445% 1/15/20

 

1,310,000

  

 

1,310,701

  

•Series 2012-3 A
0.325% 3/15/18

 

260,000

  

 

260,000

  

#•American Homes 4 Rent Series
2014-SFR1 A 144A
1.25% 6/17/31

 

325,582

  

 

322,056

  

#•ARES IIIR/IVR CLO Series
2007-3RA B 144A
0.624% 4/16/21

 

1,000,000

  

 

953,100

  

 

 

LVIP Global Income Fund––4


LVIP Global Income Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

#•ARES XI CLO Series 2007-11A
A1C 144A 0.522% 10/11/21

 

448,758

  

$

443,014

  

•BA Credit Card Trust Series
2014-A2 A 0.445% 9/16/19

 

1,000,000

  

 

      1,000,207

  

#•Babson CLO Series 2007-1A A1
144A 0.482% 1/18/21

 

648,400

  

 

642,630

  

#•Bridgeport CLO Series 2006-1A
B 144A 0.906% 7/21/20

 

1,000,000

  

 

950,700

  

Capital One Multi-Asset Execution Trust

  

•Series 2007-A1 A1
0.225% 11/15/19

 

1,240,000

  

 

1,234,359

  

•Series 2007-A2 A2
0.255% 12/16/19

 

1,230,000

  

 

1,225,411

  

•Series 2007-A5 A5
0.215% 7/15/20

 

960,000

  

 

953,249

  

#•Catamaran CLO Series 2014-2A
B 144A 3.257% 10/18/26

 

606,600

  

 

595,924

  

#•Cent CDO 15 Series 2007-15A
A2B 144A 0.607% 3/11/21

 

1,000,000

  

 

949,400

  

#•Centerline REIT Series
2004-RR3 A2 144A
4.933% 9/21/45

 

655,836

  

 

671,412

  

Chase Issuance Trust

•Series 2007-A2 A2
0.225% 4/15/19

 

1,290,000

  

 

1,283,747

  

•Series 2007-B1 B1
0.425% 4/15/19

 

1,000,000

  

 

994,486

  

•Series 2007-C1 C1
0.635% 4/15/19

 

400,000

  

 

398,471

  

Series 2012-A3 A3
0.79% 6/15/17

 

260,000

  

 

260,183

  

•Series 2012-A6 A
0.305% 8/15/17

 

1,100,000

  

 

1,099,915

  

Series 2012-A8 A8
0.54% 10/16/17

 

670,000

  

 

670,007

  

•Series 2012-A9 A9
0.325% 10/16/17

 

600,000

  

 

599,767

  

•Series 2013-A3 A3
0.455% 4/15/20

 

653,000

  

 

651,815

  

•Series 2014-A3 A3
0.375% 5/15/18

 

1,280,000

  

 

1,279,123

  

•Series 2014-A5 A5
0.545% 4/15/21

 

750,000

  

 

750,000

  

Citibank Credit Card Issuance Trust

Series 2003-A7 A7
4.15% 7/7/17

 

500,000

  

 

504,895

  

•Series 2006-A8 A8
0.293% 12/17/18

 

600,000

  

 

598,454

  

•Series 2008-A6 A6
1.376% 5/22/17

 

600,000

  

 

600,833

  

Series 2012-A1 A1
0.55% 10/10/17

 

470,000

  

 

470,012

  

  Principal         Value  
  Amount°         (U.S. $)  

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

Citibank Credit Card Issuance Trust (continued)

  

•Series 2013-A1 A1
0.274% 4/24/17

 

1,200,000

  

$

      1,199,832

  

•Series 2013-A11 A11
0.418% 2/7/18

 

1,000,000

  

 

999,913

  

•Series 2013-A12 A12
0.486% 11/7/18

 

660,000

  

 

659,543

  

•Series 2014-A3 A3
0.375% 5/9/18

 

230,000

  

 

229,974

  

Colony American Homes

#•Series 2014-1A A 144A
1.327% 5/17/31

 

284,814

  

 

282,658

  

#•Series 2014-1A C 144A
2.027% 5/17/31

 

100,000

  

 

99,697

  

#•Cornerstone CLO Series
2007-1A A1J 144A
0.653% 7/15/21

 

1,200,000

  

 

      1,190,400

  

#•CountryPlace Manufactured
Housing Contract Trust Series
2005-1 A3 144A
4.80% 12/15/35

 

79,653

  

 

81,114

  

#•CT CDO IV Series 2006-4A A1
144A 0.486% 10/20/43

 

529,551

  

 

517,372

  

Discover Card Execution Note Trust

Series 2012-A3 A3
0.86% 11/15/17

 

630,000

  

 

630,330

  

•Series 2012-A4 A4
0.545% 11/15/19

 

1,000,000

  

 

1,002,317

  

•Series 2012-A5 A5
0.375% 1/16/18

 

1,300,000

  

 

1,300,268

  

•Series 2013-A6 A6
0.625% 4/15/21

 

580,000

  

 

581,601

  

•Series 2014-A1 A1
0.605% 7/15/21

 

800,000

  

 

801,828

  

Eaton Vance CLO

#•Series 2014-1A B 144A
2.303% 7/15/26

 

200,800

  

 

201,141

  

#•Series 2014-1A C 144A
3.253% 7/15/26

 

171,300

  

 

170,872

  

#•Fairfield Street Solar Series
2004-1A A1 144A
0.612% 11/28/39

 

712,560

  

 

684,627

  

Ford Credit Auto Owner Trust
Series 2012-D A3
0.51% 4/15/17

 

360,970

  

 

360,935

  

Invitation Homes Trust

#•Series 2014-SFR1 B 144A
1.677% 6/17/31

  130,000      129,481   

#•Series 2014-SFR2 B 144A
1.775% 9/17/31

 

740,000

  

 

740,346

  

#•Series 2015-SFR1 A 144A
1.627% 3/17/32

 

215,819

  

 

216,847

  

 

 

LVIP Global Income Fund––5


LVIP Global Income Fund

Schedule of Investments (continued)

 

  Principal   Value  
  Amount°   (U.S. $)  

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

Invitation Homes Trust (continued)

#•Series 2015-SFR2 A 144A
1.528% 6/17/32

 

330,000

  

$

330,000

  

LNR CDO

#•Series 2002-1A DFL 144A
1.574% 7/24/37

 

727,631

  

 

703,182

  

#•Series 2003-1A EFL 144A
3.173% 7/23/36

 

185,236

  

 

184,309

  

Mercedes-Benz Auto Lease
Trust Series 2013-A A4
0.72% 12/17/18

 

1,000,000

  

 

1,000,148

  

#•Newcastle CDO V Series
2004-5A 1 144A
0.607% 12/24/39

 

54,528

  

 

53,034

  

#•N-Star REL CDO VI Series
2006-6A A1 144A
0.601% 6/16/41

 

547,950

  

 

518,306

  

¿Park Place Securities
Asset-Backed Pass Through
Certificates Series
2004-WHQ2 M2
1.119% 2/25/35

  59,009      58,818   

Progress Residential Trust

#•Series 2014-SFR1 B 144A
2.077% 10/17/31

 

200,000

  

 

201,475

  

#•Series 2015-SFR1 A 144A
1.577% 2/17/32

 

1,010,000

  

 

1,012,863

  

•RAAC Trust Series 2004-SP1 AII
0.874% 3/25/34

 

405,140

  

 

386,319

  

Silver Bay Realty Trust

#•Series 2014-1 A 144A
1.177% 9/17/31

 

129,001

  

 

127,184

  

#•Series 2014-1 B 144A
1.627% 9/17/31

 

100,000

  

 

99,239

  

#•SWAY Residential Trust Series
2014-1 A 144A 1.477% 1/17/32 .

 

475,824

  

 

475,192

  

#•Trade MAPS 1 Series 2013-1A A

    144A 0.875% 12/10/18

 

500,000

  

 

499,717

  

West CLO

#•Series 2014-1A A2 144A
2.357% 7/18/26

 

310,000

  

 

303,428

  

#•Series 2014-1A B 144A
3.107% 7/18/26

 

830,000

  

 

784,765

  

     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $41,785,345)

   

 

      41,733,475

  

     

 

 

 

NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.91%

   

•Bear Stearns Alternative A
Trust Series 2004-10 1A3
1.174% 9/25/34

 

439,058

  

 

438,696

  

CHL Mortgage Pass Through Trust

¿Series 2004-6 1A1
2.496% 5/25/34

 

425,983

  

 

424,294

  

  Principal   Value  
  Amount°   (U.S. $)  

NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued)

   

CHL Mortgage Pass Through Trust (continued)

¿Series 2004-11 2A1
2.078% 7/25/34

 

167,499

  

$

165,873

  

Credit Suisse First Boston Mortgage Securities

  

•Series 2003-AR9 3M1
1.674% 3/25/33

 

393,561

  

 

392,145

  

•Series 2005-C5 C
5.10% 8/15/38

 

300,000

  

 

303,662

  

•Fannie Mae Connecticut
Avenue Securities Series
2014-C02 2M1 1.124% 5/25/24

 

147,406

  

 

146,565

  

•First Horizon Alternative
Mortgage Securities Trust
Series 2004-AA5 2A1
2.068% 12/25/34

  492,410      479,657   

•Freddie Mac Structured Agency
Credit Risk Debt Notes Series
2015-HQ1 M1 1.223% 3/25/25

 

390,000

  

 

390,366

  

•HarborView Mortgage Loan
Trust Series 2004-1 3A
2.185% 4/19/34

  421,515      420,674   

•Impac Secured Assets CMN
Owner Trust Series 2004-4 M1
0.939% 2/25/35

  100,000      93,579   

•IndyMac INDX Mortgage Loan
Trust Series 2005-AR1 1A1
2.526% 3/25/35

  581,100      570,432   

•JPMorgan Mortgage Trust
Series 2004-A1 5A1
2.522% 2/25/34

 

565,560

  

 

561,189

  

#•Kildare Securities Series
2007-1A A2 144A
0.385% 12/10/43

  194,596      194,198   

•Merrill Lynch Mortgage
Investors Trust Series 2003-A
1A 0.914% 3/25/28

  82,521      78,186   

Morgan Stanley Mortgage Loan Trust

•Series 2004-8AR 4A2
2.419% 10/25/34

 

490,936

  

 

487,380

  

•Series 2004-10AR 2A2
2.467% 11/25/34

 

477,644

  

 

487,463

  

•New York Mortgage Trust Series
2005-3 M1 0.624% 2/25/36

 

50,713

  

 

46,523

  

Sequoia Mortgage Trust

•Series 2003-4 1A1
0.796% 7/20/33

 

753,827

  

 

706,657

  

•Series 2004-10 A2
0.816% 11/20/34

 

601,214

  

 

566,160

  

•Structured Adjustable Rate
Mortgage Loan Trust Series
2004-12 3A1 2.431% 9/25/34

 

525,275

  

 

529,470

  

 

 

LVIP Global Income Fund––6


LVIP Global Income Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued)

   

Structured Asset Mortgage Investments II Trust

  

•Series 2003-AR4 A1
0.878% 1/19/34

 

467,024

  

$

452,215

  

•Series 2004-AR6 A1A
0.878% 2/19/35

 

483,140

  

 

452,880

  

Structured Asset Mortgage Investments Trust

•Series 2003-AR1 A1
0.918% 10/19/33

 

522,308

  

 

491,639

  

•Series 2003-AR2 A1
0.914% 12/19/33

 

133,683

  

 

128,417

  

Thornburg Mortgage Securities Trust

  

•Series 2003-4 A1
0.814% 9/25/43

 

408,669

  

 

394,569

  

•Series 2007-4 1A1
2.374% 9/25/37

 

444,408

  

 

435,240

  

WaMu Mortgage Pass Through Certificates Trust

  

¿Series 2005-AR2 1A1A
0.504% 1/25/45

 

453,519

  

 

418,695

  

¿Series 2005-AR8 2AB2
0.594% 7/25/45

 

195,663

  

 

180,653

  

¿Series 2005-AR19 A1A1
0.444% 12/25/45

 

512,677

  

 

492,338

  

Wells Fargo Mortgage-Backed Securities Trust

  

•Series 2003-L 1A2
2.49% 11/25/33

 

403,489

  

 

402,710

  

•Series 2003-O 1A2
2.491% 1/25/34

 

158,179

  

 

159,033

  

•Series 2004-I 2A1
2.601% 7/25/34

 

211,794

  

 

211,362

  

•Series 2004-X 1A1
2.615% 11/25/34

 

236,360

  

 

236,802

  

•Series 2005-AR9 2A2
2.591% 10/25/33

 

614,089

  

 

606,030

  

     

 

 

 

Total Non-Agency Collateralized Mortgage Obligations
(Cost $12,544,292)

    

        12,545,752   
     

 

 

 

«SENIOR SECURED LOANS–0.72%

  

24 Hour Fitness Tranche B 1st Lien
4.75% 5/30/21

 

161,627

  

 

161,375

  

Allison Transmission Tranche B4 1st Lien
3.50% 8/23/19

 

41,594

  

 

41,490

  

Appvion Tranche B 1st Lien
5.75% 6/28/19

 

219,644

  

 

202,896

  

Autoparts Holdings 1st Lien
6.50% 7/29/17

 

213,231

  

 

213,231

  

AZ Chem US Tranche B 1st Lien
4.50% 6/12/21

 

73,396

  

 

73,630

  

BMC Software 1st Lien
5.00% 9/10/20

 

797,100

  

 

781,533

  

Bowie Recourse Tranche B 1st Lien
0.068% 8/12/20

 

22,176

  

 

21,746

  

  Principal         Value  
  Amount°         (U.S. $)  

«SENIOR SECURED LOANS (continued)

  

Boyd Gaming Tranche A 1st Lien
3.00% 8/14/18

 

7,845

  

$

      7,810

  

Calpine Construction Finance Tranche B
3.00% 5/3/20

 

122,398

  

 

      120,982

  

Calpine Construction Tranche B2 1st Lien
0.033% 1/31/22

 

66,726

  

 

66,217

  

Ciena Tranche B
3.75% 7/15/19

 

31,179

  

 

31,218

  

CITGO Petroleum Tranche B
4.50% 7/29/21

 

14,979

  

 

14,886

  

Connolly Tranche 1st Lien
5.00% 5/14/21

 

226,740

  

 

228,229

  

Crowne Group Tranche B 1st Lien
6.00% 10/2/21

 

223,577

  

 

222,319

  

Diamond Reports 1st Lien
5.50% 5/9/21

 

75,662

  

 

76,135

  

Dollar Tree Tranche B 1st Lien
4.25% 3/9/22

 

138,050

  

 

139,670

  

Doncasters Group Tranche B 1st Lien
4.50% 4/9/20

 

38,390

  

 

38,510

  

FGI Operating Tranche B
5.50% 4/19/19

 

926,023

  

 

904,665

  

Fieldwood Energy 1st Lien
3.875% 9/25/18

 

235,257

  

 

220,385

  

Grifols Worldwide Operations Tranche B 1st Lien
0.032% 2/27/21

 

141,904

  

 

141,928

  

Guggenheim Partners Tranche B
4.25% 7/22/20

 

55,676

  

 

56,163

  

Henniges Automotive Tranche B 1st Lien
5.50% 6/12/21

 

146,415

  

 

147,604

  

Ineos US Finance Tranche B 1st Lien
4.25% 3/31/22

 

35,462

  

 

35,547

  

Interactive Data 1st Lien
4.75% 5/2/21

 

181,490

  

 

182,530

  

Kinetic Concepts Tranche E1
4.50% 5/4/18

 

137,257

  

 

137,943

  

M/A-COM Tech Solutions Tranche B
4.50% 5/8/21

 

76,423

  

 

77,202

  

Men’s Wearhouse Tranche B 1st Lien
4.50% 6/18/21

 

171,958

  

 

173,006

  

MoneyGram International Tranche B 1st Lien
4.25% 3/28/20

 

649,307

  

 

614,407

  

Ocean Rig (Drillship) Tranche B 1st Lien
5.50% 7/25/21

 

300,847

  

 

251,959

  

OCI Beaumont Tranche B3 1st Lien
5.50% 8/20/19

 

605,241

  

 

610,159

  

Onsite Rental Group Tranche B 1st Lien
5.50% 7/31/21

 

228,489

  

 

223,897

  

Overseas Shipholding Tranche B- Exit
5.25% 8/5/19

 

135,012

  

 

134,422

  

Oxbow Carbon & Minerals Tranche B 1st Lien
4.25% 7/19/19

 

79,012

  

 

76,661

  

 

 

LVIP Global Income Fund––7


LVIP Global Income Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

«SENIOR SECURED LOANS (continued)

  

Party City Tranche B 1st Lien
4.00% 7/27/19

 

86,984

  

$

      87,039

  

Peabody Energy Tranche B
4.25% 9/24/20

 

164,853

  

 

148,523

  

Post Holdings Ince Tranche B 1st Lien
3.75% 6/2/21

 

40,480

  

 

40,520

  

Radio One
7.50% 3/31/16

 

132,721

  

 

132,776

  

Regal Cinemas 1st Lien
2.78% 8/23/17

 

59,062

  

 

59,152

  

Regal Entertainment (Cinemas) 1st Lien
0.038% 3/27/22

 

37,482

  

 

37,605

  

ROC Finance 1st Lien
5.00% 6/20/19

 

75,480

  

 

73,144

  

Savers Tranche C
5.00% 10/3/19

 

221,428

  

 

217,069

  

Seaworld Tranche B2 1st Lien
0.03% 5/14/20

 

169,558

  

 

165,797

  

Sensus
4.50% 5/9/17

 

174,607

  

 

174,825

  

Signode Industrial Group Tranche B 1st Lien
3.75% 5/1/21

 

89,110

  

 

88,720

  

SunGard Availability Services Capital Tranche B 1st Lien
6.00% 3/31/19

 

403,786

  

 

357,351

  

TGI Friday’s 1st Lien
5.25% 7/15/20

 

29,380

  

 

29,435

  

TransDigm Tranche C
3.75% 2/28/20

 

55,288

  

 

55,277

  

TransDigm Tranche D 1st Lien
3.75% 6/4/21

 

40,114

  

 

40,078

  

Tronox Pigments Tranche B
4.25% 3/19/20

 

53,406

  

 

53,475

  

UCI International Tranche B
5.50% 7/26/17

 

78,643

  

 

77,562

  

Univar Tranche B
5.00% 6/30/17

 

60,086

  

 

60,081

  

UPC Broadband Holding Tranche AH
3.25% 6/30/21

 

140,567

  

 

140,030

  

Utex Industries Tranche B
5.00% 5/22/21

 

378,629

  

 

343,606

  

Valeant Pharma International Tranche BF2-DD 1st Lien
4.00% 3/13/22

 

305,985

  

 

307,706

  

Wayne Fueling Systems 1st Lien
4.75% 6/20/21

 

228,970

  

 

229,185

  

William Morris Endeavor Entertainment Tranche B 1st Lien
6.50% 5/6/21

 

476,729

  

        473,869   

WireCo WorldGroup
6.00% 2/15/17

 

5,972

  

 

5,957

  

Worldpay Tranche B 1st Lien
4.00% 11/30/19

 

32,052

  

 

32,363

  

      Principal         Value  
      Amount°         (U.S. $)  

«SENIOR SECURED LOANS (continued)

  

Zuffa Tranche B 1st Lien
3.75% 2/25/20

 

46,792

  

$

46,588

  

        

 

 

 

Total Senior Secured Loans
(Cost $10,099,287)

   

 

9,908,088

  

        

 

 

 

DSOVEREIGN BONDS–51.20%

  

Australia–0.49%

Australia Government Bonds

5.25% 3/15/19

  AUD      1,565,000      1,351,666   

5.75% 5/15/21

  AUD      5,770,000      5,349,135   
        

 

 

 
  6,700,801   
        

 

 

 

Brazil–1.34%

Brazil Letras do Tesouro Nacional

  

≠0.396% 1/1/16

  BRL      2,860,000      814,562   

≠2.267% 1/1/17

  BRL      14,140,000      3,552,719   

≠11.133% 10/1/15

  BRL      530,000      155,909   

≠11.269% 7/1/16

  BRL      160,000      42,788   

≠11.307% 10/1/16

  BRL      500,000      129,384   

≠12.256% 1/1/18

  BRL      8,530,000      1,899,144   

Brazil Notas do Tesouro Nacional Series B

  

6.00% 5/15/15

  BRL      146,500      1,226,121   

6.00% 8/15/18

  BRL      100,000      81,255   

6.00% 5/15/19

  BRL      12,000      98,765   

6.00% 8/15/20

  BRL      1,000      8,073   

6.00% 8/15/22

  BRL      432,000      3,474,669   

6.00% 5/15/23

  BRL      335,500      2,729,598   

6.00% 8/15/24

  BRL      3,000      23,959   

6.00% 5/15/45

  BRL      50,000      394,102   

Brazil Notas do Tesouro Nacional Series F

  

10.00% 1/1/17

  BRL      3,000,000      893,418   

10.00% 1/1/21

  BRL      2,800,000      776,728   

10.00% 1/1/23

  BRL      8,250,000      2,232,822   
        

 

 

 
        18,534,016   
        

 

 

 

Finland–1.40%

Finland Government Bonds

#144A 3.50% 4/15/21

  EUR      6,700,000      8,710,999   

#144A 4.25% 7/4/15

  EUR      9,800,000      10,660,159   
        

 

 

 
  19,371,158   
        

 

 

 

Germany–3.63%

Bundesrepublik Deutschland

1.50% 9/4/22

  EUR      5,450,000      6,505,636   

2.25% 9/4/20

  EUR      17,200,000      20,864,895   

3.25% 7/4/21

  EUR      8,000,000      10,385,620   

3.50% 7/4/19

  EUR      6,700,000      8,333,444   

4.25% 7/4/39

  EUR      1,100,000      2,174,546   

4.75% 7/4/34

  EUR      1,000,000      1,919,503   
        

 

 

 
  50,183,644   
        

 

 

 

Hungary–2.28%

Hungary Government Bonds

4.00% 4/25/18

  HUF      35,650,000      134,403   
 

 

LVIP Global Income Fund––8


LVIP Global Income Fund

Schedule of Investments (continued)

 

      Principal         Value  
      Amount°         (U.S. $)  

DSOVEREIGN BONDS (continued)

  

Hungary (continued)

Hungary Government Bonds (continued)

  

5.50% 2/12/16

  HUF      230,900,000    $ 853,158   

5.50% 12/22/16

  HUF      134,120,000      510,853   

5.50% 12/20/18

  HUF      44,780,000      178,691   

5.50% 6/24/25

  HUF      933,240,000      3,971,228   

6.00% 11/24/23

  HUF      292,820,000      1,267,871   

6.50% 6/24/19

  HUF      461,600,000      1,920,692   

6.75% 2/24/17

  HUF      1,145,000,000      4,480,813   

6.75% 11/24/17

  HUF      183,690,000      741,649   

7.00% 6/24/22

  HUF      370,680,000      1,655,767   

7.50% 11/12/20

  HUF      31,620,000      141,065   

Hungary Government International Bonds

  

4.125% 2/19/18

  2,510,000      2,630,229   

5.375% 2/21/23

  4,640,000      5,208,400   

6.25% 1/29/20

  4,182,000      4,780,143   

6.375% 3/29/21

  2,580,000      3,004,152   
        

 

 

 
  31,479,114   
        

 

 

 

Iceland–0.08%

#Iceland Government International Bond 144A

  

5.875% 5/11/22

  950,000      1,098,732   
        

 

 

 
  1,098,732   
        

 

 

 

Indonesia–1.12%

Indonesia Treasury Bills

≠5.741% 5/4/15

  IDR      288,000,000      21,932   

≠6.217% 2/4/16

  IDR      5,650,000,000      410,542   

≠6.438% 1/7/16

  IDR      9,170,000,000      670,879   

Indonesia Treasury Bonds

7.875% 4/15/19

  IDR      19,546,000,000      1,533,034   

8.25% 7/15/21

  IDR      590,000,000      47,228   

8.375% 3/15/24

  IDR      56,010,000,000      4,563,262   

8.375% 3/15/34

  IDR      29,440,000,000      2,400,597   

10.00% 9/15/24

  IDR      25,030,000,000      2,238,287   

10.00% 2/15/28

  IDR      7,040,000,000      643,674   

11.00% 11/15/20

  IDR      233,000,000      20,894   

12.80% 6/15/21

  IDR      29,990,000,000      2,919,407   
        

 

 

 
  15,469,736   
        

 

 

 

Ireland–0.81%

Ireland Government Bond
5.40% 3/13/25

 

EUR

  

 

7,191,700

  

 

11,169,199

  

        

 

 

 
  11,169,199   
        

 

 

 

Japan–4.38%

Japan Government 10 Yr Bonds

  

1.70% 12/20/16

  JPY      700,000,000      6,002,283   

1.70% 3/20/17

  JPY      700,000,000      6,026,186   

1.90% 6/20/16

  JPY      1,350,000,000      11,510,929   

Japan Government 20 Yr Bond

 

1.50% 3/20/34

  JPY      2,050,000,000      18,382,666   
      Principal         Value  
      Amount°         (U.S. $)  

DSOVEREIGN BONDS (continued)

  

Japan (continued)

Japan Government 20 Yr Bonds

  

1.90% 3/22/21

  JPY      1,050,000,000    $ 9,664,175   

1.90% 6/20/25

  JPY      453,000,000      4,338,796   

Japan Government 30 Yr Bond

  

1.70% 9/20/44

 

JPY

  

 

500,000,000

  

 

4,517,582

  

        

 

 

 
  60,442,617   
        

 

 

 

Malaysia–5.90%

Bank Negara Malaysia Monetary Notes

  

≠3.002% 5/19/15

  MYR      10,795,000      2,902,686   

≠3.054% 7/16/15

  MYR      2,530,000      676,867   

≠3.073% 4/16/15

  MYR      800,000      215,729   

≠3.076% 4/28/15

  MYR      1,480,000      398,685   

≠3.103% 6/16/15

  MYR      18,560,000      4,978,493   

≠3.134% 6/3/15

  MYR      1,610,000      432,351   

≠3.167% 8/11/15

  MYR      13,220,000      3,528,759   

≠3.185% 6/4/15

  MYR      1,830,000      491,388   

≠3.197% 6/18/15

  MYR      360,000      96,565   

≠3.20% 4/23/15

  MYR      290,000      78,154   

≠3.205% 8/18/15

  MYR      640,000      170,727   

≠3.209% 11/12/15

  MYR      230,000      60,893   

≠3.216% 10/1/15

  MYR      1,620,000      430,460   

≠3.234% 11/24/15

  MYR      720,000      190,412   

≠3.279% 11/3/15

  MYR      51,540,000      13,654,318   

≠3.28% 10/27/15

  MYR      360,000      95,434   

≠3.286% 6/30/15

  MYR      20,380,000      5,460,016   

≠3.302% 5/28/15

  MYR      5,900,000      1,585,220   

≠6.193% 8/4/15

  MYR      37,390,000      9,986,201   

Malaysia Government Bonds

  

3.172% 7/15/16

  MYR      6,350,000      1,712,995   

3.197% 10/15/15

  MYR      29,245,000      7,904,232   

3.314% 10/31/17

  MYR      6,230,000      1,681,438   

3.654% 10/31/19

  MYR      12,400,000      3,359,375   

3.835% 8/12/15

  MYR      39,330,000      10,651,644   

4.181% 7/15/24

  MYR      6,100,000      1,679,489   

4.72% 9/30/15

  MYR      26,359,000      7,177,245   

Malaysia Treasury Bills

≠2.989% 7/24/15

  MYR      370,000      98,925   

≠2.993% 3/18/16

  MYR      420,000      109,886   

≠2.999% 6/26/15

  MYR      100,000      26,806   

≠3.001% 9/11/15

  MYR      420,000      111,795   

≠3.03% 6/5/15

  MYR      280,000      75,177   

≠3.04% 9/25/15

  MYR      110,000      29,259   

≠3.15% 8/14/15

  MYR      2,360,000      629,809   

≠3.20% 5/13/15

  MYR      2,760,000      742,519   

≠3.25% 1/22/16

  MYR      190,000      49,959   
        

 

 

 
        81,473,911   
        

 

 

 

Mexico–6.82%

Mexican Bonos

6.00% 6/18/15

 

MXN

  

 

59,571,000

  

 

3,939,054

  

 

 

LVIP Global Income Fund––9


LVIP Global Income Fund

Schedule of Investments (continued)

 

      Principal         Value  
      Amount°         (U.S. $)  

DSOVEREIGN BONDS (continued)

  

Mexico (continued)

Mexican Bonos (continued)

6.25% 6/16/16

  MXN      354,770,000    $ 23,998,470   

6.50% 6/10/21

  MXN      341,000,000      23,509,098   

7.25% 12/15/16

  MXN      196,822,000      13,642,847   

7.50% 6/3/27

  MXN      79,700,000      5,812,869   

7.75% 12/14/17

  MXN      24,000,000      1,704,682   

7.75% 11/23/34

  MXN      50,000,000      3,777,239   

8.00% 12/17/15

  MXN      55,139,000      3,734,825   

8.50% 12/13/18

  MXN      94,640,000      6,947,767   

Mexican Cetes

≠3.093% 5/28/15

  MXN      225,562,000      1,471,789   

≠3.604% 4/1/15

  MXN      256,070,000      1,678,964   

≠3.669% 3/31/16

  MXN      70,660,000      446,709   

≠3.819% 10/1/15

  MXN      70,239,000      452,975   

≠3.842% 9/17/15

  MXN      105,358,000      680,316   

≠4.682% 4/16/15

  MXN      122,918,000      804,900   

Mexican Udibonos

2.50% 12/10/20

  MXN      3,968,487      260,968   

3.50% 12/14/17

  MXN      7,264,079      501,831   

4.00% 6/13/19

  MXN      5,038,759      354,634   

5.00% 6/16/16

  MXN      7,163,410      493,415   
        

 

 

 
  94,213,352   
        

 

 

 

Netherlands–1.91%

Netherlands Government Bond

  

5.50% 1/15/28

 

EUR

  

 

15,000,000

  

 

26,338,113

  

        

 

 

 
  26,338,113   
        

 

 

 

New Zealand–2.94%

New Zealand Government Bonds

  

5.50% 4/15/23

  NZD      7,300,000      6,333,615   

6.00% 12/15/17

  NZD      21,000,000      16,875,203   

6.00% 5/15/21

  NZD      20,000,000      17,310,365   
        

 

 

 
        40,519,183   
        

 

 

 

Peru–0.01%

Peru Government Bond

  

7.84% 8/12/20

 

PEN

  

 

427,000

  

 

157,521

  

        

 

 

 
  157,521   
        

 

 

 

Philippines–0.28%

Philippine Government Bonds

1.625% 4/25/16

  PHP      55,520,000      1,232,450   

7.00% 1/27/16

  PHP      10,500,000      243,151   

9.125% 9/4/16

  PHP      6,310,000      153,627   

Philippine Treasury Bills

≠1.196% 4/8/15

  PHP      5,680,000      126,926   

≠1.355% 11/4/15

  PHP      5,590,000      123,515   

≠1.358% 5/6/15

  PHP      4,830,000      107,823   

≠1.402% 6/3/15

  PHP      7,340,000      163,524   

≠1.406% 8/5/15

  PHP      12,150,000      270,066   

≠1.427% 7/8/15

  PHP      1,800,000      39,889   

≠1.432% 3/2/16

  PHP      11,590,000      252,244   
    Principal   Value  
    Amount°   (U.S. $)  

DSOVEREIGN BONDS (continued)

  

Philippines (continued)

Philippine Treasury Bills (continued)

  

≠1.435% 12/2/15

PHP   13,890,000    $ 306,309   

≠1.435% 2/3/16

PHP   14,940,000      326,531   

≠1.492% 9/2/15

PHP   6,110,000      135,221   

≠1.493% 10/7/15

PHP   17,940,000      394,008   
        

 

 

 
        3,875,284   
        

 

 

 

Poland–3.05%

Poland Government Bonds

•2.01% 1/25/17

PLN   13,308,000      3,518,521   

•2.01% 1/25/21

PLN   11,269,000      2,970,002   

4.75% 10/25/16

PLN   41,750,000      11,554,320   

5.25% 10/25/17

PLN   30,030,000      8,635,252   

5.25% 10/25/20

PLN   25,500,000      7,885,049   

5.50% 10/25/19

PLN   13,750,000      4,203,034   

5.75% 10/25/21

PLN   8,050,000      2,606,001   

Poland Government
International Bonds
6.375% 7/15/19

  680,000      801,550   
        

 

 

 
  42,173,729   
        

 

 

 

Portugal–1.07%

#Portugal Government
International Bond 144A
5.125% 10/15/24

  4,160,000      4,606,285   

Portugal Obrigacoes do Tesouro OT

#144A 3.875% 2/15/30

EUR   7,500,000      9,924,978   

#144A 4.95% 10/25/23

EUR   38,200      52,703   

#144A 5.65% 2/15/24

EUR   94,800      137,040   
        

 

 

 
        14,721,006   
        

 

 

 

Republic of Korea–4.57%

Korea Monetary Stabilization Bonds

1.92% 3/9/16

KRW   126,640,000      114,431   

1.96% 2/2/17

KRW   733,200,000      664,104   

1.977% 8/4/15

KRW   338,160,000      303,226   

2.00% 5/5/15

KRW   507,240,000      456,742   

2.07% 12/2/16

KRW 3,019,200,000      2,738,506   

2.47% 4/2/15

KRW 4,724,870,000      4,260,747   

2.76% 6/2/15

KRW11,470,000,000      10,360,939   

2.79% 6/2/16

KRW 1,445,500,000      1,319,949   

2.80% 8/2/15

KRW 9,507,160,000      8,604,437   

2.80% 4/2/16

KRW 6,149,000,000      5,605,059   

2.81% 10/2/15

KRW   142,000,000      128,749   

2.90% 12/2/15

KRW13,179,200,000      11,978,498   

Korea Treasury Bonds

2.75% 12/10/15

KRW 6,928,300,000      6,293,586   

2.75% 6/10/16

KRW 4,452,000,000      4,064,306   

3.00% 12/10/16

KRW 5,054,100,000      4,654,655   

3.25% 6/10/15

KRW   849,700,000      768,426   

4.00% 9/10/15

KRW   661,400,000      602,374   
 

 

LVIP Global Income Fund—10


LVIP Global Income Fund

Schedule of Investments (continued)

 

    Principal   Value  
    Amount°   (U.S. $)  

DSOVEREIGN BONDS (continued)

  

Republic of Korea (continued)

  

Korea Treasury Bonds (continued)

  

4.00% 3/10/16

KRW

 

253,600,000

  

$

233,584

  

        

 

 

 
  63,152,318   
        

 

 

 

Republic of Lithuania–0.24%

  

Lithuania Government International Bonds

  

#144A 6.125% 3/9/21

  1,640,000      1,966,606   

#144A 7.375% 2/11/20

  1,060,000      1,304,944   
        

 

 

 
        3,271,550   
        

 

 

 

Russia–0.10%

Russian-Eurobond

#144A 7.50% 3/31/30

  1,049,850      1,207,223   

7.50% 3/31/30

  181,325      208,506   
        

 

 

 
  1,415,729   
        

 

 

 

Serbia–0.29%

Republic of Serbia

#144A 4.875% 2/25/20

  1,370,000      1,409,251   

#144A 5.25% 11/21/17

  880,000      916,828   

#144A 7.25% 9/28/21

  1,390,000      1,607,049   
        

 

 

 
  3,933,128   
        

 

 

 

Singapore–1.62%

Monetary Authority of Singapore

≠0.63% 5/4/15

SGD   18,260,000      13,294,528   

≠0.67% 4/10/15

SGD   3,600,000      2,622,570   

≠0.739% 4/6/15

SGD   1,160,000      845,132   

≠0.804% 5/15/15

SGD   3,456,000      2,515,532   

≠0.853% 5/22/15

SGD   2,020,000      1,470,056   

Singapore Government Bond
1.125% 4/1/16

SGD

 

2,310,000

  

 

1,683,523

  

        

 

 

 
  22,431,341   
        

 

 

 

Slovenia–0.65%

Slovenia Government International Bonds

  

#144A 5.50% 10/26/22

  4,340,000      5,018,299   

#144A 5.85% 5/10/23

  3,285,000      3,900,937   
        

 

 

 
  8,919,236   
        

 

 

 

Ukraine–0.81%

Financing of Infrastrucural Projects State Enterprise

  

#144A 7.40% 4/20/18

  200,000      78,500   

#144A 8.375% 11/3/17

  100,000      38,704   

Ukraine Government International Bonds

  

#144A 4.95% 10/13/15

EUR   100,000      47,926   

#144A 6.25% 6/17/16

  1,090,000      441,781   

#144A 6.58% 11/21/16

  1,028,000      414,150   

#144A 6.75% 11/14/17

  1,790,000      709,538   

#144A 7.50% 4/17/23

  4,330,000      1,830,291   

#144A 7.75% 9/23/20

  3,443,000      1,382,020   

#144A 7.80% 11/28/22

  2,960,000      1,182,402   
      Principal   Value  
      Amount°   (U.S. $)  

DSOVEREIGN BONDS (continued)

  

Ukraine (continued)

  

Ukraine Government International Bonds (continued)

  

#144A 7.95% 2/23/21

  3,670,000    $ 1,463,082   

#144A 9.25% 7/24/17

  8,870,000      3,568,845   
        

 

 

 
        11,157,239   
        

 

 

 

United Kingdom–5.41%

  

United Kingdom Gilt

  

4.25% 12/7/27

  GBP      14,060,000      26,726,962   

4.50% 9/7/34

  GBP      10,650,000      21,722,043   

4.75% 3/7/20

  GBP      8,700,000      15,185,264   

5.00% 3/7/25

  GBP      5,700,000      11,104,693   
        

 

 

 
  74,738,962   
        

 

 

 

Total Sovereign Bonds
(Cost $762,166,804)

   

 

706,940,619

  

        

 

 

 

SUPRANATIONAL BANKS–1.69%

  

Asian Development Bank

  

2.35% 6/21/27

  JPY      620,000,000      6,357,761   

European Investment Bank

  

1.40% 6/20/17

  JPY      1,960,000,000      16,931,864   
        

 

 

 

Total Supranational Banks
(Cost $24,817,932)

   

 

23,289,625

  

        

 

 

 

U.S. TREASURY OBLIGATIONS–23.56%

  

U.S. Treasury Bonds

  

3.125% 8/15/44

  8,724,000      9,775,652   

3.625% 8/15/43

  11,143,000      13,618,841   

U.S. Treasury Notes

0.625% 8/15/16

  38,000,000      38,115,786   

0.625% 5/31/17

  31,000,000      31,004,836   

0.625% 4/30/18

  29,000,000      28,739,464   

0.875% 12/31/16

  29,500,000      29,702,813   

1.00% 8/31/19

  30,000,000      29,625,000   

1.125% 4/30/20

  24,500,000      24,180,349   

1.25% 9/30/15

  5,000,000      5,027,735   

1.625% 6/30/19

  32,264,900      32,769,039   

1.625% 8/15/22

  21,000,000      20,832,651   

1.75% 5/15/22

  30,000,000      30,084,360   

2.50% 5/15/24

  14,680,000      15,422,030   

4.25% 8/15/15

  10,000,000      10,154,690   

4.50% 11/15/15

  6,000,000      6,160,782   
        

 

 

 

Total U.S. Treasury Obligations
(Cost $314,406,874)

   

 

325,214,028

  

        

 

 

 
 

 

LVIP Global Income Fund––11


LVIP Global Income Fund

Schedule of Investments (continued)

 

  Number of         Value  
  Shares         (U.S. $)  

MONEY MARKET FUND–6.11%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  84,399,882    $ 84,399,882   
     

 

 

 

Total Money Market Fund
(Cost $84,399,882)

   

        84,399,882   
     

 

 

 
  Principal         Value  
  Amount°         (U.S. $)  

SHORT-TERM INVESTMENTS–1.61%

  

Discount Note–1.06%

  

Federal Home Loan Bank
0.01% 4/1/15

  14,635,000    $ 14,635,000   
     

 

 

 
        14,635,000   
     

 

 

 

U.S. Treasury Obligations–0.55%

  

U.S. Treasury Bill
0.01% 5/7/15

  7,500,000      7,499,865   
     

 

 

 
  7,499,865   
     

 

 

 

Total Short-Term Investments
(Cost $22,134,925)

   

  22,134,865   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–96.80% (Cost $1,384,349,379)

  1,336,432,831   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–3.20%

  44,227,901   
  

 

 

 

NET ASSETS APPLICABLE TO 119,781,371 SHARES OUTSTANDING–100.00%

$ 1,380,660,732   
  

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $99,069,761, which represents 7.18% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

«

Includes $265,506 cash pledged as collateral for futures contracts as of March 31, 2015.

 

¿

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.

 

The rate shown is the effective yield at the time of purchase.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

The following foreign currency exchange contracts, foreign cross currency exchange contracts, futures contracts and swap contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts

 

              Unrealized
  Contracts to           Appreciation

Counterparty

Receive (Deliver)   In Exchange For   Settlement Date  

(Depreciation)

BAML

EUR   (12,137,044 USD           15,100,000      11/25/15             $ 1,990,715      

BAML

EUR   (251,705 USD   287,404      2/14/16            14,971   

BCLY

CLP   64,000,000    USD   (101,298   5/6/15            861   

BCLY

CLP           173,000,000    USD   (304,417   6/4/15            (29,043

BCLY

EUR   (390,401 USD   538,786      4/22/15            118,802   

BCLY

EUR   (273,608 USD   379,347      4/30/15            84,974   

BCLY

EUR   (60,000 USD   83,267      5/7/15            18,708   

BCLY

EUR   (878,515 USD   1,205,955      5/18/15            260,541   

BCLY

EUR   (343,382 USD   467,518      5/29/15            97,933   

BCLY

EUR   (405,004 USD   550,978      6/22/15            114,912   

BCLY

EUR   (1,130,000 USD   1,538,552      6/30/15            321,739   

BCLY

EUR   (228,000 USD   311,416      7/16/15            65,832   

BCLY

EUR   (357,000 USD   483,996      7/20/15            99,437   

 

LVIP Global Income Fund—12


LVIP Global Income Fund

Schedule of Investments (continued)

 

Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts (continued)

 

              Unrealized
  Contracts to           Appreciation

Counterparty

Receive (Deliver)   In Exchange For   Settlement Date  

(Depreciation)

BCLY                    

EUR   (767,000 USD   1,034,629      7/28/15                 $ 208,306      

BCLY

EUR   (59,984 USD   80,757      7/29/15            16,132   

BCLY

EUR   (97,592 USD   130,904      8/4/15            25,751   

BCLY

EUR   (1,015,000 USD   1,364,439      8/5/15            270,784   

BCLY

EUR   (705,000 USD   946,121      8/18/15            186,319   

BCLY

EUR   (251,004 USD   333,992      8/26/15            63,440   

BCLY

EUR   (63,718 USD   82,921      9/21/15            14,210   

BCLY

EUR   (153,728 USD   198,214      9/24/15            32,430   

BCLY

EUR   (590,000 USD   753,315      9/29/15            116,982   

BCLY

EUR   (617,237 USD   783,872      10/27/15            117,686   

BCLY

EUR   (174,440 USD   219,139      11/6/15            30,817   

BCLY

EUR   (4,288,000 USD   5,074,732      1/4/16            438,491   

BCLY

EUR   (268,000 USD   312,783      1/10/16            22,973   

BCLY

EUR   (142,000 USD   161,384      2/1/16            7,741   

BCLY

EUR   (627,000 USD   718,649      2/8/16            40,119   

BCLY

EUR   (725,415 USD   827,793      2/14/16            42,639   

BCLY

EUR   (992,741 USD   1,105,953      2/25/16            31,156   

BCLY

EUR   (233,016 USD   249,360      3/3/16            (2,962

BCLY

EUR   (145,209 USD   156,014      3/9/16            (1,250

BCLY

EUR   (8,017,383 USD   8,833,151      3/13/16            149,289   

BCLY

EUR   (590,000 USD   652,118      3/16/16            13,023   

BCLY

JPY   (122,220,000 USD   1,202,858      4/17/15            183,700   

BCLY

JPY   (275,090,000 USD   2,694,121      6/10/15            398,558   

BCLY

JPY   (79,441,000 USD   784,002      6/30/15            120,864   

BCLY

JPY   (49,760,000 USD   490,476      7/29/15            74,897   

BCLY

JPY   (13,360,000 USD   131,092      8/11/15            19,489   

BCLY

JPY   (11,394,000 USD   110,741      8/24/15            15,540   

BCLY

JPY   (34,125,000 USD   330,457      8/26/15            45,321   

BCLY

JPY   (24,430,094 USD   229,145      9/18/15            24,936   

BCLY

JPY   (288,100,000 USD   2,675,614      10/13/15            266,020   

BCLY

JPY   (108,530,000 USD   1,019,923      10/22/15            111,989   

BCLY

JPY   (81,840,000 USD   693,430      2/13/16            6,698   

BCLY

JPY   (190,420,000 USD   1,604,280      2/14/16            6,394   

BCLY

JPY   (288,085,900 USD   2,415,491      2/25/16            (2,655

BCLY

JPY   (192,553,560 USD   1,625,528      3/14/16            8,490   

BCLY

SGD   135,752    USD   (100,171   8/12/15            (1,580

BCLY

SGD   394,000    USD   (290,625   8/17/15            (4,512

BNYM

EUR   (33,956,000 USD           38,677,062      4/30/15            2,144,058   

BNYM

GBP   (27,873,500 USD   42,304,113      4/30/15            966,711   

BNYM

JPY   405,875,000    USD   (3,449,558   4/30/15            (64,378

BNYM

KRW   (5,116,440,370 USD   4,618,539      4/2/15            5,004   

BNYM

NZD   (54,201,000 USD   40,167,657      4/30/15            (232,981

BNYM

PLN   (64,397,500 USD   17,264,584      4/30/15            293,042   

BNYM

SEK   305,403,500    USD   (36,489,181   4/30/15            (1,010,768

BNYM

ZAR   (6,132,652 USD   506,986      4/30/15            3,927   

CITI

CLP           509,600,000    USD   (811,207   4/10/15            4,110   

CITI

EUR   (625,871 USD   862,262      5/13/15            188,776   

CITI

EUR   (1,630,646 USD   2,229,297      5/26/15            474,290   

CITI

EUR   (213,050 USD   287,390      7/28/15            57,861   

CITI

EUR   (146,969 USD   196,547      8/10/15            38,176   

CITI

EUR   (319,130 USD   411,582      9/28/15            67,399   

CITI

EUR   (4,177,000 USD   5,230,126      11/9/15            720,375   

CITI

EUR   (126,500 USD   144,124      1/17/16            7,305   

CITI

EUR   (45,000 USD   51,687      1/25/16            3,006   

CITI

EUR   (2,897,361 USD   3,179,274      2/26/16            42,347   

 

LVIP Global Income Fund—13


LVIP Global Income Fund

Schedule of Investments (continued)

 

Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts (continued)

 

              Unrealized
  Contracts to           Appreciation

Counterparty

Receive (Deliver)   In Exchange For   Settlement Date  

(Depreciation)

CITI                    

EUR   (162,300 USD   173,904      3/3/16             $ (1,842   

CITI

INR             47,593,000    USD   (759,146   5/11/15            (1,861

CITI

JPY   (25,100,000 USD   247,959      4/15/15            38,663   

CITI

JPY   (18,283,000 USD   180,534      5/12/15            28,025   

CITI

JPY   (18,273,000 USD   179,766      5/14/15            27,337   

CITI

JPY   (230,500,000 USD             2,256,883      6/9/15            333,445   

CITI

JPY   (430,080,000 USD   4,205,668      6/10/15            616,748   

CITI

JPY   (11,693,000 USD   114,939      6/17/15            17,352   

CITI

JPY   (296,974,000 USD   2,938,533      7/24/15            458,514   

CITI

JPY   (336,389,300 USD   3,287,460      8/5/15            477,712   

CITI

JPY   (36,124,000 USD   354,591      8/11/15            52,829   

CITI

JPY   (163,190,000 USD   1,369,308      8/17/15            5,958   

CITI

JPY   (105,000,000 USD   986,805      10/22/15            108,402   

CITI

JPY   (5,392,769 USD   47,304      11/10/15            2,167   

CITI

JPY   (687,957,400 USD   6,019,586      11/12/15            261,099   

CITI

JPY   (37,115,000 USD   320,496      11/19/15            9,770   

CITI

JPY   (41,691,000 USD   359,715      11/20/15            10,670   

CITI

JPY   (15,350,000 USD   129,475      1/4/16            808   

CITI

JPY   (18,282,000 USD   156,736      1/25/16            3,407   

CITI

JPY   (326,760,000 USD   2,748,446      2/1/16            7,430   

CITI

JPY   (24,520,467 USD   204,133      3/3/16            (1,726

CITI

JPY   (294,831,000 USD   2,451,287      3/7/16            (24,201

CITI

MXN   12,528,770    USD   (940,754   6/8/15            (123,130

CITI

MXN   12,515,000    USD   (943,638   6/9/15            (126,963

CITI

MXN   25,449,630    USD   (1,903,203   6/12/15            (242,775

CITI

MXN   10,937,500    USD   (818,859   6/15/15            (105,387

CITI

MXN   9,844,000    USD   (735,285   6/22/15            (93,419

CITI

MXN   16,923,055    USD   (1,271,168   7/10/15            (169,113

CITI

MXN   17,494,385    USD   (1,181,127   7/13/15            (42,126

CITI

MXN   101,273,256    USD   (7,313,733   10/22/15            (770,930

CITI

MXN   15,210,900    USD   (1,033,700   12/11/15            (54,867

CITI

MXN   7,292,440    USD   (480,240   12/18/15            (11,224

CITI

MXN   4,909,400    USD   (308,354   3/1/16            5,565   

CITI

MXN   2,142,000    USD   (133,445   3/2/16            3,509   

CITI

MXN   2,000,500    USD   (125,549   3/4/16            2,338   

CITI

MXN   12,100,000    USD   (771,743   3/9/16            1,477   

CITI

SGD   1,904,082    USD   (1,524,790   5/18/15            (139,046

DB

AUD   (459,687 USD   363,036      6/18/15            14,500   

DB

CLP   63,300,000    USD   (98,353   4/20/15            2,835   

DB

CLP   10,710,000    USD   (17,269   4/24/15            (154

DB

CLP   33,050,000    USD   (52,498   4/27/15            303   

DB

CLP   48,929,000    USD   (77,315   5/5/15            794   

DB

CLP   32,850,000    USD   (52,234   5/6/15            202   

DB

CLP   32,850,000    USD   (52,351   5/7/15            80   

DB

CLP   132,570,000    USD   (210,197   5/11/15            1,309   

DB

CLP   595,612,500    USD   (1,015,970   5/12/15            (65,806

DB

CLP   20,225,000    USD   (31,790   5/18/15            455   

DB

CLP   19,980,000    USD   (31,639   5/19/15            212   

DB

CLP   10,660,000    USD   (17,144   5/26/15            (162

DB

CLP   16,426,000    USD   (26,125   5/29/15            35   

DB

CLP   20,225,000    USD   (31,584   6/17/15            575   

DB

CLP   19,980,000    USD   (30,972   6/18/15            795   

DB

CLP   376,500,000    USD   (650,877   6/19/15            (52,321

DB

CLP   5,895,000    USD   (9,346   7/7/15            11   

DB

CLP   60,541,000    USD   (106,249   7/10/15            (10,183

 

LVIP Global Income Fund—14


LVIP Global Income Fund

Schedule of Investments (continued)

 

Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts (continued)

 

              Unrealized
  Contracts to           Appreciation

Counterparty

Receive (Deliver)   In Exchange For   Settlement Date  

(Depreciation)

DB                        

CLP             64,100,000    USD   (108,314   8/12/15             $ (6,922   

DB

CLP   36,980,000    USD   (61,705   8/27/15            (3,296

DB

CLP   10,100,000    USD   (16,678   9/8/15            (743

DB

EUR   (790,628 KRW   1,022,000,000      6/29/15            67,645   

DB

EUR   (11,793,697 PLN   49,897,952      6/23/15            429,133   

DB

EUR   (62,412 PLN   266,000      8/19/15            2,588   

DB

EUR   (355,343 PLN   1,518,347      8/24/15            15,655   

DB

EUR   (970,692 PLN   4,140,000      9/8/15            39,956   

DB

EUR   (486,976 PLN   2,120,000      1/1/16            28,264   

DB

EUR   (867,313 USD   1,198,464      4/7/15            265,622   

DB

EUR   (780,573 USD   1,077,401      4/13/15            237,785   

DB

EUR   (1,882,859 USD   2,521,467      5/7/15            495,524   

DB

EUR   (388,000 USD   487,250      5/21/15            69,687   

DB

EUR   (683,600 USD   934,003      6/10/15            198,107   

DB

EUR   (1,022,920 USD   1,268,059      6/18/15            166,752   

DB

EUR   (865,000 USD   1,180,466      7/16/15            248,755   

DB

EUR   (196,000 USD   265,756      7/22/15            54,619   

DB

EUR   (3,960,836 USD   4,762,771      7/23/15            495,954   

DB

EUR   (1,010,900 USD   1,363,259      7/27/15            274,191   

DB

EUR   (9,978 USD   13,442      7/29/15            2,692   

DB

EUR   (396,000 USD   531,165      8/20/15            104,368   

DB

EUR   (99,312 USD   131,352      8/31/15            24,296   

DB

EUR   (51,000 USD   67,395      9/2/15            12,417   

DB

EUR   (476,300 USD   628,344      9/8/15            114,835   

DB

EUR   (3,491,845 USD   3,951,555      9/17/15            186,332   

DB

EUR   (1,956,000 USD   2,518,995      9/28/15            409,444   

DB

EUR   (1,320,000 USD   1,696,728      10/21/15            272,266   

DB

EUR   (193,000 USD   244,985      10/26/15            36,684   

DB

EUR   (775,000 USD   985,878      10/28/15            149,396   

DB

EUR   (416,044 USD   531,267      10/30/15            82,195   

DB

EUR   (24,586 USD   31,138      11/3/15            4,598   

DB

EUR   (187,000 USD   234,541      11/5/15            32,665   

DB

EUR   (143,000 USD   178,214      11/12/15            23,810   

DB

EUR   (81,717 USD   102,265      11/16/15            14,022   

DB

EUR   (22,847 USD   28,560      11/19/15            3,886   

DB

EUR   (564,000 USD   703,099      11/30/15            93,842   

DB

EUR   (400,000 USD   499,080      12/4/15            66,938   

DB

EUR   (2,121,000 USD   2,639,266      12/14/15            347,248   

DB

EUR   (590,000 USD   736,627      12/15/15            99,038   

DB

EUR   (878,675 USD   1,053,900      12/25/15            104,109   

DB

EUR   (8,528,000 USD   9,715,950      2/14/16            485,662   

DB

EUR   (12,807,821 USD   14,101,411      3/13/16            228,884   

DB

EUR   (269,000 USD   296,465      3/14/16            5,096   

DB

EUR   (77,628 USD   85,204      3/17/16            1,115   

DB

GBP   (658,064 USD   997,297      7/23/15            21,888   

DB

INR   34,425,000    USD   (548,956   4/27/15            549   

DB

INR   67,225,579    USD   (1,080,311   4/30/15            (7,932

DB

INR   64,954,250    USD   (1,042,597   5/5/15            (7,642

DB

INR   71,318,400    USD   (1,125,251   5/25/15            5,913   

DB

INR   58,270,771    USD   (926,156   5/29/15            (2,782

DB

JPY   (97,000,000 USD   949,677      6/11/15            140,220   

DB

JPY   (209,750,000 USD   1,803,758      7/21/15            52,233   

DB

JPY   (446,708,000 USD   3,761,815      7/23/15            31,436   

DB

JPY   (13,360,000 USD   131,644      8/12/15            20,039   

DB

JPY   (25,363,000 USD   248,685      8/18/15            36,790   

 

LVIP Global Income Fund—15


LVIP Global Income Fund

Schedule of Investments (continued)

 

Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts (continued)

 

              Unrealized
  Contracts to           Appreciation

Counterparty

Receive (Deliver)   In Exchange For   Settlement Date  

(Depreciation)

DB                    

JPY   (11,260,000 USD   108,889      8/25/15             $ 14,806      

DB

JPY   (23,347,000 USD   225,378      8/27/15            30,295   

DB

JPY   (282,199,000 USD   2,379,207      9/17/15            20,371   

DB

JPY   (284,100,000 USD   2,640,089      10/13/15            263,950   

DB

JPY   (338,543,000 USD             2,951,681      11/16/15            117,635   

DB

JPY   (29,985,000 USD   258,536      11/18/15            7,509   

DB

JPY   (28,991,000 USD   243,409      12/25/15            465   

DB

JPY   (41,390,576 USD   353,053      1/17/16            5,989   

DB

JPY   (54,738,000 USD   463,332      2/15/16            3,992   

DB

JPY   (129,367,000 USD   1,077,430      3/10/16            (8,860

DB

MXN   75,560,000    USD   (5,525,007   10/14/15            (640,328

DB

MXN   17,699,475    USD   (1,168,768   12/17/15            (30,331

DB

PHP             89,702,340    USD   (2,032,868   6/26/15            (35,955

DB

PLN   4,423,066    USD   (1,402,367   7/31/15            (240,139

DB

SGD   1,027,900    USD   (822,748   5/19/15            (74,685

DB

SGD   249,500    USD   (192,271   5/28/15            (10,735

DB

SGD   249,500    USD   (198,765   5/29/15            (17,234

DB

SGD   788,000    USD   (601,160   6/23/15            (28,190

DB

SGD   484,000    USD   (388,817   8/7/15            (37,267

DB

SGD   963,000    USD   (710,360   8/12/15            (10,972

DB

SGD   296,000    USD   (217,072   8/24/15            (2,160

DB

SGD   1,299,000    USD   (954,305   8/26/15            (11,203

GCM

DKK   (11,630,245 USD   1,782,960      2/17/16            90,315   

GSC

EUR   (388,556 USD   539,370      5/7/15            121,287   

GSC

EUR   (210,000 USD   289,368      5/13/15            63,392   

GSC

EUR   (456,438 USD   628,716      5/14/15            137,546   

GSC

EUR   (305,000 USD   418,707      5/21/15            90,468   

GSC

EUR   (311,000 USD   423,173      6/1/15            88,427   

GSC

EUR   (970,000 USD   1,308,676      7/27/15            263,670   

GSC

EUR   (203,000 USD   272,576      8/12/15            53,819   

GSC

EUR   (275,000 USD   348,384      10/9/15            51,712   

GSC

EUR   (1,929,000 USD   2,453,688      10/29/15            371,605   

GSC

EUR   (97,000 USD   111,502      1/25/16            6,567   

GSC

EUR   (115,000 USD   132,127      2/3/16            7,692   

GSC

EUR   (390,000 USD   428,376      3/17/16            5,912   

GSC

JPY   (24,447,000 USD   240,833      5/13/15            36,905   

GSC

JPY   (170,648,500 USD   1,681,299      6/1/15            257,490   

GSC

JPY   (43,530,000 USD   372,131      1/13/16            7,165   

GSC

JPY   (52,074,000 USD   441,886      2/1/16            5,064   

GSC

JPY   (169,827,630 USD   1,440,084      2/3/16            15,414   

HSBC

EUR   (3,756,137 KRW   4,867,766,000      9/30/15            317,370   

HSBC

EUR   (461,000 USD   635,569      4/10/15            139,719   

HSBC

EUR   (799,545 USD   1,110,256      4/16/15            250,197   

HSBC

EUR   (3,710,250 USD   4,832,007      6/8/15            838,044   

HSBC

EUR   (1,775,000 USD   2,382,094      8/4/15            469,579   

HSBC

EUR   (520,000 USD   662,602      9/30/15            101,752   

HSBC

EUR   (94,000 USD   104,519      2/25/16            2,749   

HSBC

INR   12,575,500    USD   (201,676   5/5/15            (1,303

HSBC

INR   22,400,000    USD   (357,030   5/11/15            (608

HSBC

INR   102,017,000    USD   (1,623,740   5/12/15            (850

HSBC

INR   12,575,500    USD   (200,199   6/3/15            (1,130

HSBC

INR   38,132,000    USD   (598,076   6/30/15            2,295   

HSBC

INR   484,108,000    USD   (7,400,000   10/8/15            67,487   

HSBC

JPY   (345,200,000 USD   3,379,576      6/9/15            499,008   

HSBC

JPY   (292,980,000 USD   2,870,397      6/10/15            425,546   

 

LVIP Global Income Fund—16


LVIP Global Income Fund

Schedule of Investments (continued)

 

Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts (continued)

 

              Unrealized
  Contracts to           Appreciation

Counterparty

Receive (Deliver)   In Exchange For   Settlement Date  

(Depreciation)

HSBC                

JPY   (50,970,000 USD   439,094      7/16/15             $ 13,503      

HSBC

JPY   (51,004,000 USD   499,061      8/20/15            72,933   

HSBC

JPY   (22,597,000 USD   218,645      8/25/15            29,836   

HSBC

JPY   (39,672,000 USD   383,001      8/27/15            51,510   

HSBC

JPY   (569,000,000 USD   5,280,865      10/9/15            522,401   

HSBC

JPY   (19,870,000 USD   174,180      11/12/15            7,860   

HSBC

JPY   (7,824,000 USD   66,929      11/24/15            1,418   

HSBC

JPY   (53,562,442 USD   457,730      1/17/16            8,603   

HSBC

JPY   (246,670,000 USD   2,093,991      2/1/16            24,807   

HSBC

JPY   (36,590,000 USD   310,174      2/13/16            3,142   

HSBC

JPY   (53,500,000 USD   450,053      2/22/16            1,018   

HSBC

MXN   40,878,200    USD   (3,040,967   9/4/15            (390,180

HSBC

MXN   29,567,420    USD   (1,858,885   3/1/16            31,730   

HSBC

SGD   1,245,000    USD   (996,478   5/19/15            (90,420

HSBC

SGD   630,000    USD   (479,489   6/22/15            (21,392

HSBC

SGD   484,000    USD   (358,492   8/11/15            (6,974

HSBC

SGD   296,000    USD   (217,956   8/17/15            (3,008

HSBC

SGD   296,000    USD   (217,956   8/18/15            (3,013

HSBC

SGD   834,400    USD   (598,565   9/16/15            6,930   

HSBC

SGD   837,000    USD   (663,233   9/21/15            (55,922

JPMC

CLP           600,075,000    USD   (1,024,019   5/11/15            (66,640

JPMC

CLP   103,600,000    USD   (165,826   5/26/15            (787

JPMC

CLP   3,644,767,200    USD   (5,754,744   6/11/15            43,486   

JPMC

CLP   92,140,000    USD   (143,186   6/18/15            3,310   

JPMC

CLP   30,560,000    USD   (51,513   8/20/15            (3,211

JPMC

CLP   66,100,000    USD   (110,314   8/28/15            (5,919

JPMC

EUR   (671,551 HUF   211,290,000      9/23/15            29,180   

JPMC

EUR   (537,007 HUF   169,141,000      9/25/15            23,939   

JPMC

EUR   (4,233,867 KRW       5,478,200,000      10/14/15            347,555   

JPMC

EUR   (566,000 USD   784,504      4/14/15            175,683   

JPMC

EUR   (108,077 USD   149,519      4/22/15            33,252   

JPMC

EUR   (81,085 USD   101,769      5/20/15            14,508   

JPMC

EUR   (292,994 USD   400,529      5/26/15            85,190   

JPMC

EUR   (1,774,000 USD   2,385,072      7/31/15            473,765   

JPMC

EUR   (784,000 USD   1,052,030      8/20/15            207,058   

JPMC

EUR   (324,000 USD   432,589      8/21/15            83,385   

JPMC

EUR   (3,750,000 USD   4,879,125      9/8/15            836,165   

JPMC

EUR   (170,000 USD   215,453      10/7/15            32,065   

JPMC

EUR   (270,000 USD   341,782      10/14/15            50,467   

JPMC

EUR   (110,916 USD   138,983      11/12/15            19,222   

JPMC

EUR   (395,000 USD   493,090      12/15/15            66,230   

JPMC

EUR   (4,288,000 USD   5,071,413      1/3/16            435,291   

JPMC

EUR   (4,269,000 USD   5,044,464      1/4/16            428,765   

JPMC

EUR   (4,310,000 USD   5,045,411      1/11/16            384,546   

JPMC

EUR   (214,000 USD   245,683      2/3/16            14,125   

JPMC

EUR   (51,000 USD   54,613      3/3/16            (612

JPMC

INR   471,150,000    USD   (7,551,691   4/21/15            (21,159

JPMC

INR   998,000    USD   (15,822   4/22/15            125   

JPMC

JPY   (73,430,000 USD   720,163      4/21/15            107,812   

JPMC

JPY   (87,540,000 USD   858,719      4/22/15            128,690   

JPMC

JPY   (26,934,000 USD   229,548      5/20/15            4,856   

JPMC

JPY   (271,440,000 USD   2,656,957      6/11/15            391,814   

JPMC

JPY   (114,500,000 USD   1,125,633      6/17/15            170,045   

JPMC

JPY   (458,000,000 USD   4,529,496      7/24/15            704,755   

JPMC

JPY   (159,300,000 USD   1,576,291      7/27/15            245,915   

 

LVIP Global Income Fund—17


LVIP Global Income Fund

Schedule of Investments (continued)

 

Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts (continued)

 

              Unrealized
  Contracts to           Appreciation

Counterparty

Receive (Deliver)   In Exchange For   Settlement Date  

(Depreciation)

JPMC                

JPY   (124,260,500 USD   1,218,240      8/19/15             $ 180,087      

JPMC

JPY   (34,396,000 USD   336,717      8/20/15            49,346   

JPMC

JPY   (59,316,000 USD   526,867      8/26/15            31,243   

JPMC

JPY   (27,309,000 USD   263,974      8/27/15            35,786   

JPMC

JPY   (11,285,000 USD   109,100      8/31/15            14,798   

JPMC

JPY   (24,468,902 USD   225,231      9/29/15            20,656   

JPMC

JPY   (5,819,000 USD   53,610      9/30/15            4,959   

JPMC

JPY   (1,144,000,000 USD           10,560,812      10/7/15            994,215   

JPMC

JPY   (176,475,000 USD   1,669,631      10/19/15            193,405   

JPMC

JPY   (333,310,000 USD   3,152,613      10/20/15            364,376   

JPMC

JPY   (274,457,000 USD   2,411,494      11/12/15            114,177   

JPMC

JPY   (176,475,000 USD   1,518,868      1/5/16            39,577   

JPMC

JPY   (246,545,000 USD   2,092,974      2/1/16            24,839   

JPMC

JPY   (163,630,000 USD   1,380,873      2/2/16            8,231   

JPMC

JPY   (174,740,000 USD   1,479,111      2/3/16            13,232   

JPMC

JPY   (113,300,000 USD   956,138      2/17/16            5,320   

JPMC

PHP   31,700,000    USD   (719,506   6/25/15            (13,778

JPMC

PHP             24,670,000    USD   (559,443   6/29/15            (10,336

JPMC

PHP   15,630,000    USD   (347,874   9/25/15            (1,695

JPMC

SGD   448,398    USD   (358,833   5/19/15            (32,508

JPMC

SGD   1,678,253    USD   (1,341,422   5/20/15            (120,090

JPMC

SGD   518,000    USD   (394,817   6/15/15            (18,093

JPMC

SGD   2,444,854    USD   (1,829,022   7/23/15            (52,592

MSC

CLP   64,400,000    USD   (109,916   5/11/15            (7,171

MSC

CLP   785,334,400    USD   (1,240,557   5/12/15            12,266   

MSC

CLP   81,300,000    USD   (130,080   5/20/15            (488

MSC

CLP   42,500,000    USD   (74,463   6/5/15            (6,820

MSC

CLP   73,630,000    USD   (113,883   6/19/15            3,173   

MSC

CLP   113,510,000    USD   (195,306   7/28/15            (15,500

MSC

CLP   56,740,000    USD   (95,610   8/18/15            (5,912

MSC

EUR   (311,153 PLN   1,328,000      5/27/15            14,796   

MSC

EUR   (788,000 USD   1,075,904      7/16/15            227,132   

MSC

EUR   (1,139,000 USD   1,541,910      7/22/15            314,942   

MSC

EUR   (196,000 USD   244,796      8/14/15            33,575   

MSC

EUR   (196,000 USD   263,135      8/17/15            51,903   

MSC

EUR   (267,000 USD   292,672      2/26/16            3,595   

MSC

JPY   (328,879,680 USD   3,235,031      4/16/15            492,638   

MSC

JPY   (12,000,000 USD   117,279      8/7/15            17,044   

MSC

JPY   (9,000,000 USD   78,483      11/16/15            3,141   

MSC

JPY   (256,633,500 USD   2,173,184      12/16/15            23,114   

MSC

JPY   (48,880,000 USD   406,338      3/7/16            (4,073

SCB

EUR   (230,000 USD   317,913      4/13/15            70,515   

SCB

EUR   (3,415,000 USD   4,697,589      5/13/15            1,022,781   

SCB

EUR   (107,800 USD   133,168      12/9/15            16,690   

SCB

JPY   (18,274,000 USD   180,181      5/13/15            27,746   

SCB

JPY   (63,360,000 USD   543,531      7/16/15            14,486   

SCB

JPY   (31,894,000 USD   267,472      8/26/15            977   

SCB

JPY   (5,370,800 USD   46,914      11/16/15            1,953   

SCB

JPY   (46,050,000 USD   390,850      1/3/16            4,860   

UBS

EUR   (1,774,000 USD   2,380,708      8/4/15            469,270   
                      

 

 

   
$ 31,081,487   
                      

 

 

   

 

LVIP Global Income Fund—18


LVIP Global Income Fund

Schedule of Investments (continued)

 

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

(40)  U.S. Treasury 2 yr Notes

  $ (8,745,650 )   $ (8,766,250     7/1/15     $ (20,600 )

(78)  U.S. Treasury 5 yr Notes

    (9,320,088 )     (9,376,453     7/1/15       (56,365 )

(42)  U.S. Treasury 10 yr Notes

    (5,365,330 )     (5,414,062     6/22/15       (48,732 )

  (5)  U.S. Treasury Long Bonds

    (812,841 )     (819,375     6/22/15       (6,534 )
    

 

 

              

 

 

 
  $ (24,243,909 )       $ (132,231 )
    

 

 

              

 

 

 

Swap Contracts

CDS Contracts

 

        Annual      
        Protection     Unrealized
        Payments Termination   Appreciation

Counterparty

Swap Referenced Obligation

    Notional Value1       (Receipts) Date  

(Depreciation)

Protection Purchased:

BCLY                

CenturyLink   1,000,000    5.00%   6/20/17           $ (8,129   

BCLY

DISH DBS   2,500,000    5.00%   3/20/16          3,545   

BCLY

Pactiv   1,000,000    5.00%   6/20/17          (23,881

CITI

Beazer Homes USA   3,000,000    5.00%   6/20/19          (37,329

CITI

Dell   1,500,000    1.00%   6/20/16          (8,185

CITI

Lennar   200,000    5.00%   9/20/19          (9,468

CITI

Lennar   300,000    5.00%   12/20/19          (9,450

JPMC

DPL   350,000    5.00%   12/20/16          (1,894

JPMC

PPL Energy Supply   2,000,000    5.00%   6/20/16          (6,691

JPMC

Tenet Healthcare   550,000    5.00%   12/20/16          (1,822
                   

 

 

   
$ (103,304
                   

 

 

   
Protection Sold/Moody’s Rating:

BCLY

Anadarko Petroleum/Baa   500,000    1.00%   9/20/19        $ (7,197

CITI

Beazer Homes USA/B   200,000    5.00%   9/20/19          6,340   

CITI

Beazer Homes USA/B   300,000    5.00%   12/20/19          4,927   

CITI

CMBX.NA.AM.2/Baa   700,000    0.50%   3/15/49          4,328   

CITI

MCDX.NA.22/A   500,000    1.00%   12/20/19          (974

CITI

Tate & Lyle International Finance/Baa   EUR      350,000    1.00%   9/20/19          (985

CITI

United Mexican States/A3   200,000    1.00%   6/20/20          26   

CSFB

ICE - CDX.NA.HY.23   98,000    5.00%   12/20/19          1,788   

JPMC

General Electric Capital 5 yr CDS/A   1,500,000    1.00%   3/20/19          13,257   

JPMC

iHeartCommunications/Caa   250,000    5.00%   12/20/16          7,200   

JPMC

PSEG Power/A   800,000    1.00%   3/20/20          9,060   

JPMC

Republic of Portugal/Ba   1,000,000    1.00%   9/20/19          41,949   

JPMC

Tenet Healthcare/Ba   400,000    5.00%   12/20/18          5,212   
                   

 

 

   
$ 84,931   
                   

 

 

   

Total

$ (18,373
                   

 

 

   

 

LVIP Global Income Fund—19


LVIP Global Income Fund

Schedule of Investments (continued)

 

Swap Contracts (continued)

Interest Rate Swap Contracts

 

                    Unrealized
        Fixed Interest   Floating Interest   Termination   Appreciation

Counterparty

  Notional Value1   Rate Paid   Rate Received   Date   (Depreciation)

JPMC 3-Month LIBOR Telerate Interest Rate Swap

      14,880,000         3.018 %       0.262 %       8/22/23       $ (1,292,113 )

JPMC 3-Month LIBOR Telerate Interest Rate Swap

      8,500,000         3.848 %       0.262 %       8/22/43         (2,667,510 )

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      24,860,000         0.925 %       0.256 %       10/17/17         38,057  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      4,530,000         2.730 %       0.256 %       7/7/24         (292,627 )

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      7,650,000         1.914 %       0.256 %       1/22/25         73,527  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      9,560,000         1.969 %       0.257 %       1/23/25         43,921  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      5,640,000         1.973 %       0.256 %       1/27/25         24,494  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      1,410,000         1.936 %       0.256 %       1/29/25         10,778  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      1,190,000         1.941 %       0.253 %       1/30/25         8,597  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      1,880,000         1.816 %       0.255 %       2/3/25         35,331  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      1,450,000         1.977 %       0.269 %       3/27/25         6,870  

LCH-CITI 3-Month LIBOR Telerate Interest Rate Swap

      1,450,000         1.985 %       0.269 %       3/27/25         5,891  
   

 

 

                 

 

 

 

Total

    83,000,000           $ (4,004,784 )
   

 

 

                 

 

 

 

The use of foreign currency exchange contracts, foreign cross currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

1Notional value shown is stated in U.S. Dollars unless noted that the swap is denominated in another currency.

 

Summary of Abbreviations:

ARM–Adjustable Rate Mortgage

AUD–Australian Dollar

BAML–Bank of America Merrill Lynch

BBA-LIBOR–British Bankers Association London

Interbank Offered Rate

BCLY–Barclays Bank

BNYM–Bank of New York Mellon

BRL–Brazilian Real

CITI–Citigroup Global Markets

CDO–Collateralized Debt Obligation

CDS–Credit Default Swap

CSFB–Credit Suisse First Boston

CLO–Collateralized Loan Obligation

CLP–Chilean Peso

CMBX.NA–Commercial Mortgage Backed Securities Index

North America

CDX.NA.HY–Credit Default Swap Index North American

High-Yield

DB–Deutsche Bank

DKK–Danish Krone

EUR–Euro

GBP–British Pound Sterling

GCM–Greenwich Capital Management

GSC–Goldman Sachs Capital

HSBC–Hong Kong Shanghai Bank

HUF–Hungarian Forint

ICE–IntercontinentalExchange, Inc.

IDR–Indonesia Rupiah

INR–Indian Rupee

JPMC–JPMorgan Chase Bank

JPY–Japanese Yen

 

 

LVIP Global Income Fund—20


LVIP Global Income Fund

Schedule of Investments (continued)

 

Summary of Abbreviations: (continued)

KRW–South Korean Won

LCH–London Clearing House

MCDX.NA–Municipal Credit Default Index North America

MSC–Morgan Stanley Capital

MXN–Mexican Peso

MYR–Malaysian Ringgit

NZD–New Zealand Dollar

PEN–Peruvian Sol

PHP–Philippine Peso

PLN–Polish Zloty

REIT–Real Estate Investment Trust

REL–Real Estate

SCB–Standard Chartered Bank

SEK–Swedish Krona

SGD–Singapore Dollar

UBS–Union Bank of Switzerland

USD–United States Dollar

Yr–Year

ZAR–South African Rand

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

        Level 1       Level 2       Level 3       Total

Agency Mortgage-Backed Securities

  $     $ 5,974,092     $     $ 5,974,092  

Commercial Mortgage-Backed Securities

          17,989,903             17,989,903  

Corporate Bonds

          85,477,369             85,477,369  

Municipal Bonds

          825,133             825,133  

Non-Agency Asset-Backed Securities

          41,403,475       330,000       41,733,475  

Non-Agency Collateralized Mortgage Obligations

          12,155,386       390,366       12,545,752  

Senior Secured Loans

          9,908,088             9,908,088  

Sovereign Bonds

          706,940,619             706,940,619  

Supranational Banks

          23,289,625             23,289,625  

U.S. Treasury Obligations

          325,214,028             325,214,028  

Money Market Fund

    84,399,882                   84,399,882  

Short-Term Investments

          22,134,865             22,134,865  
    

 

 

     

 

 

     

 

 

      

 

 

 

Total

  $ 84,399,882     $ 1,251,312,583     $ 720,366     $ 1,336,432,831  
    

 

 

     

 

 

     

 

 

      

 

 

 
Foreign Currency Exchange Contracts and Foreign Cross Currency Exchange Contracts   $     $ 31,081,487     $     $ 31,081,487  
    

 

 

     

 

 

     

 

 

      

 

 

 

Futures Contracts

  $ (132,231 )   $     $     $ (132,231 )
    

 

 

     

 

 

     

 

 

      

 

 

 

Swap Contracts

  $     $ (4,023,157 )   $     $ (4,023,157 )
    

 

 

     

 

 

     

 

 

      

 

 

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Global Income Fund—21


LVIP Goldman Sachs Income Builder Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–46.15%

  

U.S. MARKETS–37.52%

  

Aerospace & Defense–0.71%

  

Boeing

  426    $ 63,934   
     

 

 

 
  63,934   
     

 

 

 

Automobiles–0.68%

  

General Motors

  1,630      61,125   
     

 

 

 
  61,125   
     

 

 

 

Banks–3.26%

  

BB&T

  1,242      48,426   

JPMorgan Chase

  2,827      171,260   

Wells Fargo

  1,332      72,461   
     

 

 

 
          292,147   
     

 

 

 

Beverages–0.45%

  

PepsiCo

  421      40,256   
     

 

 

 
  40,256   
     

 

 

 

Capital Markets–1.76%

  

Ameriprise Financial

  474      62,018   

Ares Capital

  5,584      95,877   
     

 

 

 
  157,895   
     

 

 

 

Commercial Services & Supplies–0.88%

  

Waste Management

  1,448      78,525   
     

 

 

 
  78,525   
     

 

 

 

Communications Equipment–1.35%

  

Cisco Systems

  2,915      80,235   

QUALCOMM

  594      41,188   
     

 

 

 
  121,423   
     

 

 

 

Consumer Finance–1.02%

  

Capital One Financial

  312      24,592   

Navient

  3,309      67,272   
     

 

 

 
  91,864   
     

 

 

 

Containers & Packaging–0.91%

  

Packaging Corp of America

  1,044      81,630   
     

 

 

 
  81,630   
     

 

 

 

Diversified Telecommunication Services–1.73%

  

AT&T

  1,274      41,596   

Verizon Communications

  2,330      113,308   
     

 

 

 
  154,904   
     

 

 

 

Electric Utilities–1.58%

  

FirstEnergy

  2,314      81,129   

NextEra Energy

  583      60,661   
     

 

 

 
  141,790   
     

 

 

 

Electrical Equipment–0.52%

  

Eaton

  686      46,607   
     

 

 

 
  46,607   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

U.S. MARKETS (continued)

  

Food & Staples Retailing–0.48%

  

Wal-Mart Stores

  526    $ 43,263   
     

 

 

 
  43,263   
     

 

 

 

Food Products–0.44%

  

ConAgra Foods

  1,085      39,635   
     

 

 

 
  39,635   
     

 

 

 

Hotels, Restaurants & Leisure–0.41%

  

Starwood Hotels & Resorts Worldwide

  443      36,991   
     

 

 

 
  36,991   
     

 

 

 

Household Products–0.75%

  

Procter & Gamble

  821      67,273   
     

 

 

 
  67,273   
     

 

 

 

Industrial Conglomerates–2.46%

  

General Electric

  8,897              220,735   
     

 

 

 
  220,735   
     

 

 

 

Insurance–2.05%

  

Gallagher (Arthur J.)

  984      46,002   

MetLife

  1,125      56,869   

Prudential Financial

  1,007      80,872   
     

 

 

 
  183,743   
     

 

 

 

Media–0.81%

  

Viacom Class B

  1,067      72,876   
     

 

 

 
  72,876   
     

 

 

 

Multi-Utilities–0.56%

  

PG&E

  939      49,833   
     

 

 

 
  49,833   
     

 

 

 

Oil, Gas & Consumable Fuels–1.49%

  

Devon Energy

  979      59,043   

Exxon Mobil

  638      54,230   

Williams

  411      20,792   
     

 

 

 
  134,065   
     

 

 

 

Pharmaceuticals–3.86%

  

Johnson & Johnson

  956      96,174   

Lilly (Eli)

  533      38,722   

Merck

  1,112      63,918   

Pfizer

  4,233      147,266   
     

 

 

 
  346,080   
     

 

 

 

Real Estate Investment Trusts–2.68%

  

Brixmor Property Group

  2,006      53,259   

Starwood Property Trust

  4,278      103,955   

Two Harbors Investment

  7,806      82,900   
     

 

 

 
  240,114   
     

 

 

 

Semiconductors & Semiconductor Equipment–1.36%

  

Altera

  1,719      73,762   
 

 

LVIP Goldman Sachs Income Builder Fund–1


LVIP Goldman Sachs Income Builder Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

U.S. MARKETS (continued)

  

Semiconductors & Semiconductor Equipment (continued)

  

Maxim Integrated Products

  1,395    $ 48,560   
     

 

 

 
  122,322   
     

 

 

 

Software–0.98%

  

Microsoft

  2,165      88,018   
     

 

 

 
  88,018   
     

 

 

 

Specialty Retail–1.39%

  

Gap

  1,701      73,704   

L Brands

  537      50,634   
     

 

 

 
          124,338   
     

 

 

 

Technology Hardware, Storage & Peripherals–1.64%

  

Apple

  545      67,814   

EMC

  1,586      40,538   

Hewlett-Packard

  1,248      38,888   
     

 

 

 
  147,240   
     

 

 

 

Thrifts & Mortgage Finance–0.77%

  

New York Community Bancorp

  4,107      68,710   
     

 

 

 
  68,710   
     

 

 

 

Tobacco–0.54%

  

Altria Group

  962      48,119   
     

 

 

 
  48,119   
     

 

 

 

Total U.S. Markets
(Cost $3,191,639)

   

  3,365,455   
     

 

 

 

§DEVELOPED MARKETS–8.63%

  

Auto Components–0.27%

  

Nokian Renkaat ADR

  1,596      23,828   
     

 

 

 
  23,828   
     

 

 

 

Automobiles–0.54%

  

Volvo ADR

  4,060      48,842   
     

 

 

 
  48,842   
     

 

 

 

Banks–1.13%

  

Australia & New Zealand Banking Group ADR

  1,946      54,079   

Banco Bilbao Vizcaya Argentaria ADR

  4,718      47,322   
     

 

 

 
  101,401   
     

 

 

 

Beverages–0.38%

  

Anheuser-Busch InBev ADR

  277      33,769   
     

 

 

 
  33,769   
     

 

 

 

Communications Equipment–0.47%

  

Ericsson ADR

  3,387      42,507   
     

 

 

 
  42,507   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

§DEVELOPED MARKETS (continued)

  

Diversified Telecommunication Services–0.37%

  

Telefonica ADR

  2,347    $ 33,679   
     

 

 

 
  33,679   
     

 

 

 

Food Products–0.79%

  

Unilever

  1,702      71,076   
     

 

 

 
  71,076   
     

 

 

 

Insurance–1.91%

  

Direct Line Insurance Group ADR

  2,701      51,859   

Everest Re Group

  270      46,980   

Validus Holdings

  892      37,553   

†Zurich Insurance Group ADR

  1,027      34,656   
     

 

 

 
          171,048   
     

 

 

 

Oil, Gas & Consumable Fuels–1.05%

  

Royal Dutch Shell ADR

  662      39,488   

TOTAL ADR

  1,096      54,427   
     

 

 

 
  93,915   
     

 

 

 

Pharmaceuticals–1.11%

  

Novartis ADR

  393      38,754   

Sanofi ADR

  1,232      60,910   
     

 

 

 
  99,664   
     

 

 

 

Wireless Telecommunication Services–0.61%

  

Vodafone Group ADR

  1,672      54,641   
     

 

 

 
  54,641   
     

 

 

 

Total Developed Markets
(Cost $803,286)

   

  774,370   
     

 

 

 

Total Common Stock
(Cost $3,994,925)

 

4,139,825

  

     

 

 

 

CONVERTIBLE PREFERRED STOCK–4.65%

  

Capital One Financial 6.00% exercise price $25.00, expiration date 12/31/49

  1,000      25,240   

Exelon 6.50% exercise price $43.75, expiration date 6/1/17

 

446

  

 

21,698

  

•Morgan Stanley 6.375% exercise price $25.00, expiration date 12/31/49

  837      21,795   

Public Storage 5.75% exercise price $25.00, expiration date 12/31/49

  1,733      44,053   

•SCE Trust III 5.75% exercise price $25.00, expiration date 12/31/49

  4,000      109,800   

Taubman Centers 6.50% exercise price $25.00, expiration date 12/31/49

  1,701      43,920   
 

 

LVIP Goldman Sachs Income Builder Fund–2


LVIP Goldman Sachs Income Builder Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

CONVERTIBLE PREFERRED STOCK (continued)

  

Verizon Communications 5.90% exercise price $25.00, expiration date 2/15/54

  4,000    $ 108,200   

Vornado Realty Trust 6.625% exercise price $25.00, expiration date 12/31/49

  1,649      42,363   
     

 

 

 

Total Convertible Preferred Stock
(Cost $397,999)

   

          417,069   
     

 

 

 

PREFERRED STOCK–0.56%

  

•Morgan Stanley 5.55%

  50,000      50,625   
     

 

 

 

Total Preferred Stock
(Cost $50,500)

   

  50,625   
     

 

 

 

MASTER LIMITED PARTNERSHIPS–5.77%

  

AllianceBernstein Holding

  3,213      99,185   

DCP Midstream Partners

  1,073      39,647   

Energy Transfer Partners

  1,230      68,573   

Enterprise Products Partners

  1,159      38,166   

MarkWest Energy Partners

  627      41,445   

ONEOK Partners

  845      34,510   

Plains All American Pipeline

  1,176      57,353   

Regency Energy Partners

  1,605      36,706   

Rose Rock Midstream

  218      10,355   

Spectra Energy Partners

  635      32,887   

Targa Resources Partners

  996      41,195   

Teekay LNG Partners

  478      17,853   
     

 

 

 

Total Master Limited Partnerships
(Cost $568,309)

   

  517,875   
     

 

 

 
  Principal      
  Amount°      

CORPORATE BONDS–36.61%

  

Airlines–0.30%

  

#Air Canada 144A 6.75% 10/1/19

  25,000      26,750   
     

 

 

 
  26,750   
     

 

 

 

Beverages–0.54%

  

#Cott Beverages 144A
5.375% 7/1/22

 

50,000

  

 

48,313

  

     

 

 

 
  48,313   
     

 

 

 

Chemicals–0.85%

  

Ashland 6.875% 5/15/43

  50,000      54,250   

Hexion 8.875% 2/1/18

  25,000      22,125   
     

 

 

 
  76,375   
     

 

 

 

Commercial Banks–2.56%

  

•Bank of America
5.125% 12/29/49

  75,000      74,055   
  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

•JPMorgan Chase
6.125% 12/29/49

  50,000    $ 51,245   

•Wells Fargo 5.90% 12/29/49

  100,000      104,375   
     

 

 

 
          229,675   
     

 

 

 

Commercial Services & Supplies–1.51%

  

#@Ahern Rentals 144A
9.50% 6/15/18

  25,000      26,594   

HD Supply 7.50% 7/15/20

  50,000      53,750   

#Speedy Cash Intermediate
Holdings 144A 10.75% 5/15/18

 

25,000

  

 

24,375

  

United Rentals North America
5.50% 7/15/25

  30,000      30,637   
     

 

 

 
  135,356   
     

 

 

 

Computers & Peripherals–0.58%

  

NCR 5.875% 12/15/21

  50,000      52,313   
     

 

 

 
  52,313   
     

 

 

 

Containers & Packaging–0.87%

  

BWAY Holding 9.125% 8/15/21

  25,000      26,125   

#Sealed Air 144A 5.25% 4/1/23

  50,000      52,375   
     

 

 

 
  78,500   
     

 

 

 

Diversified Financial Services–3.71%

  

•Citigroup 5.90% 12/29/49

  150,000      151,875   

CoreLogic 7.25% 6/1/21

  25,000      26,750   

•General Electric Capital
5.25% 6/29/49

  100,000      103,250   

HRG Group 7.875% 7/15/19

  25,000      26,437   

Nationstar Mortgage
6.50% 7/1/21

  25,000      24,375   
     

 

 

 
  332,687   
     

 

 

 

Diversified Telecommunication Services–1.92%

  

Frontier Communications
8.50% 4/15/20

  50,000      56,375   

Intelsat Luxembourg
7.75% 6/1/21

 

125,000

  

 

115,781

  

     

 

 

 
  172,156   
     

 

 

 

Food & Staples Retailing–1.36%

  

~BI-LO PIK 8.625% 9/15/18

  50,000      44,500   

Ingles Markets 5.75% 6/15/23

  25,000      25,937   

#Rite Aid 144A 6.125% 4/1/23

  50,000      51,500   
     

 

 

 
  121,937   
     

 

 

 

Food Products–1.17%

  

#Heinz (H.J.) 144A
4.875% 2/15/25

 

50,000

  

 

54,313

  

#Post Holdings 144A
6.75% 12/1/21

 

50,000

  

 

50,625

  

     

 

 

 
  104,938   
     

 

 

 
 

 

LVIP Goldman Sachs Income Builder Fund–3


LVIP Goldman Sachs Income Builder Fund

Schedule of Investments (continued)

 

  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS (continued)

  

Health Care Equipment & Supplies–0.50%

  

#@Crimson Merger Sub 144A
6.625% 5/15/22

  50,000    $ 44,437   
     

 

 

 
  44,437   
     

 

 

 

Health Care Providers & Services–3.82%

  

Amsurg 5.625% 7/15/22

  50,000      51,375   

Community Health Systems
6.875% 2/1/22

  150,000              161,063   

HCA 4.75% 5/1/23

  125,000      130,000   
     

 

 

 
  342,438   
     

 

 

 

Hotels, Restaurants & Leisure–2.06%

  

#BC ULC 144A 6.00% 4/1/22

  50,000      52,000   

MGM Resorts International
6.625% 12/15/21

  100,000      107,313   

#Seminole Hard Rock
Entertainment 144A
5.875% 5/15/21

  25,000      25,219   
     

 

 

 
  184,532   
     

 

 

 

Household Durables–0.85%

  

Spectrum Brands
6.625% 11/15/22

  25,000      26,875   

#@TRI Pointe Holdings 144A
4.375% 6/15/19

  50,000      49,000   
     

 

 

 
  75,875   
     

 

 

 

Independent Power Producers & Energy Traders–0.23%

  

#Dynegy Finance I/II 144A
6.75% 11/1/19

 

20,000

  

 

20,725

  

     

 

 

 
  20,725   
     

 

 

 

Industrial Conglomerates–1.75%

  

ADS Waste Holdings
8.25% 10/1/20

 

50,000

  

 

52,500

  

AECOM

#144A 5.75% 10/15/22

  50,000      51,875   

#144A 5.875% 10/15/24

  50,000      52,625   
     

 

 

 
  157,000   
     

 

 

 

Internet Software & Services–0.58%

  

Equinix 5.375% 4/1/23

  50,000      52,150   
     

 

 

 
  52,150   
     

 

 

 

IT Services–0.90%

  

#First Data 144A 8.25% 1/15/21

  75,000      80,625   
     

 

 

 
  80,625   
     

 

 

 

Media–3.68%

  

#Cequel Communications
Holdings I 144A
5.125% 12/15/21

 

25,000

  

 

25,063

  

iHeartCommunications
9.00% 12/15/19

 

50,000

  

 

49,687

  

  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS (continued)

  

Media (continued)

  

#Nielsen Finance 144A
5.00% 4/15/22

 

50,000

  

$

50,500

  

Outfront Media Capital
5.875% 3/15/25

 

50,000

  

 

53,063

  

#Sirius XM Radio 144A
4.625% 5/15/23

 

25,000

  

 

24,156

  

#Videotron 144A 5.375% 6/15/24

  75,000      77,437   

#WMG Acquisition 144A
5.625% 4/15/22

 

50,000

  

 

50,313

  

     

 

 

 
  330,219   
     

 

 

 

Multiline Retail–0.59%

  

#Neiman Marcus Group 144A
8.00% 10/15/21

 

50,000

  

 

53,250

  

     

 

 

 
  53,250   
     

 

 

 

Oil, Gas & Consumable Fuels–1.72%

  

Antero Resources
5.125% 12/1/22

 

25,000

  

 

24,125

  

#144A 5.625% 6/1/23

  25,000      24,781   

Halcon Resources
8.875% 5/15/21

 

50,000

  

 

35,000

  

MEG Energy

#144A 6.375% 1/30/23

  25,000      23,125   

#144A 7.00% 3/31/24

  50,000      47,375   
     

 

 

 
          154,406   
     

 

 

 

Pharmaceuticals–0.57%

  

#Valeant Pharmaceuticals
International 144A
6.75% 8/15/21

 

25,000

  

 

26,219

  

#VRX Escrow 144A
5.375% 3/15/20

 

25,000

  

 

25,281

  

     

 

 

 
  51,500   
     

 

 

 

Software–1.11%

  

#@BMC Software Finance 144A
8.125% 7/15/21

 

25,000

  

 

23,000

  

#Infor US 144A 6.50% 5/15/22

  50,000      51,375   

#Nuance Communications 144A
5.375% 8/15/20

 

25,000

  

 

25,375

  

     

 

 

 
  99,750   
     

 

 

 

Wireless Telecommunication Services–2.88%

  

Crown Castle International
5.25% 1/15/23

 

50,000

  

 

52,750

  

#SBA Communications 144A
4.875% 7/15/22

 

25,000

  

 

24,552

  

Sprint 7.875% 9/15/23

  125,000      128,125   
 

 

LVIP Goldman Sachs Income Builder Fund–4


LVIP Goldman Sachs Income Builder Fund

Schedule of Investments (continued)

 

  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS (continued)

  

Wireless Telecommunication Services (continued)

  

T-Mobile USA 6.625% 4/1/23

  50,000    $ 52,563   
     

 

 

 
          257,990   
     

 

 

 

Total Corporate Bonds
(Cost $3,308,814)

   

 

3,283,897

  

     

 

 

 

«SENIOR SECURED LOANS–0.42%

  

Dollar Tree Tranche B 1st Lien
4.25% 3/9/22

 

25,000

  

 

25,293

  

Valeant Pharmaceuticals International Tranche B-F1 1st Lien
4.00% 3/13/22

  12,387      12,457   
     

 

 

 

Total Senior Secured Loans
(Cost $37,200)

   

 

37,750

  

     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

MONEY MARKET FUND–6.89%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  618,215    $ 618,215   
     

 

 

 

Total Money Market Fund
(Cost $618,215)

   

          618,215   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–101.05% (Cost $8,975,962)

  9,065,256   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(1.05%)

  (94,411
  

 

 

 

NET ASSETS APPLICABLE TO 898,789 SHARES OUTSTANDING–100.00%

      $8,970,845   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $1,263,153, which represents 14.08% of the Fund’s net assets.

 

~

100% of the income received on this PIK security was in the form of cash.

 

Non-income producing for the period.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

«

Includes $11,567 cash pledged as collateral for futures contracts as of March 31, 2015.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $143,031, which represents 1.59% of the Fund’s net assets.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

§

Developed Markets – countries that are thought to be most developed and therefore less risky than emerging markets.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

        Unrealized
  Notional Notional Expiration Appreciation

Contracts to Buy (Sell)

Cost (Proceeds) Value Date (Depreciation)

 3     U.S. Treasury 2 yr Notes

  $ 655,676     $ 657,469       7/1/15     $ 1,793  

(3)   U.S. Treasury 5 yr Notes

    (357,671 )     (360,633 )     7/1/15       (2,962 )

(2)   U.S. Treasury 10 yr Notes

    (256,868 )     (257,813 )     6/22/15       (945 )

(3)   U.S. Treasury Long Bonds

    (486,655 )     (491,625 )     6/22/15       (4,970 )

 2     U.S. Treasury Ultra Bonds

    337,167       339,750       6/22/15       2,583  
    

 

 

              

 

 

 
  $ (108,351 )       $ (4,501 )
    

 

 

              

 

 

 

 

LVIP Goldman Sachs Income Builder Fund–5


LVIP Goldman Sachs Income Builder Fund

Schedule of Investments (continued)

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

ADR–American Depositary Receipt

PIK–Pay-in-kind

yr–Year

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

        Level 1             Level 2               Total        

Common Stock.

  $ 4,139,825     $     $ 4,139,825  

Convertible Preferred Stock

    417,069             417,069  

Preferred Stock

          50,625       50,625  

Master Limited Partnerships

    517,875             517,875  

Corporate Bonds

          3,283,897       3,283,897  

Senior Secured Loans

          37,750       37,750  

Money Market Fund

    618,215             618,215  
    

 

 

     

 

 

      

 

 

 

Total

  $ 5,692,984     $ 3,372,272     $ 9,065,256  
    

 

 

     

 

 

      

 

 

 

Futures Contracts

  $ (4,501 )   $     $ (4,501 )
    

 

 

     

 

 

      

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Goldman Sachs Income Builder Fund–6


LVIP Invesco Diversified Equity-Income RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES–101.46%

  

Equity Funds–92.87%

  

*Invesco V.I. Core Equity Fund

  358,924    $   14,769,734   

*Invesco V.I. Diversified Dividend Fund

  631,174      14,965,146   

**Invesco V.I. Equity and Income Fund

  1,037,863          19,657,119   
     

 

 

 
    49,391,999   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES (continued)

  

Money Market Fund–8.59%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  4,565,435    $   4,565,435   
     

 

 

 
  4,565,435   
     

 

 

 

Total Investment Companies
(Cost $53,329,658)

      53,957,434   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–101.46% (Cost $53,329,658)

  53,957,434   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(1.46%)

  (775,684
  

 

 

 

NET ASSETS APPLICABLE TO 5,158,268 SHARES OUTSTANDING–100.00%

$     53,181,750   
  

 

 

 

 

*

Series I Shares.

 

**

Series II Shares.

 

«

Includes $70,788 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

        Unrealized
  Notional Notional Expiration Appreciation

Contracts to Buy (Sell)

Cost (Proceeds) Value Date (Depreciation)

23     E-mini S&P 500 Index

  $ 2,351,928     $ 2,369,920       6/22/15     $ 17,992  

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

        Level 1      

Investment Companies

  $ 53,957,434  
    

 

 

 

Futures Contracts

  $ 17,992  
    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Invesco Diversified Equity-Income Managed Volatility Fund.

 

LVIP Invesco Diversified Equity-Income RPM Fund–1


LVIP Invesco V.I. Comstock RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES–99.41%

  

Equity Fund–92.72%

  

*Invesco V.I. Comstock Fund

  4,421,300    $   84,667,891   
     

 

 

 
      84,667,891   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES (continued)

  

Money Market Fund–6.69%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  6,111,458    $ 6,111,458   
     

 

 

 
  6,111,458   
     

 

 

 

Total Investment Companies
(Cost $88,128,687)

      90,779,349   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.41% (Cost $88,128,687)

  90,779,349   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.59%

  537,201   
  

 

 

 

NET ASSETS APPLICABLE TO 8,918,704 SHARES OUTSTANDING–100.00%

$ 91,316,550   
  

 

 

 

 

 

*

Series I Shares.

 

«

Includes $1,010,799 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contract was outstanding at March 31, 2015:

Futures Contracts

 

        Unrealized
  Notional Notional Expiration Appreciation

Contracts to Buy (Sell)

Cost (Proceeds) Value Date (Depreciation)

(154)   E-mini S&P 500 Index

  $ (15,679,721 )   $ (15,868,160 )     6/22/15     $ (188,439 )

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

        Level 1      

Investment Companies

  $ 90,779,349  
    

 

 

 

Futures Contracts

  $ (188,439 )
    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Invesco V.I. Comstock Managed Volatility Fund.

 

LVIP Invesco V.I. Comstock RPM Fund–1


LVIP JPMorgan Mid Cap Value RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK–90.16%

  

Banks–5.23%

  

Citizens Financial Group

  95,870    $ 2,313,343   

City National

  28,078      2,501,188   

Fifth Third Bancorp

  229,574      4,327,470   

First Republic Bank

  35,985      2,054,384   

Huntington Bancshares

  122,929      1,358,365   

M&T Bank

  24,801      3,149,727   

SunTrust Banks

  104,656      4,300,315   

Zions Bancorporation

  40,047      1,081,269   
     

 

 

 
  21,086,061   
     

 

 

 

Beverages–1.77%

  

†Constellation Brands Class A

  31,180      3,623,428   

Dr Pepper Snapple Group

  44,646      3,503,818   
     

 

 

 
  7,127,246   
     

 

 

 

Building Products–0.69%

  

Fortune Brands Home & Security

  58,707      2,787,408   
     

 

 

 
  2,787,408   
     

 

 

 

Capital Markets–4.09%

  

Ameriprise Financial

  34,598      4,526,802   

Invesco

  87,902      3,488,830   

Legg Mason

  40,072      2,211,974   

Northern Trust

  36,399      2,535,190   

T. Rowe Price Group

  46,162      3,738,199   
     

 

 

 
      16,500,995   
     

 

 

 

Chemicals–2.76%

  

Airgas

  41,200      4,371,732   

Albemarle

  49,751      2,628,843   

Sherwin-Williams

  10,599      3,015,415   

Sigma-Aldrich

  8,163      1,128,535   
     

 

 

 
  11,144,525   
     

 

 

 

Communications Equipment–0.54%

  

†CommScope Holding

  76,167      2,173,806   
     

 

 

 
  2,173,806   
     

 

 

 

Consumer Finance–0.56%

  

†Ally Financial

  108,401      2,274,253   
     

 

 

 
  2,274,253   
     

 

 

 

Containers & Packaging–2.39%

  

Ball

  42,350      2,991,604   

Rock-Tenn Class A

  39,592      2,553,684   

Silgan Holdings

  70,250      4,083,633   
     

 

 

 
  9,628,921   
     

 

 

 

Electric Utilities–2.61%

  

Edison International

  52,134      3,256,811   

Westar Energy

  97,214      3,768,015   

Xcel Energy

  100,118      3,485,108   
     

 

 

 
  10,509,934   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Electrical Equipment–2.69%

  

AMETEK

  68,888    $ 3,619,376   

Hubbell Class B

  38,823      4,255,777   

Regal-Beloit

  37,055      2,961,436   
     

 

 

 
  10,836,589   
     

 

 

 

Electronic Equipment, Instruments & Components–2.46%

  

Amphenol Class A

  64,562      3,804,639   

†Arrow Electronics

  100,097      6,120,932   
     

 

 

 
  9,925,571   
     

 

 

 

Food & Staples Retailing–2.25%

  

Kroger

  69,229      5,307,095   

†Rite Aid

  434,107      3,772,390   
     

 

 

 
  9,079,485   
     

 

 

 

Food Products–0.76%

  

Hershey

  30,479      3,075,636   
     

 

 

 
  3,075,636   
     

 

 

 

Gas Utilities–1.85%

  

National Fuel Gas

  38,514      2,323,550   

Questar

  215,296      5,136,963   
     

 

 

 
  7,460,513   
     

 

 

 

Health Care Equipment & Supplies–0.17%

  

Becton, Dickinson

  4,770      684,880   
     

 

 

 
  684,880   
     

 

 

 

Health Care Providers & Services–5.74%

  

AmerisourceBergen

  44,901      5,103,897   

†Brookdale Senior Living

  94,391      3,564,204   

Cigna

  51,740      6,697,226   

†Henry Schein

  17,356      2,423,245   

Humana

  29,960      5,333,479   
     

 

 

 
  23,122,051   
     

 

 

 

Hotels, Restaurants & Leisure–1.30%

  

Marriott International Class A

  19,807      1,590,898   

Starwood Hotels & Resorts Worldwide

  43,917      3,667,069   
     

 

 

 
  5,257,967   
     

 

 

 

Household Durables–2.75%

  

†Jarden

  94,275      4,987,147   

†Mohawk Industries

  32,907      6,112,475   
     

 

 

 
      11,099,622   
     

 

 

 

Household Products–1.02%

  

Energizer Holdings

  29,633      4,090,836   
     

 

 

 
  4,090,836   
     

 

 

 

Industrial Conglomerates–1.04%

  

Carlisle

  45,063      4,174,186   
     

 

 

 
  4,174,186   
     

 

 

 
 

 

LVIP JPMorgan Mid Cap Value RPM Fund–1


LVIP JPMorgan Mid Cap Value RPM Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Insurance–8.21%

  

†Alleghany

  5,118    $ 2,492,466   

Berkley (W.R.)

  35,863      1,811,440   

Chubb

  29,257      2,957,883   

Hartford Financial Services Group

  103,737      4,338,281   

Loews

  148,596      6,067,175   

Marsh & McLennan

  83,905      4,706,231   

Old Republic International

  115,409      1,724,210   

Progressive

  63,917      1,738,542   

Unum Group

  96,661      3,260,376   

XL Group

  108,551      3,994,677   
     

 

 

 
      33,091,281   
     

 

 

 

Internet & Catalog Retail–1.45%

  

Expedia

  61,970      5,833,236   
     

 

 

 
  5,833,236   
     

 

 

 

IT Services–1.58%

  

Jack Henry & Associates

  91,098      6,366,839   
     

 

 

 
  6,366,839   
     

 

 

 

Machinery–2.42%

  

IDEX

  55,537      4,211,371   

†Rexnord

  75,365      2,011,492   

Snap-on

  23,954      3,522,675   
     

 

 

 
  9,745,538   
     

 

 

 

Media–2.89%

  

CBS Class B

  43,941      2,664,143   

Clear Channel Outdoor Holdings Class A

  75,095      759,961   

†DISH Network Class A

  56,637      3,967,988   

Gannett

  70,869      2,627,823   

Time

  73,394      1,646,961   
     

 

 

 
  11,666,876   
     

 

 

 

Multiline Retail–2.73%

  

Kohl’s

  102,471      8,018,356   

Nordstrom

  37,399      3,003,888   
     

 

 

 
  11,022,244   
     

 

 

 

Multi-Utilities–4.10%

  

CenterPoint Energy

  186,623      3,808,975   

CMS Energy

  117,535      4,103,147   

NiSource

  38,493      1,699,851   

Sempra Energy

  34,668      3,779,505   

Wisconsin Energy

  63,641      3,150,230   
     

 

 

 
  16,541,708   
     

 

 

 

Oil, Gas & Consumable Fuels–3.93%

  

Energen

  79,222      5,228,652   

EQT

  42,938      3,558,272   

PBF Energy

  50,689      1,719,371   

QEP Resources

  72,278      1,506,996   
  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

†Southwestern Energy

  164,871    $ 3,823,358   
     

 

 

 
      15,836,649   
     

 

 

 

Professional Services–0.93%

  

Equifax

  40,394      3,756,642   
     

 

 

 
  3,756,642   
     

 

 

 

Real Estate Investment Trusts–8.17%

  

American Campus Communities

  69,014      2,958,630   

AvalonBay Communities

  22,060      3,843,955   

Boston Properties

  14,349      2,015,748   

Brixmor Property Group

  100,135      2,658,584   

General Growth Properties

  111,990      3,309,305   

Kimco Realty

  162,600      4,365,810   

Outfront Media

  66,068      1,976,755   

Rayonier

  78,611      2,119,353   

Regency Centers

  42,741      2,908,098   

Vornado Realty Trust

  34,834      3,901,408   

Weyerhaeuser

  86,856      2,879,276   
     

 

 

 
  32,936,922   
     

 

 

 

Semiconductors & Semiconductor Equipment–2.38%

  

Analog Devices

  64,438      4,059,594   

KLA-Tencor

  25,117      1,464,070   

Xilinx

  96,675      4,089,353   
     

 

 

 
  9,613,017   
     

 

 

 

Software–1.18%

  

†Synopsys

  102,728      4,758,361   
     

 

 

 
  4,758,361   
     

 

 

 

Specialty Retail–5.01%

  

†AutoZone

  6,300      4,297,608   

†Bed Bath & Beyond

  40,109      3,079,368   

Best Buy

  98,769      3,732,480   

Gap

  114,910      4,979,050   

Tiffany

  46,720      4,111,827   
     

 

 

 
  20,200,333   
     

 

 

 

Textiles, Apparel & Luxury Goods–1.21%

  

PVH

  29,518      3,145,438   

VF

  23,035      1,734,766   
     

 

 

 
  4,880,204   
     

 

 

 

Thrifts & Mortgage Finance–0.40%

  

Hudson City Bancorp

  151,851      1,591,398   
     

 

 

 
  1,591,398   
     

 

 

 
 

 

LVIP JPMorgan Mid Cap Value RPM Fund–2


LVIP JPMorgan Mid Cap Value RPM Fund

Schedule of Investments (continued)

 

  Number of   Value  
  Shares   (U.S. $)  

COMMON STOCK (continued)

  

Trading Companies & Distributors–0.90%

  

MSC Industrial Direct

  49,994    $ 3,609,567   
     

 

 

 
  3,609,567   
     

 

 

 

Total Common Stock
(Cost $296,650,369)

   

    363,491,300   
     

 

 

 

 

  Number of   Value  
  Shares   (U.S. $)  

MONEY MARKET FUND–11.33%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  45,690,828    $ 45,690,827   
     

 

 

 

Total Money Market Fund
(Cost $45,690,829)

   

       45,690,827   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–101.49% (Cost $342,341,198)

  409,182,127   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(1.49%)

  (6,004,426
  

 

 

 

NET ASSETS APPLICABLE TO 25,556,015 SHARES OUTSTANDING–100.00%

    $403,177,701   
  

 

 

 

 

 

† Non-income producing for the period.

« Includes $1,750,647 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

        Unrealized
  Notional Notional Expiration Appreciation

Contracts to Buy (Sell)

Cost (Proceeds) Value Date (Depreciation)

  (59)   E-mini Russell 2000 Index

  $ (7,211,480 )   $ (7,368,510 )     6/22/15     $ (157,030 )

(200)   E-mini S&P 500 Index

    (20,398,640 )     (20,608,000 )     6/22/15       (209,360 )
    

 

 

                

 

 

 
  $ (27,610,120 )       $ (366,390 )
    

 

 

                

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional values 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.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Common Stock

$ 363,491,300   

Money Market Fund

  45,690,827   
  

 

 

 

Total

$ 409,182,127   
  

 

 

 

Futures Contracts

$ (366,390
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP JPMorgan Mid Cap Value Managed Volatility Fund.

 

LVIP JPMorgan Mid Cap Value RPM Fund–3


LVIP JPMorgan High Yield Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS–90.36%

Aerospace & Defense–0.59%

Bombardier

#144A 4.75% 4/15/19

  453,000    $     446,205   

#144A 5.50% 9/15/18

  250,000      250,000   

#144A 6.125% 1/15/23

  257,000      244,150   

#144A 7.50% 3/15/18

  575,000      614,172   

#144A 7.75% 3/15/20

  112,000      117,768   

GenCorp 7.125% 3/15/21

  153,000      164,475   

Kratos Defense & Security
Solutions 7.00% 5/15/19

 

455,000

  

 

399,263

  

#Orbital ATK 144A 5.25% 10/1/21

  310,000      316,200   

Spirit Aerosystems

5.25% 3/15/22

  214,000      223,630   

TransDigm

6.00% 7/15/22

  956,000      960,780   

6.50% 7/15/24

  461,000      465,610   
     

 

 

 
  4,202,253   
     

 

 

 

Airlines–0.81%

Continental Airlines Pass Through Trust

¿Series 2003-ERJ1
7.875% 7/2/18

 

682,784

  

 

721,156

  

¿Series 2004-ERJ1
9.558% 9/1/19

 

387,073

  

 

429,650

  

¿Series 2005-ERJ1
9.798% 4/1/21

 

272,332

  

 

307,735

  

Series 2012-3 Class C
6.125% 4/29/18

 

577,000

  

 

608,735

  

Delta Air Lines Pass Through Trust

¿Series 2012-1 Class A
4.75% 5/7/20

  138,374      149,270   

#¿Series 2012-1 Class B
144A 6.875% 5/7/19

 

510,446

  

 

565,319

  

¿Northwest Airlines Pass
Through Trust 7.027% 11/1/19

 

761,020

  

 

882,250

  

¿UAL Pass Through Trust Series
2007-1 Class A 6.636% 7/2/22

 

317,114

  

 

342,483

  

¿US Airways Series 2013-1
Class B Pass Through Trust
5.375% 11/15/21

 

1,755,748

  

 

1,830,367

  

     

 

 

 
  5,836,965   
     

 

 

 

Auto Components–0.81%

Dana Holding 6.75% 2/15/21

  18,000      19,080   

Goodyear Tire & Rubber

7.00% 5/15/22

  2,088,000      2,296,800   

8.25% 8/15/20

  400,000      425,000   

#MPG Holdco I 144A
7.375% 10/15/22

 

1,132,000

  

 

1,215,485

  

#Pittsburgh Glass Works 144A
8.00% 11/15/18

 

641,000

  

 

681,063

  

#Poindexter (J.B.) 144A
9.00% 4/1/22

 

609,000

  

 

663,810

  

  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS (continued)

Auto Components (continued)

Tenneco 5.375% 12/15/24

  476,000    $ 497,420   
     

 

 

 
  5,798,658   
     

 

 

 

Automobiles–1.68%

FCA US

8.00% 6/15/19

  2,722,000      2,868,307   

8.25% 6/15/21

  4,466,000      4,975,615   

General Motors

3.50% 10/2/18

  593,000      610,529   

4.00% 4/1/25

  476,000      485,467   

4.875% 10/2/23

  750,000      815,785   

Jaguar Land Rover Automotive

#144A 4.125% 12/15/18

  1,461,000      1,508,483   

#144A 4.25% 11/15/19

  589,000      608,143   

#144A 5.625% 2/1/23

  150,000      158,625   
     

 

 

 
  12,030,954   
     

 

 

 

Beverages–0.43%

Constellation Brands

3.75% 5/1/21

  159,000      162,975   

4.75% 11/15/24

  671,000      711,260   

6.00% 5/1/22

  5,000      5,725   

7.25% 5/15/17

  150,000      165,844   

#Cott Beverages 144A

6.75% 1/1/20

  696,000      722,100   

#DS Services of America 144A

10.00% 9/1/21

  1,137,000      1,341,660   
     

 

 

 
  3,109,564   
     

 

 

 

Building Products–1.13%

Building Materials Corp of America

#144A 5.375% 11/15/24

  732,000      746,640   

#144A 6.75% 5/1/21

  1,145,000      1,219,425   

#Calcipar 144A 6.875% 5/1/18

  525,000      534,187   

Griffon 5.25% 3/1/22

  343,000      339,690   

#Hardwoods Acquisition 144A

7.50% 8/1/21

  970,000      931,200   

Headwaters 7.25% 1/15/19

  661,000      695,703   

Masco

4.45% 4/1/25

  562,000      581,670   

5.95% 3/15/22

  156,000      175,890   

7.125% 3/15/20

  20,000      23,550   

Masonite International

#144A 5.625% 3/15/23

  480,000      493,200   

#144A 8.25% 4/15/21

  1,040,000      1,114,100   

#NCI Building Systems 144A

8.25% 1/15/23

  340,000      361,250   

#NWH Escrow 144A 7.50% 8/1/21

  500,000      472,500   

USG

#144A 5.50% 3/1/25

  390,000      398,775   

#144A 7.875% 3/30/20

  18,000      19,507   
     

 

 

 
  8,107,287   
     

 

 

 
 

 

LVIP JPMorgan High Yield Fund–1


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS (continued)

Capital Markets–0.24%

E*TRADE Financial

4.625% 9/15/23

  494,000    $ 503,880   

5.375% 11/15/22

  335,000      354,263   

#~Jaguar Holding I PIK 144A

9.375% 10/15/17

  90,000      92,250   

#Neuberger Berman Group 144A

5.625% 3/15/20

  560,000      586,600   

Oppenheimer Holdings
8.75% 4/15/18

 

170,000

  

 

179,180

  

     

 

 

 
      1,716,173   
     

 

 

 

Chemicals–2.05%

Ashland

3.00% 3/15/16

  344,000      348,300   

3.875% 4/15/18

  423,000      435,161   

4.75% 8/15/22

  1,262,000      1,287,240   

Axiall 4.875% 5/15/23

  970,000      966,363   

#Basell Finance 144A

8.10% 3/15/27

  435,000      600,278   

Celanese U.S. Holdings

4.625% 11/15/22

  225,000      227,813   

Eagle Spinco 4.625% 2/15/21

  120,000      119,100   

#Evolution Escrow Issuer 144A

7.50% 3/15/22

  789,000      800,835   

Grace (W.R.)

#144A 5.125% 10/1/21

  415,000      431,600   

#144A 5.625% 10/1/24

  138,000      147,833   

Hexion 6.625% 4/15/20

  975,000      897,000   

Huntsman International

4.875% 11/15/20

  750,000      753,750   

#144A 5.125% 11/15/22

  273,000      274,365   

INEOS Group Holdings

#144A 5.875% 2/15/19

  200,000      198,250   

#144A 6.125% 8/15/18

  236,000      238,360   

LyondellBasell Industries

5.00% 4/15/19

  430,000      474,600   

6.00% 11/15/21

  580,000      682,738   

Momentive Performance Materials

3.88% 10/24/21

  950,000      845,500   

=‡8.875% 10/15/20

  600,000      0   

NOVA Chemicals

#144A 5.00% 5/1/25

  331,000      346,723   

#144A 5.25% 8/1/23

  450,000      471,937   

Olin 5.50% 8/15/22

  560,000      590,800   

#Platform Specialty Products

144A 6.50% 2/1/22

  564,000      592,200   

PolyOne

5.25% 3/15/23

  1,200,000      1,251,000   

7.375% 9/15/20

  513,000      543,139   

Rain CII Carbon

#144A 8.00% 12/1/18

  630,000      601,650   
  Principal   Value  
  Amount°   (U.S. $)  

CORPORATE BONDS (continued)

  

Chemicals (continued)

Rain CII Carbon (continued)

#144A 8.25% 1/15/21

  625,000    $ 585,937   
     

 

 

 
      14,712,472   
     

 

 

 

Commercial Banks–3.03%

•Bank of America
8.00% 12/30/49

 

1,169,000

  

 

1,255,214

  

•Barclays 8.25% 12/29/49

  320,000      343,493   

Barclays Bank 7.625% 11/21/22

  810,000      949,725   

CIT Group

4.25% 8/15/17

  338,000      343,070   

5.00% 5/15/17

  749,000      772,174   

5.00% 8/15/22

  1,960,000      2,016,350   

5.375% 5/15/20

  1,948,000      2,055,140   

#144A 6.625% 4/1/18

  1,306,000      1,403,950   

Citigroup

•5.875% 12/29/49

  1,135,000      1,149,187   

•5.95% 12/29/49

  635,000      643,731   

#•Credit Agricole 144A
6.625% 9/29/49

 

722,000

  

 

725,069

  

•Goldman Sachs Group
5.70% 12/29/49

 

594,000

  

 

613,305

  

•HSBC Holdings 6.375% 3/29/49

  526,000      539,150   

•Morgan Stanley 5.45% 12/29/49

  300,000      302,625   

Royal Bank of Scotland Group

5.125% 5/28/24

  680,000      714,698   

6.00% 12/19/23

  293,000      326,476   

6.10% 6/10/23

  2,409,000      2,683,313   

6.125% 12/15/22

  2,370,000      2,673,000   

•9.50% 3/16/22

  697,000      787,562   

•Wachovia Capital Trust III
5.57% 3/29/49

 

300,000

  

 

297,720

  

•Wells Fargo 5.90% 12/29/49

  1,073,000      1,119,944   
     

 

 

 
  21,714,896   
     

 

 

 

Commercial Services & Supplies–2.36%

  

ADT

3.50% 7/15/22

  171,000      156,037   

4.125% 4/15/19

  230,000      234,313   

4.125% 6/15/23

  2,569,000      2,408,437   

6.25% 10/15/21

  1,280,000      1,366,400   

#Alliance Data Systems 144A
5.375% 8/1/22

 

650,000

  

 

650,000

  

Casella Waste Systems
7.75% 2/15/19

 

1,435,000

  

 

1,442,175

  

Cenveo

#144A 6.00% 8/1/19

  715,000      673,887   

#144A 8.50% 9/15/22

  570,000      483,075   

Covanta Holding

5.875% 3/1/24

  200,000      208,000   

6.375% 10/1/22

  144,000      154,800   
 

 

LVIP JPMorgan High Yield Fund–2


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Commercial Services & Supplies (continued)

  

Donnelley (R.R.)

6.00% 4/1/24

  580,000    $ 601,750   

6.50% 11/15/23

  340,000      362,950   

#Garda World Security 144A

7.25% 11/15/21

  1,220,000      1,204,750   

#~Igloo Holdings PIK 144A

8.25% 12/15/17

  208,000      209,820   

International Lease Finance

5.875% 4/1/19

  260,000      282,750   

6.25% 5/15/19

  1,345,000      1,472,775   

8.25% 12/15/20

  2,371,000      2,892,620   

8.625% 1/15/22

  845,000      1,074,206   

#Mustang Merger 144A

8.50% 8/15/21

  308,000      313,390   

#Quad Graphics 144A

7.00% 5/1/22

  490,000      473,463   

#Speedy Cash Intermediate

Holdings 144A 10.75% 5/15/18

  295,000      287,625   
     

 

 

 
        16,953,223   
     

 

 

 

Communications Equipment–0.78%

  

Alcatel-Lucent USA

#144A 4.625% 7/1/17

  266,000      272,983   

6.45% 3/15/29

  489,000      496,335   

#144A 6.75% 11/15/20

  323,000      345,610   

Avaya

#144A 7.00% 4/1/19

  1,879,000      1,874,303   

#144A 10.50% 3/1/21

  1,093,000      934,515   

Goodman Networks

12.125% 7/1/18

  1,081,000      1,010,735   

Nokia

5.375% 5/15/19

  418,000      451,440   

6.625% 5/15/39

  158,000      188,020   
     

 

 

 
  5,573,941   
     

 

 

 

Computers & Peripherals–0.12%

  

#IHS 144A 5.00% 11/1/22

  370,000      373,478   

NCR

5.00% 7/15/22

  373,000      378,595   

6.375% 12/15/23

  130,000      139,100   
     

 

 

 
  891,173   
     

 

 

 

Construction & Engineering–0.77%

  

AECOM

#144A 5.75% 10/15/22

  820,000      850,750   

#144A 5.875% 10/15/24

  1,520,000      1,599,800   

Dycom Investments

7.125% 1/15/21

  525,000      552,563   

MasTec 4.875% 3/15/23

  900,000      846,000   

Tutor Perini 7.625% 11/1/18

  1,605,000      1,673,213   
     

 

 

 
  5,522,326   
     

 

 

 
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Construction Materials–1.42%

  

Cemex

#144A 6.125% 5/5/25

  352,000    $ 356,294   

#144A 7.25% 1/15/21

  2,277,000      2,436,390   

Cemex Finance

#144A 6.00% 4/1/24

  300,000      300,000   

#144A 9.375% 10/12/22

  3,670,000      4,183,800   

Lafarge 7.125% 7/15/36

  225,000      293,625   

US Concrete 8.50% 12/1/18

  375,000      398,437   

Vulcan Materials

4.50% 4/1/25

  766,000      781,320   

7.50% 6/15/21

  1,160,000      1,397,800   
     

 

 

 
        10,147,666   
     

 

 

 

Consumer Finance–1.35%

  

#ACE Cash Express 144A

11.00% 2/1/19

  1,477,000      832,659   

Ally Financial

4.75% 9/10/18

  15,000      15,469   

6.25% 12/1/17

  1,505,000      1,606,587   

7.50% 9/15/20

  1,487,000      1,745,366   

8.00% 12/31/18

  450,000      509,625   

8.00% 3/15/20

  1,453,000      1,736,335   

8.00% 11/1/31

  1,240,000      1,554,650   

Navient

7.25% 1/25/22

  164,000      173,430   

8.00% 3/25/20

  1,331,000      1,480,871   
     

 

 

 
  9,654,992   
     

 

 

 

Containers & Packaging–1.37%

  

Ardagh Packaging Finance

#144A 6.25% 1/31/19

  565,000      569,237   

#144A 7.00% 11/15/20

  88,235      88,787   

#144A 9.125% 10/15/20

  567,000      606,690   

#144A 9.125% 10/15/20

  224,000      240,800   

Ball

4.00% 11/15/23

  354,000      346,920   

5.00% 3/15/22

  135,000      141,750   

Berry Plastics 5.50% 5/15/22

  425,000      437,219   

Beverage Packaging Holdings Luxembourg II

#144A 5.625% 12/15/16

  440,000      442,750   

#144A 6.00% 6/15/17

  150,000      150,750   

Crown Americas

4.50% 1/15/23

  445,000      451,119   

6.25% 2/1/21

  250,000      264,687   

Graphic Packaging

International 4.75% 4/15/21

  357,000      373,065   

Owens Illinois 7.80% 5/15/18

  400,000      450,500   

Owens-Brockway Glass Container

#144A 5.00% 1/15/22

  685,000      700,344   

#144A 5.375% 1/15/25

  249,000      257,093   

Reynolds Group Issuer

5.75% 10/15/20

  885,000      917,081   
 

 

LVIP JPMorgan High Yield Fund –3


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Containers & Packaging (continued)

  

Reynolds Group Issuer (continued)

  

6.875% 2/15/21

  435,000    $ 460,013   

7.125% 4/15/19

  750,000      779,063   

9.875% 8/15/19

  448,000      481,600   

Sealed Air

#144A 4.875% 12/1/22

  360,000      368,100   

#144A 5.125% 12/1/24

  660,000      684,750   

#144A 5.25% 4/1/23

  200,000      209,500   

#144A 6.50% 12/1/20

  355,000      396,713   
     

 

 

 
  9,818,531   
     

 

 

 

Distributors–0.19%

#Brightstar 144A 9.50% 12/1/16

  710,000      745,500   

VWR Funding 7.25% 9/15/17

  610,000      638,975   
     

 

 

 
  1,384,475   
     

 

 

 

Diversified Consumer Services–0.14%

  

Service International

5.375% 1/15/22

  83,000      87,150   

5.375% 5/15/24

  300,000      315,000   

8.00% 11/15/21

  500,000      592,500   
     

 

 

 
  994,650   
     

 

 

 

Diversified Financial Services–1.78%

  

#AerCap Ireland Capital 144A

4.50% 5/15/21

  455,000      471,494   

#Argos Merger Sub 144A

7.125% 3/15/23

  1,358,000      1,410,623   

#Chukchansi Economic Development Authority 144A

10.25% 5/30/20

  236,584      153,779   

#CNG Holdings 144A

9.375% 5/15/20

  1,118,000      807,755   

#Denali Borrower 144A

5.625% 10/15/20

  1,644,000      1,741,818   

Fly Leasing 6.75% 12/15/20

  200,000      204,750   

General Motors Financial

3.25% 5/15/18

  56,000      57,190   

4.25% 5/15/23

  94,000      97,615   

4.75% 8/15/17

  275,000      290,317   

Icahn Enterprises

3.50% 3/15/17

  894,000      902,940   

4.875% 3/15/19

  455,000      464,669   

5.875% 2/1/22

  1,244,000      1,285,985   

#•ILFC E-Capital Trust I 144A

4.09% 12/21/65

  2,595,000      2,458,763   

#•ILFC E-Capital Trust II 144A

6.25% 12/21/65

  1,886,000      1,782,270   

#National Financial Partners

144A 9.00% 7/15/21

  591,000      607,253   
     

 

 

 
        12,737,221   
     

 

 

 
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Diversified Telecommunication Services–5.04%

  

Altice

#144A 7.625% 2/15/25

  958,000    $ 964,586   

#144A 7.75% 5/15/22

  1,316,000            1,341,497   

Altice Financing

#144A 6.50% 1/15/22

  1,030,000      1,059,613   

#144A 6.625% 2/15/23

  986,000      1,020,510   

Altice Finco

#144A 7.625% 2/15/25

  200,000      206,000   

#144A 8.125% 1/15/24

  200,000      212,625   

#CenturyLink 144A

5.625% 4/1/25

  780,000      786,825   

Cincinnati Bell 8.375% 10/15/20

  875,000      935,156   

#Clearwire Communications

144A 14.75% 12/1/16

  288,000      344,880   

Embarq 7.995% 6/1/36

  4,665,000      5,558,814   

Frontier Communications

8.50% 4/15/20

  275,000      310,063   

8.75% 4/15/22

  926,000      1,032,490   

9.25% 7/1/21

  1,153,000      1,341,804   

Intelsat Jackson Holdings

5.50% 8/1/23

  533,000      505,017   

6.625% 12/15/22

  3,689,000      3,578,330   

7.25% 4/1/19

  233,000      242,378   

7.25% 10/15/20

  1,145,000      1,182,213   

7.50% 4/1/21

  630,000      650,475   

Intelsat Luxembourg

7.75% 6/1/21

  1,536,000      1,422,720   

Level 3 Communications

5.75% 12/1/22

  828,000      854,413   

Level 3 Financing

5.375% 8/15/22

  1,070,000      1,106,446   

6.125% 1/15/21

  975,000      1,027,406   

7.00% 6/1/20

  1,335,000      1,431,787   

8.125% 7/1/19

  1,318,000      1,392,137   

8.625% 7/15/20

  617,000      671,759   

Qwest 7.25% 9/15/25

  340,000      396,036   

Qwest Capital Funding

6.875% 7/15/28

  124,000      127,100   

7.75% 2/15/31

  1,229,000      1,296,595   

#UPCB Finance III 144A

6.625% 7/1/20

  150,000      156,937   

#UPCB Finance IV 144A

5.375% 1/15/25

  500,000      500,000   

#UPCB Finance V 144A

7.25% 11/15/21

  596,000      644,425   

Virgin Media Finance

#144A 5.75% 1/15/25

  200,000      208,060   

#144A 6.375% 4/15/23

  680,000      727,600   

Virgin Media Secured Finance

#144A 5.25% 1/15/26

  455,000      465,237   

#144A 5.375% 4/15/21

  200,000      210,750   
 

 

LVIP JPMorgan High Yield Fund–4


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Diversified Telecommunication Services (continued)

  

Windstream

6.375% 8/1/23

  180,000    $ 162,225   

7.50% 6/1/22

  314,000      304,187   

7.75% 10/15/20

  1,476,000      1,518,435   

7.75% 10/1/21

  88,000      88,220   

7.875% 11/1/17

  125,000      135,937   
     

 

 

 
        36,121,688   
     

 

 

 

Electric Utilities–0.38%

#InterGen 144A 7.00% 6/30/23

  353,000      343,293   

#RJS Power Holdings 144A

5.125% 7/15/19

  390,000      386,100   

#‡Texas Competitive Electric

Holdings 144A 11.50% 10/1/20

  3,115,000      1,962,450   
     

 

 

 
  2,691,843   
     

 

 

 

Electrical Equipment–0.15%

Belden

#144A 5.25% 7/15/24

  213,000      215,663   

#144A 5.50% 9/1/22

  70,000      72,100   

#International Wire Group

Holdings 144A 8.50% 10/15/17

  775,000      806,000   
     

 

 

 
  1,093,763   
     

 

 

 

Electronic Equipment, Instruments & Components–0.27%

  

CDW

5.00% 9/1/23

  259,000      263,533   

5.50% 12/1/24

  335,000      351,750   

6.00% 8/15/22

  515,000      554,758   

8.50% 4/1/19

  225,000      234,563   

#Viasystems 144A 7.875% 5/1/19

  529,000      559,417   
     

 

 

 
  1,964,021   
     

 

 

 

Energy Equipment & Services–1.01%

  

Basic Energy Services

7.75% 10/15/22

  566,000      421,670   

#Ocean Rig UDW 144A

7.25% 4/1/19

  414,000      242,190   

Parker Drilling 7.50% 8/1/20

  600,000      490,500   

Precision Drilling

6.50% 12/15/21

  581,000      544,687   

6.625% 11/15/20

  914,000      866,015   

SESI 7.125% 12/15/21

  500,000      507,500   

#TerraForm Power Operating

144A 5.875% 2/1/23

  415,000      431,600   

Transocean

6.375% 12/15/21

  978,000      825,187   

6.50% 11/15/20

  212,000      178,875   

#Trinidad Drilling 144A

7.875% 1/15/19

  590,000      551,650   

Unit 6.625% 5/15/21

  2,315,000      2,187,675   
     

 

 

 
  7,247,549   
     

 

 

 
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Food & Staples Retailing–1.34%

  

#Albertsons Holdings 144A

7.75% 10/15/22

  1,630,000    $ 1,752,250   

CST Brands 5.00% 5/1/23

  942,000      965,550   

Ingles Markets 5.75% 6/15/23

  680,000      705,500   

New Albertsons

6.625% 6/1/28

  390,000      324,675   

7.45% 8/1/29

  288,000      264,960   

7.75% 6/15/26

  320,000      304,000   

8.00% 5/1/31

  132,000      126,060   

8.70% 5/1/30

  71,000      70,290   

Rite Aid

#144A 6.125% 4/1/23

  1,236,000      1,273,080   

6.75% 6/15/21

  440,000      470,250   

8.00% 8/15/20

  600,000      638,250   

9.25% 3/15/20

  225,000      248,625   

#Shearer’s Foods 144A

9.00% 11/1/19

  142,000      155,490   

SUPERVALU 7.75% 11/15/22

  1,125,000      1,203,750   

Tops Holding 8.875% 12/15/17

  1,016,000      1,074,420   
     

 

 

 
  9,577,150   
     

 

 

 

Food Products–3.14%

Aramark Services

5.75% 3/15/20

  600,000      628,500   

#Bumble Bee Holdings 144A

9.00% 12/15/17

  2,226,000      2,342,865   

Darling Ingredients

5.375% 1/15/22

  2,155,000      2,179,244   

#Dean Foods 144A 6.50% 3/15/23

  550,000      554,125   

Heinz (H.J.)

4.25% 10/15/20

  1,362,000      1,399,115   

#144A 4.875% 2/15/25

  520,000      564,850   

JBS USA Finance

#144A 5.875% 7/15/24

  2,098,000      2,129,470   

#144A 7.25% 6/1/21

  2,614,000      2,774,107   

#144A 7.25% 6/1/21

  872,000      925,410   

#144A 8.25% 2/1/20

  1,236,000      1,319,430   

#Nufarm Australia 144A

6.375% 10/15/19

  574,000      583,327   

#Pilgrim’s Pride 144A

5.75% 3/15/25

  508,000      520,700   

#Post Holdings 144A

6.75% 12/1/21

  1,209,000      1,224,113   

Smithfield Foods

#144A 5.25% 8/1/18

  1,052,000      1,078,300   

#144A 5.875% 8/1/21

  2,216,000      2,329,570   

6.625% 8/15/22

  1,312,000      1,408,760   

7.75% 7/1/17

  240,000      268,200   

#Wells Enterprises 144A

6.75% 2/1/20

  260,000      265,200   
     

 

 

 
        22,495,286   
     

 

 

 
 

 

LVIP JPMorgan High Yield Fund–5


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Gas Utilities–0.42%

  

AmeriGas Finance

6.75% 5/20/20

  122,000    $ 129,015   

7.00% 5/20/22

  1,357,000      1,462,167   

AmeriGas Partners

6.25% 8/20/19

  415,000      432,637   

6.50% 5/20/21

  27,000      28,350   

NGL Energy Partners

5.125% 7/15/19

  199,000      196,015   

6.875% 10/15/21

  352,000      369,600   

Suburban Propane Partners

5.50% 6/1/24

  300,000      308,250   

7.375% 8/1/21

  68,000      73,440   
     

 

 

 
  2,999,474   
     

 

 

 

Health Care Equipment & Supplies–1.49%

  

Alere 6.50% 6/15/20

  442,000      459,680   

Biomet

6.50% 8/1/20

  1,632,000      1,734,000   

6.50% 10/1/20

  925,000      973,563   

#~ConvaTec Finance International PIK 144A

8.25% 1/15/19

  346,000      350,541   

#ConvaTec Healthcare 144A

10.50% 12/15/18

  2,000,000      2,114,500   

#Halyard Health 144A

6.25% 10/15/22

  235,000      246,750   

Hologic 6.25% 8/1/20

  820,000      854,850   

Hospira 5.20% 8/12/20

  71,000      81,078   

Mallinckrodt International Finance

3.50% 4/15/18

  72,000      71,280   

4.75% 4/15/23

  429,000      409,695   

#144A 5.75% 8/1/22

  1,069,000      1,105,079   

#Milacron 144A 7.75% 2/15/21

  1,090,000      1,133,600   

Teleflex

#144A 5.25% 6/15/24

  405,000      414,113   

6.875% 6/1/19

  720,000      754,200   
     

 

 

 
        10,702,929   
     

 

 

 

Health Care Providers & Services–5.15%

  

Acadia Healthcare

5.125% 7/1/22

  410,000      412,563   

#144A 5.625% 2/15/23

  330,000      337,425   

6.125% 3/15/21

  340,000      354,450   

Amsurg

5.625% 11/30/20

  500,000      512,500   

5.625% 7/15/22

  490,000      503,475   

Centene 4.75% 5/15/22

  486,000      504,833   

Community Health Systems

5.125% 8/15/18

  305,000      315,294   

5.125% 8/1/21

  700,000      724,500   

6.875% 2/1/22

  1,455,000      1,562,306   
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Health Care Providers & Services (continued)

  

Community Health Systems (continued)

  

7.125% 7/15/20

  810,000    $ 859,613   

8.00% 11/15/19

  1,255,000            1,336,575   

DaVita HealthCare Partners

5.125% 7/15/24

  660,000      674,437   

5.75% 8/15/22

  400,000      426,500   

6.625% 11/1/20

  329,000      345,656   

#Envision Healthcare 144A

5.125% 7/1/22

  550,000      563,750   

Fresenius Medical Care US Finance

#144A 5.75% 2/15/21

  630,000      693,000   

#144A 6.50% 9/15/18

  225,000      252,000   

Fresenius Medical Care US Finance II

#144A 4.125% 10/15/20

  385,000      393,422   

#144A 4.75% 10/15/24

  230,000      242,075   

#144A 5.625% 7/31/19

  176,000      191,928   

#144A 5.875% 1/31/22

  763,000      843,115   

HCA

3.75% 3/15/19

  444,000      451,077   

4.25% 10/15/19

  630,000      648,113   

4.75% 5/1/23

  255,000      265,200   

5.00% 3/15/24

  506,000      537,625   

5.25% 4/15/25

  705,000      762,281   

5.375% 2/1/25

  666,000      701,797   

5.875% 3/15/22

  1,019,000      1,130,774   

5.875% 5/1/23

  445,000      481,713   

6.50% 2/15/20

  1,550,000      1,749,175   

7.50% 2/15/22

  1,415,000      1,653,781   

8.00% 10/1/18

  1,000,000      1,161,250   

HCA Holdings 6.25% 2/15/21

  470,000      509,339   

HealthSouth 5.75% 11/1/24

  777,000      811,965   

IASIS Healthcare

8.375% 5/15/19

  1,496,000      1,559,580   

#inVentiv Health 144A

9.00% 1/15/18

  325,000      342,875   

LifePoint Hospitals

5.50% 12/1/21

  495,000      520,987   

6.625% 10/1/20

  250,000      263,125   

#MPH Acquisition Holdings 144A

6.625% 4/1/22

  1,540,000      1,599,675   

Tenet Healthcare

4.375% 10/1/21

  495,000      486,337   

4.50% 4/1/21

  996,000      979,815   

4.75% 6/1/20

  485,000      493,943   

#144A 5.00% 3/1/19

  551,000      548,245   

#144A 5.50% 3/1/19

  1,535,000      1,554,187   

6.00% 10/1/20

  658,000      699,125   

6.25% 11/1/18

  150,000      163,125   

6.75% 2/1/20

  115,000      121,756   

8.00% 8/1/20

  1,205,000      1,268,263   

8.125% 4/1/22

  1,390,000      1,535,950   
 

 

LVIP JPMorgan High Yield Fund–6


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Health Care Providers & Services (continued)

  

United Surgical Partners
International 9.00% 4/1/20

  1,430,000    $ 1,542,613   

Universal Health Services

#144A 3.75% 8/1/19

  128,000      130,720   

#144A 4.75% 8/1/22

  187,000      196,817   
     

 

 

 
        36,920,645   
     

 

 

 

Health Care Technology–0.03%

  

#IMS Health 144A 6.00% 11/1/20

  220,000      229,625   
     

 

 

 
  229,625   
     

 

 

 

Hotels, Restaurants & Leisure–4.02%

  

AMC Entertainment

5.875% 2/15/22

  1,241,000      1,293,743   

#BC ULC 144A 6.00% 4/1/22

  1,010,000      1,050,400   

#CCM Merger 144A

9.125% 5/1/19

  260,000      284,700   

Cedar Fair

5.25% 3/15/21

  1,093,000      1,133,987   

#144A 5.375% 6/1/24

  265,000      271,294   

Choice Hotels International

5.75% 7/1/22

  373,000      406,570   

Cinemark USA 5.125% 12/15/22

  1,025,000      1,045,500   

#Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A

10.50% 7/1/19

  641,000      568,887   

#Graton Economic Development Authority 144A 9.625% 9/1/19

  595,000      654,500   

Hilton Worldwide Finance

5.625% 10/15/21

  475,000      502,313   

Isle of Capri Casinos

5.875% 3/15/21

  300,000      309,750   

8.875% 6/15/20

  590,000      640,150   

#Landry’s 144A 9.375% 5/1/20

  725,000      781,187   

MGM Resorts International

6.00% 3/15/23

  550,000      567,875   

6.75% 10/1/20

  675,000      725,625   

7.75% 3/15/22

  3,362,000      3,794,857   

8.625% 2/1/19

  210,000      240,450   

11.375% 3/1/18

  250,000      302,500   

MTR Gaming Group

11.50% 8/1/19

  580,000      630,750   

#NCL 144A 5.25% 11/15/19

  474,000      488,220   

Pinnacle Entertainment

6.375% 8/1/21

  425,000      452,625   

7.50% 4/15/21

  345,000      365,700   

#Rivers Pittsburgh Borrower

144A 9.50% 6/15/19

  372,000      393,390   

Royal Caribbean Cruises

7.50% 10/15/27

  50,000      59,250   
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Hotels, Restaurants & Leisure (continued)

  

Scientific Games International

#144A 7.00% 1/1/22

  310,000    $ 318,525   

#144A 10.00% 12/1/22

  2,010,000      1,889,400   

#Seminole Hard Rock Entertainment 144A

5.875% 5/15/21

  1,080,000      1,089,450   

#Shingle Springs Tribal Gaming Authority 144A 9.75% 9/1/21

  480,000      541,200   

#Six Flags Entertainment 144A

5.25% 1/15/21

  1,000,000      1,032,500   

#Speedway Motorsports 144A

5.125% 2/1/23

  480,000      489,600   

Station Casinos 7.50% 3/1/21

  1,000,000      1,070,000   

#Studio City Finance 144A

8.50% 12/1/20

  1,250,000      1,268,750   

Vail Resorts 6.50% 5/1/19

  106,000      109,909   

#Viking Cruises 144A

8.50% 10/15/22

  892,000      996,810   

Wynn Las Vegas

5.375% 3/15/22

  525,000      546,000   

#144A 5.50% 3/1/25

  1,285,000      1,307,487   

#Wynn Macau 144A

5.25% 10/15/21

  1,278,000      1,217,295   
     

 

 

 
        28,841,149   
     

 

 

 

Household Durables–1.40%

#Brookfield Residential
Properties 144A

6.125% 7/1/22

  680,000      707,200   

Horton (D.R.) 6.50% 4/15/16

  57,000      59,993   

Jarden 7.50% 5/1/17

  650,000      719,875   

K Hovnanian Enterprises

#144A 7.25% 10/15/20

  124,000      130,820   

11.875% 10/15/15

  445,000      463,913   

Lennar

4.50% 6/15/19

  344,000      356,040   

4.50% 11/15/19

  755,000      777,650   

6.95% 6/1/18

  322,000      355,810   

12.25% 6/1/17

  245,000      294,613   

M/I Homes 8.625% 11/15/18

  513,000      533,520   

Meritage Homes

7.00% 4/1/22

  464,000      499,960   

7.15% 4/15/20

  230,000      248,975   

#Serta Simmons Holdings 144A

8.125% 10/1/20

  519,000      548,843   

Spectrum Brands

#144A 6.125% 12/15/24

  525,000      563,063   

6.625% 11/15/22

  333,000      357,975   

6.75% 3/15/20

  1,000,000      1,057,500   

Standard Pacific

5.875% 11/15/24

  285,000      294,263   
 

 

LVIP JPMorgan High Yield Fund–7


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Household Durables (continued)

  

Standard Pacific (continued)

8.375% 1/15/21

  500,000    $ 581,250   

10.75% 9/15/16

  193,000      216,643   

#Taylor Morrison Communities

144A 7.75% 4/15/20

  134,000      142,710   

Toll Brothers Finance

6.75% 11/1/19

  64,000      72,640   

WCI Communities

6.875% 8/15/21

  725,000      746,750   

#Woodside Homes 144A

6.75% 12/15/21

  320,000      308,000   
     

 

 

 
        10,038,006   
     

 

 

 

Independent Power & Renewable Electricity Producers–1.96%

  

AES

•3.262% 6/1/19

  800,000      798,000   

4.875% 5/15/23

  190,000      186,200   

5.50% 3/15/24

  1,289,000      1,292,223   

5.50% 4/15/25

  710,000      702,900   

Calpine

5.375% 1/15/23

  521,000      523,605   

5.50% 2/1/24

  675,000      681,750   

5.75% 1/15/25

  520,000      525,850   

#144A 5.875% 1/15/24

  1,110,000      1,204,905   

#144A 6.00% 1/15/22

  500,000      537,500   

Dynegy 5.875% 6/1/23

  400,000      391,000   

Dynegy Finance I/II

#144A 6.75% 11/1/19

  870,000      901,537   

#144A 7.375% 11/1/22

  870,000      917,850   

#144A 7.625% 11/1/24

  285,000      299,606   

GenOn Energy

7.875% 6/15/17

  450,000      450,000   

9.875% 10/15/20

  1,414,000      1,438,745   

NRG Energy

6.25% 7/15/22

  250,000      258,125   

6.25% 5/1/24

  625,000      632,813   

6.625% 3/15/23

  939,000      976,560   

7.875% 5/15/21

  267,000      288,360   

8.25% 9/1/20

  1,000,000      1,063,750   
     

 

 

 
  14,071,279   
     

 

 

 

Insurance–0.40%

#A-S Co-Issuer Subsidiary 144A

7.875% 12/15/20

  598,000      618,930   

#Fidelity & Guaranty Life

Holdings 144A 6.375% 4/1/21

  527,000      555,985   

#Liberty Mutual Group 144A

7.80% 3/15/37

  837,000      1,027,417   

#USI 144A 7.75% 1/15/21

  661,000      680,830   
     

 

 

 
  2,883,162   
     

 

 

 
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Internet & Catalog Retail–0.30%

  

IAC/InterActive

4.875% 11/30/18

  105,000    $ 108,675   

Netflix

5.375% 2/1/21

  536,000      549,400   

#144A 5.50% 2/15/22

  335,000      344,213   

5.75% 3/1/24

  785,000      803,644   

#144A 5.875% 2/15/25

  335,000      345,469   
     

 

 

 
  2,151,401   
     

 

 

 

Internet Software & Services–0.66%

  

Equinix

4.875% 4/1/20

  187,000      194,013   

5.375% 1/1/22

  689,000      721,727   

5.375% 4/1/23

  500,000      521,500   

5.75% 1/1/25

  203,000      212,643   

VeriSign

4.625% 5/1/23

  423,000      424,057   

#144A 5.25% 4/1/25

  192,000      196,320   

#Ymobile 144A 8.25% 4/1/18

  650,000      676,813   

Zayo Group

#144A 6.00% 4/1/23

  1,035,000      1,045,350   

10.125% 7/1/20

  675,000      766,969   
     

 

 

 
  4,759,392   
     

 

 

 

IT Services–1.49%

First Data

#144A 6.75% 11/1/20

  991,000      1,057,893   

#144A 8.25% 1/15/21

  1,195,000      1,284,625   

#144A 8.875% 8/15/20

  500,000      533,750   

10.625% 6/15/21

  340,000      388,450   

11.25% 1/15/21

  162,000      184,680   

11.75% 8/15/21

  850,000      987,063   

12.625% 1/15/21

  1,278,000      1,517,625   

#~First Data PIK 144A

8.75% 1/15/22

  673,589      728,318   

Harland Clarke Holdings

#144A 9.25% 3/1/21

  315,000      306,731   

#144A 9.75% 8/1/18

  1,405,000      1,492,813   

#Sabre 144A 8.50% 5/15/19

  72,000      77,198   

SITEL

#144A 11.00% 8/1/17

  443,000      460,720   

11.50% 4/1/18

  889,000      813,435   

SunGard Data Systems

6.625% 11/1/19

  290,000      299,787   

7.625% 11/15/20

  496,000      526,380   
     

 

 

 
        10,659,468   
     

 

 

 

Machinery–0.52%

Amsted Industries

#144A 5.00% 3/15/22

  235,000      237,350   

#144A 5.375% 9/15/24

  200,000      201,000   

#BlueLine Rental Finance 144A

7.00% 2/1/19

  944,000      974,680   
 

 

LVIP JPMorgan High Yield Fund–8


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Machinery (continued)

  

Briggs & Stratton

6.875% 12/15/20

  500,000    $ 550,185   

#Gardner Denver 144A

6.875% 8/15/21

  300,000      271,500   

#Huber (J.M.) 144A

9.875% 11/1/19

  170,000      184,663   

#Oshkosh 144A 5.375% 3/1/25

  250,000      258,125   

#Zebra Technologies 144A

7.25% 10/15/22

  951,000      1,027,080   
     

 

 

 
        3,704,583   
     

 

 

 

Marine–0.90%

#Bluewater Holding 144A

10.00% 12/10/19

  1,800,000      1,606,500   

Martin Midstream Partners

7.25% 2/15/21

  681,000      657,165   

#Navios Maritime Acquisition

144A 8.125% 11/15/21

  565,000      570,650   

Navios Maritime Holdings

#144A 7.375% 1/15/22

  690,000      646,875   

8.125% 2/15/19

  125,000      108,750   

#Navios South American Logistics 144A 7.25% 5/1/22

  1,034,000      1,006,857   

#Ridgebury Crude Tankers 144A

7.625% 3/20/17

  546,667      564,434   

Ultrapetrol Bahamas

8.875% 6/15/21

  1,393,000      1,326,833   
     

 

 

 
  6,488,064   
     

 

 

 

Media–8.36%

Cablevision Systems

7.75% 4/15/18

  156,000      173,745   

8.00% 4/15/20

  3,157,000      3,583,195   

CCO Holdings

5.25% 9/30/22

  1,086,000      1,114,507   

5.75% 9/1/23

  350,000      367,063   

6.50% 4/30/21

  2,697,000      2,841,964   

7.25% 10/30/17

  340,000      354,875   

8.125% 4/30/20

  406,000      425,285   

CCOH Safari 5.75% 12/1/24

  1,979,000      2,043,317   

Clear Channel Worldwide Holdings

6.50% 11/15/22

  2,007,000      2,122,403   

6.50% 11/15/22

  1,593,000      1,660,703   

7.625% 3/15/20

  2,093,000      2,213,347   

7.625% 3/15/20

  45,000      46,800   

DISH DBS

5.875% 7/15/22

  818,000      833,337   

5.875% 11/15/24

  1,773,000      1,779,649   

6.75% 6/1/21

  4,328,000      4,620,140   

7.875% 9/1/19

  475,000      532,000   

Gannett

5.125% 7/15/20

  430,000      449,887   
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Media (continued)

  

Gannett (continued)

#144A 5.50% 9/15/24

  265,000    $ 277,919   

6.375% 10/15/23

  1,005,000            1,094,194   

GLP Capital 5.375% 11/1/23

  330,000      342,787   

Gray Television 7.50% 10/1/20

  1,530,000      1,617,975   

iHeartCommunications

9.00% 12/15/19

  1,344,000      1,335,600   

Lamar Media

5.00% 5/1/23

  168,000      172,620   

5.875% 2/1/22

  50,000      52,875   

Liberty Interactive

8.25% 2/1/30

  380,000      418,000   

#LIN Television 144A

5.875% 11/15/22

  1,060,000      1,083,850   

Live Nation Entertainment

#144A 5.375% 6/15/22

  220,000      225,500   

#144A 7.00% 9/1/20

  445,000      476,150   

#NAI Entertainment Holdings

144A 5.00% 8/1/18

  176,000      183,260   

Nexstar Broadcasting

#144A 6.125% 2/15/22

  405,000      416,137   

6.875% 11/15/20

  492,000      521,520   

Nielsen Finance

4.50% 10/1/20

  300,000      306,750   

#144A 5.00% 4/15/22

  1,050,000      1,060,500   

#Nielsen Luxembourg 144A

5.50% 10/1/21

  155,000      160,813   

Numericable-SFR

#144A 6.00% 5/15/22

  3,325,000      3,370,719   

#144A 6.25% 5/15/24

  1,106,000      1,121,207   

Outfront Media Capital

5.25% 2/15/22

  336,000      352,800   

5.625% 2/15/24

  330,000      346,913   

5.875% 3/15/25

  285,000      302,456   

Quebecor Media 5.75% 1/15/23

  240,000      248,100   

#RCN Telecom Services 144A

8.50% 8/15/20

  563,000      599,595   

Regal Entertainment Group

5.75% 3/15/22

  1,072,000      1,100,140   

5.75% 6/15/23

  550,000      558,250   

Sinclair Television Group

5.375% 4/1/21

  915,000      942,450   

#144A 5.625% 8/1/24

  830,000      848,675   

6.125% 10/1/22

  915,000      963,221   

Sirius XM Radio

#144A 4.625% 5/15/23

  288,000      278,280   

#144A 5.375% 4/15/25

  490,000      493,675   

#144A 5.75% 8/1/21

  550,000      575,437   

#144A 5.875% 10/1/20

  850,000      888,250   

#144A 6.00% 7/15/24

  963,000      1,013,557   

Time Warner Cable

7.30% 7/1/38

  307,000      415,167   
 

 

LVIP JPMorgan High Yield Fund–9


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Media (continued)

  

Unitymedia Hessen

#144A 5.00% 1/15/25

  666,000    $ 674,325   

#144A 5.50% 1/15/23

  200,000      210,260   

#Unitymedia KabelBW 144A

6.125% 1/15/25

  358,000      379,480   

Univision Communications

#144A 5.125% 5/15/23

  1,850,000      1,887,000   

#144A 6.75% 9/15/22

  2,776,000      2,987,670   

#144A 8.50% 5/15/21

  350,000      375,375   

Videotron

5.00% 7/15/22

  124,000      128,340   

#144A 5.375% 6/15/24

  867,000      895,177   

#VTR Finance 144A

6.875% 1/15/24

  1,195,000      1,242,800   

#WMG Acquisition 144A

6.75% 4/15/22

  1,516,000      1,443,990   

#Ziggo Bond Finance 144A

5.875% 1/15/25

  391,000      411,039   
     

 

 

 
        59,963,015   
     

 

 

 

Metals & Mining–4.58%

AK Steel 8.75% 12/1/18

  520,000      555,750   

Alcoa

5.125% 10/1/24

  1,025,000      1,099,098   

5.40% 4/15/21

  508,000      553,774   

5.72% 2/23/19

  550,000      603,354   

5.87% 2/23/22

  519,000      576,380   

5.90% 2/1/27

  1,186,000      1,308,836   

6.15% 8/15/20

  449,000      507,197   

6.75% 1/15/28

  614,000      707,451   

Aleris International

7.625% 2/15/18

  80,000      81,900   

7.875% 11/1/20

  552,000      564,420   

#APERAM 144A 7.75% 4/1/18

  1,275,000      1,324,406   

ArcelorMittal

7.00% 2/25/22

  2,845,000      3,129,500   

7.75% 10/15/39

  1,080,000      1,139,400   

10.60% 6/1/19

  2,000,000      2,453,750   

#BlueScope Steel Finance 144A

7.125% 5/1/18

  402,000      418,080   

Coeur Mining 7.875% 2/1/21

  1,243,000      1,065,873   

Commercial Metals

4.875% 5/15/23

  155,000      147,250   

6.50% 7/15/17

  500,000      532,500   

7.35% 8/15/18

  620,000      671,150   

#Constellium 144A

5.75% 5/15/24

  600,000      570,000   

First Quantum Minerals

#144A 6.75% 2/15/20

  1,081,000      1,005,330   

#144A 7.00% 2/15/21

  491,000      455,403   

#144A 7.25% 10/15/19

  500,000      470,000   

#144A 7.25% 5/15/22

  670,000      619,750   
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Metals & Mining (continued)

  

FMG Resources August 2006

  

#144A 6.875% 2/1/18

  275,556    $ 270,733   

#144A 6.875% 4/1/22

  743,000      551,677   

#144A 8.25% 11/1/19

  1,125,000      971,719   

Hecla Mining 6.875% 5/1/21

  1,476,000      1,313,640   

HudBay Minerals 9.50% 10/1/20

  454,000      474,430   

Kaiser Aluminum 8.25% 6/1/20

  656,000      718,320   

#KGHM International 144A

7.75% 6/15/19

  262,000      271,170   

Lundin Mining

#144A 7.50% 11/1/20

  575,000      598,000   

#144A 7.875% 11/1/22

  725,000      757,625   

New Gold

#144A 6.25% 11/15/22

  1,049,000      1,043,755   

#144A 7.00% 4/15/20

  328,000      338,250   

Novelis 8.75% 12/15/20

  1,273,000      1,370,066   

#Prince Mineral Holding 144A

11.50% 12/15/19

  390,000      379,275   

Ryerson 9.00% 10/15/17

  265,000      268,313   

#Signode Industrial Group 144A

6.375% 5/1/22

  435,000      434,456   

Steel Dynamics

#144A 5.125% 10/1/21

  215,000      217,419   

5.25% 4/15/23

  275,000      279,813   

#144A 5.50% 10/1/24

  275,000      279,469   

6.125% 8/15/19

  120,000      128,400   

6.375% 8/15/22

  695,000      745,387   

Taseko Mines 7.75% 4/15/19

  685,000      503,475   

#Wise Metals Group 144A

8.75% 12/15/18

  320,000      343,200   
     

 

 

 
        32,819,144   
     

 

 

 

Multiline Retail–0.13%

#Neiman Marcus Group 144A

8.00% 10/15/21

  702,000      747,630   

Penney (J.C.) 8.125% 10/1/19

  203,000      199,955   
     

 

 

 
  947,585   
     

 

 

 

Oil, Gas & Consumable Fuels–12.32%

  

Antero Resources

5.125% 12/1/22

  343,000      330,995   

5.375% 11/1/21

  725,000      705,969   

6.00% 12/1/20

  1,087,000      1,092,979   

Baytex Energy

#144A 5.125% 6/1/21

  157,000      144,833   

#144A 5.625% 6/1/24

  267,000      245,306   

#Blue Racer Midstream 144A

6.125% 11/15/22

  616,000      634,480   

California Resources

#144A 5.50% 9/15/21

  1,859,000      1,658,600   

#144A 6.00% 11/15/24

  972,000      857,790   
 

 

LVIP JPMorgan High Yield Fund–10


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Chesapeake Energy

4.875% 4/15/22

  2,567,000    $       2,419,397   

5.375% 6/15/21

  340,000      331,500   

5.75% 3/15/23

  740,000      725,200   

6.125% 2/15/21

  542,000      551,485   

7.25% 12/15/18

  33,000      35,805   

Chesapeake Oil Operating

6.625% 11/15/19

  125,000      94,687   

Cimarex Energy

4.375% 6/1/24

  462,000      460,845   

5.875% 5/1/22

  594,000      635,580   

#Citgo Holding 144A

10.75% 2/15/20

  675,000      696,937   

#CITGO Petroleum 144A

6.25% 8/15/22

  903,000      880,425   

Cloud Peak Energy Resources

6.375% 3/15/24

  300,000      261,000   

#Compressco Partners 144A

7.25% 8/15/22

  720,000      633,600   

Comstock Resources

7.75% 4/1/19

  813,000      345,525   

9.50% 6/15/20

  443,000      194,920   

#144A 10.00% 3/15/20

  675,000      654,750   

Concho Resources

5.50% 10/1/22

  300,000      303,750   

5.50% 4/1/23

  120,000      121,488   

6.50% 1/15/22

  850,000      894,625   

CONSOL Energy 5.875% 4/15/22

  1,060,000      964,600   

Crestwood Midstream Partners

6.00% 12/15/20

  143,000      144,430   

6.125% 3/1/22

  454,000      459,675   

#144A 6.25% 4/1/23

  659,000      667,237   

7.75% 4/1/19

  500,000      519,675   

Diamondback Energy

7.625% 10/1/21

  742,000      784,665   

Energy Transfer Equity

5.875% 1/15/24

  2,112,000      2,238,720   

7.50% 10/15/20

  147,000      165,375   

EnLink Midstream Partners

7.125% 6/1/22

  165,000      186,175   

EP Energy

6.875% 5/1/19

  129,000      132,870   

7.75% 9/1/22

  1,370,000      1,404,250   

9.375% 5/1/20

  1,633,000      1,718,733   

EXCO Resources

7.50% 9/15/18

  224,000      133,840   

8.50% 4/15/22

  507,000      287,089   

Exterran Partners

6.00% 10/1/22

  575,000      529,000   

Genesis Energy

5.625% 6/15/24

  429,000      405,405   
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Genesis Energy (continued)

5.75% 2/15/21

  375,000    $ 363,750   

7.875% 12/15/18

  315,000      324,450   

#Global Partners 144A

6.25% 7/15/22

  227,000      224,730   

Halcon Resources

8.875% 5/15/21

  400,000      280,000   

9.25% 2/15/22

  860,000      597,700   

9.75% 7/15/20

  251,000      178,210   

Hiland Partners

#144A 5.50% 5/15/22

  280,000      288,400   

#144A 7.25% 10/1/20

  1,000,000            1,082,500   

Hilcorp Energy I

#144A 5.00% 12/1/24

  995,000      940,275   

#144A 7.625% 4/15/21

  1,365,000      1,426,425   

#144A 8.00% 2/15/20

  673,000      699,920   

Holly Energy Partners

6.50% 3/1/20

  137,000      135,630   

Jones Energy Holdings

6.75% 4/1/22

  270,000      253,800   

#Jupiter Resources 144A

8.50% 10/1/22

  950,000      783,750   

Kinder Morgan

#144A 5.00% 2/15/21

  323,000      345,657   

#144A 5.625% 11/15/23

  323,000      355,780   

Linn Energy 6.50% 9/15/21

  567,000      451,119   

MarkWest Energy Partners

4.50% 7/15/23

  256,000      254,720   

4.875% 12/1/24

  1,273,000      1,307,880   

5.50% 2/15/23

  1,250,000      1,290,625   

6.25% 6/15/22

  78,000      81,900   

6.75% 11/1/20

  344,000      362,920   

MEG Energy

#144A 6.375% 1/30/23

  300,000      277,500   

#144A 6.50% 3/15/21

  300,000      279,000   

#144A 7.00% 3/31/24

  265,000      251,087   

#Memorial Resource Development 144A

5.875% 7/1/22

  811,000      764,367   

Murphy Oil USA 6.00% 8/15/23

  95,000      102,363   

Newfield Exploration

5.375% 1/1/26

  425,000      430,100   

5.625% 7/1/24

  694,000      725,230   

5.75% 1/30/22

  400,000      419,000   

6.875% 2/1/20

  100,000      103,545   

Oasis Petroleum 6.875% 3/15/22

  650,000      637,000   

Parker Drilling 6.75% 7/15/22

  172,000      137,170   

Peabody Energy

6.25% 11/15/21

  597,000      369,394   

#144A 10.00% 3/15/22

  1,208,000      1,081,160   

Penn Virginia 8.50% 5/1/20

  725,000      685,125   
 

 

LVIP JPMorgan High Yield Fund–11


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Penn Virginia Resource Partners 6.50% 5/15/21

  87,000    $ 92,003   

Pioneer Energy Services

6.125% 3/15/22

  617,000      484,345   

#Precision Drilling 144A

5.25% 11/15/24

  631,000      530,040   

QEP Resources

5.25% 5/1/23

  733,000      722,005   

5.375% 10/1/22

  1,062,000            1,048,725   

6.875% 3/1/21

  1,335,000      1,425,113   

Range Resources

5.00% 8/15/22

  210,000      210,000   

5.00% 3/15/23

  210,000      210,000   

5.75% 6/1/21

  215,000      225,683   

6.75% 8/1/20

  10,000      10,425   

Regency Energy Partners

4.50% 11/1/23

  133,000      134,330   

5.00% 10/1/22

  360,000      376,200   

5.50% 4/15/23

  2,045,000      2,121,687   

5.875% 3/1/22

  500,000      545,000   

6.50% 7/15/21

  370,000      389,425   

#Rice Energy 144A 7.25% 5/1/23

  516,000      516,645   

Rose Rock Midstream

5.625% 7/15/22

  297,000      294,030   

Rosetta Resources

5.625% 5/1/21

  1,025,000      968,625   

5.875% 6/1/22

  933,000      884,017   

5.875% 6/1/24

  771,000      720,885   

#RSP Permian 144A

6.625% 10/1/22

  246,000      248,460   

Sabine Oil & Gas 9.75% 2/15/17

  178,000      34,265   

Sabine Pass Liquefaction

5.625% 2/1/21

  400,000      404,624   

5.625% 4/15/23

  1,773,000      1,777,433   

#144A 5.625% 3/1/25

  672,000      666,960   

5.75% 5/15/24

  490,000      494,900   

6.25% 3/15/22

  490,000      508,375   

SandRidge Energy

7.50% 3/15/21

  220,000      137,500   

#Sea Trucks Group 144A

9.00% 3/26/18

  1,250,000      787,500   

SemGroup 7.50% 6/15/21

  266,000      279,965   

Seventy Seven Energy

6.50% 7/15/22

  756,000      347,760   

#Shelf Drilling Holdings 144A

8.625% 11/1/18

  225,000      186,187   

SM Energy

5.00% 1/15/24

  530,000      501,645   

6.50% 11/15/21

  2,413,000      2,461,260   

6.50% 1/1/23

  1,050,000      1,081,500   

6.625% 2/15/19

  772,000      785,510   

Stone Energy 7.50% 11/15/22

  744,000      677,040   
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Summit Midstream Holdings

5.50% 8/15/22

  525,000    $ 500,063   

7.50% 7/1/21

  185,000      193,325   

#SunCoke Energy Partners 144A

7.375% 2/1/20

  250,000      257,500   

#Sunoco 144A 6.375% 4/1/23

  1,070,000            1,104,775   

#Talos Production 144A

9.75% 2/15/18

  630,000      447,300   

Targa Resources Partners

#144A 5.00% 1/15/18

  550,000      567,875   

5.25% 5/1/23

  850,000      858,500   

6.375% 8/1/22

  54,000      56,835   

6.875% 2/1/21

  485,000      510,463   

Tesoro 5.125% 4/1/24

  230,000      235,750   

Tesoro Logistics

#144A 5.50% 10/15/19

  400,000      414,000   

5.875% 10/1/20

  1,656,000      1,705,680   

6.125% 10/15/21

  450,000      465,750   

#144A 6.25% 10/15/22

  384,000      399,360   

Ultra Petroleum

#144A 5.75% 12/15/18

  1,155,000      1,048,163   

#144A 6.125% 10/1/24

  1,129,000      973,763   

W&T Offshore 8.50% 6/15/19

  720,000      439,200   

Western Refining 6.25% 4/1/21

  379,000      379,000   

#Western Refining Logistics 144A

7.50% 2/15/23

  500,000      511,250   

Whiting Petroleum

5.00% 3/15/19

  875,000      864,063   

Williams Partners

4.875% 5/15/23

  1,010,000      1,019,267   

5.875% 4/15/21

  621,000      648,361   

6.125% 7/15/22

  2,006,000      2,126,248   

WPX Energy

5.25% 9/15/24

  1,338,000      1,183,461   

6.00% 1/15/22

  3,416,000      3,193,960   
     

 

 

 
  88,340,371   
     

 

 

 

Paper & Forest Products–0.56%

#Cascades 144A 5.50% 7/15/22

  665,000      677,469   

Clearwater Paper

4.50% 2/1/23

  180,000      178,200   

#144A 5.375% 2/1/25

  450,000      460,125   

Louisiana-Pacific 7.50% 6/1/20

  117,000      125,483   

Mercer International

7.00% 12/1/19

  667,000      693,680   

7.75% 12/1/22

  655,000      697,575   

Resolute Forest Products

5.875% 5/15/23

  75,000      72,450   

#Sappi Papier Holding 144A

8.375% 6/15/19

  200,000      216,000   

Unifrax I

#144A 7.50% 2/15/19

  350,000      353,500   
 

 

LVIP JPMorgan High Yield Fund–12


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Paper & Forest Products (continued)

  

Unifrax I (continued)

#144A 7.50% 2/15/19

  280,000    $ 282,800   

Verso Paper Holdings

11.75% 1/15/19

  290,000      271,150   
     

 

 

 
        4,028,432   
     

 

 

 

Personal Products–0.03%

Revlon Consumer Products

5.75% 2/15/21

  194,000      201,275   
     

 

 

 
  201,275   
     

 

 

 

Pharmaceuticals–2.89%

#~Capsugel PIK 144A

7.00% 5/15/19

  615,000      626,147   

Catamaran 4.75% 3/15/21

  337,000      375,334   

Endo Finance

#144A 5.75% 1/15/22

  675,000      693,563   

#144A 6.00% 2/1/25

  960,000      993,600   

#144A 7.00% 7/15/19

  120,000      125,550   

#144A 7.00% 12/15/20

  365,000      381,881   

#Grifols Worldwide Operations

144A 5.25% 4/1/22

  480,000      489,000   

Omnicare

4.75% 12/1/22

  680,000      705,500   

5.00% 12/1/24

  450,000      472,500   

Par Pharmaceutical

7.375% 10/15/20

  755,000      800,300   

#Prestige Brands 144A

5.375% 12/15/21

  775,000      788,563   

#Salix Pharmaceuticals 144A

6.50% 1/15/21

  350,000      388,937   

Valeant Pharmaceuticals International

#144A 5.50% 3/1/23

  675,000      683,437   

#144A 5.625% 12/1/21

  380,000      386,650   

#144A 6.375% 10/15/20

  1,915,000      1,996,387   

#144A 6.75% 8/15/18

  1,309,000      1,382,631   

#144A 6.75% 8/15/21

  245,000      256,944   

#144A 7.00% 10/1/20

  875,000      917,656   

#144A 7.25% 7/15/22

  244,000      258,945   

#144A 7.50% 7/15/21

  717,000      778,167   

VRX Escrow

#144A 5.375% 3/15/20

  1,730,000      1,749,463   

#144A 5.875% 5/15/23

  3,320,000      3,411,300   

#144A 6.125% 4/15/25

  1,990,000      2,064,625   
     

 

 

 
  20,727,080   
     

 

 

 

Professional Services–0.09%

FTI Consulting

6.00% 11/15/22

  125,000      132,034   

6.75% 10/1/20

  480,000      508,800   
     

 

 

 
  640,834   
     

 

 

 
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Real Estate Investment Trusts–0.46%

  

CNL Lifestyle Properties

7.25% 4/15/19

  305,000    $ 312,625   

Crown Castle International

4.875% 4/15/22

  400,000      416,250   

5.25% 1/15/23

  750,000      791,250   

DuPont Fabros Technology

5.875% 9/15/21

  445,000      461,687   

Iron Mountain

5.75% 8/15/24

  636,000      646,335   

7.75% 10/1/19

  346,000      369,787   

8.375% 8/15/21

  35,000      36,531   

RHP Hotel Properties

5.00% 4/15/21

  244,000      250,710   
     

 

 

 
        3,285,175   
     

 

 

 

Real Estate Management & Development–0.24%

  

CBRE Services 5.00% 3/15/23

  945,000      992,250   

Kennedy-Wilson 5.875% 4/1/24

  304,000      305,520   

#Mattamy Group 144A

6.50% 11/15/20

  458,000      443,115   
     

 

 

 
  1,740,885   
     

 

 

 

Road & Rail–1.84%

Ashtead Capital

#144A 5.625% 10/1/24

  650,000      679,250   

#144A 6.50% 7/15/22

  625,000      668,750   

Avis Budget Car Rental

#144A 5.125% 6/1/22

  710,000      719,748   

#144A 5.25% 3/15/25

  705,000      703,237   

9.75% 3/15/20

  545,000      596,448   

#CEVA Group 144A 4.00% 5/1/18

  215,000      196,187   

Hertz

6.25% 10/15/22

  95,000      98,563   

7.375% 1/15/21

  1,255,000      1,324,025   

#Jurassic Holdings III 144A

6.875% 2/15/21

  1,020,000      892,500   

PHI 5.25% 3/15/19

  292,000      265,720   

United Rentals North America

4.625% 7/15/23

  1,268,000      1,285,435   

5.50% 7/15/25

  1,512,000      1,544,130   

5.75% 7/15/18

  103,000      107,403   

5.75% 11/15/24

  120,000      124,500   

6.125% 6/15/23

  1,943,000      2,066,866   

7.375% 5/15/20

  200,000      217,125   

7.625% 4/15/22

  267,000      293,433   

8.375% 9/15/20

  1,300,000      1,398,215   
     

 

 

 
  13,181,535   
     

 

 

 

Semiconductors & Semiconductor Equipment–1.25%

  

Advanced Micro Devices

6.75% 3/1/19

  845,000      823,875   

7.00% 7/1/24

  887,000      769,473   

7.50% 8/15/22

  52,000      50,050   
 

 

LVIP JPMorgan High Yield Fund–13


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Semiconductors & Semiconductor Equipment (continued)

  

Advanced Micro Devices (continued)

7.75% 8/1/20

  811,000    $ 778,560   

Amkor Technology

6.625% 6/1/21

  165,000      172,425   

7.375% 5/1/18

  450,000      460,125   

CommScope

#144A 5.00% 6/15/21

  428,000      429,605   

#144A 5.50% 6/15/24

  710,000      713,550   

#Entegris 144A 6.00% 4/1/22

  202,000      211,595   

Freescale Semiconductor

#144A 5.00% 5/15/21

  490,000      519,400   

#144A 6.00% 1/15/22

  263,000      286,999   

Micron Technology

#144A 5.25% 8/1/23

  304,000      310,080   

#144A 5.50% 2/1/25

  495,000      499,950   

5.875% 2/15/22

  181,000      191,726   

NXP

#144A 3.50% 9/15/16

  200,000      203,000   

#144A 3.75% 6/1/18

  420,000      429,450   

#144A 5.75% 2/15/21

  200,000      212,250   

#144A 5.75% 3/15/23

  200,000      213,000   

Sensata Technologies

#144A 4.875% 10/15/23

  435,000      449,137   

#144A 5.00% 10/1/25

  641,000      651,416   

#144A 5.625% 11/1/24

  531,000      567,506   
     

 

 

 
        8,943,172   
     

 

 

 

Software–0.70%

Activision Blizzard

#144A 5.625% 9/15/21

  580,000      619,150   

#144A 6.125% 9/15/23

  1,100,000      1,201,750   

Audatex North America

#144A 6.00% 6/15/21

  781,000      829,813   

#144A 6.125% 11/1/23

  189,000      200,576   

Emdeon 11.00% 12/31/19

  354,000      387,630   

Infor US 9.375% 4/1/19

  535,000      574,349   

#MSCI 144A 5.25% 11/15/24

  255,000      264,244   

#Nuance Communications 144A

5.375% 8/15/20

  603,000      612,045   

#Open Text 144A 5.625% 1/15/23

  337,000      350,480   
     

 

 

 
  5,040,037   
     

 

 

 

Specialty Retail–1.02%

AutoNation 5.50% 2/1/20

  100,000      110,021   

#~Chinos Intermediate Holdings A

PIK 144A 7.75% 5/1/19

  228,000      200,640   

Claire’s Stores

#144A 6.125% 3/15/20

  1,074,000      907,530   

8.875% 3/15/19

  1,075,000      618,125   

#144A 9.00% 3/15/19

  2,417,000      2,205,513   

#Family Tree Escrow 144A

5.75% 3/1/23

  331,000      350,033   
  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Specialty Retail (continued)

  

#Guitar Center 144A

6.50% 4/15/19

  433,000    $ 379,957   

L Brands

5.625% 2/15/22

  615,000      679,575   

5.625% 10/15/23

  500,000      557,500   

Penske Automotive Group

5.75% 10/1/22

  130,000      137,150   

#Radio Systems 144A

8.375% 11/1/19

  475,000      513,000   

Sally Holdings 5.50% 11/1/23

  615,000      650,363   
     

 

 

 
  7,309,407   
     

 

 

 

Thrift & Mortgage Finance–0.09%

Nationstar Mortgage

6.50% 7/1/21

  172,000      167,700   

7.875% 10/1/20

  338,000      348,140   

9.625% 5/1/19

  143,000      153,367   
     

 

 

 
  669,207   
     

 

 

 

Trading Companies & Distributors–0.46%

  

Aircastle

5.125% 3/15/21

  49,000      51,327   

6.25% 12/1/19

  318,000      350,398   

7.625% 4/15/20

  553,000      638,715   

H&E Equipment Services

7.00% 9/1/22

  811,000      839,385   

HD Supply

#144A 5.25% 12/15/21

  670,000      691,775   

7.50% 7/15/20

  676,000      726,700   
     

 

 

 
        3,298,300   
     

 

 

 

Wireless Telecommunication Services–4.22%

  

‡NII Capital 7.625% 4/1/21

  2,354,000      741,510   

NII International Telecom

#‡144A 7.875% 8/15/19

  1,102,000      1,027,615   

#‡144A 11.375% 8/15/19

  402,000      383,910   

#SBA Communications 144A

4.875% 7/15/22

  683,000      670,748   

SBA Telecommunications

5.75% 7/15/20

  232,000      245,050   

#SoftBank 144A 4.50% 4/15/20

  1,165,000      1,194,125   

Sprint

7.125% 6/15/24

  437,000      428,260   

7.25% 9/15/21

  243,000      245,126   

7.625% 2/15/25

  1,479,000      1,479,000   

7.875% 9/15/23

  2,217,000      2,272,425   

Sprint Capital

6.875% 11/15/28

  370,000      341,325   

6.90% 5/1/19

  1,111,000      1,154,051   

8.75% 3/15/32

  2,287,000      2,372,763   

Sprint Communications

6.00% 11/15/22

  1,190,000      1,134,963   
 

 

LVIP JPMorgan High Yield Fund–14


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

CORPORATE BONDS (continued)

  

Wireless Telecommunication Services (continued)

  

Sprint Communications (continued)

#144A 7.00% 3/1/20

  2,577,000    $ 2,854,027   

7.00% 8/15/20

  1,250,000      1,275,781   

#144A 9.00% 11/15/18

  860,000      989,000   

9.125% 3/1/17

  334,000      365,730   

11.50% 11/15/21

  90,000      109,125   

T-Mobile USA

5.25% 9/1/18

  476,000      493,255   

6.00% 3/1/23

  414,000      425,257   

6.125% 1/15/22

  451,000      466,785   

6.25% 4/1/21

  793,000      827,694   

6.375% 3/1/25

  414,000      428,242   

6.464% 4/28/19

  325,000      335,969   

6.50% 1/15/24

  129,000      135,127   

6.625% 11/15/20

  534,000      560,033   

6.625% 4/1/23

  833,000      875,691   

6.633% 4/28/21

  591,000      621,289   

6.731% 4/28/22

  2,153,000      2,274,106   

6.836% 4/28/23

  1,089,000      1,150,256   

#West 144A 5.375% 7/15/22

  1,017,000      996,660   

Wind Acquisition Finance

#144A 4.75% 7/15/20

  745,000      748,725   

#144A 7.375% 4/23/21

  595,000      618,800   
     

 

 

 
        30,242,423   
     

 

 

 

Total Corporate Bonds
(Cost $643,171,699)

  647,925,774   
     

 

 

 

«SENIOR SECURED LOANS–5.76%

  

Albertson’s Holdings Tranche B4 1st Lien

5.50% 8/25/21

  840,000      848,182   

Alon USA Partners Tranche B 1st Lien

9.25% 11/13/18

  70,597      70,244   

Altice Financing

5.50% 7/1/19

  395,000      401,419   

American Casino & Entertainment Properties Tranche B 1st Lien

4.50% 7/3/19

  273,964      275,505   

Avago Technologies Tranche B 1st Lien

3.75% 5/6/21

  409,307      410,703   

Avaya Tranche B-3

4.676% 10/26/17

  157,958      155,661   

Avaya Tranche B6

6.50% 3/31/18

  97,404      97,323   

Axalta Coating Systems U.S. Holdings 1st Lien

3.75% 2/1/20

  360,670      359,112   
  Principal         Value  
  Amount°         (U.S. $)  

«SENIOR SECURED LOANS (continued)

  

AZ Chem US 2nd Lien

  

7.50% 6/12/22

  174,000    $ 172,078   

Calpine Tranche B3 1st Lien

4.00% 10/9/19

  497,449      499,347   

Carestream Health Tranche B

5.00% 6/7/19

  172,004      172,840   

CDW

3.25% 4/29/20

  196,001      194,458   

CEVA Group Canadian

6.50% 3/19/21

  8,291      7,778   

CEVA Group Dutch

6.50% 3/19/21

  48,086      45,110   

CEVA Group Pre-Funded L

6.50% 3/19/21

  46,059      43,209   

CEVA Group Tranche B

6.50% 3/19/21

  66,325      62,221   

Cincinnati Bell Tranche B 1st Lien

4.00% 9/10/20

  315,200      315,398   

Clear Channel Communications Tranche E 1st Lien

7.678% 7/30/19

  850,642      821,520   

Cumulus Media Holdings Tranche B 1st Lien

4.25% 12/23/20

  1,000,000      984,250   

Dell Tranche B

4.50% 4/29/20

  1,063,538            1,072,083   

Delta Air Lines Tranche B1

3.25% 10/18/18

  977,500      978,717   

Dole Food Tranche B

4.50% 11/1/18

  763,333      766,795   

Ducommun Tranche B1 1st Lien

4.75% 6/28/17

  52,632      52,895   

EMI Music Publishing Tranche B 1st Lien

3.75% 6/29/18

  85,225      85,266   

Energy Future Intermediate Holding 1st Lien

4.25% 6/19/16

  305,118      306,517   

Entercom Radio Tranche B2

4.00% 11/23/18

  69,667      69,819   

FCA US Tranche B 1st Lien

3.50% 5/24/17

  681,470      682,604   

Fieldwood Energy 2nd Lien

8.375% 9/30/20

  720,000      530,489   

First Data Tranche B1

3.674% 9/24/18

  213,043      213,131   

Floatel International Tranche B 1st Lien

6.00% 6/13/20

  388,385      289,832   

Formula One Tranche B 2nd Lien

7.75% 7/29/22

  825,000      821,217   
 

 

LVIP JPMorgan High Yield Fund–15


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

«SENIOR SECURED LOANS (continued)

  

Fortescue Resources 1st Lien

3.75% 6/30/19

  400,000    $ 362,386   

Freedom Group Operating Tranche B

5.50% 4/19/19

  338,003      330,398   

Freescale Semiconductor Tranche B4

4.25% 3/1/20

  294,028      294,966   

Freescale Semiconductor Tranche B5

5.00% 1/15/21

  561,450      564,998   

Go Daddy Tranche B 1st Lien

4.75% 5/13/21

  402,955      405,189   

Hanson Building Tranche B 1st Lien

6.50% 3/13/22

  406,000      406,002   

Harland Clarke Holdings Tranche B

5.525% 6/30/17

  64,053      64,293   

Heinz (H.J.) Tranche B2 1st Lien

3.25% 6/5/20

  1,184,000      1,187,611   

iHeartCommunications Tranche D

6.928% 1/30/19

  2,982,692      2,842,043   

Intrawest Tranche 1st Lien

5.50% 12/9/20

  274,168      276,524   

Inventiv Health Tranche B4 1st Lien

7.75% 5/15/18

  288,875      290,441   

J. Crew Group Tranche B 1st Lien

4.00% 3/5/21

  956,384      889,136   

MEG Energy Tranche B

3.75% 3/31/20

  80,983      77,825   

Ocean Rig (Drillship) Tranche B 1st Lien

5.50% 7/25/21

  367,008      307,369   

OCI Beaumont Tranche B3 1st Lien

5.50% 8/20/19

  118,315      119,277   

Overseas Shipholding Tranche B - Exit

5.25% 8/5/19

  286,715      285,460   

Peabody Energy Tranche B

4.25% 9/24/20

  398,987      359,464   

Penney (J.C.) 1st Lien

6.00% 5/22/18

  1,080,750            1,080,166   

PetSmart Tranche B 1st Lien

5.00% 3/10/22

  600,000      605,196   

Pinnacle Foods Tranche H 1st Lien

3.00% 4/29/20

  492,500      491,229   
  Principal         Value  
  Amount°         (U.S. $)  

«SENIOR SECURED LOANS (continued)

  

Quickrete 2nd Lien

7.00% 3/30/21

  77,775    $ 78,310   

Realogy

0.005% 10/10/16

  10,583      10,484   

Rite Aid 2nd Lien

4.875% 6/21/21

  1,038,889            1,042,452   

Rite Aid Tranche 2nd Lien

5.75% 8/21/20

  155,000      156,937   

Riverbed Technology 1st Lien

6.00% 2/25/22

  300,000      303,300   

ROC Finance 1st Lien

5.00% 6/20/19

  1,173,583      1,137,273   

Sabine Oil & Gas 2nd Lien

8.75% 12/31/18

  466,667      232,823   

Scientific Games International

6.00% 10/18/20

  321,434      322,880   

Sears Tranche B

5.50% 6/30/18

  804,813      794,499   

Serta Simmons Holdings Tranche B 1st Lien

4.25% 10/1/19

  387,113      388,524   

Shelf Drilling MidCo 1st Lien

10.00% 10/8/18

  300,000      205,500   

Shingle Springs Tribal Gaming Authority Tranche B

6.25% 8/29/19

  315,357      317,328   

Stallion Oilfield Holdings

8.00% 6/19/18

  256,347      187,133   

Summit Materials Tranche B

5.00% 1/30/19

  170,214      170,799   

Supervalu 1st Lien

4.50% 3/21/19

  1,542,136      1,550,595   

Syniverse Holdings 1st Lien

4.00% 4/23/19

  512,877      484,669   

‡Texas Competitive Electric Holdings

3.75% 5/5/16

  436,921      439,925   

4.668% 10/10/17

  6,255,000      3,766,298   

‡Texas Competitive Electric Holdings Nonext

4.668% 10/10/15

  1,920,000      1,142,995   

Tribune Tranche B 1st Lien

4.00% 12/27/20

  553,268      554,513   

Univision Communications 1st Lien

4.00% 3/1/20

  205,761      205,584   

Univision Communications Tranche C4

4.00% 3/1/20

  1,458,305      1,457,656   

UPC Broadband Holding Tranche AH

3.25% 6/30/21

  170,000      169,351   
 

 

LVIP JPMorgan High Yield Fund–16


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

  Principal         Value  
  Amount°         (U.S. $)  

«SENIOR SECURED LOANS (continued)

  

Valeant Pharmaceuticals International Tranche B-F1 1st Lien

4.00% 3/13/22

  1,050,000    $ 1,055,906   

Veresen Midstream Tranche B 1st Lien

6.00% 3/31/22

  350,000      350,700   

@Vertis

14.00% 12/20/15

  243,194      229   

Visant Tranche 1st Lien

7.00% 9/23/21

  323,375      325,294   

Weather Channel 1st Lien

3.50% 2/13/17

  499,831      480,729   

WMG Acquisition 1st Lien

3.75% 7/1/20

  321,734      314,609   

XO Communications

4.25% 3/19/21

  439,945      441,540   

Zayo Group Tranche B 1st Lien

4.00% 7/2/19

  197,465      198,026   
     

 

 

 

Total Senior Secured Loans
(Cost $43,570,137)

   

        41,332,557   
     

 

 

 
  Number of      
  Shares      

COMMON STOCK–0.01%

  

†Dynegy

  2,750      86,433   

†@Escrow General Motors

  425,000      43   

†@Escrow General Motors

  400,000      40   

†@Escrow General Motors

  325,000      33   

†@=General Maritime

  85      663   

†Verso

  7,222      13,000   
     

 

 

 

Total Common Stock
(Cost $211,301)

   

  100,212   
     

 

 

 
  Number of         Value  
  Shares         (U.S. $)  

PREFERRED STOCK–0.65%

  

#Ally Financial 144A 7.00%

  1,442    $ 1,480,078   

•Bank of America 6.10%

  1,186,000      1,206,014   

•Hartford Financial Services Group 7.875%

  5,600      172,032   

•Morgan Stanley 5.55%

  527,000      533,587   

•XLIT 3.373%

  1,505      1,243,036   
     

 

 

 

Total Preferred Stock
(Cost $4,321,788)

   

  4,634,747   
     

 

 

 

WARRANT–0.00%

  

†@=General Maritime exercise price $42.50, expiration date 5/17/17

  132      0   
     

 

 

 

Total Warrant
(Cost $0)

  0   
     

 

 

 

MONEY MARKET FUND–2.28%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  16,367,204            16,367,204   
     

 

 

 

Total Money Market Fund
(Cost $16,367,204)

   

  16,367,204   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.06% (Cost $707,642,129)

  710,360,494   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.94%

  6,733,842   
  

 

 

 

NET ASSETS APPLICABLE TO 63,238,815 SHARES OUTSTANDING–100.00%

$ 717,094,336   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $255,813,153, which represents 35.67% of the Fund’s net assets.

 

~

100% of the income received on this PIK security was in the form of cash.

 

Non-income producing for the period.

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $1,008, which represents 0.00% of the Fund’s net assets.

 

¿

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.

 

LVIP JPMorgan High Yield Fund–17


LVIP JPMorgan High Yield Fund

Schedule of Investments (continued)

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $663, which represents 0.00% of the Fund’s net assets.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

Non-income producing security. Security is currently in default.

PIK–Payment-in-kind

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

          Level 1                 Level 2                 Level 3         Total

Corporate Bonds

  $     $ 647,925,774     $     $ 647,925,774  

Senior Secured Loans

          41,332,557             41,332,557  

Common Stock

       

Automobiles

                116       116  

Independent Power & Renewable Electricity Producers

    86,433                   86,433  

Oil, Gas & Consumable Fuels

                663       663  

Paper & Forest Products

    13,000                   13,000  

Preferred Stock

    172,032       4,462,715             4,634,747  

Warrant

                       

Money Market Fund

    16,367,204                   16,367,204  
    

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 16,638,669     $ 693,721,046     $ 779     $ 710,360,494  
    

 

 

      

 

 

      

 

 

      

 

 

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP JPMorgan High Yield Fund–18


LVIP Managed Risk American Balanced Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES–99.57%

  

Asset Allocation Fund–19.11%

  

² American Funds®

Capital Income Builder

  6,476,751    $     384,978,101   
     

 

 

 
  384,978,101   
     

 

 

 

Equity Funds–21.04%

  

² American Funds®

AMCAP Fund

  6,011,185      173,302,474   

American Mutual Fund

  4,709,112      174,190,039   

LOGO American Funds Insurance
Series®

Growth-Income Fund

  1,424,935      76,476,260   
     

 

 

 
  423,968,773   
     

 

 

 

Fixed Income Funds–41.89%

  

² American Funds®

Intermediate Bond Fund of America

  8,642,355      117,795,304   

LOGO American Funds Insurance
Series®

Bond Fund

  43,640,071      491,823,604   

High-Income Bond Fund

  8,987,722      97,067,397   

Mortgage Bond Fund

  7,235,506      78,432,889   

U.S. Government/AAA-Rated Securities Fund

  4,665,834      58,789,513   
     

 

 

 
  843,908,707   
     

 

 

 

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES (continued)

  

International Equity Funds–11.60%

  

² American Funds®

EuroPacific Growth Fund

  1,957,324    $ 97,670,448   

New Perspective Fund

  503,284      19,129,829   

LOGO American Funds Insurance Series®

Global Small Capitalization Fund

  4,282,478      116,954,478   
     

 

 

 
  233,754,755   
     

 

 

 

International Fixed Income Fund–2.91%

  

LOGO American Funds Insurance Series®

Global Bond Fund

  4,994,604      58,586,708   
     

 

 

 
  58,586,708   
     

 

 

 

Money Market Fund–3.02%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  60,807,922      60,807,922   
     

 

 

 
  60,807,922   
     

 

 

 

Total Investment Companies
(Cost $1,904,157,548)

   2,006,004,966   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.57% (Cost $1,904,157,548)

  2,006,004,966   

« RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.43%

  8,594,064   
  

 

 

 

NET ASSETS APPLICABLE TO 176,574,039 SHARES OUTSTANDING–100.00%

$  2,014,599,030   
  

 

 

 

 

 

²

Class R-6 shares.

 

LOGO

Class 1 shares.

 

«

Includes $4,350,888 cash and $1,782,764 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk American Balanced Allocation Fund–1


LVIP Managed Risk American Balanced Allocation Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

   370     British Pound Currency

  $ 34,509,734     $ 34,310,563       6/18/15     $ (199,171 )

   312     E-mini MSCI Emerging Markets Index

    14,559,730       15,169,440       6/22/15       609,710  

     92     E-mini Russell 2000 Index

    11,133,913       11,489,880       6/22/15       355,967  

1,069     E-mini S&P 500 Index

    108,605,857       110,149,760       6/22/15       1,543,903  

     65     E-mini S&P MidCap 400 Index

    9,606,074       9,878,700       6/22/15       272,626  

   101     Euro Currency

    13,319,962       13,576,925       6/18/15       256,963  

   392     Euro STOXX 50 Index

    15,297,980       15,307,438       6/22/15       9,458  

   329     FTSE 100 Index

    33,049,103       32,829,249       6/22/15       (219,854 )

     26     Japanese Yen Currency

    2,677,858       2,712,450       6/18/15       34,592  

     17     Nikkei 225 Index (OSE)

    2,631,308       2,722,437       6/12/15       91,129  
      

 

 

                      

 

 

 
  $ 245,391,519         $ 2,755,323  
      

 

 

                      

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 2,006,004,966   
 

 

 

 

Futures Contracts

$ 2,755,323   
 

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP American Global Balanced Allocation Managed Risk Fund.

 

LVIP Managed Risk American Balanced Allocation Fund–2


LVIP Managed Risk American Growth Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES–100.07%

  

Asset Allocation Fund–16.19%

  

²American Funds®

Capital Income Builder

  10,867,538    $ 645,966,482   
     

 

 

 
  645,966,482   
     

 

 

 

Equity Funds–28.59%

  

²American Funds®

AMCAP Fund

  14,499,768      418,028,298   

American Mutual Fund

  10,329,054      382,071,715   

LOGO American Funds Insurance
Series®

Growth-Income Fund

  6,342,282      340,390,274   
     

 

 

 
  1,140,490,287   
     

 

 

 

Fixed Income Funds–22.32%

  

²American Funds®

Intermediate Bond Fund of America

  11,374,482      155,034,196   

LOGO American Funds Insurance
Series®

Bond Fund

  41,335,948      465,856,137   

High-Income Bond Fund

  14,187,259      153,222,398   

Mortgage Bond Fund

  10,727,823      116,289,602   
     

 

 

 
  890,402,333   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

INVESTMENT COMPANIES (continued)

  

International Equity Funds–26.03%

  

²American Funds®

EuroPacific Growth Fund

  9,273,746    $ 462,759,909   

New Perspective Fund

  5,022,022      190,887,072   

LOGO American Funds Insurance
Series®

Global Small Capitalization Fund

  9,860,848      269,299,762   

New World Fund

  5,418,532      115,523,104   
     

 

 

 
  1,038,469,847   
     

 

 

 

International Fixed Income Fund–2.90%

  

LOGO American Funds Insurance
Series®

Global Bond Fund

  9,859,990      115,657,688   
     

 

 

 
  115,657,688   
     

 

 

 

Money Market Fund–4.04%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  161,338,395      161,338,395   
     

 

 

 
  161,338,395   
     

 

 

 

Total Investment Companies
(Cost $3,753,782,657)

   3,992,325,032   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.07% (Cost $3,753,782,657)

  3,992,325,032   

« LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.07%)

  (2,715,655
  

 

 

 

NET ASSETS APPLICABLE TO 339,734,860 SHARES OUTSTANDING–100.00%

$  3,989,609,377   
  

 

 

 

 

 

²

Class R-6 shares.

 

LOGO

Class 1 shares.

 

«

Includes $4,575,234 foreign currencies pledged as collateral for futures contracts and $3,732,157 cash due to broker as of March 31, 2015.

 

LVIP Managed Risk American Growth Allocation Fund–1


LVIP Managed Risk American Growth Allocation Fund

Schedule of Investments (unaudited)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

(26)   British Pound Currency

  $ (2,410,235 )   $ (2,411,012 )     6/18/15     $ (777 )

 38     E-mini MSCI Emerging Markets Index

    1,849,390       1,847,560       6/22/15       (1,830 )

   6     E-mini Russell 2000 Index

    752,075       749,340       6/22/15       (2,735 )

 86     E-mini S&P 500 Index

    8,936,065       8,861,440       6/22/15       (74,625 )

   7     E-mini S&P MidCap 400 Index

    1,067,865       1,063,860       6/22/15       (4,005 )

  (9)   Euro Currency

    (1,223,730 )     (1,209,825 )     6/18/15       13,905  

 31     Euro STOXX 50 Index

    1,201,555       1,210,537       6/22/15       8,982  

 23     FTSE 100 Index

    2,357,120       2,295,054       6/22/15       (62,066 )

  (3)   Japanese Yen Currency

    (314,685 )     (312,975 )     6/18/15       1,710  

   3     Nikkei 225 Index (OSE)

    489,410       480,430       6/12/15       (8,980 )
      

 

 

                  

 

 

 
  $ 12,704,830         $ (130,421 )
      

 

 

                  

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 3,992,325,032   
 

 

 

 

Futures Contracts

$ (130,421
 

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP American Global Growth Allocation Manged Risk Fund.

 

LVIP Managed Risk American Growth Allocation Fund–2


LVIP Managed Risk Profile Conservative Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–88.35%

  

Equity Funds–21.62%

  

*Lincoln Variable Insurance Products Trust–

LVIP SSgA Large Cap 100 Fund

  1,751,523    $ 28,407,945   

LVIP SSgA Mid-Cap Index Fund

  5,467,452      58,151,817   

LVIP SSgA S&P 500 Index Fund

  12,818,966      189,489,955   

LVIP SSgA Small-Cap Index Fund

  1,560,644      43,930,565   
     

 

 

 
  319,980,282   
     

 

 

 

Fixed Income Funds–55.17%

  

*Lincoln Variable Insurance Products Trust–

LVIP BlackRock Inflation Protected Bond Fund

  2,741,118      28,740,625   

LVIP Delaware Bond Fund

  39,442,020      557,946,812   

LVIP Delaware Diversified Floating Rate Fund

  2,838,859      28,675,310   

LVIP JPMorgan High Yield Fund

  5,037,819      57,133,901   

LVIP PIMCO Low Duration Bond Fund

  7,148,821      71,838,506   

LVIP SSgA Bond Index Fund

  6,241,160      72,416,174   
     

 

 

 
  816,751,328   
     

 

 

 

International Equity Funds–8.65%

  

*Lincoln Variable Insurance Products Trust–

LVIP MFS International Growth Fund

  1,973,741      28,569,894   

LVIP Mondrian International Value Fund

  1,592,475      28,420,893   

LVIP SSgA Developed International 150 Fund

  1,467,598      14,086,010   

LVIP SSgA International Index Fund

  6,251,334      56,962,157   
     

 

 

 
  128,038,954   
     

 

 

 

International Fixed Income Fund–2.91%

  

*Lincoln Variable Insurance Products Trust–

LVIP Global Income Fund

  3,732,467      43,061,476   
     

 

 

 
  43,061,476   
     

 

 

 

Total Affiliated Investment Companies
(Cost $1,166,119,721)

   

  1,307,832,040   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

UNAFFILIATED INVESTMENT COMPANIES–11.28%

  

Equity Funds–3.47%

  

*Delaware VIP® Trust–

Delaware VIP U.S. Growth Series

  1,616,699    $     22,860,131   

Delaware VIP Value Series

  470,797      14,025,046   

XFidelity® Variable Life Insurance Products–

Fidelity VIP Mid Cap Portfolio

  411,884      14,448,886   
     

 

 

 
  51,334,063   
     

 

 

 

Fixed Income Funds–3.32%

  

² American Funds®

American Funds Mortgage Fund

  1,992,523      20,443,286   

*Delaware VIP® Trust–

Delaware VIP Diversified Income Series

  2,602,374      28,730,205   
     

 

 

 
  49,173,491   
     

 

 

 

International Equity Fund–1.96%

  

iShares MSCI Emerging Markets ETF

  722,620      28,998,741   
     

 

 

 
  28,998,741   
     

 

 

 

Money Market Fund–2.53%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  37,438,137      37,438,137   
     

 

 

 
  37,438,137   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $139,104,038)

   

      166,944,432   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.63% (Cost $1,305,223,759)

  1,474,776,472   

« RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.37%

  5,530,451   
  

 

 

 

NET ASSETS APPLICABLE TO 103,916,728 SHARES OUTSTANDING–100.00%

$  1,480,306,923   
  

 

 

 

 

 

²

Class R-6 shares.

 

*

Standard Class shares.

 

«

Includes $2,744,591 cash and $1,359,677 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

X

Initial Class.

 

LVIP Managed Risk Profile Conservative Fund–1


LVIP Managed Risk Profile Conservative Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

165     British Pound Currency

  $ 15,380,644     $ 15,300,656       6/18/15     $ (79,988 )

187     E-mini MSCI Emerging Markets Index

    8,726,505       9,091,940       6/22/15       365,435  

105     E-mini Russell 2000 Index

    12,707,184       13,113,450       6/22/15       406,266  

667     E-mini S&P 500 Index

    67,764,365       68,727,680       6/22/15       963,315  

140     E-mini S&P MidCap 400 Index

    20,690,005       21,277,200       6/22/15       587,195  

  88     Euro Currency

    11,613,552       11,829,400       6/18/15       215,848  

340     Euro STOXX 50 Index

    13,265,109       13,276,859       6/22/15       11,750  

154     FTSE 100 Index

    15,497,294       15,366,882       6/22/15       (130,412 )

  53     Japanese Yen Currency

    5,460,792       5,529,225       6/18/15       68,433  

  35     Nikkei 225 Index (OSE)

    5,417,411       5,605,019       6/12/15       187,608  
      

 

 

                      

 

 

 
  $ 176,522,861         $ 2,595,450  
      

 

 

                      

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 1,474,776,472   
 

 

 

 

Futures Contracts

$ 2,595,450   
 

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value heirarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Global Conservative Allocation Managed Risk Fund.

 

LVIP Managed Risk Profile Conservative Fund–2


LVIP Managed Risk Profile Moderate Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–89.69%

  

Equity Funds–30.92%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Large Cap 100 Fund

  13,142,649    $ 213,160,627   

LVIP SSgA Mid-Cap Index Fund

  34,457,176      366,486,520   

LVIP SSgA S&P 500 Index Fund

  87,226,276      1,289,378,818   

LVIP SSgA Small-Cap Index Fund

  10,452,868      294,237,789   

†LVIP T. Rowe Price Growth Stock Fund

  2,152,938      71,165,357   

LVIP T. Rowe Price Structured Mid-Cap Growth Fund

  3,082,818      72,335,246   
     

 

 

 
  2,306,764,357   
     

 

 

 

Fixed Income Funds–35.62%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Inflation Protected Bond Fund

  13,785,762      144,543,714   

LVIP Delaware Bond Fund

  105,970,736      1,499,062,037   

LVIP Delaware Diversified Floating Rate Fund

  7,139,523      72,116,322   

LVIP JPMorgan High Yield Fund

  19,003,293      215,516,349   

LVIP PIMCO Low Duration Bond Fund

  35,953,984      361,301,587   

LVIP SSgA Bond Index Fund

  31,388,133      364,196,506   
     

 

 

 
  2,656,736,515   
     

 

 

 

International Equity Funds–19.27%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Clarion Global Real Estate Fund

  14,321,255      144,959,745   

LVIP MFS International Growth Fund

  19,853,445      287,378,610   

LVIP Mondrian International Value Fund

  12,013,778      214,409,895   

LVIP SSgA Developed International 150 Fund

  22,398,782      214,983,512   

LVIP SSgA Emerging Markets 100 Fund

  15,535,056      146,076,133   

LVIP SSgA International Index Fund

  47,160,170      429,723,466   
     

 

 

 
  1,437,531,361   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANIES (continued)

  

International Fixed Income Fund–3.88%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Global Income Fund

  25,063,756    $ 289,160,554   
     

 

 

 
  289,160,554   
     

 

 

 

Total Affiliated Investment Companies
(Cost $5,852,875,059)

   

  6,690,192,787   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–10.05%

  

Commodity Fund–0.93%

  

**PIMCO CommodityRealReturn Strategy Portfolio

  16,315,178      69,339,508   
     

 

 

 
  69,339,508   
     

 

 

 

Equity Funds–2.75%

  

*Delaware VIP® Trust–

Delaware VIP U.S. Growth Series

  4,476,338      63,295,420   

Delaware VIP Value Series

  2,327,972      69,350,299   

X Fidelity® Variable Life Insurance Products–

  

Fidelity VIP Mid Cap Portfolio

  2,071,500      72,668,225   
     

 

 

 
  205,313,944   
     

 

 

 

Fixed Income Funds–1.34%

  

²American Funds®

American Funds Mortgage Fund

  1,753,001      17,985,794   

*Delaware VIP® Trust–

Delaware VIP Diversified Income Series

  7,434,604      82,078,033   
     

 

 

 
  100,063,827   
     

 

 

 

International Equity Fund–1.95%

  

iShares MSCI Emerging Markets ETF

  3,620,695      145,298,490   
     

 

 

 
  145,298,490   
     

 

 

 

Money Market Fund–3.08%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  229,468,284      229,468,284   
     

 

 

 
  229,468,284   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $691,877,487)

   

  749,484,053   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.74% (Cost $6,544,752,546)

  7,439,676,840   

« RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.26%

  19,118,609   
  

 

 

 

NET ASSETS APPLICABLE TO 518,097,028 SHARES OUTSTANDING–100.00%

$ 7,458,795,449   
  

 

 

 

 

 

²

Class R-6 shares.

 

Non-income producing for the period.

 

*

Standard Class shares.

 

**

Institutional Class shares.

 

«

Includes $11,237,829 cash and $5,816,969 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk Profile Moderate Fund–1


LVIP Managed Risk Profile Moderate Fund

Schedule of Investments (continued)

 

X

Initial Class.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

   735     British Pound Currency

  $ 68,516,019     $ 68,157,469       6/18/15     $ (358,550 )

   931     E-mini MSCI Emerging Markets Index

    43,750,580       45,265,220       6/22/15       1,514,640  

   331     E-mini Russell 2000 Index

    40,288,955       41,338,590       6/22/15       1,049,635  

2,059     E-mini S&P 500 Index

    210,110,387       212,159,360       6/22/15       2,048,973  

   482     E-mini S&P MidCap 400 Index

    71,609,976       73,254,360       6/22/15       1,644,384  

   364     Euro Currency

    48,217,529       48,930,700       6/18/15       713,171  

1,409     Euro STOXX 50 Index

    54,963,456       55,020,868       6/22/15       57,412  

   696     FTSE 100 Index

    70,075,459       69,450,326       6/22/15       (625,133 )

   232     Japanese Yen Currency

    23,939,304       24,203,400       6/18/15       264,096  

   155     Nikkei 225 Index (OSE)

    24,205,736       24,822,225       6/12/15       616,489  
      

 

 

                      

 

 

 
  $ 655,677,401         $ 6,925,117  
      

 

 

                      

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 7,439,676,840   
 

 

 

 

Futures Contracts

$ 6,925,117   
 

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value heirarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Global Moderate Allocation Managed Risk Fund.

 

LVIP Managed Risk Profile Moderate Fund–2


LVIP Managed Risk Profile Growth Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–92.98%

  

Equity Funds–39.31%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Large Cap 100 Fund

  21,763,302    $ 352,978,990   

LVIP SSgA Mid-Cap Index Fund

  42,564,552      452,716,577   

LVIP SSgA S&P 500 Index Fund

  142,425,462      2,105,333,178   

LVIP SSgA Small-Cap Index Fund

  16,128,990      454,014,948   

†LVIP T. Rowe Price Growth Stock Fund

  5,397,628      178,418,606   

LVIP T. Rowe Price Structured Mid-Cap Growth Fund

  3,808,160      89,354,659   
     

 

 

 
  3,632,816,958   
     

 

 

 

Fixed Income Funds–26.01%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Inflation Protected Bond Fund

  8,514,934      89,279,088   

LVIP Delaware Bond Fund

  106,740,311      1,509,948,445   

LVIP Delaware Diversified Floating Rate Fund

  8,818,270      89,073,343   

LVIP JPMorgan High Yield Fund

  15,650,659      177,494,128   

LVIP PIMCO Low Duration Bond Fund

  35,533,113      357,072,253   

LVIP SSgA Bond Index Fund

  15,537,825      180,285,382   
     

 

 

 
  2,403,152,639   
     

 

 

 

International Equity Funds–23.80%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Emerging Markets RPM Fund

  7,440,912      70,740,748   

LVIP Clarion Global Real Estate Fund

  17,689,980      179,057,974   

LVIP MFS International Growth Fund

  24,525,078      355,000,505   

LVIP Mondrian International Value Fund

  14,840,643      264,860,949   

LVIP SSgA Developed International 150 Fund

  18,340,524      176,032,346   

LVIP SSgA Emerging Markets 100 Fund

  19,190,659      180,449,770   

LVIP SSgA International Index Fund

  106,803,808      973,196,300   
     

 

 

 
  2,199,338,592   
     

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANIES (continued)

  

International Fixed Income Fund–3.86%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Global Income Fund

  30,930,153    $ 356,841,170   
     

 

 

 
  356,841,170   
     

 

 

 

Total Affiliated Investment Companies
(Cost $7,601,398,740)

   

  8,592,149,359   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–6.93%

  

Commodity Fund–0.93%

  

**PIMCO CommodityRealReturn Strategy Portfolio

  20,154,825      85,658,005   
     

 

 

 
  85,658,005   
     

 

 

 

Equity Fund–0.97%

  

XFidelity® Variable Life Insurance Products–

Fidelity VIP Mid Cap Portfolio

  2,558,890      89,765,845   
     

 

 

 
  89,765,845   
     

 

 

 

Fixed Income Fund–0.18%

  

²American Funds®

American Funds Mortgage Fund

  1,627,862      16,701,861   
     

 

 

 
  16,701,861   
     

 

 

 

International Equity Fund–1.17%

  

iShares MSCI Emerging Markets ETF

  2,697,715      108,259,303   
     

 

 

 
  108,259,303   
     

 

 

 

Money Market Fund–3.68%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  339,850,342      339,850,342   
     

 

 

 
  339,850,342   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $668,532,453)

   

  640,235,356   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.91% (Cost $8,269,931,193)

  9,232,384,715   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.09%

  8,351,283   
  

 

 

 

NET ASSETS APPLICABLE TO 674,346,877 SHARES OUTSTANDING–100.00%

$ 9,240,735,998   
  

 

 

 

 

 

²

Class R-6 shares.

 

Non-income producing for the period.

 

*

Standard Class shares.

 

**

Institutional Class shares.

 

«

Includes $11,898,549 cash and $4,959,496 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk Profile Growth Fund–1


LVIP Managed Risk Profile Growth Fund

Schedule of Investments (continued)

 

 

XInitial

Class.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

   578     British Pound Currency

  $ 53,661,187     $ 53,598,662       6/18/15     $ (62,525 )

   576     E-mini MSCI Emerging Markets Index

    27,481,851       28,005,120       6/22/15       523,269  

   260     E-mini Russell 2000 Index

    32,194,988       32,471,400       6/22/15       276,412  

1,573     E-mini S&P 500 Index

    162,608,872       162,081,920       6/22/15       (526,952 )

   317     E-mini S&P MidCap 400 Index

    47,807,413       48,177,660       6/22/15       370,247  

   268     Euro Currency

    35,992,745       36,025,900       6/18/15       33,155  

1,058     Euro STOXX 50 Index

    41,243,693       41,314,463       6/22/15       70,770  

   557     FTSE 100 Index

    56,357,558       55,580,218       6/22/15       (777,340 )

   190     Japanese Yen Currency

    19,705,271       19,821,750       6/18/15       116,479  

   130     Nikkei 225 Index (OSE)

    20,529,649       20,818,640       6/12/15       288,991  
      

 

 

                      

 

 

 
  $ 497,583,227         $ 312,506  
      

 

 

                      

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 9,232,384,715   
 

 

 

 

Futures Contracts

$ 312,506   
 

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value heirarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Global Growth Allocation Managed Risk Fund.

 

LVIP Managed Risk Profile Growth Fund–2


LVIP Managed Risk Profile 2010 Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–94.30%

  

Equity Funds–29.26%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Delaware Special Opportunities Fund

  20,640    $ 887,871   

LVIP SSgA Mid-Cap Index Fund

  42,350      450,431   

LVIP SSgA S&P 500 Index Fund

  651,267      9,627,025   

LVIP SSgA Small-Cap Index Fund

  64,398      1,812,741   

LVIP T. Rowe Price Structured
Mid-Cap Growth Fund

  18,988      445,537   
     

 

 

 
        13,223,605   
     

 

 

 

Fixed Income Funds–43.48%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Inflation Protected Bond Fund

  382,186      4,007,219   

LVIP Delaware Bond Fund

  95,170      1,346,277   

LVIP Delaware Diversified Floating Rate Fund

  175,928      1,777,053   

LVIP JPMorgan High Yield Fund

  117,060      1,327,576   

LVIP PIMCO Low Duration Bond Fund

  177,217      1,780,857   

LVIP SSgA Bond Index Fund

  811,306      9,413,586   
     

 

 

 
  19,652,568   
     

 

 

 

International Equity Funds–14.66%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Clarion Global Real Estate Fund

  132,313      1,339,274   

LVIP SSgA International Index Fund

  580,304      5,287,729   
     

 

 

 
  6,627,003   
     

 

 

 
  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES (continued)

  

International Fixed Income Fund–6.90%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Global Income Fund

  270,226    $ 3,117,599   
     

 

 

 
  3,117,599   
     

 

 

 

Total Affiliated Investment Companies
(Cost $31,773,796)

   

        42,620,775   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–5.80%

  

Fixed Income Fund–0.99%

LOGO American Funds®

Mortgage Bond Fund

  41,277      447,442   
     

 

 

 
  447,442   
     

 

 

 

International Equity Fund–2.91%

  

*Delaware VIP Trust–

Delaware VIP Emerging Markets Series

  68,775      1,318,423   
     

 

 

 
  1,318,423   
     

 

 

 

Money Market Fund–1.90%

  

Dreyfus Treasury & Agency Cash Management Fund -Institutional Shares

  857,907      857,907   
     

 

 

 
  857,907   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $2,475,291)

  2,623,772   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.10% (Cost $34,249,087)

  45,244,547   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.10%)

  (46,581
  

 

 

 

NET ASSETS APPLICABLE TO 3,568,877 SHARES OUTSTANDING–100.00%

      $ 45,197,966   
  

 

 

 

 

 

*

Standard Class shares.

 

LOGO

Class 1 shares.

 

«

Includes $52,271 cash and $23,886 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk Profile 2010 Fund–1


LVIP Managed Risk Profile 2010 Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

   Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

(1)

British Pound Currency

  $ (93,262 )   $ (92,731 )     6/18/15     $ 530  

(1)

E-mini MSCI Emerging Markets Index

    (46,659 )     (48,620 )     6/22/15       (1,961 )

(1)

E-mini Russell 2000 Index

    (121,014 )     (124,890 )     6/22/15       (3,876 )

(3)

E-mini S&P 500 Index

    (307,296 )     (309,120 )     6/22/15       (1,824 )

(1)

E-mini S&P MidCap 400 Index

    (147,779 )     (151,980 )     6/22/15       (4,201 )

(1)

Euro Currency

    (131,824 )     (134,425 )     6/18/15       (2,601 )

(1)

Euro STOXX 50 Index

    (39,049 )     (39,050 )     6/22/15       (1 )

(1)

FTSE 100 Index

    (100,474 )     (99,785 )     6/22/15       689  

(1)

Japanese Yen Currency

    (102,987 )     (104,325 )     6/18/15       (1,338 )

(1)

Nikkei 225 Index (OSE)

    (154,782 )     (160,143 )     6/12/15       (5,361 )
       

 

 

              

 

 

 
  $ (1,245,126 )       $ (19,944 )
       

 

 

              

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1

Investment Companies

  $ 45,244,547  
    

 

 

 

Futures Contracts

  $ (19,944 )
    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Managed Risk Profile 2010 Fund–2


LVIP Managed Risk Profile 2020 Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–95.46%

  

Equity Funds–36.80%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Baron Growth Opportunities Fund

  64,536    $ 3,257,346   

LVIP Delaware Special Opportunities Fund

  73,844      3,176,568   

LVIP SSgA Mid-Cap Index Fund

  151,484      1,611,180   

LVIP SSgA S&P 500 Index Fund

  2,966,452      43,850,089   

LVIP SSgA Small-Cap Index Fund

  114,770      3,230,663   

LVIP SSgA Small-Mid Cap 200 Fund

  103,607      1,612,645   

LVIP T. Rowe Price Structured Mid-Cap Growth Fund

  135,861      3,187,832   
     

 

 

 
        59,926,323   
     

 

 

 

Fixed Income Funds–32.38%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Inflation Protected Bond Fund

  759,470      7,963,048   

LVIP Delaware Diversified Floating Rate Fund

  314,643      3,178,204   

LVIP JPMorgan High Yield Fund

  419,160      4,753,695   

LVIP PIMCO Low Duration Bond Fund

  633,866      6,369,715   

LVIP SSgA Bond Index Fund

  2,625,267      30,460,975   
     

 

 

 
  52,725,637   
     

 

 

 

International Equity Funds–20.41%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Clarion Global Real Estate Fund

  473,323      4,790,974   
  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES (continued)

  

International Equity Funds (continued)

  

LVIP SSgA Emerging Markets 100 Fund

  171,161    $ 1,609,431   

LVIP SSgA International Index Fund .

  2,944,228      26,827,809   
     

 

 

 
        33,228,214   
     

 

 

 

International Fixed Income Fund–5.87%

  

*Lincoln Variable Insurance Products Trust–

LVIP Global Income Fund

  828,467      9,558,027   
     

 

 

 
  9,558,027   
     

 

 

 

Total Affiliated Investment Companies
(Cost $112,331,405)

   

  155,438,201   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–4.77%

  

International Equity Fund–1.93%

  

*Delaware VIP Trust–

Delaware VIP Emerging Markets Series

  163,380      3,131,986   
     

 

 

 
  3,131,986   
     

 

 

 

Money Market Fund–2.84%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  4,625,877      4,625,877   
     

 

 

 
  4,625,877   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $7,034,962)

   

  7,757,863   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.23% (Cost $119,366,367)

  163,196,064   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.23%)

  (368,087
  

 

 

 

NET ASSETS APPLICABLE TO 13,198,682 SHARES OUTSTANDING–100.00%

    $ 162,827,977   
  

 

 

 

 

 

*

Standard Class shares.

 

«

Includes $370,336 cash and $168,390 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk Profile 2020 Fund–1


LVIP Managed Risk Profile 2020 Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

   Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

(11)

British Pound Currency

  $ (1,025,879 )   $ (1,020,044 )     6/18/15     $ 5,835  

  (7)

E-mini MSCI Emerging Markets Index

    (326,614 )     (340,340 )     6/22/15       (13,726 )

  (4)

E-mini Russell 2000 Index

    (484,057 )     (499,560 )     6/22/15       (15,503 )

(31)

E-mini S&P 500 Index

    (3,149,344 )     (3,194,240 )     6/22/15       (44,896 )

  (4)

E-mini S&P MidCap 400 Index

    (591,117 )     (607,920 )     6/22/15       (16,803 )

  (5)

Euro Currency

    (659,121 )     (672,125 )     6/18/15       (13,004 )

(17)

Euro STOXX 50 Index

    (663,015 )     (663,843 )     6/22/15       (828 )

(10)

FTSE 100 Index

    (1,007,758 )     (997,849 )     6/22/15       9,909  

  (4)

Japanese Yen Currency

    (411,947 )     (417,300 )     6/18/15       (5,353 )

  (3)

Nikkei 225 Index (OSE)

    (464,338 )     (480,430 )     6/12/15       (16,092 )
       

 

 

              

 

 

 
  $ (8,783,190 )       $ (110,461 )
       

 

 

              

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1

Investment Companies

  $ 163,196,064  
    

 

 

 

Futures Contracts

  $ (110,461 )
    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Managed Risk Profile 2020 Fund–2


LVIP Managed Risk Profile 2030 Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–92.50%

  

Equity Funds–38.32%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Baron Growth Opportunities Fund

  33,573    $ 1,694,553   

LVIP Delaware Special Opportunities Fund

  77,222      3,321,855   

LVIP MFS Value Fund

  43,764      1,643,658   

LVIP SSgA Mid-Cap Index Fund

  158,415      1,684,901   

LVIP SSgA S&P 500 Index Fund

  3,212,830      47,492,052   

LVIP SSgA Small-Cap Index Fund

  120,844      3,401,645   

LVIP SSgA Small-Mid Cap 200 Fund

  108,344      1,686,379   

†LVIP T. Rowe Price Growth Stock Fund

  49,609      1,639,837   

LVIP T. Rowe Price Structured

Mid-Cap Growth Fund

  142,081      3,333,789   
     

 

 

 
  65,898,669   
     

 

 

 

Fixed Income Funds–26.25%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Inflation Protected Bond Fund

  476,552      4,996,643   

LVIP Delaware Diversified Floating Rate Fund

  329,061      3,323,842   

LVIP JPMorgan High Yield Fund

  291,986      3,311,410   

LVIP PIMCO Low Duration Bond Fund

  331,486      3,331,100   

LVIP SSgA Bond Index Fund

  2,601,236      30,182,144   
     

 

 

 
        45,145,139   
     

 

 

 

International Equity Funds–23.09%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Clarion Global Real Estate Fund

  494,894      5,009,315   

LVIP Mondrian International Value Fund

  184,529      3,293,282   

LVIP SSgA Emerging Markets 100 Fund

  359,871      3,383,867   

LVIP SSgA International Index Fund

  3,076,194      28,030,279   
     

 

 

 
  39,716,743   
     

 

 

 
  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES (continued)

  

International Fixed Income Fund–4.84%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Global Income Fund

  722,056    $ 8,330,358   
     

 

 

 
  8,330,358   
     

 

 

 

Total Affiliated Investment Companies
(Cost $113,552,482)

   

  159,090,909   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–7.68%

  

Commodity Fund–0.93%

  

**PIMCO CommodityRealReturn Strategy Portfolio

  375,933      1,597,714   
     

 

 

 
  1,597,714   
     

 

 

 

International Equity Fund–2.86%

  

*Delaware VIP Trust–

Delaware VIP Emerging Markets Series

  256,236      4,912,035   
     

 

 

 
  4,912,035   
     

 

 

 

Money Market Fund–3.89%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  6,690,559      6,690,559   
     

 

 

 
  6,690,559   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $12,732,528)

   

        13,200,308   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.18% (Cost $126,285,010)

  172,291,217   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.18%)

  (307,400
  

 

 

 

NET ASSETS APPLICABLE TO 13,861,901 SHARES OUTSTANDING–100.00%

    $ 171,983,817   
  

 

 

 

 

 

Non-income producing for the period.

 

*

Standard Class shares.

 

**

Institutional Class shares.

 

«

Includes $272,194 cash and $119,024 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk Profile 2030 Fund–1


LVIP Managed Risk Profile 2030 Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

   Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

  (8)

British Pound Currency

  $ (746,094 )   $ (741,850 )     6/18/15     $ 4,244  

  (8)

E-mini MSCI Emerging Markets Index

    (375,268 )     (388,960 )     6/22/15       (13,692 )

  (2)

E-mini Russell 2000 Index

    (242,028 )     (249,780 )     6/22/15       (7,752 )

(22)

E-mini S&P 500 Index

    (2,235,018 )     (2,266,880 )     6/22/15       (31,862 )

  (3)

E-mini S&P MidCap 400 Index

    (443,338 )     (455,940 )     6/22/15       (12,602 )

  (4)

Euro Currency

    (527,297 )     (537,700 )     6/18/15       (10,403 )

(13)

Euro STOXX 50 Index

    (506,787 )     (507,645 )     6/22/15       (858 )

  (7)

FTSE 100 Index

    (706,270 )     (698,495 )     6/22/15       7,775  

  (3)

Japanese Yen Currency

    (308,960 )     (312,975 )     6/18/15       (4,015 )

  (2)

Nikkei 225 Index (OSE)

    (309,564 )     (320,286 )     6/12/15       (10,722 )
       

 

 

              

 

 

 
  $ (6,400,624 )       $ (79,887 )
       

 

 

              

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1

Investment Companies

  $ 172,291,217  
    

 

 

 

Futures Contracts

  $ (79,887 )
    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Managed Risk Profile 2030 Fund–2


LVIP Managed Risk Profile 2040 Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–91.53%

  

Equity Funds–44.64%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Baron Growth Opportunities Fund

  45,480    $ 2,295,517   

LVIP Delaware Special Opportunities Fund

  52,299      2,249,759   

LVIP MFS Value Fund

  59,276      2,226,247   

LVIP SSgA Mid-Cap Index Fund

  107,296      1,141,199   

LVIP SSgA S&P 500 Index Fund

  2,476,059      36,601,104   

LVIP SSgA Small-Cap Index Fund

  123,071      3,464,322   

LVIP SSgA Small-Mid Cap 200 Fund

  73,385      1,142,240   

†LVIP T. Rowe Price Growth Stock Fund

  33,598      1,110,580   

LVIP T. Rowe Price Structured

Mid-Cap Growth Fund

  96,228      2,257,892   
     

 

 

 
        52,488,860   
     

 

 

 

Fixed Income Funds–16.37%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Inflation Protected Bond Fund

  216,190      2,266,754   

LVIP JPMorgan High Yield Fund

  197,752      2,242,701   

LVIP PIMCO Low Duration Bond Fund

  224,509      2,256,089   

LVIP SSgA Bond Index Fund

  1,076,090      12,485,877   
     

 

 

 
  19,251,421   
     

 

 

 

International Equity Funds–26.68%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Clarion Global Real Estate Fund

  335,204      3,392,936   

LVIP MFS International Growth Fund

  309,831      4,484,810   

LVIP Mondrian International Value Fund

  249,963      4,461,096   
  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES (continued)

  

International Equity Funds (continued)

  

LVIP SSgA Emerging Markets 100 Fund

  243,762    $ 2,292,090   

LVIP SSgA International Index Fund

  1,836,629      16,735,365   
     

 

 

 
  31,366,297   
     

 

 

 

International Fixed Income Fund–3.84%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Global Income Fund

  391,240      4,513,733   
     

 

 

 
  4,513,733   
     

 

 

 

Total Affiliated Investment Companies
(Cost $71,501,237)

   

  107,620,311   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–8.58%

  

Commodity Fund–0.92%

**PIMCO CommodityRealReturn Strategy Portfolio

  254,594      1,082,023   
     

 

 

 
  1,082,023   
     

 

 

 

International Equity Fund–2.83%

  

*Delaware VIP Trust–

Delaware VIP Emerging Markets Series

  173,539      3,326,740   
     

 

 

 
  3,326,740   
     

 

 

 

Money Market Fund–4.83%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  5,672,445      5,672,445   
     

 

 

 
  5,672,445   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $9,740,776)

   

        10,081,208   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.11% (Cost $81,242,013)

  117,701,519   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.11%)

  (123,736
  

 

 

 

NET ASSETS APPLICABLE TO 9,899,723 SHARES OUTSTANDING–100.00%.

    $ 117,577,783   
  

 

 

 

 

 

Non-income producing for the period.

 

*

Standard Class shares.

 

**

Institutional Class shares.

 

«

Includes $204,431 cash and $96,062 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk Profile 2040 Fund–1


LVIP Managed Risk Profile 2040 Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

   Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

  (6)

British Pound Currency

  $ (558,333 )   $ (556,388 )     6/18/15     $ 1,945  

  (5)

E-mini MSCI Emerging Markets Index

    (232,886 )     (243,100 )     6/22/15       (10,214 )

  (2)

E-mini Russell 2000 Index

    (242,028 )     (249,780 )     6/22/15       (7,752 )

(17)

E-mini S&P 500 Index

    (1,727,060 )     (1,751,680 )     6/22/15       (24,620 )

  (2)

E-mini S&P MidCap 400 Index

    (295,559 )     (303,960 )     6/22/15       (8,401 )

  (3)

Euro Currency

    (395,473 )     (403,275 )     6/18/15       (7,802 )

  (9)

Euro STOXX 50 Index

    (351,053 )     (351,446 )     6/22/15       (393 )

  (5)

FTSE 100 Index

    (502,518 )     (498,925 )     6/22/15       3,593  

  (2)

Japanese Yen Currency

    (205,973 )     (208,650 )     6/18/15       (2,677 )

  (2)

Nikkei 225 Index (OSE)

    (309,565 )     (320,287 )     6/12/15       (10,722 )
       

 

 

              

 

 

 
  $ (4,820,448 )       $ (67,043 )
       

 

 

              

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1

Investment Companies

  $ 117,701,519  
    

 

 

 

Futures Contracts

  $ (67,043 )
    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Managed Risk Profile 2040 Fund–2


LVIP Managed Risk Profile 2050 Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES–89.73%

  

Equity Funds–46.61%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Baron Growth Opportunities Fund

  4,933    $ 248,982   

LVIP Delaware Special Opportunities Fund

  11,350      488,259   

LVIP MFS Value Fund

  12,866      483,224   

LVIP SSgA Mid-Cap Index Fund

  23,281      247,619   

LVIP SSgA S&P 500 Index Fund

  586,127      8,664,128   

LVIP SSgA Small-Cap Index Fund

  26,696      751,462   

LVIP SSgA Small-Mid Cap 200 Fund

  31,847      495,697   

†LVIP T. Rowe Price Growth Stock Fund

  7,293      241,074   

LVIP T. Rowe Price Structured
Mid-Cap Growth Fund

  20,883      490,008   
     

 

 

 
        12,110,453   
     

 

 

 

Fixed Income Funds–6.60%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP BlackRock Inflation Protected Bond Fund

  46,902      491,766   

LVIP JPMorgan High Yield Fund

  42,967      487,292   

LVIP PIMCO Low Duration Bond Fund

  24,351      244,707   

LVIP SSgA Bond Index Fund

  42,216      489,831   
     

 

 

 
  1,713,596   
     

 

 

 

International Equity Funds–35.58%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Clarion Global Real Estate Fund

  97,014      981,980   

LVIP MFS International Growth Fund

  50,436      730,060   

LVIP Mondrian International Value Fund

  54,261      968,400   
  Number of         Value  
  Shares         (U.S. $)  

AFFILIATED INVESTMENT COMPANIES (continued)

  

International Equity Funds (continued)

  

LVIP SSgA Emerging Markets 100 Fund

  79,213    $ 744,838   

LVIP SSgA International Index Fund

  638,624      5,819,138   
     

 

 

 
  9,244,416   
     

 

 

 

International Fixed Income Fund–0.94%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP Global Income Fund

  21,220      244,812   
     

 

 

 
  244,812   
     

 

 

 

Total Affiliated Investment Companies
(Cost $17,762,405)

   

        23,313,277   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–10.39%

  

Commodity Fund–0.91%

  

**PIMCO CommodityRealReturn Strategy Portfolio

  55,289      234,978   
     

 

 

 
  234,978   
     

 

 

 

International Equity Fund–2.78%

  

*Delaware VIP Trust–

Delaware VIP Emerging Markets Series

  37,680      722,325   
     

 

 

 
  722,325   
     

 

 

 

Money Market Fund–6.70%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,741,247      1,741,247   
     

 

 

 
  1,741,247   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $2,696,516)

   

  2,698,550   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.12% (Cost $20,458,921)

  26,011,827   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.12%)

  (30,939
  

 

 

 

NET ASSETS APPLICABLE TO 2,573,259 SHARES OUTSTANDING–100.00%.

      $ 25,980,888   
  

 

 

 

 

 

Non-income producing for the period.

 

*

Standard Class shares.

 

**

Institutional Class shares.

 

«

Includes $86,818 cash and $54,469 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP Managed Risk Profile 2050 Fund–1


LVIP Managed Risk Profile 2050 Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

   Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

  (8)

E-mini S&P 500 Index

  $ (817,309 )   $ (824,320 )     6/22/15     $ (7,011 )

  (5)

Euro Currency

    (664,746 )     (672,125 )     6/18/15       (7,379 )

(16)

Euro STOXX 50 Index

    (623,557 )     (624,793 )     6/22/15       (1,236 )
       

 

 

              

 

 

 
  $ (2,105,612 )       $ (15,626 )
       

 

 

              

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value 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.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1

Investment Companies

  $ 26,011,827  
    

 

 

 

Futures Contracts

  $ (15,626 )
    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Managed Risk Profile 2050 Fund–2


LVIP MFS International Growth Fund

Schedule of Investments (unaudited)

March 31, 2015

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK–98.81%

  

Australia–0.32%

Brambles

  367,164    $ 3,210,714   
     

 

 

 
  3,210,714   
     

 

 

 

Belgium–1.13%

†KBC Groep

  186,437      11,524,387   
     

 

 

 
  11,524,387   
     

 

 

 

Brazil–0.83%

Ambev ADR

  647,022      3,726,847   

BM&FBovespa

  418,680      1,459,871   

Itau Unibanco Holding ADR

  70,819      783,258   

Lojas Renner

  59,635      1,681,625   

M Dias Branco

  29,276      793,625   
     

 

 

 
  8,445,226   
     

 

 

 

Canada–4.26%

Canadian National Railway

  461,068      30,831,617   

Dollarama

  37,127      2,075,231   

Loblaw

  81,075      3,963,340   

Suncor Energy

  221,672      6,476,991   
     

 

 

 
  43,347,179   
     

 

 

 

¨China–0.86%

Guangzhou Automobile Group

  4,131,600      3,947,062   

Want Want China Holdings

  4,535,000      4,826,002   
     

 

 

 
  8,773,064   
     

 

 

 

Denmark–3.83%

Carlsberg Class B

  165,566      13,651,872   

Chr Hansen Holding

  178,259      8,184,504   

Novo Nordisk Class B

  320,988      17,135,431   
     

 

 

 
  38,971,807   
     

 

 

 

France–15.51%

Air Liquide

  93,879      12,088,175   

Danone

  438,966      29,595,253   

Dassault Systemes

  146,697      9,929,482   

Essilor International

  68,449      7,860,442   

Kering

  27,512      5,371,860   

Legrand

  81,281      4,403,629   

L’Oreal

  91,589      16,872,975   

LVMH Moet Hennessy Louis Vuitton

  170,239      29,964,756   

Pernod-Ricard

  199,738      23,621,763   

Schneider Electric

  232,563      18,101,136   
     

 

 

 
  157,809,471   
     

 

 

 

Germany–9.96%

Bayer

  200,761      30,042,622   

Brenntag

  270,554      16,167,143   

Fresenius Medical Care

  145,965      12,135,124   

Linde

  97,554      19,841,227   

SAP

  140,447      10,153,029   

Symrise

  205,575      12,964,658   
     

 

 

 
     101,303,803   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

nHong Kong–3.55%

AIA Group

  4,682,400    $ 29,398,381   

Dairy Farm International Holdings

  350,100      3,287,439   

Li & Fung

  3,516,000      3,433,164   
     

 

 

 
       36,118,984   
     

 

 

 

India–1.04%

HDFC Bank ADR

  178,898      10,535,303   
     

 

 

 
  10,535,303   
     

 

 

 

Ireland–4.77%

Accenture Class A

  274,918      25,757,067   

Experian

  372,052      6,158,374   

Paddy Power

  83,824      7,163,201   

Shire

  118,358      9,435,551   
     

 

 

 
  48,514,193   
     

 

 

 

Israel–1.96%

NICE Systems ADR

  327,688      19,966,030   
     

 

 

 
  19,966,030   
     

 

 

 

Italy–0.93%

Prysmian

  461,382      9,510,799   
     

 

 

 
  9,510,799   
     

 

 

 

Japan–8.60%

AEON Financial Service

  366,300      9,238,810   

Inpex

  828,900      9,131,952   

Japan Tobacco

  271,600      8,585,166   

Nippon Paint

  224,100      8,191,002   

Nitto Denko

  108,000      7,210,385   

OBIC

  315,700      13,385,132   

SoftBank

  177,400      10,329,955   

Sundrug

  161,700      8,391,987   

Terumo

  241,600      6,363,394   

Unicharm

  256,400      6,711,431   
     

 

 

 
  87,539,214   
     

 

 

 

Mexico–0.31%

Grupo Financiero Banorte Class O

  538,079      3,120,413   
     

 

 

 
  3,120,413   
     

 

 

 

Netherlands–0.64%

Akzo Nobel

  86,275      6,524,433   
     

 

 

 
  6,524,433   
     

 

 

 

Panama–0.47%

Copa Holdings Class A

  47,593      4,805,465   
     

 

 

 
  4,805,465   
     

 

 

 

Peru–0.41%

Credicorp

  29,485      4,146,476   
     

 

 

 
  4,146,476   
     

 

 

 

Republic of Korea–1.31%

LG Chem

  17,155      3,483,961   
 

 

LVIP MFS International Growth Fund–1


LVIP MFS International Growth Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Republic of Korea (continued)

  

NAVER

  3,670    $ 2,215,161   

Samsung Electronics

  5,892      7,644,049   
     

 

 

 
       13,343,171   
     

 

 

 

Russia–0.16%

Sberbank of Russia ADR

  379,507      1,663,366   
     

 

 

 
  1,663,366   
     

 

 

 

Spain–0.90%

Amadeus IT Holding

  213,361      9,145,730   
     

 

 

 
  9,145,730   
     

 

 

 

Sweden–1.98%

Atlas Copco Class A

  168,416      5,452,276   

Ericsson Class B

  1,170,969      14,701,533   
     

 

 

 
  20,153,809   
     

 

 

 

Switzerland–11.79%

†Julius Baer Group

  188,277      9,410,811   

Nestle

  480,076      36,150,895   

Roche Holding

  118,261      32,497,188   

Schindler Holding

  46,159      7,660,629   

Sonova Holding

  43,770      6,073,206   

†UBS Group

  1,454,821      28,099,371   
     

 

 

 
  119,892,100   
     

 

 

 

Taiwan–2.22%

MediaTek

  551,000      7,450,485   

Taiwan Semiconductor Manufacturing ADR

  643,385      15,106,680   
     

 

 

 
  22,557,165   
     

 

 

 

Thailand–0.36%

Kasikornbank NVDR

  516,000      3,627,108   
     

 

 

 
  3,627,108   
     

 

 

 

United Kingdom–19.04%

BG Group

  828,270      10,165,626   

Burberry Group

  544,186      13,974,493   

Capita

  660,551      10,919,066   

Compass Group

  1,486,969      25,811,806   

Croda International

  196,939      7,987,200   

Diageo

  578,592      15,988,467   

HSBC Holdings

  1,251,131      10,661,058   

Intertek Group

  257,026      9,520,120   

Reckitt Benckiser Group

  212,997      18,297,017   

†Rolls-Royce Holdings

  942,976      13,299,240   

Standard Chartered

  714,710      11,575,563   

Weir Group

  403,309      10,176,593   

Whitbread

  203,071      15,767,918   

WPP

  861,051      19,554,345   
     

 

 

 
  193,698,512   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United States–1.67%

†Mettler-Toledo International

  51,613    $ 16,962,612   
     

 

 

 
  16,962,612   
     

 

 

 

Total Common Stock
(Cost $895,295,142)

  1,005,210,534   
     

 

 

 

MONEY MARKET FUND–0.84%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  8,570,118      8,570,118   
     

 

 

 

Total Money Market Fund
(Cost $8,570,118)

  8,570,118   
     

 

 

 
 

 

LVIP MFS International Growth Fund–2


LVIP MFS International Growth Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–99.65% (Cost $903,865,260)

$ 1,013,780,652   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.35%

  3,532,914   
  

 

 

 

NET ASSETS APPLICABLE TO 70,274,839 SHARES OUTSTANDING–100.00%

$ 1,017,313,566   
  

 

 

 

 

 

D

Securities have been classified by country of origin.

 

n

Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

Non-income producing for the period.

 

¨

Securities listed and traded on the Hong Kong Stock Exchange.

Summary of Abbreviations:

ADR–American Depositary Receipt

NVDR–Non-Voting Depositary Receipt

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

Australia

$    $ 3,210,714    $ 3,210,714   

Belgium

       11,524,387      11,524,387   

Brazil

  8,445,226           8,445,226   

Canada

  43,347,179           43,347,179   

China

       8,773,064      8,773,064   

Denmark

       38,971,807      38,971,807   

France

       157,809,471      157,809,471   

Germany

       101,303,803      101,303,803   

Hong Kong

  6,720,603      29,398,381      36,118,984   

India

  10,535,303           10,535,303   

Ireland

  32,920,268      15,593,925      48,514,193   

Israel

  19,966,030           19,966,030   

Italy

       9,510,799      9,510,799   

Japan

       87,539,214      87,539,214   

Mexico

  3,120,413           3,120,413   

Netherlands

       6,524,433      6,524,433   

Panama

  4,805,465           4,805,465   

Peru

  4,146,476           4,146,476   

Republic of Korea

       13,343,171      13,343,171   

Russia

       1,663,366      1,663,366   

Spain

       9,145,730      9,145,730   

Sweden

       20,153,809      20,153,809   

Switzerland

  28,099,371      91,792,729      119,892,100   

Taiwan

  15,106,680      7,450,485      22,557,165   

Thailand

       3,627,108      3,627,108   

United Kingdom

       193,698,512      193,698,512   

United States

  16,962,612           16,962,612   

Money Market Fund

  8,570,118           8,570,118   
  

 

 

    

 

 

    

 

 

 

Total

$ 202,745,744    $ 811,034,908    $ 1,013,780,652   
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

As a result of utilizing international fair value pricing at March 31, 2015, the majority of the Fund’s common stock was categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

 

LVIP MFS International Growth Fund–3


LVIP MFS International Growth Fund

Schedule of Investments (continued)

 

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

 

LVIP MFS International Growth Fund–4


LVIP MFS International Growth RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

  Number of   Value  
  Shares   (U.S. $)  

AFFILIATED INVESTMENT COMPANY–92.55%

  

International Equity Fund–92.55%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP MFS International Growth Fund

  7,553,284    $   109,333,781   
   

 

 

 

Total Affiliated Investment Company
(Cost $107,364,838)

   

  109,333,781   
   

 

 

 
  Number of   Value  
  Shares   (U.S. $)  

UNAFFILIATED INVESTMENT COMPANY–7.00%

  

Money Market Fund–7.00%

  

Dreyfus Treasury & Agency
Cash Management Fund - Institutional Shares

  8,270,949    $   8,270,949   
   

 

 

 

Total Unaffiliated Investment Company
(Cost $8,270,949)

   

  8,270,949   
   

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.55% (Cost $115,635,787)

  117,604,730   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.45%

  534,682   
  

 

 

 

NET ASSETS APPLICABLE TO 11,970,262 SHARES OUTSTANDING–100.00%

$   118,139,412   
  

 

 

 

 

 

 

*

Standard Class shares.

 

«

Includes $264,545 due to broker and $585,961 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
  Unrealized
Appreciation
(Depreciation)
 

20     

British Pound Currency

$ 1,864,148    $ 1,854,625      6/18/15    $ (9,523

22     

Euro Currency

  2,901,522      2,957,350      6/18/15      55,828   

78     

Euro STOXX 50 Index

  2,996,306      3,045,868      6/22/15      49,562   

18     

FTSE 100 Index

  1,795,899      1,796,129      6/22/15      230   

21     

Japanese Yen Currency

  2,164,525      2,190,825      6/18/15      26,300   

13     

Nikkei 225 Index (OSE)

  2,004,633      2,081,864      6/12/15      77,231   
     

 

 

          

 

 

 
$ 13,727,033    $ 199,628   
     

 

 

          

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 117,604,730   
  

 

 

 

Futures Contracts

$ 199,628   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP MFS International Growth Managed Volatility Fund.

 

LVIP MFS International Growth RPM Fund–1


LVIP MFS Value Fund

Schedule of Investments (unaudited)

March 31, 2015

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–98.52%

  

Aerospace & Defense–7.33%

  

Honeywell International

  225,503    $ 23,522,218   

Lockheed Martin

  112,581      22,849,440   

Northrop Grumman

  57,445      9,246,347   

United Technologies

  188,887      22,137,556   
     

 

 

 
  77,755,561   
     

 

 

 

Air Freight & Logistics–1.33%

  

United Parcel Service Class B

  145,698      14,123,964   
     

 

 

 
  14,123,964   
     

 

 

 

Auto Components–1.77%

Delphi Automotive

  104,041      8,296,229   

Johnson Controls

  207,961      10,489,553   
     

 

 

 
  18,785,782   
     

 

 

 

Banks–10.53%

Citigroup

  69,968      3,604,751   

JPMorgan Chase

  737,880      44,700,770   

PNC Financial Services Group

  95,470      8,901,623   

U.S. Bancorp

  458,224      20,010,642   

Wells Fargo

  634,812      34,533,773   
     

 

 

 
     111,751,559   
     

 

 

 

Beverages–1.46%

Diageo

  487,031      13,458,325   

Dr Pepper Snapple Group

  25,979      2,038,832   
     

 

 

 
  15,497,157   
     

 

 

 

Capital Markets–6.11%

Bank of New York Mellon

  321,278      12,928,227   

BlackRock

  28,840      10,550,826   

Franklin Resources

  236,818      12,153,500   

Goldman Sachs Group

  105,180      19,770,685   

State Street

  127,654      9,386,399   
     

 

 

 
  64,789,637   
     

 

 

 

Chemicals–1.67%

duPont (E.I.) deNemours

  34,674      2,478,151   

PPG Industries

  67,368      15,194,179   
     

 

 

 
  17,672,330   
     

 

 

 

Commercial Services & Supplies–1.23%

  

Tyco International

  303,986      13,089,637   
     

 

 

 
  13,089,637   
     

 

 

 

Consumer Finance–0.56%

American Express

  75,387      5,889,232   
     

 

 

 
  5,889,232   
     

 

 

 

Containers & Packaging–0.52%

  

†Crown Holdings

  102,919      5,559,684   
     

 

 

 
  5,559,684   
     

 

 

 

Diversified Financial Services–1.29%

  

McGraw-Hill Financial

  51,547      5,329,960   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Diversified Financial Services (continued)

  

NASDAQ OMX Group

  163,860    $ 8,347,028   
     

 

 

 
  13,676,988   
     

 

 

 

Diversified Telecommunication Services–1.96%

  

AT&T

  85,591      2,794,546   

Verizon Communications

  371,092      18,046,204   
     

 

 

 
  20,840,750   
     

 

 

 

Electric Utilities–0.66%

Duke Energy

  91,529      7,027,597   
     

 

 

 
  7,027,597   
     

 

 

 

Electrical Equipment–0.84%

  

Eaton

  130,567      8,870,722   
     

 

 

 
  8,870,722   
     

 

 

 

Energy Equipment & Services–0.82%

  

Baker Hughes

  32,565      2,070,483   

Schlumberger

  79,461      6,630,226   
     

 

 

 
  8,700,709   
     

 

 

 

Food & Staples Retailing–1.96%

  

CVS Health

  200,939      20,738,914   
     

 

 

 
  20,738,914   
     

 

 

 

Food Products–4.18%

Archer-Daniels-Midland

  14,901      706,307   

Danone

  110,290      7,435,793   

General Mills

  287,530      16,274,198   

Kellogg

  45,903      3,027,303   

Nestle

  224,793      16,927,462   
     

 

 

 
       44,371,063   
     

 

 

 

Health Care Equipment & Supplies–3.91%

  

Abbott Laboratories

  284,583      13,184,730   

Medtronic

  270,317      21,082,023   

St. Jude Medical

  109,552      7,164,701   
     

 

 

 
  41,431,454   
     

 

 

 

Health Care Providers & Services–1.07%

  

†Express Scripts Holding

  130,835      11,352,553   
     

 

 

 
  11,352,553   
     

 

 

 

Hotels, Restaurants & Leisure–0.79%

  

McDonald’s

  86,016      8,381,399   
     

 

 

 
  8,381,399   
     

 

 

 

Household Durables–0.17%

  

Newell Rubbermaid

  47,095      1,840,002   
     

 

 

 
  1,840,002   
     

 

 

 

Household Products–0.49%

  

Procter & Gamble

  63,043      5,165,743   
     

 

 

 
  5,165,743   
     

 

 

 
 

 

LVIP MFS Value Fund–1


LVIP MFS Value Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Industrial Conglomerates–3.38%

  

3M

  133,115    $ 21,957,319   

Danaher

  164,066      13,929,203   
     

 

 

 
       35,886,522   
     

 

 

 

Insurance–7.52%

ACE

  101,640      11,331,844   

Aon

  129,513      12,448,790   

Chubb

  78,406      7,926,847   

MetLife

  366,684      18,535,876   

Prudential Financial

  118,452      9,512,880   

Travelers

  185,136      20,018,756   
     

 

 

 
  79,774,993   
     

 

 

 

IT Services–5.18%

Accenture Class A

  283,697      26,579,572   

Fidelity National Information Service

  84,039      5,719,694   

†Fiserv

  102,464      8,135,642   

International Business Machines

  90,266      14,487,693   
     

 

 

 
  54,922,601   
     

 

 

 

Leisure Products–0.60%

Hasbro

  86,018      5,439,778   

Mattel

  39,577      904,334   
     

 

 

 
  6,344,112   
     

 

 

 

Life Sciences Tools & Services–1.15%

  

Thermo Fisher Scientific

  90,622      12,174,159   
     

 

 

 
  12,174,159   
     

 

 

 

Machinery–1.53%

Illinois Tool Works

  77,187      7,497,945   

Pentair

  61,583      3,872,955   

Stanley Black & Decker

  50,503      4,815,966   
     

 

 

 
  16,186,866   
     

 

 

 

Media–4.51%

Comcast Class A

  214,368      12,018,542   

Disney (Walt)

  71,840      7,535,298   

Omnicom Group

  161,699      12,609,288   

Time

  11,315      253,909   

Time Warner

  105,821      8,935,525   

Viacom Class B

  94,860      6,478,938   
     

 

 

 
  47,831,500   
     

 

 

 

Multiline Retail–2.06%

Kohl’s

  40,415      3,162,474   

Target

  227,209      18,647,043   
     

 

 

 
  21,809,517   
     

 

 

 

Oil, Gas & Consumable Fuels–4.63%

  

Chevron

  137,791      14,465,299   

EOG Resources

  65,819      6,034,944   

Exxon Mobil

  217,287      18,469,395   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Occidental Petroleum

  139,126    $ 10,156,198   
     

 

 

 
       49,125,836   
     

 

 

 

Pharmaceuticals–8.21%

Johnson & Johnson

  352,449      35,456,369   

Merck

  247,341      14,217,161   

Novartis

  35,691      3,522,719   

Pfizer

  893,524      31,085,700   

Roche Holding

  10,240      2,813,871   
     

 

 

 
  87,095,820   
     

 

 

 

Professional Services–0.23%

Equifax

  26,545      2,468,685   
     

 

 

 
  2,468,685   
     

 

 

 

Road & Rail–0.58%

Canadian National Railway

  92,444      6,181,730   
     

 

 

 
  6,181,730   
     

 

 

 

Semiconductors & Semiconductor Equipment–1.24%

  

Texas Instruments

  230,246      13,166,617   
     

 

 

 
  13,166,617   
     

 

 

 

Software–0.98%

Oracle

  241,134      10,404,932   
     

 

 

 
  10,404,932   
     

 

 

 

Specialty Retail–0.76%

Advance Auto Parts

  35,009      5,240,497   

†Bed Bath & Beyond

  36,915      2,834,149   
     

 

 

 
  8,074,646   
     

 

 

 

Tobacco–4.78%

Altria Group

  113,177      5,661,114   

Imperial Tobacco Group

  48,249      2,116,432   

Lorillard

  171,954      11,237,194   

Philip Morris International

  421,166      31,726,435   
     

 

 

 
  50,741,175   
     

 

 

 

Wireless Telecommunication Services–0.53%

  

Vodafone Group

  1,706,083      5,582,671   
     

 

 

 
  5,582,671   
     

 

 

 

Total Common Stock
(Cost $650,713,082)

  1,045,084,819   
     

 

 

 

CONVERTIBLE PREFERRED STOCK–0.08%

  

United Technologies 7.50%
exercise price $98.52,
expiration date 8/1/15

  14,230      875,714   
     

 

 

 

Total Convertible Preferred Stock
(Cost $715,786)

   

  875,714   
     

 

 

 
 

 

LVIP MFS Value Fund–2


LVIP MFS Value Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

MONEY MARKET FUND–1.39%

Dreyfus Treasury & Agency
Cash Management Fund - Institutional Shares

  14,696,978    $      14,696,978   
     

 

 

 

Total Money Market Fund
(Cost $14,696,978)

  14,696,978   
     

 

 

 

 

TOTAL VALUE OF SECURITIES–99.99% (Cost $666,125,846)

$ 1,060,657,511   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.01%

  153,720   
  

 

 

 

NET ASSETS APPLICABLE TO 28,263,767 SHARES OUTSTANDING–100.00%

$ 1,060,811,231   
  

 

 

 

 

 

Non-income producing for the period.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

Aerospace & Defense

$ 77,755,561    $    $ 77,755,561   

Air Freight & Logistics

  14,123,964           14,123,964   

Auto Components

  18,785,782           18,785,782   

Banks

  111,751,559           111,751,559   

Beverages

  2,038,832      13,458,325      15,497,157   

Capital Markets

  64,789,637           64,789,637   

Chemicals

  17,672,330           17,672,330   

Commercial Services & Supplies

  13,089,637           13,089,637   

Consumer Finance

  5,889,232           5,889,232   

Containers & Packaging

  5,559,684           5,559,684   

Diversified Financial Services

  13,676,988           13,676,988   

Diversified Telecommunication Services

  20,840,750           20,840,750   

Electric Utilities

  7,027,597           7,027,597   

Electrical Equipment

  8,870,722           8,870,722   

Energy Equipment & Services

  8,700,709           8,700,709   

Food & Staples Retailing

  20,738,914           20,738,914   

Food Products

  20,007,808      24,363,255      44,371,063   

Health Care Equipment & Supplies

  41,431,454           41,431,454   

Health Care Providers & Services

  11,352,553           11,352,553   

Hotels, Restaurants & Leisure

  8,381,399           8,381,399   

Household Durables

  1,840,002           1,840,002   

Household Products

  5,165,743           5,165,743   

Industrial Conglomerates

  35,886,522           35,886,522   

Insurance

  79,774,993           79,774,993   

IT Services

  54,922,601           54,922,601   

Leisure Products

  6,344,112           6,344,112   

Life Sciences Tools & Services

  12,174,159           12,174,159   

Machinery

  16,186,866           16,186,866   

Media

  47,831,500           47,831,500   

Multiline Retail

  21,809,517           21,809,517   

Oil, Gas & Consumable Fuels

  49,125,836           49,125,836   

Pharmaceuticals

  80,759,230      6,336,590      87,095,820   

Professional Services

  2,468,685           2,468,685   

Road & Rail

  6,181,730           6,181,730   

Semiconductors & Semiconductor Equipment

  13,166,617           13,166,617   

 

LVIP MFS Value Fund–3


LVIP MFS Value Fund

Schedule of Investments (continued)

 

  Level 1   Level 2   Total  

Software

$ 10,404,932    $    $ 10,404,932   

Specialty Retail

  8,074,646           8,074,646   

Tobacco

  48,624,743      2,116,432      50,741,175   

Wireless Telecommunication Services

       5,582,671      5,582,671   

Convertible Preferred Stock

  875,714           875,714   

Money Market Fund

  14,696,978           14,696,978   
  

 

 

    

 

 

    

 

 

 

Total

$ 1,008,800,238    $ 51,857,273    $ 1,060,657,511   
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP MFS Value Fund–4


LVIP Mid-Cap Value Fund

Schedule of Investments (unaudited)

March 31, 2015

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–98.34%

Aerospace & Defense–6.18%

Curtiss-Wright

  19,785    $ 1,462,903   

†Esterline Technologies

  17,480      2,000,062   

†Moog Class A

  30,855      2,315,668   

Orbital ATK

  27,212      2,085,256   

†Teledyne Technologies

  3,440      367,151   
     

 

 

 
      8,231,040   
     

 

 

 

Auto Components–1.07%

Goodyear Tire & Rubber

  52,620      1,424,950   
     

 

 

 
  1,424,950   
     

 

 

 

Banks–7.41%

BankUnited

  56,074      1,835,863   

CIT Group

  27,700      1,249,824   

Comerica

  46,615      2,103,735   

Iberiabank

  26,830      1,691,095   

South State

  12,500      854,875   

Zions Bancorporation

  79,105      2,135,835   
     

 

 

 
  9,871,227   
     

 

 

 

Beverages–0.55%

Treasury Wine Estates

  189,003      734,306   
     

 

 

 
  734,306   
     

 

 

 

Capital Markets–0.96%

LPL Financial Holdings

  29,230      1,282,028   

†*@=Solar Cayman Escrow

  26,800      1,876   
     

 

 

 
  1,283,904   
     

 

 

 

Chemicals–5.94%

Cabot

  37,060      1,667,700   

Celanese Class A

  30,400      1,698,144   

Huntsman

  63,500      1,407,795   

Methanex

  58,675      3,143,220   
     

 

 

 
  7,916,859   
     

 

 

 

Communications Equipment–1.41%

  

†ARRIS Group

  65,000      1,878,175   
     

 

 

 
  1,878,175   
     

 

 

 

Containers & Packaging–0.67%

  

Packaging Corp of America

  11,445      894,885   
     

 

 

 
  894,885   
     

 

 

 

Diversified Financial Services–1.14%

  

MSCI

  24,700      1,514,357   
     

 

 

 
  1,514,357   
     

 

 

 

Electric Utilities–3.17%

Great Plains Energy

  43,380      1,157,378   

Portland General Electric

  46,850      1,737,667   

Westar Energy

  34,215      1,326,173   
     

 

 

 
  4,221,218   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Electrical Equipment–4.41%

†Generac Holdings

  38,200    $ 1,859,958   

Hubbell Class B

  19,540      2,141,975   

†Sensata Technologies Holding

  32,740      1,880,913   
     

 

 

 
  5,882,846   
     

 

 

 

Electronic Equipment, Instruments & Components–2.14%

  

†Arrow Electronics

  46,705      2,856,011   
     

 

 

 
      2,856,011   
     

 

 

 

Energy Equipment & Services–0.18%

  

Trican Well Service

  87,500      238,325   
     

 

 

 
  238,325   
     

 

 

 

Food Products–1.63%

Ebro Foods

  25,320      472,277   

Ingredion

  21,910      1,705,036   
     

 

 

 
  2,177,313   
     

 

 

 

Gas Utilities–1.61%

UGI

  65,877      2,146,931   
     

 

 

 
  2,146,931   
     

 

 

 

Health Care Providers & Services–2.86%

  

†Brookdale Senior Living

  67,165      2,536,150   

†WellCare Health Plans

  13,950      1,275,867   
     

 

 

 
  3,812,017   
     

 

 

 

Hotels, Restaurants & Leisure–1.64%

  

†Norwegian Cruise Line Holdings

  40,545      2,189,835   
     

 

 

 
  2,189,835   
     

 

 

 

Household Durables–7.20%

Horton (D.R.)

  55,200      1,572,096   

Lennar Class A

  46,795      2,424,449   

Newell Rubbermaid

  75,520      2,950,566   

Sanwa Holdings

  109,900      815,138   

†Toll Brothers

  46,570      1,832,064   
     

 

 

 
  9,594,313   
     

 

 

 

Insurance–8.32%

Argo Group International Holdings

  28,978      1,453,247   

Hanover Insurance Group

  30,430      2,208,609   

Reinsurance Group of America

  27,716      2,582,854   

StanCorp Financial Group

  2,600      178,360   

Unum Group

  75,615      2,550,494   

XL Group

  57,465      2,114,712   
     

 

 

 
  11,088,276   
     

 

 

 

IT Services–1.11%

Booz Allen Hamilton Holding

  51,025      1,476,663   
     

 

 

 
  1,476,663   
     

 

 

 
 

 

LVIP Mid-Cap Value Fund–1


LVIP Mid-Cap Value Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Leisure Products–1.39%

†Performance Sports Group

  95,300    $ 1,858,350   
     

 

 

 
      1,858,350   
     

 

 

 

Life Sciences Tools & Services–0.68%

  

†WuXi PharmaTech Cayman ADR

  23,200      899,696   
     

 

 

 
  899,696   
     

 

 

 

Machinery–2.00%

Barnes Group

  65,930      2,669,506   
     

 

 

 
  2,669,506   
     

 

 

 

Media–2.39%

AMC Entertainment Holdings

  10,030      355,965   

Interpublic Group

  71,325      1,577,709   

Quebecor Class B

  46,900      1,254,468   
     

 

 

 
  3,188,142   
     

 

 

 

Metals & Mining–0.52%

Reliance Steel & Aluminum

  11,300      690,204   
     

 

 

 
  690,204   
     

 

 

 

Multi-Utilities–0.56%

Alliant Energy

  11,885      748,755   
     

 

 

 
  748,755   
     

 

 

 

Oil, Gas & Consumable Fuels–4.94%

  

†Cobalt International Energy

  117,315      1,103,934   

†Diamondback Energy

  31,585      2,426,991   

HollyFrontier

  21,745      875,671   

†Laredo Petroleum

  59,000      769,360   

†Newfield Exploration

  10,640      373,358   

QEP Resources

  49,850      1,039,373   
     

 

 

 
  6,588,687   
     

 

 

 

Paper & Forest Products–1.00%

  

†Louisiana-Pacific

  80,905      1,335,742   
     

 

 

 
  1,335,742   
     

 

 

 

Pharmaceuticals–4.29%

†Almirall

  149,796      2,753,910   

Ono Pharmaceutical

  21,100      2,380,611   

UCB

  7,992      577,458   
     

 

 

 
  5,711,979   
     

 

 

 

Real Estate Investment Trusts–7.48%

  

American Assets Trust

  40,080      1,734,662   

Blackstone Mortgage Trust

  56,660      1,607,444   

Equity Lifestyle Properties

  44,310      2,434,835   

Extra Space Storage

  33,620      2,271,703   

Plum Creek Timber

  3,805      165,327   

SL Green Realty

  13,625      1,749,177   
     

 

 

 
  9,963,148   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Real Estate Management & Development–1.37%

  

†Forest City Enterprises Class A

  71,620    $ 1,827,742   
     

 

 

 
      1,827,742   
     

 

 

 

Semiconductors & Semiconductor Equipment–4.64%

  

†Microsemi

  75,460      2,671,284   

†NXP Semiconductor

  2,240      224,806   

†Qorvo

  31,125      2,480,663   

†Synaptics

  9,900      804,919   
     

 

 

 
  6,181,672   
     

 

 

 

Software–2.88%

†Check Point Software Technologies

  14,035      1,150,449   

†Verint Systems

  43,335      2,683,737   
     

 

 

 
  3,834,186   
     

 

 

 

Specialty Retail–1.33%

DSW Class A

  47,940      1,768,027   
     

 

 

 
  1,768,027   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.39%

  

Samsonite International

  149,100      518,824   
     

 

 

 
  518,824   
     

 

 

 

Thrifts & Mortgage Finance–0.47%

  

EverBank Financial

  34,795      627,354   
     

 

 

 
  627,354   
     

 

 

 

Trading Companies & Distributors–2.41%

  

Rexel

  60,577      1,142,439   

†WESCO International

  29,600      2,068,744   
     

 

 

 
  3,211,183   
     

 

 

 

Total Common Stock
(Cost $93,341,654)

  131,056,648   
     

 

 

 

MONEY MARKET FUND–1.50%

  

Dreyfus Treasury & Agency
Cash Management Fund - Institutional Shares

  2,007,544      2,007,544   
     

 

 

 

Total Money Market Fund
(Cost $2,007,544)

  2,007,544   
     

 

 

 
 

 

LVIP Mid-Cap Value Fund–2


LVIP Mid-Cap Value Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–99.84% (Cost $95,349,198)

$ 133,064,192   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.16%

  208,650   
  

 

 

 

NET ASSETS APPLICABLE TO 5,504,265 SHARES OUTSTANDING–100.00%

$ 133,272,842   
  

 

 

 

 

 

Non-income producing for the period.

 

*

Common Stock Unit.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $1,876, which represents 0.00% of the Fund’s net assets.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $1,876, which represents 0.00% of the Fund’s net assets.

Summary of Abbreviations:

ADR–American Depositary Receipt

 

LVIP Mid-Cap Value Fund–3


LVIP Mid-Cap Value Fund

Schedule of Investments (continued)

 

The following table summarizes the valuation of each Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Level 3   Total  

Common Stock

Aerospace & Defense

$ 8,231,040    $    $    $ 8,231,040   

Auto Components

  1,424,950                1,424,950   

Banks

  9,871,227                9,871,227   

Beverages

       734,306           734,306   

Capital Markets

  1,282,028           1,876      1,283,904   

Chemicals

  7,916,859                7,916,859   

Communications Equipment

  1,878,175                1,878,175   

Containers & Packaging

  894,885                894,885   

Diversified Financial Services

  1,514,357                1,514,357   

Electric Utilities

  4,221,218                4,221,218   

Electrical Equipment

  5,882,846                5,882,846   

Electronic Equipment, Instruments & Components

  2,856,011                2,856,011   

Energy Equipment & Services

  238,325                238,325   

Food Products

  1,705,036      472,277           2,177,313   

Gas Utilities

  2,146,931                2,146,931   

Health Care Providers & Services

  3,812,017                3,812,017   

Hotels, Restaurants & Leisure

  2,189,835                2,189,835   

Household Durables

  8,779,175      815,138           9,594,313   

Insurance

  11,088,276                11,088,276   

IT Services

  1,476,663                1,476,663   

Leisure Products

  1,858,350                1,858,350   

Life Sciences Tools & Services

  899,696                899,696   

Machinery

  2,669,506                2,669,506   

Media

  3,188,142                3,188,142   

Metals & Mining

  690,204                690,204   

Multi-Utilities

  748,755                748,755   

Oil, Gas & Consumable Fuels

  6,588,687                6,588,687   

Paper & Forest Products

  1,335,742                1,335,742   

Pharmaceuticals

       5,711,979           5,711,979   

Real Estate Investment Trusts

  9,963,148                9,963,148   

Real Estate Management & Development

  1,827,742                1,827,742   

Semiconductors & Semiconductor Equipment

  6,181,672                6,181,672   

Software

  3,834,186                3,834,186   

Specialty Retail

  1,768,027                1,768,027   

Textiles, Apparel & Luxury Goods

       518,824           518,824   

Thrifts & Mortgage Finance

  627,354                627,354   

Trading Companies & Distributors

  2,068,744      1,142,439           3,211,183   

Money Market Fund

  2,007,544                2,007,544   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

$ 123,667,353    $ 9,394,963    $ 1,876    $ 133,064,192   
  

 

 

    

 

 

    

 

 

    

 

 

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Wellington Mid-Cap Value Fund.

 

LVIP Mid-Cap Value Fund–4


LVIP Mondrian International Value Fund

Schedule of Investments (unaudited)

March 31, 2015

 

Number of

Shares

 

Value

(U.S. $)

 

DCOMMON STOCK–99.20%

  

Australia–1.44%

  

AMP

  471,547    $ 2,301,401   

QBE Insurance Group

  1,591,914      15,734,746   
     

 

 

 
  18,036,147   
     

 

 

 

Belgium–0.00%

†*=Ageas VVPR Strip

  17,029      0   
     

 

 

 
  0   
     

 

 

 

Denmark–0.12%

†ISS

  47,099      1,484,544   
     

 

 

 
  1,484,544   
     

 

 

 

France–9.48%

Cie de Saint-Gobain

  590,360      25,925,939   

†*=GDF Suez VVPR Strip

  60,186      0   

Orange

  360,163      5,785,136   

Sanofi

  386,683      38,195,549   

Societe Generale

  284,603      13,743,765   

TOTAL

  523,064      26,004,784   

Vallourec

  355,492      8,678,285   
     

 

 

 
     118,333,458   
     

 

 

 

Germany–8.13%

Daimler

  203,681      19,564,088   

Deutsche Telekom

  2,274,464      41,608,644   

RWE

  646,446      16,461,536   

SAP

  330,488      23,891,248   
     

 

 

 
  101,525,516   
     

 

 

 

nHong Kong–2.68%

China Mobile

  1,608,000      20,956,090   

Jardine Matheson Holdings

  198,100      12,518,185   
     

 

 

 
  33,474,275   
     

 

 

 

Israel–1.98%

Teva Pharmaceutical Industries ADR

  397,000      24,733,100   
     

 

 

 
  24,733,100   
     

 

 

 

Italy–1.73%

Eni

  1,247,759      21,600,409   
     

 

 

 
  21,600,409   
     

 

 

 

Japan–18.73%

Canon

  1,056,900      37,388,259   

Honda Motor

  989,200      32,285,012   

Hoya

  334,600      13,393,256   

Kao

  483,200      24,124,107   

Kirin Holdings

  1,769,800      23,209,305   

NTT DOCOMO

  804,900      14,064,106   

Seven & I Holdings

  488,400      20,520,745   

Takeda Pharmaceutical

  690,300      34,452,586   

Tokio Marine Holdings

  732,900      27,660,039   

Tokyo Electron

  97,700      6,775,709   
     

 

 

 
  233,873,124   
     

 

 

 
 

Number of

Shares

 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Netherlands–5.97%

  

Koninklijke Ahold

  1,722,097    $ 33,941,734   

Reed Elsevier

  650,677      16,216,323   

Royal Dutch Shell Class A

  816,256      24,360,527   
     

 

 

 
  74,518,584   
     

 

 

 

Norway–0.12%

Telenor

  76,446      1,542,901   
     

 

 

 
  1,542,901   
     

 

 

 

Singapore–4.48%

Sembcorp Industries

  3,832,200      11,764,097   

Singapore Telecommunications

  7,857,000      25,071,078   

United Overseas Bank

  1,138,486      19,082,796   
     

 

 

 
  55,917,971   
     

 

 

 

Spain–6.39%

Banco Santander

  1,383,026      10,369,605   

Iberdrola

  5,844,126      37,693,169   

Telefonica

  2,233,982      31,794,378   
     

 

 

 
  79,857,152   
     

 

 

 

Sweden–3.65%

Ericsson Class B

  1,224,846      15,377,960   

TeliaSonera

  4,758,052      30,236,100   
     

 

 

 
  45,614,060   
     

 

 

 

Switzerland–13.67%

†ABB

  1,740,885      36,931,150   

Nestle

  442,484      33,320,125   

Novartis

  359,428      35,475,719   

Syngenta

  84,801      28,809,326   

†Zurich Insurance Group

  107,137      36,212,544   
     

 

 

 
     170,748,864   
     

 

 

 

Taiwan–1.05%

Taiwan Semiconductor Manufacturing ADR

  559,916      13,146,828   
     

 

 

 
  13,146,828   
     

 

 

 

United Kingdom–19.58%

Amec Foster Wheeler

  1,465,441      19,601,963   

BG Group

  1,730,238      21,235,771   

BP

  3,808,443      24,686,120   

G4S

  4,536,085      19,882,923   

GlaxoSmithKline

  1,619,824      37,286,998   

National Grid

  2,381,828      30,619,872   

Pearson

  639,309      13,759,813   

Tesco

  8,245,285      29,431,012   

Unilever

  851,004      35,505,633   
 

 

LVIP Mondrian International Value Fund–1


LVIP Mondrian International Value Fund

Schedule of Investments (continued)

 

 

Number of

Shares

 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United Kingdom (continued)

  

Vodafone Group

  3,844,158    $ 12,578,912   
     

 

 

 
  244,589,017   
     

 

 

 

Total Common Stock
(Cost $1,073,471,821)

  1,238,995,950   
     

 

 

 

DRIGHT–0.03%

Spain–0.03%

†Telefonica, exercise price EUR 10.84, expiration date 4/12/15

  2,233,982      360,380   
     

 

 

 

Total Right
(Cost $0)

  360,380   
     

 

 

 
 

Number of

Shares

 

Value

(U.S. $)

 

MONEY MARKET FUND–0.41%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  5,101,983    $ 5,101,983   
     

 

 

 

Total Money Market Fund
(Cost $5,101,983)

         5,101,983   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.64% (Cost $1,078,573,804)

  1,244,458,313   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.36%

  4,459,394   
  

 

 

 

NET ASSETS APPLICABLE TO 70,000,066 SHARES OUTSTANDING–100.00%

$ 1,248,917,707   
  

 

 

 

 

 

D

Securities have been classified by country of origin.

 

n

Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

Non-income producing for the period.

 

*

If dividend payments are received, the tax withholding rate is at a reduced amount of 15%, rather than 25%.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $0, which represents 0.00% of the Fund’s net assets.

The following foreign currency exchange contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

Contracts to
Receive (Deliver)
  In Exchange For   Settlement Date Unrealized
Appreciation
(Depreciation)
 

BNYM

  GBP      (630,662   USD      933,448    4/1/15 $ (2,039

DB

  AUD      (694,537   USD      532,065    4/2/15   3,170   

DB

  AUD      (673,595   USD      512,433    4/7/15   (357

SSB

  AUD      (638,790   USD      497,861    4/1/15   11,389   

SSB

  SGD      747,473      USD      (546,013 4/1/15   (1,381

SSB

  SGD      305,532      USD      (222,324 4/2/15   290   
               

 

 

 
$ 11,072   
               

 

 

 

The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

ADR–American Depositary Receipt

AUD–Australian Dollar

BNYM–Bank of New York Mellon

DB–Deutsche Bank

EUR–Euro

GBP–British Pound Sterling

SGD–Singapore Dollar

SSB–State Street Bank

 

LVIP Mondrian International Value Fund–2


LVIP Mondrian International Value Fund

Schedule of Investments (continued)

 

Summary of Abbreviations: (continued)

USD–United States Dollar

VVPR Strip–Dividend Coupon

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

Australia

$    $ 18,036,147    $ 18,036,147   

Belgium

              

Denmark

       1,484,544      1,484,544   

France

       118,333,458      118,333,458   

Germany

       101,525,516      101,525,516   

Hong Kong

       33,474,275      33,474,275   

Israel

  24,733,100           24,733,100   

Italy

       21,600,409      21,600,409   

Japan

       233,873,124      233,873,124   

Netherlands

       74,518,584      74,518,584   

Norway

       1,542,901      1,542,901   

Singapore

       55,917,971      55,917,971   

Spain

       79,857,152      79,857,152   

Sweden

       45,614,060      45,614,060   

Switzerland

       170,748,864      170,748,864   

Taiwan

  13,146,828           13,146,828   

United Kingdom

       244,589,017      244,589,017   

Money Market Fund

  5,101,983           5,101,983   

Rights

  360,380           360,380   
  

 

 

    

 

 

    

 

 

 

Total

$ 43,342,291    $ 1,201,116,022    $ 1,244,458,313   
  

 

 

    

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ 11,072    $ 11,072   
  

 

 

    

 

 

    

 

 

 

The value of Level 3 investments was zero at the end of the period.

As a result of international fair value pricing at March 31, 2015, the majority of the portfolio was categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Mondrian International Value Fund–3


LVIP Money Market Fund

Schedule of Investments (unaudited)

March 31, 2015

 

Principal

Amount°

 

Value

(U.S. $)

 

AGENCY OBLIGATIONS–3.72%

 

Federal Home Loan Banks

0.25% 10/2/15

  15,000,000    $ 15,000,000   

0.35% 3/7/16

  10,000,000      10,000,000   
     

 

 

 

Total Agency Obligations
(Cost $25,000,000)

  25,000,000   
     

 

 

 

CERTIFICATES OF DEPOSIT–27.07%

 

Banco Estado Chile

0.20% 4/7/15

  20,000,000      20,000,000   

0.20% 5/11/15

  14,000,000      14,000,000   

Bank of Montreal Chicago

0.18% 5/11/15

  15,000,000      15,000,000   

0.23% 5/13/15

  10,000,000      10,000,000   

Bank of Nova Scotia Houston
0.21% 5/18/15

  20,000,000      20,000,000   

DnB NOR Bank New York
0.10% 4/1/15

  33,000,000      33,000,000   

HSBC Bank USA
0.27% 7/13/15

  25,000,000      25,000,000   

Rabobank Nederland New York
0.30% 9/10/15

  20,000,000      20,000,000   

Toronto Dominion Bank New York
0.20% 7/29/15

  25,000,000      25,000,825   
     

 

 

 

Total Certificates of deposit
(Cost $182,000,825)

  182,000,825   
     

 

 

 

COMMERCIAL PAPER–66.78%

 

Aerospace & Defense–0.56%

 

≠United Technologies
0.11% 6/26/15

  3,750,000      3,749,014   
     

 

 

 
  3,749,014   
     

 

 

 

Chemicals–4.91%

 

BASF 0.01% 4/1/15

  33,000,000      33,000,000   
     

 

 

 
  33,000,000   
     

 

 

 

Colleges & Universities–20.50%

 

Brown University

≠0.10% 6/17/15

  15,000,000      14,996,792   

≠0.11% 5/19/15

  11,780,000      11,778,272   

Cornell University

≠0.09% 4/9/15

  10,000,000      9,999,800   

≠0.12% 5/12/15

  5,000,000      4,999,317   

≠0.12% 5/27/15

  5,000,000      4,999,067   

≠0.12% 6/9/15

  10,000,000      9,997,700   

Dartmouth College

≠0.15% 7/16/15

  5,000,000      4,997,792   

≠0.15% 7/22/15

  3,500,000      3,498,367   

Duke University

≠0.15% 5/12/15

  2,912,000      2,911,502   

≠0.15% 7/22/15

  6,000,000      5,997,200   
 

Principal

Amount°

 

Value

(U.S. $)

 

COMMERCIAL PAPER (continued)

  

Colleges & Universities (continued)

  

≠Leland Stanford Junior University
0.10% 5/7/15

  7,580,000    $ 7,579,242   

University of California

≠0.12% 4/13/15

  10,000,000      9,999,600   

≠0.12% 5/12/15

  5,000,000      4,999,317   

University of Chicago

≠0.12% 7/7/15

  6,100,000      6,098,028   

≠0.14% 6/3/15

  5,000,000      4,998,775   

Yale University

≠0.10% 6/3/15

  15,000,000      14,997,375   

≠0.10% 6/15/15

  15,000,000      14,996,875   
     

 

 

 
  137,845,021   
     

 

 

 

Commercial Banks–21.04%

 

Abbey National North America
0.06% 4/1/15

  33,000,000      33,000,000   

≠BNP Paribas Finance
0.11% 4/2/15

  33,000,000      32,999,899   

Credit Agricole CIB New York
0.02% 4/1/15

  33,000,000      33,000,000   

≠HSBC USA 0.24% 4/20/15

  2,500,000      2,499,683   

≠PNC Bank 0.281% 7/13/15

  15,000,000      14,987,983   

≠Westpac Securities New Zealand
0.27% 7/20/15

  25,000,000      24,979,375   
     

 

 

 
  141,466,940   
     

 

 

 

Consumer Finance–2.60%

 

≠Toyota Motor Credit
0.20% 6/2/15

  17,490,000      17,483,976   
     

 

 

 
  17,483,976   
     

 

 

 

Diversified Financial Services–5.94%

 

≠General Electric Capital
0.27% 8/25/15

  25,000,000      24,972,625   

≠JPMorgan Securities
0.23% 4/9/15

  15,000,000      14,999,233   
     

 

 

 
  39,971,858   
     

 

 

 

Household Products–4.46%

 

Kimberly-Clark

≠«0.07% 4/8/15

  10,000,000      9,999,864   

≠0.10% 5/4/15

  20,000,000      19,998,167   
     

 

 

 
  29,998,031   
     

 

 

 

Oil, Gas & Consumable Fuels–4.91%

 

Koch Resources

0.10% 4/1/15

  22,000,000      22,000,000   

≠0.10% 4/7/15

  11,000,000      10,999,817   
     

 

 

 
  32,999,817   
     

 

 

 
 

 

LVIP Money Market Fund–1


LVIP Money Market Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

COMMERCIAL PAPER (continued)

  

Pharmaceuticals–1.86%

  

Novartis Finance
0.09% 4/1/15

  12,485,000    $ 12,485,000   
     

 

 

 
  12,485,000   
     

 

 

 

Total Commercial Paper
(Cost $448,999,657)

  448,999,657   
     

 

 

 

CORPORATE BONDS–1.66%

  

Commercial Banks–1.12%

  

#HSBC Bank 144A
3.50% 6/28/15

  7,500,000      7,557,933   
     

 

 

 
  7,557,933   
     

 

 

 

Diversified Financial Services–0.39%

  

General Electric Capital
3.50% 6/29/15

  2,600,000      2,620,372   
     

 

 

 
  2,620,372   
     

 

 

 
 

Principal

Amount°

 

Value

(U.S.$)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels–0.15%

  

Shell International Finance
3.10% 6/28/15

  1,000,000    $ 1,006,830   
     

 

 

 
  1,006,830   
     

 

 

 

Total Corporate Bonds
(Cost $11,185,135)

    11,185,135   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.23% (Cost $667,185,617)D

  667,185,617   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.77%

  5,198,392   
  

 

 

 

NET ASSETS APPLICABLE TO 67,238,761 SHARES OUTSTANDING–100.00%

$ 672,384,009   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $7,557,933, which represents 1.12% of the Fund’s net assets.

 

D

Also the cost for federal income tax purposes.

 

The rate shown is the effective yield at the time of purchase.

 

«

Commercial paper exempt from registration under Section 4(2) and/or Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration only to dealers in that program or other “accredited investors”. At March 31, 2015, the aggregate value of these securities was $9,999,864, which represents 1.49% of the Fund’s net assets.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 2  

Agency Obligations

$ 25,000,000   

Certificates of Deposit

  182,000,825   

Commercial Paper

  448,999,657   

Corporate Bonds

  11,185,135   
  

 

 

 

Total

$ 667,185,617   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP Money Market Fund–2


LVIP Multi-Manager Global Equity RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

Number of

Shares

 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANIES–38.85%

  

Equity Funds–21.28%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA S&P 500 Index Fund

  253,511    $ 3,747,392   

LVIP SSgA Small-Cap Index Fund

  48,521      1,365,828   
     

 

 

 
    5,113,220   
     

 

 

 

International Equity Funds–17.57%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP MFS International Growth Fund

  92,297      1,335,993   

LVIP SSgA International Index Fund

  316,625      2,885,086   
     

 

 

 
  4,221,079   
     

 

 

 

Total Affiliated Investment Companies
(Cost $9,122,498)

  9,334,299   
     

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–59.91%

  

Equity Funds–39.68%

XAmerican Century VP Mid Cap Value

  35,216      673,689   

**BlackRock Equity Dividend Fund

  35,536      877,744   

#Clearbridge Variable Appreciation Portfolio

  37,079      1,324,093   

XFidelity® - VIP Contrafund® Portfolio

  44,061      1,549,193   

XFidelity® Variable Life Insurance Products–Fidelity® VIP Mid Cap Portfolio

  19,333      678,189   

LOGO Franklin Templeton Variable Insurance Products Trust– Templeton Growth Securities

  88,288      1,333,148   
 

Number of

Shares

 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

Equity Funds (continued)

  

LOGO Franklin Templeton Variable Insurance Products Trust–Mutual Shares VIP Fund

  56,628    $ 1,327,361   

#Invesco V.I. Comstock Fund

  34,368      658,156   

#Invesco V.I. Core Equity Fund

  26,985      1,110,444   
     

 

 

 
    9,532,017   
     

 

 

 

International Equity Funds–13.89%

  

**DFA International Core Equity Portfolio

  163,512      1,989,946   

iShares Core MSCI Emerging Markets ETF

  27,879      1,347,392   
     

 

 

 
  3,337,338   
     

 

 

 

Money Market Fund–6.34%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,523,704      1,523,704   
     

 

 

 
  1,523,704   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $14,444,063)

  14,393,059   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–98.76% (Cost $23,566,561)

  23,727,358   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.24%

  297,183   
  

 

 

 

NET ASSETS APPLICABLE TO 2,428,374 SHARES OUTSTANDING–100.00%

$ 24,024,541   
  

 

 

 

 

 

#

Series I shares.

 

*

Standard Class shares.

 

**

Institutional Class shares.

 

LOGO

Class 1 shares.

 

«

Includes $118,643 cash pledged as collateral and $1,276 foreign currencies due to broker for futures contracts as of March 31, 2015.

 

X

Initial Class.

 

LVIP Multi-Manager Global Equity RPM Fund–1


LVIP Multi-Manager Global Equity RPM Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
  Unrealized
Appreciation
(Depreciation)
 

(1)   British Pound Currency

$ (92,565 $ (92,731   6/18/15    $ (166

(3)   E-mini MSCI Emerging Markets Index

  (142,448   (145,860   6/22/15      (3,412

(10) E-mini S&P 500 Index

  (1,019,932   (1,030,400   6/22/15      (10,468

(1)   Euro Currency

  (136,735   (134,425   6/18/15      2,310   

(6)   Euro STOXX 50 Index

  (229,577   (234,298   6/22/15      (4,721

(1)   FTSE 100 Index

  (101,504   (99,785   6/22/15      1,719   

(1)   Japanese Yen Currency

  (104,972   (104,325   6/18/15      647   

(1)   Nikkei 225 Index (OSE)

  (161,555   (160,143   6/12/15      1,412   
  

 

 

        

 

 

 
$ (1,989,288 $ (12,679
  

 

 

        

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

DFA–Dimensional Fund Advisors

ETF–Exchange-Traded Fund

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 23,727,358   
  

 

 

 

Futures Contracts

$ (12,679
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Multi-Manger Global Equity Managed Volatility Fund.

 

LVIP Multi-Manager Global Equity RPM Fund–2


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (unaudited)

March 31, 2015

  Principal
Amount°
 

Value

(U.S. $)

 

COMMERCIAL MORTGAGE-BACKED
SECURITIES–4.29%

   

BAMLL Commercial Mortgage Securities Trust

#•Series 2014-ICTS XCP 144A 0.83% 6/15/16

  151,650,000    $ 1,505,885   

#•Series 2015-ASHF A 144A 1.394% 1/15/28

  850,000      850,000   

•Banc of America Commercial Mortgage Trust Series 2006-4 A1A 5.617% 7/10/46

  697,238      733,617   

•COBALT Commercial Mortgage Trust Series 2007-C3 A1A 5.761% 5/15/46

  2,593,167      2,760,011   

#•COMM Mortgage Trust Series 2014-KYO A 144A 1.077% 6/11/27

  3,200,000      3,187,942   

JPMorgan Chase Commercial Mortgage Securities Trust

#Series 2002-CIB5 H 144A 5.50% 10/12/37

  700,000      731,009   

•Series 2006-CIB15 A1A 5.811% 6/12/43

  4,320,413      4,498,540   

Series 2012-C8 A1 0.705% 10/15/45

  479,969      479,961   

Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5 A1 0.916% 8/15/45

  1,273,712      1,273,766   

#Selkirk Series 3 A 144A 1.86% 12/20/41

  5,591,595      5,657,128   

Wachovia Bank Commercial Mortgage Trust

#•Series 2006-C28 A4FL 144A 0.327% 10/15/48

  7,860,201      7,795,472   

#•Series 2007-C32 A4FL 144A 0.352% 6/15/49

  6,600,000      6,471,795   

Wells Fargo Commercial Mortgage Trust Series 2012-LC5 A1 0.687% 10/15/45

  952,479      950,996   

WF-RBS Commercial Mortgage Trust Series 2012-C9 A1 0.673% 11/15/45

  1,132,959      1,130,179   
     

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $38,869,294)

   

    38,026,301   
     

 

 

 

CORPORATE BONDS–70.39%

  

Aerospace & Defense–0.65%

  

Embraer Overseas
6.375% 1/24/17

  1,500,000      1,604,250   

Penerbangan Malaysia
5.625% 3/15/16

  4,000,000      4,160,396   
     

 

 

 
  5,764,646   
     

 

 

 
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Air Freight & Logistics–0.14%

  

#AWAS Aviation Capital 144A 7.00% 10/17/16

  1,232,000    $ 1,262,738   
     

 

 

 
  1,262,738   
     

 

 

 

Airlines–0.77%

  

¿Delta Air Lines 2010-2 Class B Pass Through Trust
6.75% 11/23/15

  3,250,000      3,348,475   

¿UAL 2009-1 Pass Through Trust 10.40% 11/1/16

  3,190,283      3,481,556   
     

 

 

 
      6,830,031   
     

 

 

 

Auto Components–0.21%

  

Schaeffler Finance
7.75% 2/15/17

  EUR    1,500,000      1,834,986   
     

 

 

 
  1,834,986   
     

 

 

 

Automobiles–1.90%

  

•General Motors Financial 1.812% 1/15/20

  800,000      802,372   

Hyundai Capital America

#144A 1.45% 2/6/17

  3,000,000      3,004,674   

@1.625% 10/2/15

  350,000      351,365   

Hyundai Motor Manufacturing Czech Sro 4.50% 4/15/15

  2,900,000      2,902,514   

Kia Motors 3.625% 6/14/16

  1,590,000      1,632,526   

Nissan Motor Acceptance

#•144A 0.969% 9/26/16

  4,800,000      4,829,424   

#144A 1.95% 9/12/17

  3,180,000      3,232,584   

•PACCAR Financial
0.864% 12/6/18

  100,000      100,627   
     

 

 

 
  16,856,086   
     

 

 

 

Building Products–0.67%

  

Lafarge @6.20% 7/9/15

  1,020,000      1,030,200   

#144A 6.20% 7/9/15

  470,000      474,700   

Masco 6.125% 10/3/16

  4,150,000      4,442,990   
     

 

 

 
  5,947,890   
     

 

 

 

Capital Markets–2.14%

  

Export-Import Bank of Korea 1.25% 11/20/15

  1,300,000      1,304,220   

•Goldman Sachs Group
1.455% 4/30/18

  2,500,000      2,536,583   

Industrial Bank of Korea

2.375% 7/17/17

  2,250,000      2,290,606   

4.375% 8/4/15

  1,150,000      1,164,882   

Korea Development Bank

•0.882% 1/22/17

  4,000,000      3,999,948   

2.25% 8/7/17

  2,200,000      2,238,238   

3.875% 5/4/17

  2,000,000      2,100,090   

4.00% 9/9/16

  1,285,000      1,338,886   
 

 

LVIP PIMCO Low Duration Bond Fund–1


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Capital Markets (continued)

  

Malaysia Sukuk Global B
3.93% 6/4/15

  2,000,000    $ 2,009,928   
     

 

 

 
  18,983,381   
     

 

 

 

Chemicals–0.06%

  

LyondellBasell Industries
5.00% 4/15/19

  500,000      551,861   
     

 

 

 
  551,861   
     

 

 

 

Commercial Banks–21.44%

  

Abbey National Treasury Services 2.35% 9/10/19

  2,100,000      2,135,385   

•Banco Bilbao Vizcaya Argentaria 1.007% 10/23/15

  4,700,000      4,696,954   

#Banco Bradesco 144A 4.50% 1/12/17

  2,000,000      2,060,000   

#Banco Continental via Continental Senior Trustees II 144A 5.75% 1/18/17

  2,000,000      2,136,000   

#Banco del Estado de Chile 144A 2.00% 11/9/17

  5,000,000      5,021,965   

#Banco Nacional de Desenvolvimento Economicoe Social 144A 3.375% 9/26/16

  700,000      704,375   

#Banco Santander Brasil 144A 4.25% 1/14/16

  5,000,000          5,075,000   

#•Banco Santander Chile 144A 1.857% 1/19/16

  1,000,000      1,007,500   

Bank of America

•0.872% 8/25/17

  1,000,000      1,000,764   

5.30% 3/15/17

  4,300,000      4,594,498   

#•@Banque Federative du Credit Mutuel 144A
1.107% 1/20/17

  3,000,000      3,023,136   

BBVA Bancomer

4.50% 3/10/16

  2,950,000      3,045,875   

#144A 4.50% 3/10/16

  200,000      206,500   

BPCE

•0.826% 11/18/16

  1,500,000      1,503,396   

•0.901% 6/17/17

  3,250,000      3,255,727   

•1.364% 3/6/17

  GBP  2,500,000      3,733,291   

CIT Group 4.25% 8/15/17

  5,200,000      5,278,000   

#•@Credit Agricole 144A
1.053% 4/15/19

  1,100,000      1,109,035   

•DBS Bank 0.863% 7/15/21

  6,700,000      6,649,750   

@Depfa ACS Bank
5.75% 3/28/17

  1,100,000      1,200,751   

Eksportfinans

2.00% 9/15/15

  3,000,000      3,008,730   

2.375% 5/25/16

  5,000,000      5,030,350   

5.50% 6/26/17

  100,000      106,750   

First Horizon National
5.375% 12/15/15

  7,000,000      7,181,867   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

•Goldman Sachs Group
1.417% 4/23/20

  14,000,000    $ 14,195,216   

Hana Bank

1.375% 2/5/16

  4,200,000      4,209,223   

•1.381% 11/9/16

  750,000      755,719   

3.50% 10/25/17

  3,300,000      3,444,893   

4.50% 10/30/15

  2,117,000      2,159,185   

•HBOS 0.964% 9/6/17

  4,000,000      4,002,000   

Intesa Sanpaolo

1.65% 4/7/15

  600,000      600,018   

3.125% 1/15/16

  1,500,000      1,520,723   

#144A 3.625% 8/12/15

  6,000,000      6,056,934   

Itau Unibanco 1.19% 6/26/15

  3,000,000      2,999,841   

JPMorgan Chase

•1.212% 1/23/20

  10,000,000        10,164,090   

4.10% 5/17/18

  AUD  1,480,000      1,166,382   

Korea Exchange Bank
1.75% 9/27/15

  200,000      200,675   

Macquarie Bank

#•144A 1.057% 3/24/17

  5,000,000      5,021,445   

#144A 1.65% 3/24/17

  3,795,000      3,816,051   

#@144A 5.00% 2/22/17

  50,000      53,272   

#•@Mizuho Bank 144A
0.909% 3/26/18

  3,800,000      3,800,521   

QNB Finance
3.125% 11/16/15

  3,000,000      3,049,740   

Regions Bank 7.50% 5/15/18

  250,000      290,994   

Royal Bank of Scotland Group
2.55% 9/18/15

  5,000,000      5,037,040   

•Santander Bank
1.182% 1/12/18

  5,000,000      5,004,735   

Shinhan Bank

•0.924% 4/8/17

  2,000,000      2,005,362   

#•144A 0.924% 4/8/17

  1,000,000      1,002,681   

#@Standard Chartered 144A 2.40% 9/8/19

  6,000,000      6,098,742   

Standard Chartered Bank Hong Kong 5.875% 6/24/20

  100,000      114,926   

#Swedbank Hypotek 144A 2.95% 3/28/16

  14,200,000      14,529,270   

•UBS 0.897% 8/14/19

  2,500,000      2,517,543   

US Bank

•0.736% 10/28/19

  5,000,000      5,018,940   

•3.778% 4/29/20

  1,250,000      1,252,278   

•Wells Fargo 0.671% 9/14/18

  7,000,000      6,976,795   
     

 

 

 
  189,830,833   
     

 

 

 

Commercial Services & Supplies–0.42%

  

#Asciano Finance 144A
5.00% 4/7/18

  3,000,000      3,228,267   

#@Penske Truck Leasing 144A
3.125% 5/11/15

  500,000      501,069   
     

 

 

 
  3,729,336   
     

 

 

 
 

 

LVIP PIMCO Low Duration Bond Fund–2


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Construction & Engineering–0.74%

  

•Cheung Kong Infrastructure Finance BVI 0.97% 6/20/17

  3,500,000    $ 3,496,171   

#Korea Land & Housing 144A
1.875% 8/2/17

  1,000,000      1,002,736   

Toll Brothers Finance
8.91% 10/15/17

  1,800,000      2,088,000   
     

 

 

 
      6,586,907   
     

 

 

 

Consumer Finance–8.46%

  

#AerCap Ireland Capital 144A
2.75% 5/15/17

  4,400,000      4,367,000   

Ally Financial

2.75% 1/30/17

  200,000      199,762   

3.50% 7/18/16

  2,100,000      2,131,500   

4.625% 6/26/15

  1,050,000      1,056,563   

5.50% 2/15/17

  4,600,000      4,795,500   

American Express Credit
1.55% 9/22/17

  3,000,000      3,023,343   

•@BMW US Capital
0.602% 6/2/17

  200,000      199,951   

#BOC Aviation 144A
3.00% 3/30/20

  4,400,000      4,397,065   

•Ford Motor Credit
1.098% 3/12/19

  10,200,000      10,177,815   

General Motors Financial

2.625% 7/10/17

  400,000      404,227   

2.75% 5/15/16

  2,600,000      2,633,891   

3.00% 9/25/17

  4,500,000      4,590,000   

•HSBC Finance 0.692% 6/1/16

  8,000,000      7,990,528   

International Lease Finance

4.875% 4/1/15

  300,000      300,000   

5.75% 5/15/16

  2,400,000      2,497,800   

8.625% 9/15/15

  1,300,000      1,339,000   

8.75% 3/15/17

  1,800,000      1,993,500   

LeasePlan
#144A 2.50% 5/16/18

  1,700,000      1,720,419   

#@144A 3.00% 10/23/17

  6,000,000      6,177,186   

Navient

6.00% 1/25/17

  300,000      316,313   

6.25% 1/25/16

  6,476,000      6,678,375   

RCI Banque
4.60% 4/12/16

  760,000      785,960   

#144A 4.60% 4/12/16

  3,943,000      4,077,685   

#•Volkswagen Group of America Finance 144A 0.632% 5/23/17

  3,100,000      3,101,420   
     

 

 

 
  74,954,803   
     

 

 

 

Diversified Consumer Services–0.57%

  

#Hutchison Whampoa International 144A 4.625% 9/11/15

  2,300,000      2,339,562   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Consumer Services (continued)

  

Hutchison Whampoa International 11
3.50% 1/13/17

  1,000,000    $ 1,034,580   

#@144A 3.50% 1/13/17

  1,000,000      1,035,475   

#Hutchison Whampoa International 14 144A
1.625% 10/31/17

  600,000      597,913   
     

 

 

 
      5,007,530   
     

 

 

 

Diversified Financial Services–2.59%

  

Amsouth Bank 5.20% 4/1/15

  3,500,000      3,500,000   

#Denali Borrower 144A
5.625% 10/15/20

  700,000      741,650   

Hyundai Capital Services

•1.07% 3/18/17

  3,000,000      3,005,232   

#•144A 1.07% 3/18/17

  1,135,000      1,136,979   

•JPMorgan Chase Bank
0.60% 6/13/16

  4,800,000      4,788,446   

#•@Piper Jaffray 144A
4.775% 11/30/15

  3,200,000      3,213,718   

PTTEP Australia International Finance 4.152% 7/19/15

  2,100,000      2,117,810   

Synchrony Financial

•1.485% 2/3/20

  2,400,000      2,413,937   

1.875% 8/15/17

  2,000,000      2,002,728   
     

 

 

 
  22,920,500   
     

 

 

 

Diversified Telecommunication Services–5.72%

  

AT&T

•0.693% 3/30/17

  8,500,000      8,489,137   

•0.937% 3/11/19

  750,000      743,481   

KT

#144A 1.75% 4/22/17

  1,000,000      1,002,268   

3.875% 1/20/17

  6,000,000      6,242,202   

#Ooredoo International Finance 144A 3.375% 10/14/16

  3,000,000      3,090,030   

Orange 5.00% 5/12/16

  GBP    1,700,000      2,636,936   

Telecom Italia Capital
5.25% 10/1/15

  6,000,000      6,115,140   

Telefonica Emisiones

3.729% 4/27/15

  2,975,000      2,980,611   

3.992% 2/16/16

  1,560,000      1,600,050   

6.421% 6/20/16

  3,000,000      3,188,562   

Verizon Communications

•1.041% 6/17/19

  4,390,000      4,428,513   

•2.021% 9/14/18

  7,400,000      7,724,830   

2.50% 9/15/16

  2,400,000      2,451,946   
     

 

 

 
  50,693,706   
     

 

 

 

Electric Utilities–1.83%

  

Dominion Gas Holdings
2.50% 12/15/19

  1,000,000      1,019,981   

DTE Energy 2.40% 12/1/19

  300,000      305,212   
 

 

LVIP PIMCO Low Duration Bond Fund–3


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

FirstEnergy 2.75% 3/15/18

  2,950,000    $ 3,023,198   

#Kentucky Power 144A
6.00% 9/15/17

  3,700,000      4,081,803   

#Korea East-West Power 144A
2.50% 7/16/17

  1,000,000      1,019,127   

Korea Hydro & Nuclear Power

#144A 2.875% 10/2/18

  1,750,000      1,805,823   

#144A 3.125% 9/16/15

  1,800,000      1,819,391   

Korea Western Power

3.125% 5/10/17

  2,800,000      2,882,370   

#144A 3.125% 5/10/17

  200,000      205,884   
     

 

 

 
  16,162,789   
     

 

 

 

Electronic Equipment, Instruments & Components–0.44%

  

Thermo Fisher Scientific
3.30% 2/15/22

  3,800,000      3,902,361   
     

 

 

 
  3,902,361   
     

 

 

 

Food Products–0.12%

  

Tyson Foods 2.65% 8/15/19

  1,000,000      1,024,981   
     

 

 

 
      1,024,981   
     

 

 

 

Gas Utilities–0.88%

  

#Korea Gas 144A 2.25% 7/25/17

  1,200,000      1,215,990   

Sabine Pass LNG 7.50% 11/30/16

  6,200,000      6,618,500   
     

 

 

 
  7,834,490   
     

 

 

 

Health Care Equipment & Supplies–2.07%

  

Becton Dickinson
•0.721% 6/15/16

  7,500,000      7,511,377   

2.675% 12/15/19

  1,000,000      1,022,540   

Boston Scientific 2.65% 10/1/18

  3,500,000      3,541,461   

Covidien International Finance
1.35% 5/29/15

  3,000,000      3,004,281   

#Medtronic 144A 2.50% 3/15/20

  3,200,000      3,273,123   
     

 

 

 
  18,352,782   
     

 

 

 

Health Care Providers & Services–0.61%

  

Humana 2.625% 10/1/19

  1,000,000      1,020,608   

McKesson 0.95% 12/4/15

  3,000,000      3,007,266   

#Universal Health Services 144A
3.75% 8/1/19

  1,300,000      1,327,625   
     

 

 

 
  5,355,499   
     

 

 

 

Household Durables–0.05%

  

Whirlpool 1.65% 11/1/17

  400,000      402,808   
     

 

 

 
  402,808   
     

 

 

 

Insurance–0.56%

  

#Stone Street Trust 144A
5.902% 12/15/15

  2,000,000      2,061,838   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Insurance (continued)

  

#TIAA Asset Management Finance 144A 2.95% 11/1/19

  2,800,000    $ 2,872,755   
     

 

 

 
      4,934,593   
     

 

 

 

IT Services–0.28%

  

Xerox Business Services
5.20% 6/1/15

  2,500,000      2,517,567   
     

 

 

 
  2,517,567   
     

 

 

 

Media–1.94%

  

#BSKYB Finance 144A
5.625% 10/15/15

  5,000,000      5,125,670   

Cox Communications

5.50% 10/1/15

  800,000      818,758   

#144A 5.875% 12/1/16

  1,100,000      1,181,550   

7.25% 11/15/15

  1,000,000      1,038,669   

DISH DBS 7.125% 2/1/16

  7,650,000      7,965,563   

#@Sky 144A 2.625% 9/16/19

  1,000,000      1,016,586   
     

 

 

 
  17,146,796   
     

 

 

 

Metals & Mining–0.93%

  

Freeport-McMoRan 2.30% 11/14/17

  2,600,000      2,593,334   

Glencore Canada 5.375% 6/1/15

  3,100,000      3,120,175   

#@Glencore Finance Canada 144A
2.05% 10/23/15

  2,500,000      2,510,843   
     

 

 

 
  8,224,352   
     

 

 

 

Oil, Gas & Consumable Fuels–8.75%

  

•BG Energy Capital 6.50% 11/30/72

  4,200,000      4,500,422   

•BP Capital Markets 0.676% 11/7/16

  8,000,000      8,019,320   

•Canadian Natural Resources
0.648% 3/30/16

  3,150,000      3,146,299   

#Enable Midstream Partners 144A 2.40% 5/15/19

  700,000      686,613   

#•ENI Finance USA 144A 0.536% 10/26/15

  7,000,000      6,999,524   

Enterprise Products Operating
1.25% 8/13/15

  5,178,000      5,186,016   

#@Georgia-Pacific 144A
2.539% 11/15/19

  2,400,000      2,435,803   

#Harvest Operations 144A
2.125% 5/14/18

  1,000,000      1,007,177   

#IPIC GMTN 144A 3.75% 3/1/17

  2,000,000      2,090,000   

Kinder Morgan 4.30% 6/1/25

  200,000      205,702   

Kinder Morgan Energy Partners

3.50% 3/1/16

  1,000,000      1,020,924   

5.80% 3/1/21

  700,000      789,937   

6.00% 2/1/17

  2,500,000      2,687,628   

#Kinder Morgan Finance 144A
6.00% 1/15/18

  1,800,000      1,973,961   
 

 

LVIP PIMCO Low Duration Bond Fund–4


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Korea National Oil

3.125% 4/3/17

  2,250,000    $ 2,317,939   

#144A 3.125% 4/3/17

  1,500,000      1,545,293   

4.00% 10/27/16

  3,650,000      3,801,398   

Petrobras Global Finance

•1.881% 5/20/16

  2,900,000      2,748,040   

•2.393% 1/15/19

  400,000      347,500   

•2.631% 3/17/17

  4,600,000      4,243,040   

•3.151% 3/17/20

  800,000      692,000   

3.25% 3/17/17

  400,000      370,000   

Petroleos Mexicanos
5.75% 3/1/18

  1,000,000      1,101,000   

Pioneer Natural Resources
6.875% 5/1/18

  800,000      907,265   

Plains All American Pipeline
2.60% 12/15/19

  2,300,000      2,313,331   

Rockies Express Pipeline

#144A 3.90% 4/15/15

  2,050,000      2,051,281   

#144A 6.85% 7/15/18

  900,000      976,500   

Sinopec Group Overseas Development 2014

#•144A 1.032% 4/10/17

  6,500,000      6,494,157   

•1.172% 4/10/19

  200,000      199,804   

Southwestern Energy

4.05% 1/23/20

  200,000      206,896   

7.50% 2/1/18

  1,000,000      1,130,322   

Tennessee Gas Pipeline
7.50% 4/1/17

  2,212,000      2,443,546   

Transocean 4.95% 11/15/15

  2,000,000      2,042,500   

#Woodside Finance 144A
3.65% 3/5/25

  800,000      794,441   
     

 

 

 
  77,475,579   
     

 

 

 

Pharmaceuticals–1.92%

  

AbbVie 1.75% 11/6/17

  3,000,000      3,012,537   

Actavis 1.875% 10/1/17

  3,290,000      3,299,633   

Actavis Funding

•1.523% 3/12/20

  1,000,000      1,014,785   

1.85% 3/1/17

  2,800,000      2,821,515   

3.00% 3/12/20

  3,900,000      3,994,520   

Express Scripts Holding
2.25% 6/15/19

  60,000      60,330   

#Forest Laboratories 144A
4.375% 2/1/19

  1,400,000      1,500,997   

Mylan

1.80% 6/24/16

  300,000      302,504   

2.60% 6/24/18

  1,000,000      1,021,923   
     

 

 

 
    17,028,744   
     

 

 

 
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Road & Rail–0.34%

  

•Kansas City Southern de Mexico 0.956% 10/28/16

  3,000,000    $ 2,994,594   
     

 

 

 
  2,994,594   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.12%

  

KLA-Tencor 3.375% 11/1/19

  1,000,000      1,039,484   
     

 

 

 
  1,039,484   
     

 

 

 

Software–0.47%

  

Symantec

2.75% 9/15/15

  1,000,000      1,007,933   

2.75% 6/15/17

  3,100,000      3,157,257   
     

 

 

 
  4,165,190   
     

 

 

 

Specialty Retail–0.52%

  

•Lowe’s 0.685% 9/10/19

  1,000,000      1,004,945   

Walgreens Boots Alliance

•0.706% 5/18/16

  600,000      601,070   

1.75% 11/17/17

  3,000,000      3,029,184   
     

 

 

 
  4,635,199   
     

 

 

 

Tobacco–0.55%

  

Altria Group 4.125% 9/11/15

  2,900,000      2,944,010   

Imperial Tobacco Finance
2.05% 2/11/18

  1,500,000      1,509,600   

Philip Morris International
3.25% 11/10/24

  400,000      411,164   
     

 

 

 
  4,864,774   
     

 

 

 

Wireless Telecommunication Services–1.53%

  

•America Movil 1.268% 9/12/16

  1,660,000      1,667,075   

Sprint Communications

6.00% 12/1/16

  1,000,000      1,045,875   

8.375% 8/15/17

  4,800,000      5,226,000   

9.125% 3/1/17

  2,400,000      2,628,000   

•Verizon Communications
1.801% 9/15/16

  2,900,000      2,947,786   
     

 

 

 
  13,514,736   
     

 

 

 

Total Corporate Bonds
(Cost $623,835,322)

  623,332,552   
     

 

 

 

MUNICIPAL BONDS–1.09%

  

Educational Enhancement Funding Series A 1.906% 6/1/17

  3,300,000      3,298,317   

Energy Northwest 1.793% 7/1/18

  300,000      305,274   

Louisville Regional Airport Authority Series C 0.769% 7/1/16

  3,000,000      3,001,920   

•State of Texas Series C-2
0.58% 6/1/19

  3,000,000      3,012,300   
     

 

 

 

Total Municipal Bonds
(Cost $9,614,686)

    9,617,811   
     

 

 

 
 

 

LVIP PIMCO Low Duration Bond Fund–5


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES–6.76%

  

Accredited Mortgage Loan Trust

•Series 2004-3 2A2
1.374% 10/25/34

  29,763    $ 29,704   

•Series 2005-3 A1
0.41% 9/25/35

  473,285      471,847   

#•ALM IV Series 2011-4A A 144A 1.493% 7/18/22

  2,362,140          2,360,770   

•Ameriquest Mortgage Securities Trust Series 2006-R2 A2B 0.354% 4/25/36

  399,598      397,615   

•Amortizing Residential Collateral Trust Series 2004-1 A5 1.174% 10/25/34

  119,699      117,648   

•Avoca CLO V Series V-X A1B 0.352% 8/3/22

  EUR  195,246      208,823   

•Bear Stearns Asset-Backed Securities I Trust Series 2004-BO1 M4 1.374% 10/25/34

  1,046,000      1,039,324   

•Bear Stearns Asset-Backed Securities Trust Series 2003-2 A3 1.674% 3/25/43

  110,530        108,044   

California Republic Auto Receivables Trust Series 2014-4 A2 0.77% 9/15/17

  5,000,000      5,001,000   

#•CIFC Funding Series 2011-1AR A1R 144A 1.553% 1/19/23

  1,600,000      1,595,840   

#•COA Summit CLO Series 2014-1A A1 144A 1.607% 4/20/23

  2,200,000      2,198,900   

•Cordatus CLO I Series 2006-1X A1 0.37% 1/30/24

  EUR  7,785,912      8,299,673   

#Dell Equipment Finance Trust Series 2014-1 A2 144A 0.64% 7/22/16

  1,500,000      1,500,408   

#•@Drug Royalty II Series 2014-1 A1 144A 3.081% 7/15/23

  280,870      285,221   

#•Dryden XXII Senior Loan Fund Series 2011-22A A1R 144A 1.417% 1/15/22

  2,000,000      1,984,000   

#@Eagle I Series 2014-1A A1 144A 2.57% 12/15/39

  937,500      936,328   

#Exeter Automobile Receivables Trust Series 2014-2A A 144A 1.06% 8/15/18

  28,362      28,290   

#•Galaxy XI CLO Series 2011-11A A 144A 1.551% 8/20/22

  2,500,000      2,497,250   

•GSAA Home Equity Trust Series 2004-11 2A2 0.814% 12/25/34

  166,708      163,875   

#•Highbridge Loan Management Series 2012-1AR A1R 144A 1.497% 9/20/22

  5,000,000      4,994,800   

•Jubilee CDO IV Series IV-X B1 0.932% 10/15/19

  EUR  1,383,146      1,475,901   
 

Principal

Amount°

 

Value

(U.S. $)

 

NON-AGENCY ASSET-BACKED SECURITIES (continued)

  

#•Madison Park Funding Series 2011-7A A 144A 1.521% 6/15/22

  954,101    $ 952,947   

Navient Private Education Loan Trust

#•Series 2014-CTA A 144A 0.875% 9/16/24

  1,133,194      1,130,915   

#•Series 2015-AA A2B 144A 1.402% 12/15/28

  2,500,000      2,512,100   

#•Ocean Trails CLO I Series 2006-1A A1 144A 0.502% 10/12/20

  1,673,493      1,663,954   

•Option One Mortgage Loan Trust Series 2005-5 A3 0.384% 12/25/35

  1,366,154      1,356,018   

Santander Drive Auto Receivables Trust Series 2014-1 A2A 0.66% 6/15/17

  35,283      35,282   

Securitized Asset-Backed Receivables Trust Series 2006-OP1 0.525% 10/25/35

  5,000,000          4,766,175   

•Skellig Rock Series 2006-1X A1 0.401% 11/30/22

  EUR    576,501      618,013   

•Specialty Underwriting & Residential Finance Trust Series 2005-AB1 M1 0.604% 3/25/36

  516,500      506,470   

#•Symphony CLO VIII Series 2012-8AR AR 144A 1.352% 1/9/23

  6,500,000      6,448,650   

Voya CLO

#•@Series 2012-2AR AR 144A 1.57% 10/15/22

  2,000,000      1,999,000   

#•@Series 2012-3AR AR 144A 1.615% 10/15/22

  600,000      596,100   

•Wood Street CLO 1 Series I B 0.561% 11/22/21

  EUR  1,500,000      1,570,426   
     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $60,705,679)

   

    59,851,311   
     

 

 

 

NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.87%

   

#•BCAP Trust Series 2009-RR4 9A1 144A 2.394% 10/26/35

  164,123      165,307   

Bear Stearns ARM Trust

•Series 2003-1 5A1
2.249% 4/25/33

  95,138      95,142   

•Series 2005-5 A1
2.16% 8/25/35

  1,100,308      1,110,146   

•Credit Suisse First Boston Mortgage Securities Series 2003-AR18 2A3 2.244% 7/25/33

  20,692      20,505   
 

 

LVIP PIMCO Low Duration Bond Fund–6


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS (continued)

   

•Eurosail-UK Series 2007-4X A2A 0.862% 6/13/45

  GBP  1,619,546    $     2,394,528   

•Granite Mortgages Series 2004-3 2A1 0.55% 9/20/44

  239,003      238,071   

•GSR Mortgage Loan Trust Series 2005-5F 8A1 0.674% 6/25/35

  1,080,128      1,045,777   

Merrill Lynch Mortgage Investors Trust

•Series 2003-A3 1A 2.199% 5/25/33

  23,443      22,666   

•Series 2005-2 1A 1.582% 10/25/35

  68,369      66,246   

•New York Mortgage Trust Series 2005-3 A1 0.414% 2/25/36

  1,774,940      1,636,531   

•Prime Mortgage Trust Series 2004-CL1 2A2 0.574% 2/25/19

  286      282   

•Sequoia Mortgage Trust Series 2004-6 A1 1.884% 7/20/34

  18,566      18,202   

•Structured Adjustable Rate Mortgage Loan Trust Series 2004-6 3A2 2.415% 6/25/34

  244,639      244,732   

•Structured Asset Mortgage Investments II Trust Series 2005-AR5 A3 0.428% 7/19/35

  642,316      615,938   
     

 

 

 

Total Non-Agency Collateralized Mortgage Obligations
(Cost $7,722,125)

    

  7,674,073   
     

 

 

 

«SENIOR SECURED LOANS–0.93%

  

Community Health Systems Tranche F 1st Lien
3.428% 12/31/18

  4,100,000      4,106,191   

FCA US Tranche B 1st Lien 3.50% 5/24/17

  4,100,000      4,106,826   
     

 

 

 

Total Senior Secured Loans
(Cost $8,207,656)

   

  8,213,017   
     

 

 

 

DSOVEREIGN BOND–0.55%

  

Brazil–0.55%

≠Brazil Letras do Tesouro Nacional 0.396% 1/1/16

  BRL  17,100,000      4,870,286   
     

 

 

 

Total Sovereign Bond
(Cost $6,782,686)

   

  4,870,286   
     

 

 

 

U.S. TREASURY OBLIGATIONS–19.90%

  

U.S. Treasury Inflation Indexed Notes

0.125% 4/15/16

  3,441,068      3,476,824   

¥0.125% 4/15/19

  68,321,215      69,671,652   

×U.S. Treasury Note 0.625% 12/31/16

  102,800,000      103,057,000   
     

 

 

 

Total U.S. Treasury Obligations
(Cost $174,933,327)

   

  176,205,476   
     

 

 

 
  Number
of Shares
 

Value

(U.S. $)

 

PREFERRED STOCK–0.02%

  

•Citigroup Capital XIII 7.875%

  8,500    $ 225,420   
     

 

 

 

Total Preferred Stock
(Cost $229,075)

   

  225,420   
     

 

 

 

MONEY MARKET FUND–0.22%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,961,971      1,961,971   
     

 

 

 

Total Money Market Fund
(Cost $1,961,971)

   

  1,961,971   
     

 

 

 
  Principal
Amount°
     

SHORT-TERM INVESTMENTS–1.48%

  

Certificates of Deposit–0.71%

  

Banco de Brasil New York
1.21% 6/29/15

  3,100,000      3,100,403   

Kookmin Bank New York
0.75% 7/15/15

  3,200,000      3,200,160   
     

 

 

 
  6,300,563   
     

 

 

 

Discounted Commercial Paper–0.77%

  

Tesco Treasury Services

≠0.96% 8/18/15

  5,100,000      5,046,986   

≠1.01% 8/17/15

  1,800,000      1,781,430   
     

 

 

 
  6,828,416   
     

 

 

 

Total Short-Term Investments
(Cost $13,174,393)

   

    13,128,979   
     

 

 

 
 

 

LVIP PIMCO Low Duration Bond Fund–7


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–106.50%
(Cost $946,036,214)

   

$ 943,107,197   
  Number of
Contracts
 

Value

(U.S. $)

 

OPTIONS WRITTEN–(0.29%)

  

Call Options–(0.12%)

  

IMM Euro$ exercise price $98.75, expiration date 6/13/16 (CME)

  (593 $ (600,413

IMM Euro$ exercise price $99.25, expiration date 3/14/16 (CME)

  (418   (167,200

IMM Euro$ exercise price $99.25, expiration date 6/13/16 (CME)

  (880   (324,500
    

 

 

 
  (1,092,113
    

 

 

 

Put Options–(0.17%)

  

2 yr IRS pay a fixed rate of 1.25% and receive a floating rate based on
3-month USD LIBOR expiration date 5/26/15 (MSC)

  (90,000,000   (22,653

IMM Euro$ exercise price $98.75, expiration date 6/13/16 (CME)

  (593   (274,263

IMM Euro$ exercise price $99.25, expiration date 3/14/16 (CME)

  (418   (261,250

IMM Euro$ exercise price $99.25, expiration date 6/13/16 (CME)

  (880   (935,000
    

 

 

 
  (1,493,166
    

 

 

 

 

Total Options Written (Premium received $(2,907,442))

  (2,585,279
  

 

 

 

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(6.21%)

  (54,979,422
  

 

 

 

NET ASSETS APPLICABLE TO 88,123,108 SHARES OUTSTANDING–100.00%

$ 885,542,496   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $233,380,755, which represents 26.35% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

«

Includes $288,239 cash due to broker and $152,750 foreign currencies pledged as collateral for futures contracts and $55,407,000 reverse repurchase agreements as of March 31, 2015.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $37,574,302, which represents 4.24% of the Fund’s net assets.

 

¿

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.

 

The rate shown is the effective yield at the time of purchase.

 

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), or (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2015.

 

×

Fully or partially pledged as collateral for reverse repurchase agreements.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

¥

Fully or partially pledged as collateral for derivatives.

 

LVIP PIMCO Low Duration Bond Fund–8


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

The following foreign currency exchange contracts, futures contracts, reverse repurchase agreements and swap contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

Counterparty

Contracts to
Receive (Deliver)
  In Exchange For   Settlement Date   Unrealized
Appreciation
(Depreciation)
 

BNP

AUD (1,358,000 USD 1,055,945      4/2/15        $ 21,819   

BNP

BRL (17,100,000 USD 6,611,790      1/5/16          1,665,539   

BNP

EUR 8,302,000    USD (8,924,052   4/1/15          4,456   

BNP

EUR (37,346,000 USD     40,591,757      5/19/15          401,322   

BNP

GBP (6,260,000 USD 9,602,488      4/2/15          316,848   

BNP

ILS (44,665,149 USD 11,266,712      6/11/15          45,327   

BNP

JPY (1,459,700,000 USD 12,215,063      5/8/15          39,421   

DB

EUR (8,302,000 USD 8,982,033      4/1/15          53,526   
         

 

 

 
$ 2,548,258   
         

 

 

 

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
  Unrealized
Appreciation
(Depreciation)
 

(1,212) 90Day Sterling

$ (221,774,767 $ (221,581,333   9/21/17    $ 193,434   

(954)    90Day Sterling

  (174,187,574   (174,253,829   12/21/17      (66,255

143       Euro-Schatz

  17,106,017      17,105,220      6/11/15      (797

1,088    U.S. Treasury 2 yr Notes

  237,626,297      238,442,000      7/1/15      815,703   
  

 

 

        

 

 

 
$ (141,230,027 $ 942,085   
  

 

 

        

 

 

 

Reverse Repurchase Agreements

 

Counterparty

Interest
Rate
  Trade
Date
  Maturity
Date
  Face
Value
  Face Value Including
Accrued Interest
 

JPMC – U.S. Treasury Notes

  0.17   3/30/15      4/6/15    $ (55,407,000 $ (54,407,523

Swap Contracts

CDS Contracts

 

Counterparty

Swap Referenced Obligation   Notional Value   Annual
Protection
Payments
(Receipts)
  Termination
Date
  Unrealized
Appreciation
(Depreciation)
 
  Protection Sold/Moody’s Rating:   

MSC

  Domtar/Baa3    $ 3,400,000      1.00   9/20/19    $ 99,652   

Interest Rate Swap Contracts

 

Counterparty &

Referenced Obligation

Notional
Value
  Fixed Interest
Rate Paid
  Floating Interest
Rate Received
  Termination
Date
  Unrealized
Appreciation
(Depreciation)
 

MSC – CME 2 yr IRS

$ 191,000,000      0.985   0.120   6/17/17    $ (579,850

The use of foreign currency exchange contracts, futures contracts, reverse repurchase agreements and swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts, notional values and reverse repurchase agreements 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.

 

LVIP PIMCO Low Duration Bond Fund–9


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

Summary of Abbreviations:

AUD–Australian Dollar

BNP–Banque Paribas

BRL–Brazilian Real

CDO– Collateralized Debt Obligation

CDS–Credit Default Swap

CLO–Collateralized Loan Obligation

CME–Chicago Mercantile Exchange Inc.

DB–Deutsche Bank

EUR–Euro

GBP–British Pound Sterling

ILS–Israeli Shekel

IRS–Interest Rate Swap

JPMC–JPMorgan Chase

JPY–Japanese Yen

MSC–Morgan Stanley Capital

USD–U.S. Dollar

yr–Year

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Commercial Mortgage-Backed Securities

$    $ 38,026,301    $ 38,026,301   

Corporate Bonds

       623,332,552      623,332,552   

Municipal Bonds

       9,617,811      9,617,811   

Non-Agency Asset-Backed Securities

       59,851,311      59,851,311   

Non-Agency Collateralized Mortgage Obligations

       7,674,073      7,674,073   

Senior Secured Loans

       8,213,017      8,213,017   

Sovereign Bonds

       4,870,286      4,870,286   

U.S. Treasury Obligations

       176,205,476      176,205,476   

Preferred Stock

  225,420           225,420   

Money Market Fund

  1,961,971           1,961,971   

Short-Term Investments

       13,128,979      13,128,979   
  

 

 

   

 

 

   

 

 

 

Total

$ 2,187,391    $ 940,919,806    $ 943,107,197   
  

 

 

   

 

 

   

 

 

 

Foreign Currency Exchange Contracts

$    $ 2,548,258    $ 2,548,258   
  

 

 

   

 

 

   

 

 

 

Futures Contracts

$ 942,085    $    $ 942,085   
  

 

 

   

 

 

   

 

 

 

Reverse Repurchase Agreements

$ (55,407,000 $    $ (55,407,000
  

 

 

   

 

 

   

 

 

 

Swap Contracts

$    $ (480,198 $ (480,198
  

 

 

   

 

 

   

 

 

 

Options Written

$    $ (2,585,279 $ (2,585,279
  

 

 

   

 

 

   

 

 

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

  Commercial
Mortgage-Backed
Securities
  Short-Term
Investments
  Total  

Balance as of 12/31/14

$ 7,928,432    $ 3,202,880    $ 11,131,312   

Transfers out of Level 3

  (8,051,561   (3,200,000   (11,251,561

Net unrealized appreciation (depreciation)

  123,129      (2,880   120,249   
  

 

 

   

 

 

   

 

 

 

Balance as of 3/31/15

$    $    $   
  

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation) from
Level 3 investments still held as of 3/31/15

$ 123,129    $ (2,880 $ 120,249   
  

 

 

   

 

 

   

 

 

 

There were no Level 3 investments at the end of the period.

During the period ended March 31, 2015, transfers out of Level 3 investments into Level 2 investments were made in the amount of $11,251,561 for the Fund. The transfer was due to the Fund’s pricing vendor being able to supply a matrix price for the investments that had been utilizing a broker quoted price. During the period ended March 31, 2015, there were no transfers between Level 1 investments and Level 2 investments

 

LVIP PIMCO Low Duration Bond Fund–10


LVIP PIMCO Low Duration Bond Fund

Schedule of Investments (continued)

 

that had a significant impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value heirarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP PIMCO Low Duration Bond Fund–11


LVIP SSgA Conservative Index Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

 

Number of

Shares

 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANIES–86.00%

  

Equity Funds–21.77%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA S&P 500 Index Fund

  945,450    $ 13,975,647   

LVIP SSgA Small-Cap Index Fund

  113,743      3,201,752   
     

 

 

 
  17,177,399   
     

 

 

 

Fixed Income Fund–50.35%

  

*Lincoln Variable Insurance Products Trust–

 

LVIP SSgA Bond Index Fund

  3,423,848      39,726,907   
     

 

 

 
  39,726,907   
     

 

 

 

International Equity Fund–13.88%

  

*Lincoln Variable Insurance Products Trust–

 

LVIP SSgA International Index Fund

  1,201,424      10,947,380   
     

 

 

 
  10,947,380   
     

 

 

 

Total Affiliated Investment Companies
(Cost $58,331,568)

   

  67,851,686   
     

 

 

 
 

Number of

Shares

 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANIES–14.02%

  

Fixed Income Fund–10.01%

  

SPDR® Barclays TIPS ETF

  139,351    $ 7,901,202   
     

 

 

 
  7,901,202   
     

 

 

 

International Equity Fund–4.01%

  

iShares Core MSCI Emerging Markets ETF

  65,373      3,159,477   
     

 

 

 
  3,159,477   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $11,063,561)

   

  11,060,679   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.02% (Cost $69,395,129)

  78,912,365   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.02%)

  (13,534
  

 

 

 

NET ASSETS APPLICABLE TO 6,312,385 SHARES OUTSTANDING–100.00%

    $ 78,898,831   
  

 

 

 

 

 

*

Standard Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

SPDR–Standard & Poor’s Depositary Receipt

TIPS–Treasury Inflation-Protected Securities

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

      Level 1      

Investment Companies

$ 78,912,365   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Conservative Index Allocation Fund–1


LVIP SSgA Conservative Structured Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANIES–90.09%

  

Equity Funds–21.80%

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Large Cap 100 Fund

  1,155,390    $ 18,739,277   

LVIP SSgA S&P 500 Index Fund

  1,261,585      18,648,750   

LVIP SSgA Small-Cap Index Fund

  151,886      4,275,435   

LVIP SSgA Small-Mid Cap 200 Fund

  274,256      4,268,787   
   

 

 

 
  45,932,249   
   

 

 

 

Fixed Income Fund–50.36%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Bond Index Fund

  9,142,424      106,079,551   
   

 

 

 
  106,079,551   
   

 

 

 

International Equity Funds–17.93%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Developed International 150 Fund

  1,524,009      14,627,442   

LVIP SSgA Emerging Markets 100 Fund

  906,003      8,519,144   

LVIP SSgA International Index Fund

  1,604,302      14,618,404   
   

 

 

 
  37,764,990   
   

 

 

 

Total Affiliated Investment Companies
(Cost $164,057,344)

   

  189,776,790   
   

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANY–10.02%

  

Fixed Income Fund–10.02%

  

SPDR® Barclays TIPS ETF

  372,183    $   21,102,776   
     

 

 

 

Total Unaffiliated Investment Company
(Cost $20,657,363)

   

  21,102,776   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.11% (Cost $184,714,707)

  210,879,566   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.11%)

  (224,152
  

 

 

 

NET ASSETS APPLICABLE TO 17,391,746 SHARES OUTSTANDING–100.00%

$ 210,655,414   
  

 

 

 

 

 

*

Standard Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

SPDR–Standard & Poor’s Depositary Receipt

TIPS–Treasury Inflation-Protected Securities

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

      Level 1      

Investment Companies

$ 210,879,566   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Conservative Structured Allocation Fund–1


LVIP SSgA Moderately Aggressive Index Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
  Value
(U.S. $)
 

AFFILIATED INVESTMENT COMPANIES–84.81%

  

Equity Funds–37.76%

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA S&P 500 Index Fund

  4,187,196    $ 61,895,139   

LVIP SSgA Small-Cap Index Fund

  809,635      22,790,426   
     

 

 

 
  84,685,565   
     

 

 

 

Fixed Income Fund–25.21%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Bond Index Fund

  4,874,323      56,556,765   
     

 

 

 
  56,556,765   
     

 

 

 

International Equity Fund–21.84%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA International Index Fund

  5,375,899      48,985,195   
     

 

 

 
  48,985,195   
     

 

 

 

Total Affiliated Investment Companies
(Cost $152,768,675)

   

  190,227,525   
     

 

 

 
  Number of
Shares
  Value
(U.S. $)
 

UNAFFILIATED INVESTMENT COMPANIES–15.15%

  

Fixed Income Fund–5.02%

SPDR® Barclays TIPS ETF

  198,585    $ 11,259,769   
     

 

 

 
  11,259,769   
     

 

 

 

International Equity Fund–10.05%

  

iShares Core MSCI Emerging Markets ETF

  466,223      22,532,558   
     

 

 

 
  22,532,558   
     

 

 

 

Money Market Fund–0.08%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  178,652      178,652   
     

 

 

 
  178,652   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $34,659,549)

   

  33,970,979   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.96% (Cost $187,428,224)

  224,198,504   

RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.04%

  83,877   
  

 

 

 

NET ASSETS APPLICABLE TO 16,380,981 SHARES OUTSTANDING–100.00%

$ 224,282,381   
  

 

 

 

 

 

*

Standard Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

SPDR–Standard & Poor’s Depositary Receipt

TIPS–Treasury Inflation-Protected Securities

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

      Level 1      

Investment Companies

$ 224,198,504   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Moderately Aggressive Index Allocation Fund–1


LVIP SSgA Moderately Aggressive Structured Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANIES–95.00%

  

Equity Funds–37.82%

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Large Cap 100 Fund

  4,192,139    $ 67,992,300   

LVIP SSgA S&P 500 Index Fund

  4,577,864      67,669,983   

LVIP SSgA Small-Cap Index Fund

  885,167      24,916,563   

LVIP SSgA Small-Mid Cap 200 Fund

  1,598,219      24,876,284   
     

 

 

 
  185,455,130   
     

 

 

 

Fixed Income Fund–25.21%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Bond Index Fund

  10,656,207      123,643,969   
     

 

 

 
  123,643,969   
     

 

 

 

International Equity Funds–31.97%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Developed International 150 Fund

  5,582,596      53,581,752   

LVIP SSgA Emerging Markets 100 Fund

  5,280,196      49,649,683   

LVIP SSgA International Index Fund

  5,877,032      53,551,513   
     

 

 

 
  156,782,948   
     

 

 

 

Total Affiliated Investment Companies
(Cost $385,962,042)

   

  465,882,047   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANY–5.02%

  

Fixed Income Fund–5.02%

  

SPDR® Barclays TIPS ETF

  433,825    $   24,597,878   
     

 

 

 

Total Unaffiliated Investment Company
(Cost $24,247,036)

   

  24,597,878   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.02% (Cost $410,209,078)

  490,479,925   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.02%)

  (106,057
  

 

 

 

NET ASSETS APPLICABLE TO 36,986,198 SHARES OUTSTANDING–100.00%

$ 490,373,868   
  

 

 

 

 

 

*

Standard Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

SPDR–Standard & Poor’s Depositary Receipt

TIPS–Treasury Inflation-Protected Securities

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

      Level 1      

Investment Companies

$ 490,479,925   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Moderately Aggressive Structured Allocation Fund–1


LVIP SSgA Moderate Index Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

Number of

Shares

 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANIES–83.94%

  

Equity Funds–33.79%

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA S&P 500 Index Fund

  4,233,049    $ 62,572,927   

LVIP SSgA Small-Cap Index Fund

  705,144      19,849,108   
     

 

 

 
  82,422,035   
     

 

 

 

Fixed Income Fund–30.28%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Bond Index Fund

  6,367,393      73,880,860   
     

 

 

 
  73,880,860   
     

 

 

 

International Equity Fund–19.87%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA International Index Fund

  5,320,538      48,480,746   
     

 

 

 
  48,480,746   
     

 

 

 

Total Affiliated Investment Companies
(Cost $167,837,573)

   

  204,783,641   
     

 

 

 
 

Number of

Shares

 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANIES–16.14%

  

Fixed Income Fund–10.04%

  

SPDR® Barclays TIPS ETF

  432,024    $   24,495,761   
     

 

 

 
  24,495,761   
     

 

 

 

International Equity Fund–6.03%

  

iShares Core MSCI Emerging Markets ETF

  304,274      14,705,562   
     

 

 

 
  14,705,562   
     

 

 

 

Money Market Fund–0.07%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  180,756      180,756   
     

 

 

 
  180,756   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $39,849,924)

   

  39,382,079   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.08% (Cost $207,687,497)

  244,165,720   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.08%)

  (206,298
  

 

 

 

NET ASSETS APPLICABLE TO 18,131,869 SHARES OUTSTANDING–100.00%

$ 243,959,422   
  

 

 

 

 

 

*

Standard Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

SPDR–Standard & Poor’s Depositary Receipt

TIPS–Treasury Inflation-Protected Securities

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

      Level 1      

Investment Companies

$ 244,165,720   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Moderate Index Allocation Fund–1


LVIP SSgA Moderate Structured Allocation Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

Number of

Shares

 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANIES–89.98%

  

Equity Funds–33.80%

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Large Cap 100 Fund

  7,375,103    $ 119,616,801   

LVIP SSgA S&P 500 Index Fund

  8,053,664      119,049,264   

LVIP SSgA Small-Cap Index Fund

  1,341,896      37,773,018   

LVIP SSgA Small-Mid Cap 200 Fund

  2,422,844      37,711,561   
     

 

 

 
  314,150,644   
     

 

 

 

Fixed Income Fund–30.25%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Bond Index Fund

  24,230,746      281,149,349   
     

 

 

 
  281,149,349   
     

 

 

 

International Equity Funds–25.93%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Developed International 150 Fund

  9,617,243      92,306,294   

LVIP SSgA Emerging Markets 100 Fund

  6,002,981      56,446,029   

LVIP SSgA International Index Fund

  10,124,343      92,253,012   
     

 

 

 
  241,005,335   
     

 

 

 

Total Affiliated Investment Companies
(Cost $703,992,553)

   

  836,305,328   
     

 

 

 
 

Number of

Shares

 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANIES–10.04%

  

Fixed Income Fund–10.03%

  

SPDR® Barclays TIPS ETF

  1,644,014    $   93,215,594   
     

 

 

 
  93,215,594   
     

 

 

 

Money Market Fund–0.01%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  83,869      83,869   
     

 

 

 
  83,869   
     

 

 

 

Total Unaffiliated Investment Companies
(Cost $93,339,629)

   

  93,299,463   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.02% (Cost $797,332,182)

  929,604,791   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.02%)

  (185,459
  

 

 

 

NET ASSETS APPLICABLE TO 71,823,089 SHARES OUTSTANDING–100.00%

$ 929,419,332   
  

 

 

 

 

 

*

Standard Class shares.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

SPDR–Standard & Poor’s Depositary Receipt

TIPS–Treasury Inflation-Protected Securities

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

      Level 1      

Investment Companies

$ 929,604,791   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Moderate Structured Allocation Fund–1


LVIP SSgA Bond Index Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

Principal

Amount°

 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED SECURITIES–28.18%

  

Fannie Mae ARM

Ÿ2.285% 7/1/38

  165,688    $ 176,411   

Ÿ2.335% 9/1/37

  247,361      264,697   

Ÿ2.41% 3/1/37

  379,018      405,863   

Ÿ2.872% 11/1/35

  303,356      317,000   

Ÿ2.901% 11/1/41

  196,706      207,220   

Ÿ3.286% 1/1/41

  1,625,424      1,718,078   

Ÿ3.29% 6/1/41

  2,639,370             2,825,454   

Fannie Mae S.F. 10 yr

4.00% 8/1/19

  75,099      79,351   

4.00% 6/1/20

  356,431      376,673   

4.00% 5/1/23

  205,791      217,443   

5.50% 11/1/15

  677      711   

6.00% 3/1/16

  46,803      47,520   

6.00% 10/1/16

  52,905      54,408   

6.00% 12/1/17

  22,277      22,885   

6.00% 9/1/18

  12,034      12,777   

Fannie Mae S.F. 15 yr

2.50% 10/1/27

  1,617,720      1,665,775   

2.50% 3/1/28

  3,690,594      3,801,312   

2.50% 4/1/28

  4,122,058      4,241,883   

2.50% 7/1/28

  837,060      861,305   

2.50% 9/1/28

  1,700,475      1,749,695   

2.50% 10/1/28

  5,299,575      5,451,716   

2.50% 2/1/30

  2,985,090      3,068,958   

3.00% 11/1/26

  3,384,199      3,553,982   

3.00% 6/1/27

  860,834      903,960   

3.00% 8/1/27

  1,586,201      1,665,747   

3.00% 9/1/27

  6,537,834      6,865,937   

3.00% 10/1/27

  943,740      991,040   

3.00% 12/1/27

  298,509      313,488   

3.50% 11/1/25

  928,372      986,236   

3.50% 12/1/25

  2,190,289      2,340,073   

3.50% 12/1/26

  1,294,804      1,375,132   

3.50% 1/1/27

  1,794,308      1,904,110   

3.50% 10/1/29

  3,303,210      3,506,947   

4.00% 7/1/18

  121,088      127,943   

4.00% 8/1/18

  74,341      78,550   

4.00% 5/1/20

  2,549,662      2,694,020   

4.00% 4/1/24

  171,060      181,165   

4.00% 5/1/24

  311,352      329,408   

4.00% 6/1/24

  414,332      439,020   

4.00% 7/1/24

  172,182      182,479   

4.00% 10/1/24

  12,761      13,517   

4.00% 12/1/24

  485,160      513,978   

4.00% 1/1/25

  674,986      729,996   

4.00% 3/1/25

  739,033      798,792   

4.00% 5/1/25

  300,028      317,934   

4.00% 7/1/25

  5,942      6,318   

4.00% 8/1/25

  23,104      24,569   

4.00% 9/1/25

  261,124      278,266   

4.00% 10/1/25

  322,087      342,616   

4.00% 1/1/26

  8,764      9,311   

 

  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Fannie Mae S.F. 15 yr (continued)

  

4.00% 3/1/26

  736,310    $ 784,731   

4.00% 5/1/26

  8,652      9,218   

4.00% 7/1/26

  726,338      772,036   

4.50% 2/1/23

  129,958      137,952   

4.50% 4/1/23

  13,383      14,339   

4.50% 5/1/23

  16,814      18,040   

4.50% 6/1/23

  450,121      482,697   

4.50% 11/1/23

  20,578      22,065   

4.50% 1/1/24

  2,217      2,325   

4.50% 2/1/24

  4,036      4,323   

4.50% 3/1/24

  6,698      7,220   

4.50% 4/1/24

  184,453      197,847   

4.50% 5/1/24

  351,422      377,043   

4.50% 7/1/24

  303,220      326,981   

4.50% 8/1/24

  428,243      461,691   

4.50% 11/1/24

  192,253      207,213   

4.50% 4/1/25

  320,195      345,222   

4.50% 5/1/25

  30,007      32,341   

4.50% 6/1/25

  8,220      8,817   

5.00% 6/1/19

  1,670      1,757   

5.00% 4/1/23

  35,700      38,812   

5.00% 6/1/23

  661,806      721,516   

5.00% 9/1/23

  298,405      324,576   

5.00% 11/1/23

  174,186      189,023   

5.00% 12/1/23

  174,746      190,434   

5.00% 3/1/25

  73,330      80,105   

5.00% 6/1/25

  3,459      3,777   

5.50% 12/1/18

  134,529      141,413   

5.50% 3/1/20

  244,430      256,937   

5.50% 4/1/22

  69,679      76,415   

5.50% 7/1/22

  82,897      89,375   

6.00% 12/1/18

  9      9   

6.00% 6/1/20

  10,198      10,825   

6.00% 8/1/22

  18,678      20,251   

6.00% 9/1/22

  60,427      65,287   

Fannie Mae S.F. 15 yr TBA
3.00% 4/15/30

  6,000,000             6,289,687   

Fannie Mae S.F. 20 yr

3.00% 11/1/34

  2,268,483      2,350,470   

3.00% 12/1/34

  1,724,352      1,786,801   

3.00% 2/1/35

  2,976,265      3,085,417   

3.50% 6/1/34

  7,010,514      7,406,218   

3.50% 7/1/34

  8,729,358      9,222,505   

6.50% 12/1/17

  221      254   

Fannie Mae S.F. 30 yr

3.00% 9/1/42

  2,646,290      2,712,357   

3.00% 10/1/42

  3,828,333      3,923,843   

3.00% 11/1/42

  2,582,365      2,646,821   

3.00% 12/1/42

  2,375,116      2,434,338   

3.00% 1/1/43

  5,169,316      5,298,269   

3.00% 3/1/43

  10,940,894      11,208,922   

3.00% 4/1/43

  2,751,885      2,819,320   
 

 

LVIP SSgA Bond Index Fund–1

 


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

  

3.00% 5/1/43

  1,799,098    $        1,842,860   

3.00% 6/1/43

  7,789,232      7,977,841   

3.00% 8/1/43

  6,032,545      6,177,617   

3.50% 10/1/40

  1,247,417      1,312,859   

3.50% 12/1/40

  636,580      669,998   

3.50% 2/1/41

  1,111,123      1,169,322   

3.50% 8/1/42

  898,413      945,848   

3.50% 9/1/42

  9,507,181      9,999,263   

3.50% 10/1/42

  5,537,673      5,824,646   

3.50% 11/1/42

  2,091,346      2,199,889   

3.50% 1/1/43

  3,810,598      4,007,638   

3.50% 7/1/43

  7,664,210      8,057,837   

3.50% 10/1/44

  4,232,174      4,449,534   

3.50% 1/1/45

  3,488,110      3,667,256   

4.00% 1/1/39

  59,342      63,443   

4.00% 2/1/39

  106,695      114,070   

4.00% 3/1/39

  4,429      4,735   

4.00% 4/1/39

  397,925      425,430   

4.00% 6/1/39

  177,904      190,220   

4.00% 8/1/39

  685,900      739,300   

4.00% 9/1/39

  863,233      938,242   

4.00% 11/1/39

  57,744      61,736   

4.00% 12/1/39

  1,427,556      1,526,392   

4.00% 1/1/40

  593,238      635,271   

4.00% 5/1/40

  317,284      339,248   

4.00% 8/1/40

  126,791      135,926   

4.00% 9/1/40

  248,471      266,402   

4.00% 10/1/40

  1,077,252      1,154,868   

4.00% 11/1/40

  1,536,031      1,648,466   

4.00% 12/1/40

  2,333,755      2,517,993   

4.00% 1/1/41

  6,224,989      6,673,837   

4.00% 2/1/41

  1,410,918      1,512,942   

4.00% 3/1/41

  36,742      39,287   

4.00% 4/1/41

  496,878      532,719   

4.00% 5/1/41

  2,577,167      2,762,328   

4.00% 6/1/41

  33,725      36,061   

4.00% 9/1/41

  555,022      594,788   

4.00% 10/1/41

  312,167      334,612   

4.00% 11/1/41

  597,013      639,882   

4.00% 12/1/41

  26,476      28,379   

4.00% 1/1/42

  21,544      23,091   

4.00% 3/1/42

  432,035      462,715   

4.00% 10/1/43

  6,209,439      6,638,637   

4.00% 12/1/43

  2,225,518      2,389,426   

4.00% 7/1/44

  4,850,519      5,185,788   

4.00% 9/1/44

  5,082,443      5,433,743   

4.00% 10/1/44

  3,854,895      4,122,339   

4.50% 8/1/33

  37,234      40,760   

4.50% 1/1/34

  22,152      24,250   

4.50% 9/1/35

  130,778      143,298   

4.50% 2/1/38

  49,230      53,816   

4.50% 4/1/38

  70,491      76,995   
  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

  

4.50% 7/1/38

  71,624    $ 78,144   

4.50% 11/1/38

  254,630      278,247   

4.50% 2/1/39

  554,922      605,043   

4.50% 3/1/39

  463,828      506,111   

4.50% 4/1/39

  1,529,276             1,677,962   

4.50% 5/1/39

  597,624      663,351   

4.50% 6/1/39

  191,660      209,252   

4.50% 7/1/39

  782,850      855,501   

4.50% 9/1/39

  395,964      437,173   

4.50% 1/1/40

  1,266,617      1,406,014   

4.50% 2/1/40

  2,344,371      2,592,686   

4.50% 5/1/40

  1,377,295      1,514,221   

4.50% 6/1/40

  629,830      689,235   

4.50% 8/1/40

  272,436      297,693   

4.50% 9/1/40

  772,416      845,563   

4.50% 10/1/40

  4,414,275      4,838,997   

4.50% 11/1/40

  745,682      815,957   

4.50% 2/1/41

  3,022,464      3,312,516   

4.50% 4/1/41

  29,251      31,893   

4.50% 5/1/41

  3,669,892      4,017,658   

4.50% 6/1/41

  346,337      377,745   

4.50% 1/1/42

  4,005,298      4,383,413   

4.50% 9/1/43

  2,005,489      2,192,020   

4.50% 10/1/44

  999,817      1,092,277   

5.00% 9/1/33

  238,360      266,170   

5.00% 4/1/34

  889,444      993,769   

5.00% 7/1/34

  563,786      630,035   

5.00% 11/1/34

  282,096      314,939   

5.00% 4/1/35

  174,823      194,970   

5.00% 6/1/35

  281,442      313,728   

5.00% 7/1/35

  3,328,937      3,719,500   

5.00% 9/1/35

  54,601      60,701   

5.00% 10/1/35

  224,448      249,708   

5.00% 12/1/35

  1,052,261      1,170,638   

5.00% 2/1/36

  2,380,337      2,648,502   

5.00% 3/1/36

  134,199      149,291   

5.00% 11/1/36

  48,108      53,487   

5.00% 8/1/37

  34,700      38,540   

5.00% 4/1/38

  295,242      327,913   

5.00% 7/1/38

  41,272      45,839   

5.00% 11/1/38

  25,839      28,699   

5.00% 8/1/39

  1,550,121      1,721,654   

5.00% 12/1/39

  323,250      359,368   

5.00% 1/1/40

  694,731      787,994   

5.00% 7/1/40

  2,705,690      3,021,989   

5.00% 9/1/40

  798,413      888,313   

5.50% 11/1/33

  79,205      89,513   

5.50% 1/1/34

  113,953      129,084   

5.50% 5/1/34

  151,573      171,592   

5.50% 7/1/34

  204,615      231,054   

5.50% 10/1/34

  249,272      284,045   

5.50% 9/1/35

  141,340      159,429   
 

 

LVIP SSgA Bond Index Fund–2


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

  

5.50% 10/1/35

  150,102    $ 169,253   

5.50% 12/1/35

  530,325      598,288   

5.50% 1/1/36

  757,303      854,455   

5.50% 4/1/36

  1,910,899      2,152,297   

5.50% 8/1/36

  437,802      493,257   

5.50% 1/1/37

  584,051      657,216   

5.50% 2/1/37

  36,374      40,948   

5.50% 3/1/37

  176,523      198,637   

5.50% 5/1/37

  229,763      261,158   

5.50% 6/1/37

  170,966      194,842   

5.50% 8/1/37

  70,704      79,562   

5.50% 11/1/37

  2,094      2,356   

5.50% 12/1/37

  679      764   

5.50% 1/1/38

  4,183,822             4,709,280   

5.50% 2/1/38

  108,055      121,591   

5.50% 5/1/38

  304,031      342,118   

5.50% 6/1/38

  20,468      23,032   

5.50% 7/1/38

  166,548      187,412   

5.50% 10/1/38

  71,244      80,169   

5.50% 1/1/39

  327,255      368,251   

5.50% 5/1/39

  681,867      767,285   

5.50% 6/1/39

  685,471      771,341   

5.50% 10/1/39

  299,217      336,700   

5.50% 7/1/41

  567,989      639,142   

6.00% 12/1/35

  215,696      250,090   

6.00% 2/1/36

  89,437      102,446   

6.00% 6/1/36

  58,304      66,618   

6.00% 7/1/36

  172,784      197,167   

6.00% 8/1/36

  101,158      115,208   

6.00% 9/1/36

  155,217      177,516   

6.00% 10/1/36

  166,802      190,349   

6.00% 11/1/36

  10,356      11,837   

6.00% 1/1/37

  123,058      140,558   

6.00% 2/1/37

  657,537      753,144   

6.00% 3/1/37

  57,218      65,325   

6.00% 4/1/37

  7,271      8,280   

6.00% 5/1/37

  194,377      221,844   

6.00% 6/1/37

  115,928      132,109   

6.00% 8/1/37

  236,059      269,430   

6.00% 9/1/37

  349,151      398,175   

6.00% 10/1/37

  504,280      574,715   

6.00% 11/1/37

  122,301      139,380   

6.00% 1/1/38

  64,506      73,632   

6.00% 2/1/38

  62,602      71,297   

6.00% 4/1/38

  7,080      8,069   

6.00% 5/1/38

  232,458      264,764   

6.00% 6/1/38

  88,775      101,163   

6.00% 8/1/38

  103,795      118,211   

6.00% 9/1/38

  63,440      72,448   

6.00% 10/1/38

  57,644      65,650   

6.00% 11/1/38

  46,713      53,255   

6.00% 12/1/38

  906,393      1,041,088   
 

Principal

Amount°

 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Fannie Mae S.F. 30 yr (continued)

  

6.00% 4/1/40

  712,263    $ 813,563   

6.00% 6/1/40

  1,317,102      1,504,179   

6.50% 3/1/32

  1,264      1,452   

6.50% 7/1/36

  128,908      153,770   

6.50% 9/1/36

  121,646      142,993   

6.50% 11/1/36

  162,691      194,033   

6.50% 9/1/37

  21,631      24,834   

6.50% 10/1/37

  252,993      299,623   

6.50% 2/1/38

  199,017      228,490   

6.50% 3/1/38

  462,437      532,994   

6.50% 5/1/38

  78,587      90,225   

6.50% 7/1/38

  186,937      214,622   

6.50% 10/1/38

  198,361      227,738   

7.00% 8/1/39

  618,682      747,351   

Fannie Mae S.F. 30 yr TBA

3.00% 4/15/45

  5,500,000      5,622,891   

3.50% 4/15/45

  20,400,000      21,426,375   

4.00% 4/15/45

  18,100,000      19,352,860   

4.50% 4/15/45

  5,000,000             5,454,689   

Freddie Mac ARM

Ÿ2.272% 11/1/37

  200,086      213,230   

Ÿ2.29% 9/1/37

  375,905      400,412   

Ÿ3.575% 9/1/40

  836,220      895,892   

Ÿ3.694% 8/1/40

  511,327      537,829   

Ÿ5.983% 6/1/36

  75,257      78,577   

Freddie Mac S.F. 15 yr

2.50% 4/1/28

  188,725      193,895   

2.50% 7/1/28

  549,951      564,986   

2.50% 8/1/28

  4,287,890      4,405,125   

2.50% 9/1/28

  3,153,015      3,239,417   

2.50% 10/1/28

  4,337,405      4,455,997   

2.50% 10/1/29

  2,876,735      2,952,883   

3.00% 11/1/26

  4,284,123      4,493,276   

3.00% 2/1/27

  385,546      404,853   

3.00% 3/1/27

  1,820,108      1,910,749   

3.00% 4/1/27

  1,620,307      1,699,505   

3.00% 11/1/27

  721,654      756,648   

3.00% 2/1/29

  1,808,426      1,900,201   

3.50% 12/1/25

  2,194,263      2,353,834   

3.50% 3/1/26

  1,640,603      1,743,552   

4.00% 2/1/24

  109,359      116,427   

4.00% 8/1/24

  168,988      179,852   

4.00% 2/1/25

  237,831      253,440   

4.00% 7/1/25

  692,094      737,075   

4.00% 4/1/26

  1,473,226      1,570,436   

4.50% 8/1/15

  454      476   

4.50% 3/1/18

  111,803      117,236   

4.50% 4/1/18

  97,869      102,624   

4.50% 10/1/18

  37,303      39,115   

4.50% 11/1/18

  154,489      161,997   

4.50% 12/1/18

  76,457      80,298   
 

 

LVIP SSgA Bond Index Fund–3


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Freddie Mac S.F. 15 yr (continued)

  

4.50% 1/1/19

  71,631    $ 75,230   

4.50% 2/1/19

  85,456      89,638   

4.50% 7/1/19

  133,253      139,996   

4.50% 12/1/19

  46,831      49,186   

4.50% 4/1/21

  39,795      41,816   

4.50% 6/1/24

  7,949      8,572   

4.50% 7/1/24

  290,298      313,106   

4.50% 8/1/24

  133,330      143,770   

4.50% 11/1/24

  254,426      274,421   

4.50% 5/1/25

  96,571      103,924   

5.00% 10/1/17

  8,647      9,084   

5.00% 4/1/18

  192,823      202,726   

5.00% 4/1/23

  171,826      186,916   

5.00% 1/1/25

  26,249      27,610   

5.00% 3/1/25

  93,081      101,208   

5.50% 12/1/15

  8,801      9,228   

5.50% 11/1/16

  95,843      100,490   

5.50% 11/1/17

  10,567      11,079   

5.50% 4/1/18

  54,845      57,504   

6.00% 11/1/23

  120,937      136,345   

Freddie Mac S.F. 15 yr TBA

2.50% 4/15/30

  3,000,000             3,075,586   

3.00% 4/15/30

  1,000,000      1,047,031   

3.50% 4/15/30

  2,000,000      2,123,438   

Freddie Mac S.F. 30 yr

3.00% 10/1/42

  2,562,078      2,620,528   

3.00% 1/1/43

  5,575,559      5,702,833   

3.00% 3/1/43

  6,627,943      6,777,567   

3.00% 4/1/43

  4,437,017      4,535,267   

3.00% 7/1/43

  1,800,465      1,839,827   

3.00% 8/1/43

  719,487      735,233   

3.00% 10/1/43

  2,160,037      2,207,714   

3.50% 2/1/42

  3,538,914      3,716,683   

3.50% 5/1/42

  3,369,452      3,537,845   

3.50% 10/1/42

  3,307,103      3,472,862   

3.50% 2/1/43

  1,909,977      2,007,624   

3.50% 5/1/43

  2,569,477      2,696,410   

3.50% 8/1/43

  4,959,330      5,203,924   

3.50% 2/1/44

  1,781,686      1,869,155   

3.50% 3/1/44

  130,857      137,281   

3.50% 6/1/44

  2,230,473      2,339,975   

3.50% 8/1/44

  2,315,288      2,428,953   

3.50% 1/1/45

  4,959,156      5,202,617   

4.00% 5/1/39

  493,596      528,596   

4.00% 2/1/40

  159,798      171,285   

4.00% 5/1/40

  283,249      303,636   

4.00% 8/1/40

  70,469      75,516   

4.00% 9/1/40

  641,653      687,703   

4.00% 10/1/40

  2,255,627      2,417,133   

4.00% 11/1/40

  4,897,735      5,266,362   

4.00% 12/1/40

  2,310,657      2,476,660   

4.00% 2/1/41

  1,990,779      2,144,487   
  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Freddie Mac S.F. 30 yr (continued)

  

4.00% 12/1/41

  3,132,241    $ 3,355,422   

4.00% 1/1/42

  852,501      912,155   

4.00% 3/1/42

  178,470      191,259   

4.00% 4/1/42

  4,704,480      5,058,934   

4.00% 6/1/42

  17,557      18,809   

4.00% 5/1/44

  6,220,178      6,659,536   

4.00% 9/1/44

  1,873,702      2,001,591   

4.50% 2/1/39

  129,231      140,716   

4.50% 4/1/39

  43,144      46,984   

4.50% 5/1/39

  185,438      205,280   

4.50% 6/1/39

  1,342,550      1,479,728   

4.50% 7/1/39

  294,933      321,708   

4.50% 9/1/39

  1,023,247      1,140,561   

4.50% 10/1/39

  1,012,174      1,108,987   

4.50% 1/1/40

  2,523,503      2,793,522   

4.50% 2/1/40

  1,494,120      1,654,464   

4.50% 7/1/40

  271,928      296,691   

4.50% 9/1/40

  1,407,979      1,559,023   

4.50% 2/1/41

  5,794,895             6,398,711   

4.50% 3/1/41

  632,222      699,426   

4.50% 9/1/41

  1,684,861      1,838,232   

4.50% 3/1/44

  910,728      991,290   

4.50% 5/1/44

  33,968      36,989   

5.00% 10/1/34

  373,358      415,527   

5.00% 2/1/35

  67,801      75,258   

5.00% 8/1/35

  147,322      163,871   

5.00% 10/1/35

  66,658      74,054   

5.00% 11/1/35

  28,237      31,334   

5.00% 12/1/35

  239,389      265,922   

5.00% 2/1/37

  175,716      194,890   

5.00% 4/1/37

  184,953      205,115   

5.00% 5/1/37

  189,925      210,715   

5.00% 12/1/37

  620,219      687,480   

5.00% 1/1/38

  8,408      9,312   

5.00% 4/1/38

  6,468      7,164   

5.00% 6/1/38

  348,337      385,808   

5.00% 7/1/38

  41,141      45,567   

5.00% 9/1/38

  16,830      18,640   

5.00% 10/1/38

  331,293      366,931   

5.00% 12/1/38

  968,942      1,073,192   

5.00% 1/1/39

  82,449      91,318   

5.00% 2/1/39

  1,524,870      1,688,905   

5.00% 3/1/39

  554,835      620,210   

5.00% 8/1/39

  167,387      187,346   

5.00% 9/1/39

  962,807      1,071,865   

5.00% 1/1/40

  910,939      1,014,841   

5.00% 5/1/40

  387,113      433,642   

5.00% 6/1/40

  2,184,832      2,442,591   

5.00% 9/1/40

  211,856      234,646   

5.00% 3/1/41

  492,481      545,940   

5.50% 8/1/33

  77,361      87,281   

5.50% 6/1/34

  182,749      206,101   
 

 

LVIP SSgA Bond Index Fund–4


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

Freddie Mac S.F. 30 yr (continued)

  

5.50% 6/1/35

  120,846    $ 136,552   

5.50% 11/1/35

  225,340      253,102   

5.50% 1/1/37

  107,158      120,227   

5.50% 5/1/37

  133,419      149,811   

5.50% 7/1/37

  68,703      78,063   

5.50% 1/1/38

  582,912      653,451   

5.50% 2/1/38

  137,226      154,022   

5.50% 5/1/38

  863,663      972,227   

5.50% 6/1/38

  36,033      40,409   

5.50% 8/1/38

  130,276      148,173   

5.50% 12/1/38

  136,278      153,766   

5.50% 8/1/39

  201,241      226,158   

5.50% 12/1/39

  751,224      842,499   

5.50% 3/1/40

  634,985      711,727   

5.50% 4/1/40

  1,513,212             1,698,633   

5.50% 5/1/40

  502,505      563,946   

5.50% 6/1/41

  120,418      135,115   

6.00% 11/1/28

  22,622      25,991   

6.00% 7/1/33

  22,482      25,833   

6.00% 8/1/36

  35,435      40,547   

6.00% 11/1/36

  104,759      119,133   

6.00% 4/1/37

  1,573      1,794   

6.00% 5/1/37

  202,302      229,927   

6.00% 8/1/37

  419,005      476,810   

6.00% 9/1/37

  257,577      294,093   

6.00% 10/1/37

  63,487      72,092   

6.00% 11/1/37

  369,019      419,457   

6.00% 12/1/37

  25,824      29,386   

6.00% 1/1/38

  285,083      323,571   

6.00% 4/1/38

  20,597      23,396   

6.00% 6/1/38

  46,275      52,568   

6.00% 7/1/38

  70,644      80,282   

6.00% 8/1/38

  96,991      110,164   

6.00% 9/1/38

  50,870      57,817   

6.00% 10/1/38

  138,876      157,664   

6.00% 11/1/38

  21,573      24,507   

6.00% 3/1/39

  63,157      71,729   

6.00% 5/1/40

  1,766,639      2,009,658   

6.50% 11/1/36

  309,339      363,244   

6.50% 8/1/37

  168,334      200,038   

6.50% 10/1/37

  37,215      44,024   

6.50% 6/1/38

  78,457      89,879   

6.50% 4/1/39

  172,533      199,269   

Freddie Mac S.F. 30 yr TBA

3.00% 4/15/45

  3,500,000      3,570,547   

3.50% 4/15/45

  6,000,000      6,288,164   

4.00% 4/15/45

  5,000,000      5,340,625   

GNMA I S.F. 30yr

3.00% 9/15/42

  2,340,555      2,414,138   

3.00% 11/15/42

  2,017,974      2,081,415   

3.00% 12/15/42

  621,199      640,728   
  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

GNMA I S.F. 30 yr (continued)

  

3.50% 10/15/40

  370,841    $ 390,952   

3.50% 1/15/41

  143,453      151,366   

3.50% 7/15/41

  97,470      103,768   

3.50% 10/15/41

  1,102,197      1,161,980   

3.50% 3/15/42

  85,363      89,993   

3.50% 6/15/42

  4,341,672             4,577,108   

3.50% 7/15/42

  1,791,687      1,888,845   

3.50% 10/15/42

  561,749      592,408   

3.50% 4/15/43

  1,229,177      1,295,831   

4.00% 6/15/39

  152,217      163,443   

4.00% 7/15/39

  237,335      254,839   

4.00% 8/15/39

  178,946      192,144   

4.00% 8/15/40

  1,030,665      1,108,813   

4.00% 10/15/40

  937,452      1,022,440   

4.00% 12/15/40

  1,291,964      1,417,342   

4.00% 1/15/41

  1,282,673      1,406,534   

4.00% 9/15/41

  2,035,122      2,189,492   

4.50% 2/15/39

  334,810      369,916   

4.50% 3/15/39

  1,796,200      1,984,540   

4.50% 4/15/39

  163,388      180,530   

4.50% 5/15/39

  154,566      173,077   

4.50% 6/15/39

  582,003      643,029   

4.50% 7/15/39

  691,442      763,942   

4.50% 8/15/39

  116,768      129,011   

4.50% 9/15/39

  623,053      688,808   

4.50% 10/15/39

  1,461,771      1,638,125   

4.50% 11/15/39

  908,576      1,007,594   

4.50% 12/15/39

  404,484      447,667   

4.50% 1/15/40

  1,913,192      2,130,178   

4.50% 4/15/40

  523,454      579,765   

4.50% 5/15/40

  558,075      624,201   

4.50% 6/15/40

  1,425,236      1,591,775   

4.50% 8/15/40

  541,604      598,843   

4.50% 9/15/40

  370,439      412,187   

4.50% 1/15/41

  489,392      549,677   

4.50% 2/15/41

  3,102,423      3,450,107   

4.50% 3/15/41

  432,643      478,568   

4.50% 6/15/41

  391,601      433,492   

4.50% 7/15/41

  49,754      55,066   

5.00% 3/15/35

  106,305      118,800   

5.00% 3/15/38

  35,472      39,561   

5.00% 4/15/38

  38,858      43,371   

5.00% 5/15/38

  5,988      6,678   

5.00% 8/15/38

  18,148      20,240   

5.00% 11/15/38

  58,386      65,165   

5.00% 1/15/39

  355,562      397,486   

5.00% 4/15/39

  385,030      430,858   

5.00% 5/15/39

  1,512,595      1,696,796   

5.00% 6/15/39

  1,342,753      1,517,441   

5.00% 9/15/39

  2,925,970      3,320,082   

5.00% 10/15/39

  254,552      287,841   

5.00% 11/15/39

  656,898      745,115   
 

 

LVIP SSgA Bond Index Fund–5


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

GNMA I S.F. 30 yr (continued)

  

5.00% 1/15/40

  1,907,711    $        2,152,667   

5.00% 2/15/40

  833,685      944,889   

5.00% 4/15/40

  619,399      692,166   

5.00% 7/15/40

  673,489      753,246   

5.50% 10/15/33

  340,078      386,962   

5.50% 4/15/37

  82,729      93,742   

5.50% 7/15/37

  44,761      50,576   

5.50% 1/15/38

  553,133      624,983   

5.50% 2/15/38

  381,320      432,090   

5.50% 7/15/38

  153,282      173,627   

5.50% 8/15/38

  66,563      75,146   

5.50% 9/15/38

  782,962      884,267   

5.50% 12/15/38

  574,225      648,323   

5.50% 1/15/39

  297,073      335,607   

5.50% 5/15/39

  417,853      471,650   

5.50% 7/15/39

  6,091      6,876   

5.50% 10/15/39

  443,741      500,871   

5.50% 12/15/39

  133,132      150,273   

5.50% 4/15/40

  794,561      900,277   

5.50% 2/15/41

  112,140      126,578   

6.00% 5/15/37

  212,096      246,022   

6.00% 1/15/38

  161,920      184,399   

6.00% 3/15/38

  7,725      8,796   

6.00% 5/15/38

  378,136      435,416   

6.00% 7/15/38

  208,012      236,851   

6.00% 8/15/38

  240,599      273,957   

6.00% 10/15/38

  235,967      268,729   

6.00% 11/15/38

  159,207      181,499   

6.00% 12/15/38

  262,329      298,988   

6.00% 1/15/39

  50,752      57,897   

6.00% 5/15/39

  7,746      8,833   

6.00% 6/15/39

  6,315      7,197   

6.00% 8/15/39

  11,836      13,486   

6.00% 10/15/39

  13,690      15,769   

6.00% 6/15/40

  7,617      8,688   

6.00% 12/15/40

  1,150,132      1,309,610   

6.50% 3/15/38

  9,960      11,402   

6.50% 5/15/38

  29,668      33,963   

6.50% 7/15/38

  102,210      117,009   

6.50% 8/15/38

  3,920      4,516   

6.50% 9/15/38

  5,719      6,569   

6.50% 10/15/38

  32,634      37,359   

6.50% 2/15/39

  279,081      320,247   

6.50% 8/15/39

  26,439      30,934   

GNMA I S.F. 30 yr TBA 4.00% 4/15/45

  2,000,000      2,146,250   

GNMA II S.F. 30 yr

3.00% 9/20/42

  3,198,049      3,299,800   

3.00% 11/20/42

  1,620,984      1,672,558   

3.00% 12/20/42

  2,541,111      2,621,962   

3.00% 1/20/43

  2,484,976      2,564,041   

3.00% 2/20/43

  3,114,551      3,230,379   
  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY MORTGAGE-BACKED
SECURITIES (continued)

  

GNMA II S.F. 30 yr (continued)

  

3.00% 3/20/43

  5,179,923    $        5,361,176   

3.00% 6/20/43

  2,195,931      2,265,870   

3.00% 9/20/43

  3,626,855      3,742,478   

3.00% 12/20/44

  3,464,969      3,575,870   

3.50% 4/20/42

  1,302,493      1,374,394   

3.50% 6/20/42

  3,840,903      4,052,936   

3.50% 10/20/42

  1,470,467      1,551,644   

3.50% 12/20/42

  2,984,187      3,148,932   

3.50% 2/20/43

  5,161,835      5,446,804   

3.50% 3/20/43

  3,131,625      3,334,442   

3.50% 5/20/43

  3,705,256      3,909,816   

3.50% 1/20/44

  5,616,843      5,925,529   

3.50% 10/20/44

  4,805,931      5,065,577   

3.50% 12/20/44

  3,449,762      3,636,298   

4.00% 5/20/39

  1,712,973      1,832,331   

4.00% 8/20/40

  1,008,742      1,083,077   

4.00% 10/20/41

  174,612      187,483   

4.00% 11/20/41

  2,927,461      3,143,325   

4.00% 12/20/41

  1,205,901      1,294,751   

4.00% 5/20/42

  2,774,711      2,976,687   

4.00% 7/20/42

  1,704,254      1,827,898   

4.00% 8/20/42

  1,265,552      1,357,024   

4.00% 8/20/43

  2,656,658      2,840,735   

4.00% 3/20/44

  3,894,273      4,154,995   

4.00% 8/20/44

  5,319,131      5,687,719   

4.00% 10/20/44

  1,622,800      1,739,395   

4.50% 7/20/41

  4,392,534      4,790,147   

4.50% 12/20/43

  3,088,208      3,357,345   

4.50% 1/20/44

  2,645,481      2,876,035   

5.00% 4/20/43

  2,252,085      2,525,845   

GNMA II S.F. 30 yr TBA

3.00% 4/15/45

  5,000,000      5,148,339   

3.50% 4/15/45

  10,000,000      10,522,266   

4.00% 4/15/45

  7,000,000      7,458,008   

4.50% 4/15/45

  2,000,000      2,173,125   
     

 

 

 

Total Agency Mortgage-Backed Securities
(Cost $738,126,607)

  758,724,627   
     

 

 

 

AGENCY OBLIGATIONS–3.23%

  

Fannie Mae

0.625% 8/26/16

  6,000,000      6,017,190   

0.875% 10/26/17

  750,000      751,119   

0.875% 12/20/17

  500,000      500,165   

0.875% 2/8/18

  1,000,000      999,630   

0.875% 5/21/18

  1,750,000      1,746,381   

0.90% 11/7/17

  750,000      744,493   

1.00% 8/21/17

  100,000      99,915   

1.00% 10/11/17

  2,000,000      2,000,500   

1.00% 5/21/18

  100,000      99,441   

1.25% 1/30/17

  6,500,000      6,575,705   

1.70% 10/4/19

  125,000      124,872   
 

 

LVIP SSgA Bond Index Fund–6


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY OBLIGATIONS (continued)

  

Fannie Mae (continued)

  

1.75% 1/30/19

  1,100,000    $        1,122,696   

1.75% 9/12/19

  1,000,000      1,016,690   

1.875% 9/18/18

  1,000,000      1,025,485   

2.375% 4/11/16

  10,000,000      10,202,130   

2.625% 9/6/24

  2,085,000      2,162,954   

3.40% 9/27/32

  250,000      250,407   

4.875% 12/15/16

  500,000      536,432   

5.00% 2/13/17

  1,000,000      1,082,125   

5.00% 5/11/17

  500,000      545,165   

5.375% 6/12/17

  600,000      660,556   

5.625% 7/15/37

  100,000      143,894   

6.00% 4/18/36

  100,000      105,404   

6.25% 5/15/29

  500,000      717,949   

6.625% 11/15/30

  300,000      452,270   

7.125% 1/15/30

  500,000      777,735   

7.25% 5/15/30

  500,000      794,218   

8.95% 2/12/18

  1,000,000      1,218,796   

Federal Farm Credit Banks

2.50% 6/20/22

  125,000      125,029   

4.875% 1/17/17

  300,000      322,924   

5.125% 8/25/16

  100,000      106,461   

Federal Home Loan Banks

0.375% 6/24/16

  2,500,000      2,499,083   

0.875% 5/24/17

  500,000      502,427   

1.125% 9/28/16

  500,000      501,746   

1.20% 11/21/18

  750,000      746,636   

2.25% 9/8/17

  500,000      517,101   

4.125% 3/13/20

  400,000      450,460   

4.625% 9/11/20

  1,000,000      1,156,406   

4.875% 5/17/17

  200,000      217,581   

5.00% 11/17/17

  1,700,000      1,882,221   

5.375% 5/18/16

  2,000,000      2,112,682   

5.375% 5/15/19

  1,000,000      1,165,987   

5.50% 7/15/36

  300,000      421,512   

Federal Home Loan Mortgage

0.50% 5/27/16

  2,970,000      2,969,219   

0.75% 1/12/18

  1,000,000      998,504   

0.875% 10/14/16

  1,100,000      1,106,163   

0.875% 3/7/18

  1,250,000      1,248,351   

1.00% 6/29/17

  1,000,000      1,005,900   

1.25% 8/1/19

  500,000      499,407   

1.25% 10/2/19

  1,000,000      992,102   

1.375% 5/1/20

  2,600,000      2,582,655   

1.75% 5/30/19

  500,000      507,787   

2.00% 8/25/16

  500,000      510,749   

2.00% 7/30/19

  100,000      102,918   

2.375% 1/13/22

  6,500,000      6,725,843   

2.50% 5/27/16

  500,000      511,999   

3.75% 3/27/19

  700,000      768,401   

4.875% 6/13/18

  1,150,000      1,291,000   

5.00% 2/16/17

  500,000      540,680   

5.00% 4/18/17

  1,000,000      1,088,968   
  Principal
Amount°
 

Value

(U.S. $)

 

AGENCY OBLIGATIONS (continued)

  

Federal Home Loan Mortgage (continued)

  

5.125% 11/17/17

  250,000    $ 277,884   

5.25% 4/18/16

  1,000,000             1,050,910   

5.50% 8/23/17

  500,000      556,045   

5.625% 11/23/35

  100,000      103,261   

6.25% 7/15/32

  750,000      1,114,625   

6.75% 9/15/29

  100,000      151,577   

6.75% 3/15/31

  300,000      457,963   

Financing

9.40% 2/8/18

  480,000      592,652   

10.70% 10/6/17

  150,000      185,695   

Tennessee Valley Authority

3.875% 2/15/21

  400,000      447,242   

4.625% 9/15/60

  150,000      176,627   

4.65% 6/15/35

  500,000      602,753   

4.70% 7/15/33

  200,000      240,803   

4.875% 12/15/16

  100,000      107,168   

5.25% 9/15/39

  1,025,000      1,347,228   

5.375% 4/1/56

  200,000      268,528   

5.50% 7/18/17

  100,000      110,362   

5.88% 4/1/36

  75,000      105,442   

6.15% 1/15/38

  100,000      147,047   

7.125% 5/1/30

  100,000      150,093   
     

 

 

 

Total Agency Obligations
(Cost $84,041,864)

   

  86,847,124   
     

 

 

 

COMMERCIAL MORTGAGE-BACKED
SECURITIES–1.93%

  

Banc of America Commercial Mortgage Trust

Series 2006-6 A3 5.369% 10/10/45

  250,000      253,249   

Series 2006-6 A4 5.356% 10/10/45

  450,000      462,759   

ŸSeries 2007-2 A4 5.587% 4/10/49

  400,000      423,537   

ŸSeries 2007-3 A4 5.575% 6/10/49

  200,000      213,431   

Series 2007-5 A4 5.492% 2/10/51

  25,000      26,602   

Bear Stearns Commercial Mortgage Securities Trust

Series 2006-PWR13 A4 5.54% 9/11/41

  136,273      142,223   

Series 2006-TOP24 A4 5.537% 10/12/41

  937,284      983,184   

ŸSeries 2007-PWR16 A4 5.708% 6/11/40

  250,000      269,606   

ŸSeries 2007-PWR17 A4 5.694% 6/11/50

  500,000      540,361   

Series 2007-PWR18 A4 5.70% 6/11/50

  360,000      389,658   

ŸSeries 2007-TOP28 AM 5.835% 9/11/42

  1,075,000      1,176,432   

CD Commercial Mortgage Trust Series

2006-CD3 A5 5.617% 10/15/48

  419,864      438,731   

Citigroup Commercial Mortgage Trust

ŸSeries 2007-C6 A4 5.703% 12/10/49

  400,000      432,717   

Series 2013-GC11 AS 3.422% 4/10/46

  770,000      801,952   

Series 2013-GC15 A1 1.378% 9/10/46

  550,679      551,693   

ŸCOBALT Commercial Mortgage Trust Series 2007-C2 A3 5.484% 4/15/47

  424,545      453,006   
 

 

LVIP SSgA Bond Index Fund–7


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

COMMERCIAL MORTGAGE-BACKED
SECURITIES (continued)

   

COMM Mortgage Trust

ŸSeries 2007-C9 A4
5.798% 12/10/49

  500,000    $ 543,375   

Series 2013-LC6 AM
3.282% 1/10/46

  1,000,000             1,033,580   

Series 2014-CR17 A5
3.977% 5/10/47

  1,365,000      1,499,257   

Series 2014-UBS3 A4
3.819% 6/10/47

  1,500,000      1,622,765   

¿Commercial Mortgage Pass Through Certificates Series 2014-CR14 A3 3.955% 2/10/47

  545,000      600,208   

Commercial Mortgage Trust Series 2007-GG11 A4 5.736% 12/10/49

  100,000      107,772   

Credit Suisse Commercial Mortgage Trust

ŸSeries 2007-C3 A4
5.704% 6/15/39

  165,389      176,950   

ŸSeries 2008-C1 A3
5.971% 2/15/41

  200,000      219,146   

Fannie Mae-Aces

ŸSeries 2014-M1 ASQ2
2.323% 11/25/18

  3,000,000      3,083,439   

ŸSeries 2014-M2 A2
3.513% 12/25/23

  1,285,000      1,390,781   

Freddie Mac Multifamily Structured Pass Through Certificates

¿Series K006 A1 3.398% 7/25/19

  1,265,695      1,327,435   

¿Series K010 A1 3.32% 7/25/20

  662,819      694,454   

¿Series K025 A1 1.875% 4/25/22

  1,468,235      1,478,682   

¿Series K026 A2 2.51% 11/25/22

  1,000,000      1,018,844   

Ÿ¿Series K030 A2 3.25% 4/25/23

  6,000,000      6,421,782   

General Electric Capital Commercial Mortgage Series 2007-C1 A4 5.543% 12/10/49

  725,000      766,634   

GS Mortgage Securities Trust

ŸSeries 2007-GG10 A4
5.796% 8/10/45

  449,390      485,298   

Series 2013-GC12-A3
2.86% 6/10/46

  1,500,000      1,532,700   

ŸJPMBB Commercial Mortgage Securities Trust Series 2013-C14 A4 4.133% 8/15/46

  1,500,000      1,665,449   

JPMorgan Chase Commercial Mortgage Securities Trust

ŸSeries 2006-CB15 A4 5.814% 6/12/43

  210,943      218,964   

Series 2006-CB17 A4 5.429% 12/12/43

  350,667      367,956   

Series 2006-LDP8 A4 5.399% 5/15/45

  904,902      942,915   

Series 2013-C10 ASB 2.702% 12/15/47

  1,000,000      1,023,647   

LB-UBS Commercial Mortgage Trust

ŸSeries 2005-C7 A4 5.197% 11/15/30

  108,648      109,163   

Series 2006-C6 A4 5.372% 9/15/39

  250,000      262,493   

ŸSeries 2007-C6 A4 5.858% 7/15/40

  553,215      580,476   

ŸSeries 2007-C7 A3 5.866% 9/15/45

  693,412      762,228   

ŸSeries 2008-C1 A2 6.147% 4/15/41

  346,162      379,490   

Merrill Lynch Mortgage Trust

ŸSeries 2007-C1 A4 5.837% 6/12/50

  255,000      274,348   

Series 2008-C1 A4 5.69% 2/12/51

  658,804      715,280   

Merrill Lynch/Countrywide Commercial Mortgage Trust

Series 2006-4 A3 5.172% 12/12/49

  704,779      740,641   

Series 2007-5 A4 5.378% 8/12/48

  298,891      315,888   

ŸSeries 2007-9 AM 5.856% 9/12/49

  1,050,000      1,146,645   
  Principal
Amount°
 

Value

(U.S. $)

 

COMMERCIAL MORTGAGE-BACKED
SECURITIES (continued)

   

Morgan Stanley Bank of America Merrill Lynch Trust

Series 2013-C11 A2 3.085% 8/15/46

  750,000    $ 785,317   

Series 2013-C9 A4 3.102% 5/15/46

  725,000      752,298   

Series 2014-C17 A2 3.119% 8/15/47

  1,000,000             1,050,383   

Morgan Stanley Capital I Trust

ŸSeries 2006-HQ9 AJ 5.793% 7/12/44

  500,000      524,270   

ŸSeries 2007-IQ15 A4 5.909% 6/11/49

  238,701      259,258   

Series 2007-IQ16 A4 5.809% 12/12/49

  1,471,139      1,594,756   

UBS-Barclays Commercial Mortgage Trust Series 2012-C2 A4
3.525% 5/10/63

  1,000,000      1,066,484   

Wachovia Bank Commercial Mortgage Trust

ŸSeries 2006-C27 AM 5.795% 7/15/45

  250,000      262,813   

Series 2006-C29 AM 5.339% 11/15/48

  750,000      795,328   

ŸSeries 2007-C32 A3 5.707% 6/15/49

  200,000      213,877   

ŸSeries 2007-C33 A5 5.964% 2/15/51

  500,000      545,892   

Series 2007-C34 A3 5.678% 5/15/46

  500,000      537,643   

ŸWells Fargo Commercial Mortgage Trust Series 2013-LC12 B 4.301% 7/15/46

  400,000      433,227   

WFRBS Commercial Mortgage Trust

Series 2012-C9 A3 2.87% 11/15/45

  940,000      966,270   

ŸSeries 2013-C15 C 4.482% 8/15/46

  1,000,000      1,062,468   
     

 

 

 

Total Commercial Mortgage-Backed Securities
(Cost $49,397,757)

   

  51,918,110   
     

 

 

 

CORPORATE BONDS–24.66%

 

Aerospace & Defense–0.36%

 

Boeing

2.50% 3/1/25

  50,000      49,872   

3.30% 3/1/35

  100,000      99,587   

3.50% 3/1/45

  25,000      24,869   

4.875% 2/15/20

  200,000      230,124   

6.00% 3/15/19

  100,000      116,901   

6.125% 2/15/33

  50,000      68,015   

6.875% 3/15/39

  100,000      151,117   

Boeing Capital

2.125% 8/15/16

  100,000      101,972   

4.70% 10/27/19

  300,000      338,054   

Embraer Overseas
5.15% 6/15/22

  50,000      51,937   

General Dynamics

1.00% 11/15/17

  100,000      100,041   

2.25% 7/15/16

  150,000      153,419   

2.25% 11/15/22

  250,000      245,961   

Honeywell International

3.35% 12/1/23

  200,000      211,484   

4.25% 3/1/21

  50,000      56,233   

5.00% 2/15/19

  100,000      112,715   

5.30% 3/1/18

  100,000      111,847   

5.375% 3/1/41

  65,000      83,637   

5.70% 3/15/36

  150,000      194,139   

5.70% 3/15/37

  100,000      130,525   
 

 

LVIP SSgA Bond Index Fund–8


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Aerospace & Defense (continued)

  

L-3 Communications

3.95% 11/15/16

  100,000    $ 103,952   

3.95% 5/28/24

  450,000      462,721   

4.75% 7/15/20

  100,000      109,137   

4.95% 2/15/21

  100,000      110,740   

Lockheed Martin

2.90% 3/1/25

  300,000      302,794   

3.35% 9/15/21

  100,000      106,272   

3.60% 3/1/35

  150,000      150,454   

4.07% 12/15/42

  279,000      292,639   

4.25% 11/15/19

  200,000      219,900   

4.85% 9/15/41

  100,000      116,252   

Northrop Grumman

1.75% 6/1/18

  150,000      150,555   

3.25% 8/1/23

  350,000      361,497   

3.50% 3/15/21

  100,000      105,542   

5.05% 11/15/40

  100,000      116,313   

Northrop Grumman Systems

7.75% 2/15/31

  150,000      212,975   

Precision Castparts

1.25% 1/15/18

  200,000      199,354   

2.50% 1/15/23

  200,000      197,426   

3.90% 1/15/43

  50,000      51,459   

Raytheon

2.50% 12/15/22

  125,000      124,874   

3.125% 10/15/20

  200,000      211,224   

4.40% 2/15/20

  100,000      111,254   

4.70% 12/15/41

  200,000      228,068   

6.40% 12/15/18

  50,000      58,517   

7.20% 8/15/27

  100,000      138,116   

Rockwell Collins

3.70% 12/15/23

  150,000      160,620   

4.80% 12/15/43

  100,000      119,675   

5.25% 7/15/19

  50,000      56,607   

United Technologies

1.80% 6/1/17

  150,000      152,842   

3.10% 6/1/22

  409,000      426,222   

4.50% 4/15/20

  210,000      236,159   

4.50% 6/1/42

  400,000      445,460   

5.375% 12/15/17

  150,000      166,749   

5.40% 5/1/35

  200,000      245,816   

6.05% 6/1/36

  150,000      198,925   

6.125% 2/1/19

  250,000      291,359   

6.125% 7/15/38

  200,000      267,155   
     

 

 

 
         9,642,073   
     

 

 

 

Air Freight & Logistics–0.09%

 

FedEx

2.625% 8/1/22

  55,000      55,331   

3.20% 2/1/25

  200,000      203,129   

3.875% 8/1/42

  100,000      96,905   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Air Freight & Logistics (continued)

  

FedEx (continued)

4.00% 1/15/24

  120,000    $ 129,779   

4.10% 4/15/43

  100,000      100,776   

4.10% 2/1/45

  200,000      200,556   

4.90% 1/15/34

  60,000      67,774   

8.00% 1/15/19

  100,000      121,354   

Hunt (J.B.) Transport Services

3.85% 3/15/24

  150,000      159,054   

United Parcel Service

2.45% 10/1/22

  125,000      126,074   

3.125% 1/15/21

  350,000      372,416   

3.625% 10/1/42

  75,000      75,872   

4.875% 11/15/40

  55,000      65,804   

5.125% 4/1/19

  200,000      227,628   

6.20% 1/15/38

  255,000      347,303   
     

 

 

 
         2,349,755   
     

 

 

 

Airlines–0.07%

¿American Airlines 2013-2 Class A Pass Through Trust 4.95% 1/15/23

  366,336      401,138   

¿American Airlines 2015-1 Class A Pass Through Trust 3.375% 5/1/27

  100,000      100,750   

Continental Airlines Pass Through Trust

¿Series 2009-1 9.00% 7/8/16

  142,948      154,741   

¿Series 2010-1 Class A 4.75% 1/12/21

  79,929      85,723   

¿Series 2012-1 Class A 4.15% 4/11/24

  231,543      245,436   

Delta Air Lines Pass Through Trust

¿Series 2009-1 Class A 7.75% 12/17/19

  56,451      65,201   

¿Series 2010-1 Class A 6.20% 7/2/18

  61,850      68,035   

¿Series 2010-2 Class A 4.95% 5/23/19

  67,827      72,660   

¿Hawaiian Airlines Pass Through Certificates Series 2013-1 Class A
3.90% 1/15/26

  38,708      39,386   

Southwest Airlines

2.75% 11/6/19

  50,000      51,192   

5.125% 3/1/17

  100,000      106,972   

¿United Airlines 2014-2 Class A Pass Through Trust Series 2014-2 Class A
3.75% 9/3/26

  200,000      208,500   

US Airways Pass Through Trust

¿Series 2012-1 Class A 5.90% 10/1/24

  44,716      51,088   

¿Series 2012-2 Class A 4.625% 6/3/25

  90,568      96,908   

¿Series 2013-1 Class A 3.95% 11/15/25

  97,088      100,729   
     

 

 

 
  1,848,459   
     

 

 

 

Auto Components–0.06%

Delphi 5.00% 2/15/23

  300,000      322,500   

Johnson Controls

1.40% 11/2/17

  500,000      498,822   

3.625% 7/2/24

  107,000      111,085   

4.25% 3/1/21

  60,000      65,245   
 

 

LVIP SSgA Bond Index Fund–9


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Auto Components (continued)

  

Johnson Controls (continued)

4.95% 7/2/64

  94,000    $ 101,270   

5.00% 3/30/20

  100,000      111,845   

5.70% 3/1/41

  70,000      85,676   

Magna International
3.625% 6/15/24

  200,000      204,152   
     

 

 

 
         1,500,595   
     

 

 

 

Automobiles–0.06%

Daimler Finance North America
8.50% 1/18/31

  200,000      317,413   

Ford Motor

4.75% 1/15/43

  400,000      439,094   

7.45% 7/16/31

  650,000      899,744   
     

 

 

 
  1,656,251   
     

 

 

 

Beverages–0.49%

Anheuser-Busch 6.45% 9/1/37

  100,000      132,396   

Anheuser-Busch InBev Finance

1.125% 1/27/17

  250,000      251,437   

1.25% 1/17/18

  250,000      250,416   

2.625% 1/17/23

  150,000      148,026   

4.00% 1/17/43

  100,000      101,967   

4.625% 2/1/44

  550,000      611,150   

Anheuser-Busch InBev Worldwide

1.375% 7/15/17

  500,000      503,370   

2.50% 7/15/22

  450,000      444,692   

3.75% 7/15/42

  136,000      133,184   

4.375% 2/15/21

  30,000      33,410   

5.375% 1/15/20

  400,000      461,240   

6.375% 1/15/40

  200,000      263,103   

7.75% 1/15/19

  500,000      605,601   

8.20% 1/15/39

  200,000      313,631   

Beam Suntory 1.75% 6/15/18

  250,000      250,167   

Bottling Group

5.125% 1/15/19

  200,000      225,340   

5.50% 4/1/16

  250,000      262,284   

Brown-Forman

1.00% 1/15/18

  250,000      247,144   

3.75% 1/15/43

  125,000      124,605   

Coca-Cola

1.65% 3/14/18

  250,000      254,302   

1.65% 11/1/18

  500,000      506,279   

1.80% 9/1/16

  245,000      249,276   

2.45% 11/1/20

  500,000      515,516   

2.50% 4/1/23

  250,000      251,458   

3.15% 11/15/20

  170,000      181,002   

3.30% 9/1/21

  250,000      267,390   

Coca-Cola Enterprises

3.50% 9/15/20

  100,000      106,313   

4.50% 9/1/21

  200,000      223,333   

Coca-Cola Femsa

2.375% 11/26/18

  200,000      204,748   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Beverages (continued)

  

Coca-Cola Femsa (continued)

3.875% 11/26/23

  200,000    $ 215,506   

Diageo Capital

0.625% 4/29/16

  300,000                299,935   

1.50% 5/11/17

  125,000      126,235   

2.625% 4/29/23

  350,000      348,754   

3.875% 4/29/43

  30,000      30,110   

4.828% 7/15/20

  100,000      113,730   

5.50% 9/30/16

  100,000      107,009   

5.75% 10/23/17

  100,000      111,182   

5.875% 9/30/36

  100,000      128,325   

Diageo Investment
8.00% 9/15/22

  100,000      133,090   

Dr. Pepper Snapple Group

2.00% 1/15/20

  66,000      65,608   

6.82% 5/1/18

  100,000      115,398   

Fomento Economico Mexicano

2.875% 5/10/23

  150,000      144,459   

4.375% 5/10/43

  200,000      197,170   

Molson Coors Brewing
5.00% 5/1/42

  250,000      266,457   

PepsiCo

1.25% 8/13/17

  100,000      100,500   

2.75% 3/1/23

  250,000      252,942   

3.00% 8/25/21

  100,000      104,943   

3.125% 11/1/20

  250,000      265,695   

3.60% 3/1/24

  779,000      831,900   

3.60% 8/13/42

  250,000      243,471   

4.00% 3/5/42

  100,000      103,121   

4.50% 1/15/20

  100,000      112,301   

4.875% 11/1/40

  100,000      115,893   

5.00% 6/1/18

  150,000      166,356   

5.50% 1/15/40

  150,000      188,078   

7.90% 11/1/18

  200,000      242,619   
     

 

 

 
  13,253,567   
     

 

 

 

Biotechnology–0.25%

Amgen

2.125% 5/15/17

  250,000      254,725   

2.20% 5/22/19

  650,000      658,780   

2.30% 6/15/16

  150,000      152,296   

2.50% 11/15/16

  100,000      102,417   

3.625% 5/15/22

  100,000      106,051   

3.625% 5/22/24

  150,000      158,047   

3.875% 11/15/21

  200,000      215,505   

4.10% 6/15/21

  100,000      108,436   

4.50% 3/15/20

  150,000      165,848   

5.15% 11/15/41

  250,000      289,031   

5.65% 6/15/42

  200,000      246,013   

5.75% 3/15/40

  200,000      243,980   

6.15% 6/1/18

  250,000      285,505   

6.375% 6/1/37

  100,000      129,728   

6.40% 2/1/39

  50,000      65,076   

6.90% 6/1/38

  150,000      207,825   
 

 

LVIP SSgA Bond Index Fund–10


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Biotechnology (continued)

Biogen Idec 6.875% 3/1/18

  100,000    $ 115,167   

Celgene

2.30% 8/15/18

  143,000      145,184   

3.25% 8/15/22

  250,000      256,018   

3.625% 5/15/24

  200,000      208,250   

3.95% 10/15/20

  100,000      108,046   

4.00% 8/15/23

  100,000      108,077   

4.625% 5/15/44

  300,000      320,407   

Genzyme 5.00% 6/15/20

  100,000      114,511   

Gilead Sciences

3.50% 2/1/25

  670,000      707,401   

4.40% 12/1/21

  200,000      223,859   

4.50% 4/1/21

  100,000      112,535   

4.50% 2/1/45

  80,000      88,577   

4.80% 4/1/44

  400,000      462,091   

5.65% 12/1/41

  250,000      319,699   
     

 

 

 
         6,679,085   
     

 

 

 

Building Products–0.03%

CRH America

6.00% 9/30/16

  150,000      160,036   

8.125% 7/15/18

  125,000      148,977   

Martin Marietta Materials
4.25% 7/2/24

  55,000      57,771   

Owens Corning

4.20% 12/15/22

  212,000      221,587   

7.00% 12/1/36

  100,000      122,867   
     

 

 

 
  711,238   
     

 

 

 

Capital Markets–2.22%

Affiliated Managers Group
4.25% 2/15/24

  100,000      106,971   

Ameriprise Financial

5.30% 3/15/20

  200,000      230,301   

7.30% 6/28/19

  200,000      241,888   

Apollo Investment 5.25% 3/3/25

  50,000      50,909   

Ares Capital

3.875% 1/15/20

  30,000      30,558   

4.875% 11/30/18

  100,000      105,218   

Bank of America

4.25% 10/22/26

  1,133,000      1,171,243   

6.11% 1/29/37

  200,000      244,329   

6.40% 8/28/17

  200,000      221,790   

6.875% 4/25/18

  800,000      915,726   

6.875% 11/15/18

  300,000      348,399   

7.75% 5/14/38

  200,000      288,932   

Bank of New York Mellon

f1.969% 6/20/17

  250,000      254,816   

2.10% 8/1/18

  500,000      509,547   

2.10% 1/15/19

  200,000      202,557   

2.15% 2/24/20

  150,000      151,327   

2.30% 7/28/16

  200,000      204,048   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Capital Markets (continued)

Bank of New York Mellon (continued)

  

2.30% 9/11/19

  500,000    $ 509,215   

3.00% 2/24/25

  100,000      101,581   

3.55% 9/23/21

  200,000      213,771   

3.95% 11/18/25

  100,000      110,482   

4.15% 2/1/21

  100,000      110,565   

5.45% 5/15/19

  100,000      114,011   

Bear Stearns

4.65% 7/2/18

  500,000      544,977   

5.55% 1/22/17

  300,000      321,050   

7.25% 2/1/18

  300,000      345,603   

BlackRock

3.375% 6/1/22

  150,000      158,099   

5.00% 12/10/19

  100,000      113,922   

6.25% 9/15/17

  100,000      112,326   

Comerica Bank
5.75% 11/21/16

  100,000      107,241   

Credit Suisse USA
5.85% 8/16/16

  100,000      106,809   

Deutsche Bank

1.40% 2/13/17

  700,000      700,911   

3.70% 5/30/24

  490,000      502,850   

Ÿ4.296% 5/24/28

  200,000      197,502   

4.50% 4/1/25

  200,000      200,125   

6.00% 9/1/17

  500,000      551,345   

Export-Import Bank of Korea

2.375% 8/12/19

  200,000      203,447   

2.875% 1/21/25

  500,000      502,787   

3.75% 10/20/16

  200,000      207,935   

4.00% 1/11/17

  100,000      104,841   

4.00% 1/29/21

  100,000      108,739   

5.00% 4/11/22

  250,000      290,167   

5.125% 6/29/20

  100,000      114,607   

Franklin Resources

2.85% 3/30/25

  100,000      99,920   

4.625% 5/20/20

  100,000      111,882   

FS Investment 4.00% 7/15/19

  100,000      101,703   

Goldman Sachs Group

2.375% 1/22/18

  500,000      510,422   

2.55% 10/23/19

  750,000      761,238   

2.90% 7/19/18

  500,000      516,999   

3.625% 1/22/23

  450,000      466,257   

3.85% 7/8/24

  400,000      419,107   

5.25% 7/27/21

  400,000      455,258   

5.375% 3/15/20

  200,000                227,101   

5.625% 1/15/17

  500,000      536,279   

5.75% 10/1/16

  700,000      747,158   

5.75% 1/24/22

  750,000      876,271   

5.95% 1/18/18

  700,000      779,937   

5.95% 1/15/27

  200,000      234,900   

6.00% 6/15/20

  500,000      584,244   

6.125% 2/15/33

  250,000      319,807   

6.15% 4/1/18

  500,000      562,353   
 

 

LVIP SSgA Bond Index Fund–11


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Capital Markets (continued)

Goldman Sachs Group (continued)

  

6.25% 9/1/17

  300,000    $ 332,868   

6.25% 2/1/41

  255,000      333,584   

6.45% 5/1/36

  600,000      752,636   

6.75% 10/1/37

  800,000             1,052,483   

7.50% 2/15/19

  825,000      985,466   

Invesco Finance 4.00% 1/30/24

  500,000      533,899   

Jefferies Group

5.125% 1/20/23

  150,000      155,950   

6.25% 1/15/36

  100,000      100,425   

8.50% 7/15/19

  200,000      240,202   

KFW

^0.419% 4/18/36

  200,000      116,081   

^0.43% 6/29/37

  500,000      276,156   

0.50% 4/19/16

  650,000      650,792   

0.75% 3/17/17

  1,000,000      1,001,455   

0.875% 9/5/17

  350,000      350,526   

1.00% 1/26/18

  1,000,000      1,002,348   

1.00% 6/11/18

  1,000,000      998,873   

1.25% 2/15/17

  750,000      758,231   

2.00% 6/1/16

  700,000      712,865   

2.00% 10/4/22

  700,000      709,228   

2.125% 1/17/23

  1,000,000      1,020,537   

2.625% 1/25/22

  400,000      422,641   

2.75% 9/8/20

  2,500,000      2,656,395   

4.00% 1/27/20

  750,000      838,773   

4.375% 3/15/18

  350,000      384,663   

4.50% 7/16/18

  800,000      886,922   

4.875% 1/17/17

  500,000      537,567   

4.875% 6/17/19

  500,000      571,998   

Korea Development Bank

2.25% 8/7/17

  250,000      254,345   

3.00% 3/17/19

  500,000      520,637   

3.25% 9/20/16

  100,000      103,039   

3.50% 8/22/17

  250,000      261,405   

3.875% 5/4/17

  200,000      210,009   

4.00% 9/9/16

  100,000      104,193   

Landwirtschaftliche Rentenbank

1.00% 4/4/18

  500,000      499,493   

1.375% 10/23/19

  300,000      299,763   

1.75% 4/15/19

  1,125,000      1,145,433   

2.375% 9/13/17

  300,000      311,157   

5.125% 2/1/17

  400,000      432,288   

Lazard Group

3.75% 2/13/25

  100,000      98,825   

4.25% 11/14/20

  106,000      113,427   

Legg Mason 5.625% 1/15/44

  100,000      118,894   

Lloyds Bank

2.30% 11/27/18

  250,000      254,395   

4.20% 3/28/17

  500,000      528,683   

6.375% 1/21/21

  300,000      363,397   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Capital Markets (continued)

Morgan Stanley

1.875% 1/5/18

  600,000    $ 604,508   

2.125% 4/25/18

  300,000      303,519   

2.50% 1/24/19

  250,000      254,855   

3.70% 10/23/24

  1,125,000             1,175,264   

3.75% 2/25/23

  500,000      524,563   

4.10% 5/22/23

  350,000      364,626   

4.30% 1/27/45

  500,000      520,317   

4.35% 9/8/26

  300,000      314,905   

4.75% 3/22/17

  700,000      745,567   

4.875% 11/1/22

  250,000      273,475   

5.00% 11/24/25

  175,000      193,557   

5.45% 1/9/17

  800,000      856,148   

5.50% 1/26/20

  200,000      227,542   

5.50% 7/28/21

  300,000      348,492   

5.55% 4/27/17

  350,000      378,852   

5.625% 9/23/19

  350,000      398,793   

5.75% 10/18/16

  200,000      213,464   

5.75% 1/25/21

  650,000      759,720   

5.95% 12/28/17

  300,000      332,819   

6.25% 8/9/26

  100,000      124,447   

6.375% 7/24/42

  850,000      1,137,857   

6.625% 4/1/18

  500,000      569,067   

7.25% 4/1/32

  100,000      139,735   

7.30% 5/13/19

  300,000      359,221   

fMurray Street Investment Trust I
4.647% 3/9/17

  300,000      318,060   

NCUA Guaranteed Notes
2.35% 6/12/17

  100,000      103,209   

Nomura Holdings

2.00% 9/13/16

  150,000      151,462   

2.75% 3/19/19

  100,000      102,427   

6.70% 3/4/20

  83,000      99,384   

Northern Trust

3.45% 11/4/20

  100,000      108,081   

3.95% 10/30/25

  250,000      268,920   

6.50% 8/15/18

  850,000      984,321   

Oesterreichische Kontrollbank

1.125% 5/29/18

  350,000      349,700   

1.375% 2/10/20

  300,000      298,855   

2.00% 6/3/16

  300,000      305,375   

PennantPark Investment
4.50% 10/1/19.

  150,000      152,584   

Prospect Capital 5.00% 7/15/19

  200,000      208,852   

Raymond James Financial
8.60% 8/15/19

  200,000      248,546   

Schwab (Charles)

1.50% 3/10/18

  50,000      50,266   

3.00% 3/10/25

  100,000      101,268   

3.225% 9/1/22

  100,000      103,441   

4.45% 7/22/20

  100,000      112,131   

TD Ameritrade Holding
2.95% 4/1/22

  250,000      254,419   
     

 

 

 
  59,689,864   
     

 

 

 
 

 

LVIP SSgA Bond Index Fund–12


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Chemicals–0.53%

Agrium

3.15% 10/1/22

  100,000    $ 100,436   

4.125% 3/15/35

  500,000      497,396   

6.125% 1/15/41

  245,000      305,645   

6.75% 1/15/19

  100,000      116,557   

Air Products & Chemicals

2.00% 8/2/16

  55,000      55,990   

3.35% 7/31/24

  250,000                259,433   

4.375% 8/21/19

  50,000      54,973   

Airgas 2.90% 11/15/22

  150,000      148,992   

Albemarle 5.45% 12/1/44

  500,000      541,308   

Cabot 5.00% 10/1/16

  50,000      52,829   

CF Industries

3.45% 6/1/23

  38,000      38,419   

4.95% 6/1/43

  38,000      40,314   

5.15% 3/15/34

  450,000      494,686   

7.125% 5/1/20

  200,000      241,251   

Cytec Industries 3.95% 5/1/25

  100,000      102,923   

Dow Chemical

3.00% 11/15/22

  150,000      151,542   

4.25% 11/15/20

  700,000      769,807   

4.375% 11/15/42

  400,000      402,946   

5.25% 11/15/41

  100,000      112,888   

5.70% 5/15/18

  197,000      221,688   

7.375% 11/1/29

  125,000      169,995   

8.55% 5/15/19

  355,000      444,864   

9.40% 5/15/39

  100,000      166,041   

duPont (E.I.) deNemours

2.80% 2/15/23

  300,000      299,905   

3.625% 1/15/21

  100,000      107,094   

4.15% 2/15/43

  100,000      102,956   

4.25% 4/1/21

  150,000      165,132   

5.25% 12/15/16

  25,000      26,891   

5.75% 3/15/19

  100,000      114,559   

6.00% 7/15/18

  400,000      456,218   

6.50% 1/15/28

  150,000      195,406   

Eastman Chemical

3.60% 8/15/22

  225,000      234,255   

3.80% 3/15/25

  100,000      104,084   

4.65% 10/15/44

  70,000      73,760   

4.80% 9/1/42

  250,000      261,889   

5.50% 11/15/19

  100,000      113,215   

Ecolab

2.25% 1/12/20

  200,000      201,477   

3.00% 12/8/16

  250,000      257,872   

4.35% 12/8/21

  200,000      220,704   

FMC

3.95% 2/1/22

  100,000      105,021   

4.10% 2/1/24

  100,000      105,973   

International Flavors & Fragrances

3.20% 5/1/23

  50,000      49,968   

Lubrizol 8.875% 2/1/19

  150,000      187,360   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Chemicals (continued)

LYB International Finance
4.00% 7/15/23

  200,000    $ 212,228   

LyondellBasell Industries

5.00% 4/15/19

  500,000      551,861   

6.00% 11/15/21

  350,000      411,997   

Methanex 5.65% 12/1/44

  200,000      210,826   

Monsanto

2.125% 7/15/19

  400,000      405,871   

2.20% 7/15/22

  100,000      97,205   

2.75% 4/15/16

  100,000      101,761   

3.60% 7/15/42

  125,000      118,867   

4.70% 7/15/64

  250,000      273,419   

5.125% 4/15/18

  25,000      27,625   

5.875% 4/15/38

  50,000      63,027   

Mosaic

4.25% 11/15/23

  125,000      133,550   

5.45% 11/15/33

  104,000      120,617   

5.625% 11/15/43

  200,000      238,415   

NewMarket 4.10% 12/15/22

  50,000      51,991   

Potash of Saskatchewan

3.00% 4/1/25

  300,000      301,032   

3.625% 3/15/24

  200,000      211,084   

4.875% 3/30/20

  10,000      11,268   

6.50% 5/15/19

  145,000      170,943   

PPG Industries

2.30% 11/15/19

  100,000      101,241   

3.60% 11/15/20

  100,000      105,665   

Praxair

1.05% 11/7/17

  175,000      174,495   

1.25% 11/7/18

  100,000      99,263   

2.20% 8/15/22

  100,000      97,636   

2.70% 2/21/23

  100,000      100,728   

4.05% 3/15/21

  100,000      110,130   

4.50% 8/15/19

  100,000      110,959   

Rohm & Haas 7.85% 7/15/29

  150,000      213,675   

RPM International
6.125% 10/15/19

  100,000      114,408   

Sherwin-Williams 1.35% 12/15/17

  200,000      200,430   

Syngenta Finance 3.125% 3/28/22

  100,000      102,020   

Valspar 7.25% 6/15/19

  50,000      58,764   

Westlake Chemical 3.60% 7/15/22

  50,000      50,544   
     

 

 

 
       14,228,207   
     

 

 

 

Commercial Banks–2.38%

Abbey National Treasury Services

2.35% 9/10/19

  335,000      340,645   

3.05% 8/23/18

  250,000      260,630   

4.00% 4/27/16

  150,000      154,704   

American Express Bank
6.00% 9/13/17

  250,000      277,263   

American Express Centurion Bank

5.95% 6/12/17

  100,000      110,186   

6.00% 9/13/17

  100,000      111,033   
 

 

LVIP SSgA Bond Index Fund–13


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

Australia & New Zealand Banking Group

1.25% 6/13/17

  350,000    $ 351,407   

1.45% 5/15/18

  250,000      249,259   

Banco do Brasil
3.875% 10/10/22

  300,000      277,860   

Bancolombia 5.95% 6/3/21

  200,000      221,940   

Bank of America North America

1.125% 11/14/16

  300,000      300,433   

1.25% 2/14/17

  650,000      651,446   

5.30% 3/15/17

  650,000      694,517   

6.00% 10/15/36

  400,000      515,861   

Bank of Montreal

1.30% 7/15/16

  194,000      195,452   

1.45% 4/9/18

  500,000      500,017   

2.50% 1/11/17

  300,000      308,587   

2.55% 11/6/22

  300,000      298,884   

Bank of Nova Scotia

1.10% 12/13/16

  400,000      401,568   

1.25% 4/11/17

  200,000      200,659   

1.375% 7/15/16

  200,000      201,776   

1.375% 12/18/17

  150,000      150,201   

1.45% 4/25/18

  250,000      249,488   

2.55% 1/12/17

  300,000      308,152   

2.80% 7/21/21

  550,000      562,654   

Bank One 8.00% 4/29/27

  100,000      139,173   

Barclays 2.75% 11/8/19

  1,000,000             1,010,777   

Barclays Bank

3.75% 5/15/24

  500,000      527,061   

5.00% 9/22/16

  400,000      422,900   

5.125% 1/8/20

  250,000      284,452   

5.14% 10/14/20

  200,000      222,473   

BB&T

2.05% 6/19/18

  350,000      354,982   

2.45% 1/15/20

  700,000      712,551   

3.95% 4/29/16

  100,000      103,550   

4.90% 6/30/17

  100,000      107,413   

BNP Paribas

1.375% 3/17/17

  600,000      601,273   

2.375% 9/14/17

  250,000      254,982   

2.70% 8/20/18

  300,000      309,502   

3.25% 3/3/23

  500,000      511,773   

4.25% 10/15/24

  200,000      206,259   

5.00% 1/15/21

  300,000      340,489   

BPCE

1.70% 4/25/16

  250,000      252,393   

2.25% 1/27/20

  250,000      251,724   

2.50% 12/10/18

  250,000      256,209   

2.50% 7/15/19

  250,000      255,145   

Branch Banking & Trust

1.35% 10/1/17

  250,000      250,724   

1.45% 10/3/16

  250,000      252,504   

2.30% 10/15/18

  250,000      255,930   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

Canadian Imperial Bank of Commerce

1.35% 7/18/16

  200,000    $ 201,780   

1.55% 1/23/18

  200,000      200,962   

Comerica

2.125% 5/23/19

  50,000      50,220   

3.80% 7/22/26

  60,000      61,191   

Commonwealth Bank of Australia

1.90% 9/18/17

  250,000      254,533   

2.25% 3/13/19

  250,000      253,609   

2.30% 9/6/19

  250,000      253,092   

2.50% 9/20/18

  800,000      824,686   

Compass Bank
6.40% 10/1/17

  100,000      109,009   

Cooperatieve Centrale Raiffeisen-Boerenleenbank

1.70% 3/19/18

  250,000      252,388   

2.25% 1/14/19

  300,000      305,430   

3.375% 1/19/17

  400,000      417,063   

3.875% 2/8/22

  250,000      269,453   

3.95% 11/9/22

  250,000      259,224   

4.50% 1/11/21

  550,000      616,528   

4.625% 12/1/23

  350,000      379,048   

5.25% 5/24/41

  150,000      182,899   

#Corpbanca 144A 3.875% 9/22/19

  300,000      301,012   

#Credit Suisse Group Funding Guernsey 144A
2.75% 3/26/20

  600,000      604,121   

Credit Suisse New York

1.375% 5/26/17

  1,000,000             1,002,118   

2.30% 5/28/19

  250,000      252,699   

3.625% 9/9/24

  700,000      724,363   

4.375% 8/5/20

  200,000      222,116   

5.30% 8/13/19

  100,000      113,079   

6.00% 2/15/18

  500,000      557,885   

Discover Bank

2.00% 2/21/18

  250,000      250,459   

4.20% 8/8/23

  250,000      264,887   

Fifth Third Bancorp

3.50% 3/15/22

  200,000      209,714   

4.30% 1/16/24

  250,000      267,697   

5.45% 1/15/17

  100,000      107,059   

8.25% 3/1/38

  100,000      150,992   

Fifth Third Bank 1.15% 11/18/16

  300,000      300,555   

HSBC Bank USA

5.625% 8/15/35

  500,000      622,541   

5.875% 11/1/34

  100,000      126,327   

7.00% 1/15/39

  100,000      141,778   

HSBC Holdings

4.00% 3/30/22

  500,000      538,665   

4.25% 3/14/24

  300,000      315,390   

5.10% 4/5/21

  300,000      343,069   

5.25% 3/14/44

  250,000      285,777   

6.10% 1/14/42

  200,000      266,083   

6.50% 5/2/36

  200,000      253,654   

6.50% 9/15/37

  200,000      256,027   
 

 

LVIP SSgA Bond Index Fund–14


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

HSBC Holdings (continued)

     

6.80% 6/1/38

     200,000       $ 263,870   

HSBC USA

     

1.625% 1/16/18

     500,000         500,351   

2.25% 6/23/19

     300,000         302,699   

3.50% 6/23/24

     800,000         836,945   

5.00% 9/27/20

     300,000         337,173   

Huntington Bancshares 2.60% 8/2/18

     250,000         255,164   

Huntington National Bank
2.40% 4/1/20

     250,000         252,181   

Industrial & Commercial Bank of China
3.231% 11/13/19

     500,000         514,973   

Intesa Sanpaolo

     

3.875% 1/16/18

     300,000         314,962   

3.875% 1/15/19

     600,000         633,370   

KeyBank 1.65% 2/1/18

     250,000         251,176   

KeyCorp 5.10% 3/24/21

     300,000         341,171   

Manufacturers & Traders Trust

     

2.25% 7/25/19

     350,000         355,145   

2.30% 1/30/19

     250,000         254,032   

MUFG Union Bank

     

2.625% 9/26/18

     250,000         257,220   

3.00% 6/6/16

     250,000         256,065   

National Australia Bank
3.00% 1/20/23

     500,000         511,146   

National City
6.875% 5/15/19

     100,000         118,100   

PNC Bank

     

1.15% 11/1/16

     269,000         270,317   

1.30% 10/3/16

     250,000         251,593   

2.70% 11/1/22

     250,000         249,246   

4.20% 11/1/25

     1,000,000                1,092,752   

6.875% 4/1/18

     150,000         172,135   

PNC Funding

     

2.70% 9/19/16

     200,000         204,823   

3.30% 3/8/22

     300,000         316,487   

5.125% 2/8/20

     100,000         114,395   

6.70% 6/10/19

     150,000         178,592   

Regions Financial
2.00% 5/15/18

     250,000         249,956   

Royal Bank of Canada

     

1.20% 1/23/17

     250,000         251,628   

1.20% 9/19/17

     350,000         350,387   

1.25% 6/16/17

     450,000         450,938   

1.45% 9/9/16

     750,000         758,345   

2.15% 3/15/19

     200,000         203,132   

2.15% 3/6/20

     250,000         252,018   

2.20% 7/27/18

     150,000         153,283   

2.20% 9/23/19

     550,000         560,658   

2.30% 7/20/16

     100,000         101,997   

2.875% 4/19/16

     200,000         204,399   

Royal Bank of Scotland
5.625% 8/24/20

     150,000         174,210   

Royal Bank of Scotland Group

     

1.875% 3/31/17

     200,000         199,810   

6.40% 10/21/19

     300,000         347,603   

Societe Generale 2.75% 10/12/17

     150,000         154,570   
     Principal
Amount°
    

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

Sumitomo Mitsui Banking

     

1.30% 1/10/17

     250,000       $ 250,027   

1.80% 7/18/17

     250,000         251,781   

2.45% 1/10/19

     300,000         305,044   

2.45% 1/16/20

     300,000         304,009   

2.50% 7/19/18

     250,000         255,709   

3.20% 7/18/22

     250,000         256,499   

SunTrust Bank

     

1.35% 2/15/17

     200,000         200,721   

7.25% 3/15/18

     200,000         231,571   

SunTrust Banks 2.50% 5/1/19

     450,000         457,701   

SVB Financial Group 5.375% 9/15/20

     150,000         171,117   

Svenska Handelsbanken

     

1.625% 3/21/18

     250,000         251,271   

2.50% 1/25/19

     250,000         256,693   

3.125% 7/12/16

     200,000         205,784   

Toronto-Dominion Bank

     

1.125% 5/2/17

     250,000         250,721   

1.40% 4/30/18

     350,000         350,379   

1.50% 9/9/16

     200,000         202,115   

2.125% 7/2/19

     200,000         202,748   

2.25% 11/5/19

     250,000         254,296   

2.50% 7/14/16

     200,000         204,629   

2.625% 9/10/18

     100,000         103,401   

U.S. Bancorp

     

1.65% 5/15/17

     550,000         557,824   

1.95% 11/15/18

     600,000         609,880   

2.20% 11/15/16

     200,000         204,277   

2.95% 7/15/22

     200,000         203,781   

3.00% 3/15/22

     150,000         155,625   

3.60% 9/11/24

     250,000         261,125   

3.70% 1/30/24

     250,000         269,644   

UBS

     

4.875% 8/4/20

     595,000         674,691   

5.75% 4/25/18

     350,000         391,783   

5.875% 7/15/16

     500,000         529,123   

5.875% 12/20/17

     475,000         527,615   

US Bank 1.375% 9/11/17

     250,000         251,594   

Wachovia

     

5.50% 8/1/35

     150,000         177,302   

5.625% 10/15/16

     100,000         106,957   

5.75% 2/1/18

     600,000         671,384   

Wells Fargo

     

1.15% 6/2/17

     250,000         250,004   

1.25% 7/20/16

     800,000         804,666   

1.50% 1/16/18

     250,000         251,367   

2.15% 1/15/19

     1,187,000                1,206,580   

3.30% 9/9/24

     250,000         258,521   

3.45% 2/13/23

     250,000         256,064   

3.50% 3/8/22

     600,000         637,574   

f3.676% 6/15/16

     750,000         776,818   

4.10% 6/3/26

     740,000         781,802   

 

 

 

LVIP SSgA Bond Index Fund–15


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Commercial Banks (continued)

  

Wells Fargo (continued)

4.125% 8/15/23

  300,000    $ 320,559   

4.60% 4/1/21

  350,000      393,387   

4.65% 11/4/44

  225,000      241,916   

5.375% 11/2/43

  775,000      916,512   

5.625% 12/11/17

  150,000      166,722   

Wells Fargo Bank

5.85% 2/1/37

  450,000      582,538   

6.00% 11/15/17

  300,000      335,392   

6.60% 1/15/38

  450,000      638,400   

Wells Fargo Capital X
5.95% 12/15/36

  100,000      104,125   

Westpac Banking

1.05% 11/25/16

  350,000      351,344   

1.20% 5/19/17

  158,000      158,250   

1.50% 12/1/17

  150,000      150,845   

1.60% 1/12/18

  250,000      251,495   

2.00% 8/14/17

  250,000      254,967   

2.25% 7/30/18

  100,000      102,159   

2.25% 1/17/19

  150,000      153,025   

4.875% 11/19/19

  250,000      281,329   
     

 

 

 
  64,152,242   
     

 

 

 

Commercial Services & Supplies–0.09%

  

Avery Dennison 5.375% 4/15/20

  50,000      55,053   

#CDK Global 144A
3.30% 10/15/19

  135,000      136,248   

Cintas No. 2

2.85% 6/1/16

  100,000      102,360   

4.30% 6/1/21

  60,000      65,441   

Pitney Bowes

4.625% 3/15/24

  200,000      210,166   

4.75% 5/15/18

  200,000      214,621   

Republic Services

3.20% 3/15/25

  250,000      251,604   

3.80% 5/15/18

  100,000      106,100   

4.75% 5/15/23

  100,000      112,861   

5.25% 11/15/21

  100,000      115,009   

5.50% 9/15/19

  299,000      339,321   

5.70% 5/15/41

  50,000      63,185   

Verisk Analytics
4.125% 9/12/22

  100,000      104,429   

Waste Management

3.125% 3/1/25

  100,000      101,173   

3.50% 5/15/24

  250,000      260,766   

3.90% 3/1/35

  50,000      51,421   

4.10% 3/1/45

  55,000      56,441   
     

 

 

 
         2,346,199   
     

 

 

 

Communications Equipment–0.14%

  

Cisco Systems

1.10% 3/3/17

  570,000      573,836   

2.90% 3/4/21

  615,000      647,931   

3.625% 3/4/24

  100,000      108,152   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Communications Equipment (continued)

  

Cisco Systems (continued)

4.45% 1/15/20

  300,000    $ 336,072   

4.95% 2/15/19

  450,000      506,560   

5.50% 1/15/40

  200,000      247,839   

5.90% 2/15/39

  300,000      386,909   

Ericsson 4.125% 5/15/22

  250,000      268,637   

Harris

5.95% 12/1/17

  150,000      166,834   

6.375% 6/15/19

  35,000      40,050   

Juniper Networks

4.60% 3/15/21

  100,000      106,513   

5.95% 3/15/41

  100,000      104,427   

Motorola Solutions

3.50% 3/1/23

  100,000      100,519   

4.00% 9/1/24

  250,000      258,835   
     

 

 

 
         3,853,114   
     

 

 

 

Computers & Peripherals–0.32%

  

Apple

0.45% 5/3/16

  200,000      200,098   

1.00% 5/3/18

  750,000      745,961   

1.55% 2/7/20

  950,000      944,642   

2.15% 2/9/22

  250,000      246,998   

2.40% 5/3/23

  822,000      812,795   

2.50% 2/9/25

  250,000      244,973   

3.45% 5/6/24

  350,000      371,908   

3.45% 2/9/45

  125,000      118,979   

3.85% 5/4/43

  350,000      356,445   

4.45% 5/6/44

  600,000      671,302   

Cadence Design Systems
4.375% 10/15/24

  75,000      78,083   

EMC

1.875% 6/1/18

  250,000      253,039   

2.65% 6/1/20

  300,000      308,448   

3.375% 6/1/23

  250,000      260,142   

Hewlett-Packard

2.60% 9/15/17

  425,000      436,020   

3.00% 9/15/16

  150,000      154,012   

3.30% 12/9/16

  300,000      310,341   

4.30% 6/1/21

  200,000      215,064   

4.375% 9/15/21

  150,000      161,844   

4.65% 12/9/21

  350,000      383,205   

5.50% 3/1/18

  200,000      221,681   

6.00% 9/15/41

  305,000      340,623   

Lexmark International
5.125% 3/15/20

  100,000      107,336   

NetApp 3.375% 6/15/21

  150,000      153,238   

Seagate HDD Cayman
3.75% 11/15/18

  600,000      625,834   
     

 

 

 
  8,723,011   
     

 

 

 

Construction & Engineering–0.03%

  

ABB Finance USA

2.875% 5/8/22

  250,000      255,493   
 

 

LVIP SSgA Bond Index Fund–16


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Construction & Engineering (continued)

  

ABB Finance USA (continued)

  

4.375% 5/8/42

  187,000    $ 210,774   

Fluor 3.50% 12/15/24

  100,000      103,220   

Leucadia National
5.50% 10/18/23

  200,000      207,025   
     

 

 

 
  776,512   
     

 

 

 

Consumer Finance–0.67%

  

American Express

  

1.55% 5/22/18

  250,000                250,160   

2.65% 12/2/22

  115,000      114,530   

4.05% 12/3/42

  135,000      138,095   

6.15% 8/28/17

  300,000      333,705   

Ÿ6.80% 9/1/66

  100,000      105,270   

7.00% 3/19/18

  100,000      115,611   

8.125% 5/20/19

  100,000      123,747   

American Express Credit

1.30% 7/29/16

  500,000      503,036   

2.125% 7/27/18

  500,000      509,983   

2.25% 8/15/19

  200,000      203,024   

2.375% 3/24/17

  550,000      565,027   

2.80% 9/19/16

  200,000      205,695   

American Honda Finance

  

1.20% 7/14/17

  200,000      200,585   

1.55% 12/11/17

  200,000      201,812   

2.125% 10/10/18

  200,000      203,822   

Capital One 2.40% 9/5/19

  300,000      301,393   

Capital One Bank USA

  

2.25% 2/13/19

  500,000      503,109   

8.80% 7/15/19

  200,000      250,795   

Capital One Financial

  

2.45% 4/24/19

  350,000      354,496   

3.15% 7/15/16

  60,000      61,553   

3.20% 2/5/25

  150,000      149,066   

3.50% 6/15/23

  600,000      617,041   

4.75% 7/15/21

  100,000      112,277   

6.15% 9/1/16

  100,000      106,581   

Caterpillar Financial Services

  

1.00% 11/25/16

  500,000      502,279   

1.00% 3/3/17

  100,000      100,389   

1.35% 9/6/16

  500,000      505,039   

2.05% 8/1/16

  125,000      127,285   

2.45% 9/6/18

  250,000      257,890   

2.65% 4/1/16

  100,000      102,064   

3.30% 6/9/24

  150,000      156,594   

7.15% 2/15/19

  200,000      240,138   

Discover Financial Services

  

3.75% 3/4/25

  100,000      100,937   

3.95% 11/6/24

  100,000      103,041   

5.20% 4/27/22

  100,000      111,513   

Ford Motor Credit

  

1.70% 5/9/16

  200,000      200,985   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Consumer Finance (continued)

  

Ford Motor Credit (continued)

  

1.724% 12/6/17

  550,000    $ 549,139   

2.375% 1/16/18

  250,000      254,497   

2.375% 3/12/19

  200,000      202,513   

2.459% 3/27/20

  200,000      200,253   

3.00% 6/12/17

  250,000      257,781   

3.664% 9/8/24

  250,000      258,457   

3.984% 6/15/16

  250,000      257,833   

4.207% 4/15/16

  250,000      257,211   

5.00% 5/15/18

  500,000      545,629   

5.75% 2/1/21

  200,000      232,676   

5.875% 8/2/21

  750,000      884,091   

HSBC Finance
6.676% 1/15/21

  323,000      384,010   

John Deere Capital

  

1.05% 10/11/16

  100,000      100,567   

1.05% 12/15/16

  150,000      150,419   

1.70% 1/15/20

  350,000      347,342   

2.25% 6/7/16

  100,000      101,926   

2.25% 4/17/19

  200,000      204,419   

2.30% 9/16/19

  500,000      510,831   

2.80% 3/4/21

  200,000      206,652   

5.50% 4/13/17

  150,000      163,690   

Paccar Financial

  

1.15% 8/16/16

  150,000      151,163   

1.60% 3/15/17

  100,000      101,427   

Toyota Motor Credit

  

0.80% 5/17/16

  100,000      100,352   

1.25% 10/5/17

  250,000      250,896   

1.75% 5/22/17

  550,000      558,864   

2.00% 9/15/16

  250,000      254,977   

2.10% 1/17/19

  350,000      356,383   

2.125% 7/18/19

  200,000      203,314   

2.75% 5/17/21

  250,000      258,561   

3.30% 1/12/22

  400,000      424,350   

3.40% 9/15/21

  600,000      638,968   
     

 

 

 
  18,107,758   
     

 

 

 

Containers & Packaging–0.04%

  

Bemis

  

4.50% 10/15/21

  300,000      332,259   

6.80% 8/1/19

  10,000      11,843   

Packaging Corporation of America

  

3.90% 6/15/22

  50,000      52,055   

4.50% 11/1/23

  150,000      161,824   

Rock-Tenn 4.90% 3/1/22

  200,000      220,718   

Sonoco Products

  

4.375% 11/1/21

  100,000      108,121   

5.75% 11/1/40

  100,000      119,589   
     

 

 

 
         1,006,409   
     

 

 

 

Diversified Consumer Services–0.06%

  

Cornell University 5.45% 2/1/19

  200,000      228,746   
 

 

LVIP SSgA Bond Index Fund–17


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Consumer Services (continued)

  

George Washington University
4.30% 9/15/44

  100,000    $ 104,923   

Massachusetts Institute of Technology
5.60% 7/1/11

  200,000      274,046   

Metropolitan Museum of Art
3.40% 7/1/45

  50,000      48,767   

President and Fellows of Harvard College
3.619% 10/1/37

  72,000      75,236   

Princeton University

  

4.95% 3/1/19

  100,000      112,113   

5.70% 3/1/39

  50,000      68,078   

Stanford University

  

4.25% 5/1/16

  100,000      103,706   

4.75% 5/1/19

  250,000      279,424   

Trustees of Dartmouth College
4.75% 6/1/19

  50,000      56,037   

Vanderbilt University
5.25% 4/1/19

  50,000      56,424   

Yale University
2.086% 4/15/19

  100,000      102,239   
     

 

 

 
         1,509,739   
     

 

 

 

Diversified Financial Services–2.00%

  

Air Lease

  

3.375% 1/15/19

  250,000      256,250   

3.875% 4/1/21

  125,000      129,375   

4.25% 9/15/24

  300,000      309,750   

Bank of America

  

1.35% 11/21/16

  200,000      200,084   

2.00% 1/11/18

  500,000      504,112   

2.60% 1/15/19

  543,000      552,959   

3.30% 1/11/23

  1,000,000      1,014,075   

3.75% 7/12/16

  500,000      515,535   

3.875% 3/22/17

  250,000      261,758   

4.00% 4/1/24

  475,000      505,839   

4.10% 7/24/23

  1,350,000      1,442,040   

5.00% 5/13/21

  350,000      395,599   

5.00% 1/21/44

  650,000      749,099   

5.625% 10/14/16

  400,000      426,028   

5.625% 7/1/20

  250,000      288,551   

5.65% 5/1/18

  500,000      555,029   

5.75% 12/1/17

  550,000      605,569   

5.875% 1/5/21

  250,000      292,567   

5.875% 2/7/42

  218,000      278,367   

6.00% 9/1/17

  500,000      550,349   

6.50% 8/1/16

  200,000      213,518   

7.625% 6/1/19

  300,000      362,426   

BP Capital Markets

  

1.375% 11/6/17

  150,000      150,024   

1.375% 5/10/18

  150,000      149,395   

1.846% 5/5/17

  150,000      151,883   

2.237% 5/10/19

  400,000      404,544   

2.241% 9/26/18

  400,000      406,812   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Financial Services (continued)

  

BP Capital Markets (continued)

  

2.315% 2/13/20

  650,000    $ 655,905   

2.75% 5/10/23

  250,000      244,139   

3.245% 5/6/22

  200,000      206,274   

3.535% 11/4/24

  100,000      101,962   

3.994% 9/26/23

  250,000      265,023   

4.742% 3/11/21

  500,000      558,790   

4.75% 3/10/19

  300,000      332,339   

Citigroup

  

1.55% 8/14/17

  250,000      250,321   

1.75% 5/1/18

  500,000      499,495   

1.85% 11/24/17

  50,000      50,384   

2.40% 2/18/20

  750,000      753,536   

2.50% 7/29/19

  500,000      507,439   

3.375% 3/1/23

  200,000      205,320   

3.75% 6/16/24

  400,000      418,553   

3.875% 10/25/23

  350,000      370,123   

3.953% 6/15/16

  250,000      258,548   

4.05% 7/30/22

  107,000      112,429   

4.30% 11/20/26

  400,000      414,663   

4.45% 1/10/17

  500,000      527,199   

4.50% 1/14/22

  730,000      807,179   

5.30% 5/6/44

  167,000      188,446   

5.375% 8/9/20

  200,000      229,098   

5.50% 2/15/17

  450,000      482,789   

5.50% 9/13/25

  200,000      227,137   

5.85% 8/2/16

  100,000      106,170   

5.875% 2/22/33

  200,000      233,428   

5.875% 1/30/42

  150,000      192,095   

6.00% 8/15/17

  800,000      880,462   

6.00% 10/31/33

  100,000      118,553   

6.125% 11/21/17

  300,000      333,531   

6.125% 5/15/18

  350,000      394,208   

6.125% 8/25/36

  200,000      242,975   

6.625% 6/15/32

  100,000      125,057   

6.675% 9/13/43

  150,000                200,755   

6.875% 3/5/38

  350,000      486,037   

8.125% 7/15/39

  350,000      552,400   

8.50% 5/22/19

  300,000      373,950   

CME Group

  

3.00% 9/15/22

  300,000      311,487   

5.30% 9/15/43

  100,000      124,221   

Countrywide Financial
6.25% 5/15/16

  450,000      473,532   

•GE Capital Trust I
6.375% 11/15/67

  200,000      217,000   

General Electric Capital

  

1.60% 11/20/17

  850,000      858,657   

1.625% 4/2/18

  250,000      252,053   

2.30% 4/27/17

  250,000      256,635   

2.90% 1/9/17

  600,000      622,056   

2.95% 5/9/16

  200,000      205,100   

3.10% 1/9/23

  600,000      618,628   

3.15% 9/7/22

  500,000      517,955   
 

 

LVIP SSgA Bond Index Fund–18


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Financial Services (continued)

  

General Electric Capital (continued)

  

4.375% 9/16/20

  750,000    $ 833,597   

4.65% 10/17/21

  500,000      566,695   

5.30% 2/11/21

  800,000      924,810   

5.375% 10/20/16

  400,000      427,767   

5.50% 1/8/20

  100,000      115,913   

5.625% 5/1/18

  1,050,000             1,179,485   

5.875% 1/14/38

  950,000      1,230,822   

6.00% 8/7/19

  100,000      116,932   

•6.375% 11/15/67

  100,000      108,750   

6.75% 3/15/32

  780,000      1,081,879   

6.875% 1/10/39

  700,000      1,010,421   

IntercontinentalExchange Group 4.00% 10/15/23

  200,000      216,365   

#International Lease Finance 144A 6.75% 9/1/16

  400,000      426,000   

JPMorgan Chase

  

1.35% 2/15/17

  400,000      401,656   

1.625% 5/15/18

  250,000      249,292   

1.70% 3/1/18

  680,000      683,013   

1.80% 1/25/18

  600,000      604,773   

2.00% 8/15/17

  450,000      456,931   

3.15% 7/5/16

  800,000      820,914   

3.20% 1/25/23

  1,000,000      1,017,688   

3.25% 9/23/22

  550,000      563,419   

3.375% 5/1/23

  200,000      201,557   

3.625% 5/13/24

  250,000      260,250   

3.875% 2/1/24

  250,000      264,759   

4.125% 12/15/26

  1,000,000      1,039,104   

4.25% 10/15/20

  750,000      818,477   

4.35% 8/15/21

  600,000      660,904   

4.40% 7/22/20

  700,000      769,314   

4.50% 1/24/22

  350,000      387,441   

5.40% 1/6/42

  200,000      240,394   

5.50% 10/15/40

  100,000      122,419   

5.60% 7/15/41

  500,000      614,067   

6.00% 1/15/18

  400,000      447,588   

6.30% 4/23/19

  200,000      232,454   

6.40% 5/15/38

  450,000      605,782   

JPMorgan Chase Bank
6.00% 10/1/17

  950,000      1,052,116   

McGraw-Hill Financial
6.55% 11/15/37

  400,000      451,788   

Moody’s 4.50% 9/1/22

  250,000      271,562   

MUFG Americas Holdings

  

1.625% 2/9/18

  100,000      100,067   

2.25% 2/10/20

  100,000      100,307   

3.00% 2/10/25

  150,000      148,616   

NASDAQ OMX Group

  

5.25% 1/16/18

  60,000      65,670   

5.55% 1/15/20

  100,000      112,460   

National Rural Utilities Cooperative Finance

  

1.10% 1/27/17

  150,000      150,687   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Financial Services (continued)

  

National Rural Utilities Cooperative Finance (continued)

  

2.35% 6/15/20

  300,000    $ 304,900   

4.023% 11/1/32

  100,000      107,181   

Ÿ4.75% 4/30/43

  100,000      100,550   

5.45% 2/1/18

  25,000      27,787   

8.00% 3/1/32

  150,000      224,069   

10.375% 11/1/18

  100,000      129,664   

NYSE Holdings 2.00% 10/5/17

  150,000      152,191   

Private Export Funding

  

1.375% 2/15/17

  275,000      277,056   

1.875% 7/15/18

  250,000      253,691   

2.45% 7/15/24

  250,000      249,187   

4.30% 12/15/21

  100,000      113,835   

Synchrony Financial

  

1.875% 8/15/17

  45,000      45,061   

2.70% 2/3/20

  500,000      502,729   

4.25% 8/15/24

  150,000      157,048   

#Washington Prime Group 144A

  

3.85% 4/1/20

  50,000      50,477   
     

 

 

 
  53,885,904   
     

 

 

 

Diversified Telecommunication Services–1.07%

  

AT&T

  

1.40% 12/1/17

  550,000      547,447   

2.375% 11/27/18

  600,000      608,252   

2.40% 8/15/16

  175,000      178,155   

2.625% 12/1/22

  500,000      487,782   

2.95% 5/15/16

  200,000      204,434   

3.00% 2/15/22

  400,000      401,986   

3.875% 8/15/21

  30,000      31,827   

4.35% 6/15/45

  532,000      510,939   

4.45% 5/15/21

  100,000      109,693   

4.80% 6/15/44

  987,000             1,014,719   

5.35% 9/1/40

  638,000      698,759   

5.50% 2/1/18

  500,000      550,785   

5.55% 8/15/41

  40,000      45,149   

5.80% 2/15/19

  150,000      170,123   

6.15% 9/15/34

  150,000      177,871   

6.30% 1/15/38

  200,000      240,219   

6.40% 5/15/38

  5,000      6,099   

6.50% 9/1/37

  150,000      184,325   

6.55% 2/15/39

  550,000      677,403   

8.00% 11/15/31

  360,000      525,492   

British Telecommunications

  

2.35% 2/14/19

  300,000      305,209   

9.625% 12/15/30

  350,000      578,665   

Deutsche Telekom International Finance

  

6.00% 7/8/19

  250,000      291,329   

8.75% 6/15/30

  460,000      704,898   

Embarq 7.995% 6/1/36

  150,000      178,740   
 

 

LVIP SSgA Bond Index Fund–19


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Diversified Telecommunication Services (continued)

  

GTE

  

6.94% 4/15/28

  100,000    $ 128,155   

8.75% 11/1/21

  100,000      131,094   

Koninklijke KPN
8.375% 10/1/30

  100,000      144,950   

Nippon Telegraph & Telephone
1.40% 7/18/17

  100,000      100,419   

Orange

2.75% 9/14/16

  100,000      102,290   

4.125% 9/14/21

  100,000      110,128   

5.375% 7/8/19

  300,000      342,194   

5.375% 1/13/42

  100,000      116,577   

9.00% 3/1/31

  800,000             1,238,029   

Qwest

6.75% 12/1/21

  650,000      746,078   

6.875% 9/15/33

  250,000      252,133   

Telefonica Emisiones

3.192% 4/27/18

  250,000      260,926   

5.134% 4/27/20

  690,000      779,706   

5.462% 2/16/21

  140,000      160,200   

5.877% 7/15/19

  100,000      115,767   

6.421% 6/20/16

  175,000      185,999   

7.045% 6/20/36

  175,000      242,490   

Telefonica Europe 8.25% 9/15/30

  200,000      292,090   

Telefonos de Mexico
5.50% 11/15/19

  100,000      113,700   

Verizon Communications

2.45% 11/1/22

  200,000      194,197   

2.50% 9/15/16

  267,000      272,779   

3.45% 3/15/21

  500,000      523,345   

3.50% 11/1/24

  700,000      717,808   

3.65% 9/14/18

  1,150,000      1,223,447   

3.85% 11/1/42

  150,000      136,820   

#144A 4.272% 1/15/36

  904,000      900,157   

4.50% 9/15/20

  686,000      758,084   

#144A 4.522% 9/15/48

  1,324,000      1,323,656   

4.60% 4/1/21

  250,000      278,039   

#144A 4.672% 3/15/55

  1,182,000      1,162,753   

4.862% 8/21/46

  692,000      726,260   

5.05% 3/15/34

  800,000      870,293   

5.15% 9/15/23

  950,000      1,089,918   

6.00% 4/1/41

  100,000      120,697   

6.35% 4/1/19

  250,000      291,187   

6.40% 9/15/33

  764,000      955,245   

6.40% 2/15/38

  200,000      250,134   

6.55% 9/15/43

  1,122,000      1,463,169   

6.90% 4/15/38

  350,000      458,596   
     

 

 

 
  28,709,809   
     

 

 

 

Electric Utilities–1.44%

  

Alabama Power

3.75% 3/1/45

  150,000      153,174   

5.50% 3/15/41

  185,000      238,276   

6.125% 5/15/38

  100,000      137,189   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

Ameren Illinois 4.80% 12/15/43

  150,000    $ 179,809   

American Electric Power

1.65% 12/15/17

  200,000                201,293   

2.95% 12/15/22

  125,000      126,250   

Appalachian Power

4.60% 3/30/21

  150,000      166,992   

5.00% 6/1/17

  100,000      107,597   

6.70% 8/15/37

  235,000      323,099   

Arizona Public Service

2.20% 1/15/20

  150,000      151,112   

4.50% 4/1/42

  100,000      113,335   

5.05% 9/1/41

  100,000      122,274   

Atlantic City Electric 7.75% 11/15/18

  15,000      18,078   

Baltimore Gas & Electric

3.35% 7/1/23

  100,000      105,304   

6.35% 10/1/36

  100,000      138,894   

Berkshire Hathaway Energy

3.75% 11/15/23

  900,000      961,128   

5.15% 11/15/43

  200,000      238,845   

5.75% 4/1/18

  100,000      112,410   

5.95% 5/15/37

  125,000      159,611   

6.125% 4/1/36

  250,000      326,939   

6.50% 9/15/37

  100,000      135,830   

Black Hills 4.25% 11/30/23

  100,000      107,843   

CenterPoint Energy Houston Electric
2.25% 8/1/22

  250,000      245,441   

Cleco Power 6.50% 12/1/35

  50,000      66,556   

Cleveland Electric Illuminating

5.50% 8/15/24

  200,000      241,266   

5.95% 12/15/36

  100,000      122,259   

CMS Energy 4.875% 3/1/44

  100,000      116,938   

Commonwealth Edison

3.40% 9/1/21

  100,000      106,448   

4.00% 8/1/20

  300,000      328,275   

5.95% 8/15/16

  150,000      159,863   

6.45% 1/15/38

  100,000      141,363   

Connecticut Light & Power
5.65% 5/1/18

  100,000      113,494   

Consumers Energy

2.85% 5/15/22

  100,000      102,434   

3.125% 8/31/24

  100,000      103,470   

3.375% 8/15/23

  200,000      212,126   

3.95% 5/15/43

  150,000      159,138   

5.65% 9/15/18

  100,000      114,214   

5.65% 4/15/20

  100,000      116,693   

Dayton Power & Light 1.875% 9/15/16

  75,000      75,835   

Delmarva Power & Light

3.50% 11/15/23

  150,000      159,703   

4.00% 6/1/42

  100,000      105,757   

Dominion Gas Holdings

1.05% 11/1/16

  250,000      250,586   
 

 

LVIP SSgA Bond Index Fund–20


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

Dominion Gas Holdings (continued)

  

2.50% 12/15/19

  50,000    $ 50,999   

3.60% 12/15/24

  25,000      26,265   

4.60% 12/15/44

  850,000                919,726   

4.80% 11/1/43

  94,000      106,502   

DTE Electric

  

2.65% 6/15/22

  50,000      50,674   

3.65% 3/15/24

  250,000      269,904   

6.625% 6/1/36

  100,000      144,404   

Duke Energy

  

1.625% 8/15/17

  250,000      252,847   

2.10% 6/15/18

  650,000      662,946   

5.05% 9/15/19

  100,000      112,949   

Duke Energy Carolinas

  

3.90% 6/15/21

  100,000      110,457   

4.00% 9/30/42

  150,000      159,780   

4.30% 6/15/20

  100,000      111,495   

5.25% 1/15/18

  250,000      277,475   

5.30% 2/15/40

  100,000      126,561   

6.10% 6/1/37

  170,000      226,246   

7.00% 11/15/18

  100,000      119,017   

Duke Energy Florida

  

3.85% 11/15/42

  100,000      104,110   

5.65% 6/15/18

  150,000      170,086   

6.40% 6/15/38

  300,000      427,524   

Duke Energy Indiana

  

6.12% 10/15/35

  100,000      133,660   

6.45% 4/1/39

  130,000      186,431   

Duke Energy Ohio

  

3.80% 9/1/23

  500,000      543,475   

5.45% 4/1/19

  50,000      57,096   

Duke Energy Progress

  

4.10% 3/15/43

  100,000      108,515   

5.30% 1/15/19

  100,000      113,229   

6.30% 4/1/38

  250,000      352,309   

Empresa Nacional de Electricidad
4.25% 4/15/24

  100,000      104,009   

Entergy

  

4.70% 1/15/17

  100,000      105,196   

5.125% 9/15/20

  100,000      111,337   

Entergy Arkansas

  

3.05% 6/1/23

  100,000      102,292   

3.70% 6/1/24

  200,000      214,536   

Entergy Louisiana 4.05% 9/1/23

  150,000      164,961   

Entergy Mississippi
3.10% 7/1/23

  100,000      102,307   

Entergy Texas 7.125% 2/1/19

  200,000      238,139   

Eversource Energy

  

1.45% 5/1/18

  250,000      248,458   

3.15% 1/15/25

  100,000      101,199   

4.50% 11/15/19

  110,000      121,384   

FirstEnergy Solutions
6.80% 8/15/39

  150,000      160,563   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

Florida Power & Light

  

3.80% 12/15/42

  100,000    $ 104,682   

4.05% 6/1/42

  150,000                163,179   

5.69% 3/1/40

  50,000      66,955   

5.85% 5/1/37

  100,000      134,557   

5.95% 2/1/38

  200,000      272,962   

5.96% 4/1/39

  100,000      137,831   

6.20% 6/1/36

  200,000      278,977   

Georgia Power

  

4.25% 12/1/19

  80,000      88,484   

4.30% 3/15/42

  200,000      217,359   

4.30% 3/15/43

  100,000      108,681   

4.75% 9/1/40

  100,000      114,265   

5.95% 2/1/39

  100,000      132,108   

Great Plains Energy
4.85% 6/1/21

  50,000      55,994   

Hydro-Quebec

  

1.375% 6/19/17

  100,000      101,010   

2.00% 6/30/16

  300,000      305,359   

8.05% 7/7/24

  250,000      355,873   

8.50% 12/1/29

  115,000      181,946   

Iberdrola International
6.75% 7/15/36

  100,000      131,854   

Indiana Michigan Power
7.00% 3/15/19

  100,000      119,252   

Interstate Power & Light
6.25% 7/15/39

  130,000      186,021   

ITC Holdings 3.65% 6/15/24

  75,000      77,884   

Jersey Central Power & Light
7.35% 2/1/19

  100,000      118,288   

Kansas City Power & Light
6.375% 3/1/18

  200,000      227,371   

Kentucky Utilities

  

3.25% 11/1/20

  100,000      105,361   

4.65% 11/15/43

  150,000      178,036   

5.125% 11/1/40

  100,000      125,282   

MidAmerican Energy

  

2.40% 3/15/19

  250,000      257,121   

4.40% 10/15/44

  100,000      113,812   

4.80% 9/15/43

  250,000      299,443   

5.30% 3/15/18

  100,000      111,161   

5.75% 11/1/35

  25,000      33,140   

5.95% 7/15/17

  200,000      221,215   

Nevada Power

  

5.45% 5/15/41

  60,000      76,729   

6.50% 8/1/18

  50,000      57,895   

6.75% 7/1/37

  100,000      143,755   

7.125% 3/15/19

  100,000      119,809   

NextEra Energy Capital Holdings

  

2.40% 9/15/19

  500,000      506,395   

3.625% 6/15/23

  100,000      104,846   

4.50% 6/1/21

  100,000      110,555   

6.00% 3/1/19

  200,000      229,088   

Northern States Power

  

2.60% 5/15/23

  100,000      101,065   
 

 

LVIP SSgA Bond Index Fund–21


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

Northern States Power (continued)

  

5.25% 3/1/18

  100,000    $           111,330   

5.35% 11/1/39

  40,000      52,101   

6.20% 7/1/37

  100,000      139,903   

NorthWestern 4.176% 11/15/44

  150,000      163,821   

Ohio Edison

  

6.875% 7/15/36

  100,000      132,898   

8.25% 10/15/38

  600,000      984,665   

Oklahoma Gas & Electric

  

4.55% 3/15/44

  150,000      173,758   

5.25% 5/15/41

  100,000      124,000   

Oncor Electric Delivery

  

#144A 2.95% 4/1/25

  100,000      101,174   

#144A 3.75% 4/1/45

  100,000      100,658   

4.10% 6/1/22

  100,000      109,839   

4.55% 12/1/41

  150,000      169,877   

5.30% 6/1/42

  200,000      252,777   

6.80% 9/1/18

  100,000      116,865   

7.00% 9/1/22

  100,000      128,294   

7.00% 5/1/32

  50,000      70,953   

Pacific Gas & Electric

  

3.25% 9/15/21

  200,000      210,072   

3.25% 6/15/23

  250,000      258,841   

3.40% 8/15/24

  150,000      156,678   

5.125% 11/15/43

  200,000      241,874   

6.05% 3/1/34

  500,000      655,243   

6.25% 3/1/39

  300,000      404,763   

8.25% 10/15/18

  200,000      244,414   

PacifiCorp

  

2.95% 6/1/23

  100,000      102,820   

4.10% 2/1/42

  100,000      108,309   

5.75% 4/1/37

  100,000      131,318   

6.00% 1/15/39

  100,000      135,317   

6.35% 7/15/38

  25,000      34,821   

7.70% 11/15/31

  100,000      150,949   

PECO Energy

  

5.35% 3/1/18

  200,000      223,089   

5.95% 10/1/36

  100,000      132,827   

Portland General Electric
6.10% 4/15/19

  100,000      115,833   

Potomac Electric Power
7.90% 12/15/38

  100,000      163,484   

PPL Capital Funding

  

3.40% 6/1/23

  200,000      207,737   

3.50% 12/1/22

  100,000      104,409   

3.95% 3/15/24

  200,000      216,282   

4.20% 6/15/22

  150,000      163,647   

PPL Electric Utilities

  

3.00% 9/15/21

  100,000      104,371   

4.125% 6/15/44

  100,000      110,523   

6.25% 5/15/39

  30,000      42,324   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

Progress Energy

  

6.00% 12/1/39

  50,000    $ 66,549   

7.05% 3/15/19

  100,000                119,434   

7.75% 3/1/31

  150,000      217,650   

Public Service Electric & Gas

  

2.375% 5/15/23

  200,000      196,666   

3.05% 11/15/24

  100,000      103,078   

3.50% 8/15/20

  150,000      160,475   

3.75% 3/15/24

  150,000      164,382   

5.30% 5/1/18

  50,000      55,846   

5.50% 3/1/40

  100,000      130,807   

Public Service of Colorado

  

3.20% 11/15/20

  100,000      106,552   

3.95% 3/15/43

  250,000      272,138   

5.125% 6/1/19

  135,000      153,787   

6.25% 9/1/37

  100,000      143,175   

Public Service of Oklahoma 5.15% 12/1/19

  75,000      84,769   

Sierra Pacific Power
6.00% 5/15/16

  100,000      105,847   

South Carolina Electric & Gas

  

5.25% 11/1/18

  80,000      90,538   

6.05% 1/15/38

  225,000      299,472   

Southern

  

1.95% 9/1/16

  300,000      304,754   

2.15% 9/1/19

  300,000      302,000   

2.45% 9/1/18

  90,000      92,844   

Southern California Edison

  

3.50% 10/1/23

  150,000      160,407   

3.875% 6/1/21

  70,000      76,879   

3.90% 3/15/43

  100,000      105,196   

4.05% 3/15/42

  300,000      322,974   

4.50% 9/1/40

  100,000      113,933   

4.65% 10/1/43

  100,000      118,345   

5.55% 1/15/36

  59,000      76,610   

5.95% 2/1/38

  25,000      33,647   

6.00% 1/15/34

  200,000      268,263   

6.05% 3/15/39

  170,000      230,498   

6.65% 4/1/29

  100,000      134,707   

Southwestern Electric Power

  

3.90% 4/1/45

  300,000      297,982   

6.20% 3/15/40

  200,000      266,982   

Tampa Electric

  

2.60% 9/15/22

  100,000      98,835   

4.10% 6/15/42

  100,000      108,472   

4.35% 5/15/44

  50,000      56,113   

6.10% 5/15/18

  50,000      56,999   

TECO Finance
6.572% 11/1/17

  100,000      110,583   

Union Electric

  

3.50% 4/15/24

  100,000      107,455   

3.65% 4/15/45

  100,000      107,780   

3.90% 9/15/42

  250,000      267,388   

8.45% 3/15/39

  80,000      140,988   
 

 

LVIP SSgA Bond Index Fund–22


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Electric Utilities (continued)

  

Virginia Electric & Power

  

2.75% 3/15/23

  100,000    $ 101,326   

4.45% 2/15/44

  625,000      706,083   

4.65% 8/15/43

  150,000      175,084   

5.00% 6/30/19

  200,000      225,265   

5.95% 9/15/17

  100,000      111,245   

6.00% 5/15/37

  25,000      33,706   

6.35% 11/30/37

  100,000      141,105   

8.875% 11/15/38

  100,000      167,776   

Westar Energy 4.10% 4/1/43

  300,000      322,811   

Western Massachusetts Electric
3.50% 9/15/21

  150,000      159,787   

Wisconsin Electric Power

  

1.70% 6/15/18

  250,000      251,872   

2.95% 9/15/21

  100,000      104,326   

4.25% 12/15/19

  25,000      27,434   

Wisconsin Power & Light
4.10% 10/15/44

  125,000      135,986   

Wisconsin Public Service
4.752% 11/1/44

  200,000      240,750   

Xcel Energy

  

0.75% 5/9/16

  200,000      200,099   

4.70% 5/15/20

  100,000      112,083   

6.50% 7/1/36

  100,000      140,321   
     

 

 

 
  38,783,520   
     

 

 

 

Electrical Equipment–0.02%

  

Emerson Electric

  

4.25% 11/15/20

  50,000      55,982   

5.25% 10/15/18

  225,000      252,871   

5.25% 11/15/39

  50,000      61,951   

Rockwell Automation
6.25% 12/1/37

  100,000      133,973   

Roper Industries 6.25% 9/1/19

  100,000      115,955   
     

 

 

 
  620,732   
     

 

 

 

Electronic Equipment, Instruments & Components–0.04%

  

Amphenol 2.55% 1/30/19

  150,000      152,889   

Arrow Electronics

  

3.00% 3/1/18

  100,000      102,666   

3.50% 4/1/22

  100,000      100,385   

6.00% 4/1/20

  50,000      57,049   

Avnet 4.875% 12/1/22

  100,000      107,735   

Corning

  

4.25% 8/15/20

  65,000      71,837   

4.75% 3/15/42

  250,000      273,829   

5.75% 8/15/40

  25,000      30,416   

6.625% 5/15/19

  20,000      23,640   

Tech Data 3.75% 9/21/17

  100,000      103,099   
     

 

 

 
         1,023,545   
     

 

 

 

Energy Equipment & Services–0.24%

  

Baker Hughes

  

5.125% 9/15/40

  200,000      228,629   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Energy Equipment & Services (continued)

  

Baker Hughes (continued)

  

6.875% 1/15/29

  100,000    $ 128,873   

Cameron International

  

1.15% 12/15/16

  63,000      62,566   

4.00% 12/15/23

  100,000      103,299   

5.125% 12/15/43

  56,000      55,346   

5.95% 6/1/41

  100,000      111,214   

6.375% 7/15/18

  100,000      112,166   

Diamond Offshore Drilling

  

3.45% 11/1/23

  125,000      120,278   

5.70% 10/15/39

  100,000      92,633   

5.875% 5/1/19

  40,000      44,623   

Ensco

4.50% 10/1/24

  400,000      388,440   

4.70% 3/15/21

  350,000      354,210   

5.75% 10/1/44

  100,000      97,189   

FMC Technologies
3.45% 10/1/22

  100,000      98,479   

Halliburton

  

2.00% 8/1/18

  250,000      252,439   

3.25% 11/15/21

  200,000      208,640   

4.75% 8/1/43

  200,000      219,215   

5.90% 9/15/18

  50,000      56,924   

6.15% 9/15/19

  250,000      294,013   

7.45% 9/15/39

  200,000      286,791   

Nabors Industries

  

4.625% 9/15/21

  150,000      144,556   

5.10% 9/15/23

  500,000      479,639   

6.15% 2/15/18

  100,000      106,866   

9.25% 1/15/19

  150,000      174,448   

National Oilwell Varco

  

2.60% 12/1/22

  200,000      196,861   

3.95% 12/1/42

  150,000      142,637   

Oceaneering International
4.65% 11/15/24

  100,000      101,294   

Rowan

  

4.75% 1/15/24

  75,000      71,099   

4.875% 6/1/22

  100,000      96,257   

5.40% 12/1/42

  175,000      144,001   

7.875% 8/1/19

  65,000      72,555   

Schlumberger Investment
3.65% 12/1/23

  504,000      537,735   

Transocean 7.35% 12/15/41

  55,000      42,281   

Weatherford International

  

4.50% 4/15/22

  100,000      91,533   

5.95% 4/15/42

  100,000      88,173   

6.00% 3/15/18

  150,000      157,777   

6.75% 9/15/40

  100,000      94,077   

7.00% 3/15/38

  150,000      142,412   

9.625% 3/1/19

  100,000      114,655   

9.875% 3/1/39

  50,000      58,631   
     

 

 

 
         6,373,454   
     

 

 

 
 

 

LVIP SSgA Bond Index Fund–23


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Food & Staples Retailing–0.50%

  

Costco Wholesale
5.50% 3/15/17

  450,000    $ 491,195   

CVS Health

2.25% 8/12/19

  250,000                254,117   

2.75% 12/1/22

  200,000      201,280   

4.00% 12/5/23

  600,000      651,566   

4.125% 5/15/21

  100,000      110,041   

4.75% 5/18/20

  100,000      113,155   

5.75% 6/1/17

  150,000      164,803   

5.75% 5/15/41

  150,000      192,187   

6.25% 6/1/27

  130,000      165,517   

Delhaize America
9.00% 4/15/31

  125,000      171,726   

Delhaize Group
5.70% 10/1/40

  500,000      554,482   

Kroger

1.20% 10/17/16

  93,000      93,298   

2.20% 1/15/17

  100,000      101,747   

2.30% 1/15/19

  250,000      253,855   

3.30% 1/15/21

  250,000      259,998   

3.40% 4/15/22

  50,000      51,734   

5.00% 4/15/42

  100,000      114,234   

6.90% 4/15/38

  100,000      136,976   

7.50% 4/1/31

  250,000      341,683   

Sysco

3.00% 10/2/21

  755,000      780,237   

4.35% 10/2/34

  65,000      68,420   

5.375% 3/17/19

  100,000      113,384   

6.625% 3/17/39

  50,000      70,824   

Walgreen

1.80% 9/15/17

  100,000      101,091   

3.10% 9/15/22

  150,000      151,349   

5.25% 1/15/19

  150,000      168,341   

Walgreens Boots Alliance

1.75% 11/17/17

  600,000      605,837   

3.80% 11/18/24

  700,000      725,191   

4.80% 11/18/44

  500,000      541,854   

Wal-Mart Stores

0.60% 4/11/16

  600,000      601,346   

1.125% 4/11/18

  700,000      701,164   

2.55% 4/11/23

  300,000      302,660   

2.80% 4/15/16

  400,000      409,797   

3.25% 10/25/20

  300,000      321,731   

3.625% 7/8/20

  100,000      108,970   

4.00% 4/11/43

  325,000      345,618   

4.125% 2/1/19

  100,000      109,827   

4.875% 7/8/40

  300,000      354,041   

5.00% 10/25/40

  200,000      240,369   

5.25% 9/1/35

  300,000      371,919   

5.625% 4/15/41

  250,000      325,068   

5.80% 2/15/18

  200,000      226,444   

5.875% 4/5/27

  100,000      130,922   

6.20% 4/15/38

  300,000      409,925   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Food & Staples Retailing (continued)

  

Wal-Mart Stores(continued)

6.50% 8/15/37

  350,000    $ 490,599   

7.55% 2/15/30

  200,000      302,407   
     

 

 

 
       13,502,929   
     

 

 

 

Food Products–0.31%

  

Archer-Daniels-Midland

4.016% 4/16/43

  100,000      104,352   

4.479% 3/1/21

  235,000      263,843   

5.375% 9/15/35

  100,000      123,817   

5.45% 3/15/18

  100,000      112,127   

Bunge Limited Finance
8.50% 6/15/19

  135,000      166,655   

Campbell Soup

2.50% 8/2/22

  61,000      59,620   

3.05% 7/15/17

  100,000      103,700   

4.25% 4/15/21

  250,000      273,643   

4.50% 2/15/19

  35,000      38,152   

ConAgra Foods

1.90% 1/25/18

  250,000      250,482   

3.20% 1/25/23

  250,000      246,519   

4.65% 1/25/43

  125,000      125,893   

5.819% 6/15/17

  50,000      54,435   

6.625% 8/15/39

  50,000      63,329   

7.00% 4/15/19

  100,000      117,017   

8.25% 9/15/30

  100,000      142,712   

General Mills

2.20% 10/21/19

  300,000      302,840   

3.15% 12/15/21

  200,000      207,507   

3.65% 2/15/24

  111,000      116,746   

5.40% 6/15/40

  45,000      53,630   

5.65% 2/15/19

  100,000      113,811   

5.70% 2/15/17

  100,000      108,433   

Hershey 4.125% 12/1/20

  200,000      220,463   

Ingredion 1.80% 9/25/17

  100,000      100,052   

Kellogg

1.75% 5/17/17

  150,000      151,601   

3.125% 5/17/22

  150,000      152,547   

3.25% 5/21/18

  135,000      141,325   

4.00% 12/15/20

  64,000      69,379   

7.45% 4/1/31

  100,000      135,259   

Kraft Foods Group

2.25% 6/5/17

  150,000      152,790   

3.50% 6/6/22

  150,000      155,445   

5.00% 6/4/42

  250,000      277,725   

5.375% 2/10/20

  250,000      284,558   

6.125% 8/23/18

  650,000      738,604   

6.50% 2/9/40

  150,000      194,898   

McCormick

3.50% 9/1/23

  107,000      114,057   

3.90% 7/15/21

  50,000      54,948   

Mead Johnson Nutrition

4.90% 11/1/19

  100,000      110,941   
 

 

LVIP SSgA Bond Index Fund–24


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Food Products (continued)

  

Mead Johnson Nutrition (continued)

  

5.90% 11/1/39

  50,000    $ 61,509   

Mondelez International
6.125% 2/1/18

  150,000      168,463   

Smucker (J.M.)

#144A 1.75% 3/15/18

  60,000      60,346   

#144A 2.50% 3/15/20

  100,000      101,459   

#144A 3.00% 3/15/22

  150,000      152,490   

#144A 3.50% 3/15/25

  150,000      154,525   

#144A 4.25% 3/15/35

  100,000      103,925   

#144A 4.375% 3/15/45

  50,000      52,329   

Tyson Foods

3.95% 8/15/24

  240,000      254,042   

4.50% 6/15/22

  200,000      220,992   

Unilever Capital

2.20% 3/6/19

  250,000      255,613   

4.25% 2/10/21

  200,000      224,738   

4.80% 2/15/19

  100,000      111,969   

5.90% 11/15/32

  133,000      186,279   
     

 

 

 
         8,312,534   
     

 

 

 

Gas Utilities–0.11%

  

AGL Capital

4.40% 6/1/43

  100,000      108,886   

5.25% 8/15/19

  100,000      112,629   

5.875% 3/15/41

  70,000      91,973   

Atmos Energy

4.125% 10/15/44

  150,000      160,735   

8.50% 3/15/19

  100,000      124,325   

CenterPoint Energy
5.95% 2/1/17

  100,000      108,512   

CenterPoint Energy Resources

4.50% 1/15/21

  65,000      72,652   

5.85% 1/15/41

  115,000      144,412   

6.00% 5/15/18

  100,000      113,007   

Laclede Group 4.70% 8/15/44

  100,000      109,580   

National Fuel Gas

3.75% 3/1/23

  156,000      156,473   

8.75% 5/1/19

  115,000      139,728   

One Gas

3.61% 2/1/24

  100,000      107,270   

4.658% 2/1/44

  50,000      58,019   

Panhandle Eastern Pipe Line

6.20% 11/1/17

  50,000      55,734   

7.00% 6/15/18

  300,000      341,318   

Piedmont Natural Gas
4.65% 8/1/43

  50,000      60,087   

Southern California Gas

3.15% 9/15/24

  100,000      104,201   

4.45% 3/15/44

  150,000      173,892   

5.75% 11/15/35

  100,000      130,778   

Southern Natural Gas

4.40% 6/15/21

  300,000      313,703   

#144A 5.90% 4/1/17

  25,000      26,890   

8.00% 3/1/32

  100,000      124,695   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Gas Utilities (continued)

  

Southwest Gas 4.875% 10/1/43

  100,000    $ 120,056   
     

 

 

 
         3,059,555   
     

 

 

 

Health Care Equipment & Supplies–0.39%

  

Bard (C.R.) 4.40% 1/15/21

  65,000      71,502   

Baxter International

0.95% 6/1/16

  250,000      250,477   

3.20% 6/15/23

  225,000      228,489   

3.65% 8/15/42

  100,000      96,249   

4.50% 8/15/19

  250,000      277,381   

6.25% 12/1/37

  50,000      66,986   

Becton Dickinson

1.75% 11/8/16

  200,000      202,266   

2.675% 12/15/19

  145,000      148,268   

3.125% 11/8/21

  200,000      205,746   

3.25% 11/12/20

  100,000      104,125   

3.734% 12/15/24

  350,000      367,040   

5.00% 11/12/40

  35,000      39,822   

6.00% 5/15/39

  100,000      127,953   

Boston Scientific

2.65% 10/1/18

  125,000      126,481   

6.00% 1/15/20

  100,000      115,222   

6.40% 6/15/16

  100,000      105,967   

7.375% 1/15/40

  201,000      273,219   

CareFusion

3.30% 3/1/23

  100,000      101,223   

4.875% 5/15/44

  100,000      111,293   

6.375% 8/1/19

  150,000      175,539   

Covidien International Finance

2.95% 6/15/23

  100,000      101,710   

3.20% 6/15/22

  150,000      156,023   

4.20% 6/15/20

  100,000      110,457   

6.00% 10/15/17

  25,000      27,897   

6.55% 10/15/37

  100,000      141,117   

DENTSPLY International
2.75% 8/15/16

  55,000      56,077   

Edwards Lifesciences
2.875% 10/15/18

  150,000      154,713   

Medtronic

1.375% 4/1/18

  125,000      125,132   

#144A 1.50% 3/15/18

  115,000      115,549   

#144A 2.50% 3/15/20

  135,000      138,085   

2.75% 4/1/23

  1,125,000      1,128,592   

3.125% 3/15/22

  150,000      155,766   

#144A 3.50% 3/15/25

  975,000      1,020,541   

3.625% 3/15/24

  500,000      531,467   

4.00% 4/1/43

  350,000      363,498   

#144A 4.375% 3/15/35

  150,000      163,448   

4.50% 3/15/42

  100,000      109,784   

#144A 4.625% 3/15/45

  590,000      670,457   

5.55% 3/15/40

  100,000      124,989   

5.60% 3/15/19

  200,000      229,461   

St. Jude Medical 3.25% 4/15/23

  200,000      204,926   
 

 

LVIP SSgA Bond Index Fund–25


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Health Care Equipment & Supplies (continued)

  

Stryker

  

1.30% 4/1/18

  100,000    $ 99,945   

2.00% 9/30/16

  45,000      45,743   

3.375% 5/15/24

  150,000      154,416   

4.375% 1/15/20

  100,000      110,099   

4.375% 5/15/44

  100,000      105,414   

Zimmer Holdings

  

2.70% 4/1/20

  250,000      253,661   

3.15% 4/1/22

  250,000      253,258   

3.55% 4/1/25

  180,000      183,960   

4.25% 8/15/35

  105,000      108,526   

4.45% 8/15/45

  155,000      160,933   

5.75% 11/30/39

  100,000      119,954   
     

 

 

 
       10,620,846   
     

 

 

 

Health Care Providers & Services–0.48%

  

Aetna

  

1.75% 5/15/17

  100,000      101,333   

2.20% 3/15/19

  300,000      303,437   

2.75% 11/15/22

  150,000      150,456   

4.50% 5/15/42

  100,000      111,413   

6.625% 6/15/36

  100,000      135,461   

6.75% 12/15/37

  100,000      140,130   

AmerisourceBergen

  

3.40% 5/15/24

  250,000      257,057   

4.875% 11/15/19

  200,000      223,234   

Anthem

  

2.30% 7/15/18

  250,000      253,845   

3.125% 5/15/22

  250,000      253,839   

3.50% 8/15/24

  250,000      256,797   

4.35% 8/15/20

  100,000      110,516   

4.625% 5/15/42

  100,000      108,827   

4.65% 1/15/43

  125,000      136,038   

4.65% 8/15/44

  100,000      110,550   

5.85% 1/15/36

  125,000      152,537   

5.875% 6/15/17

  50,000      54,722   

6.375% 6/15/37

  100,000      130,443   

7.00% 2/15/19

  400,000      472,071   

Cardinal Health

  

3.20% 3/15/23

  100,000      102,155   

3.50% 11/15/24

  300,000      310,692   

4.625% 12/15/20

  100,000      111,824   

Children’s Hospital Medical Center 4.268% 5/15/44

  50,000      53,379   

Cigna

  

2.75% 11/15/16

  100,000      103,093   

5.375% 2/15/42

  400,000      497,113   

5.875% 3/15/41

  200,000      263,762   

7.875% 5/15/27

  25,000      34,800   

Coventry Health Care
5.45% 6/15/21

  80,000      93,357   

Dignity Health 3.812% 11/1/24

  200,000      210,207   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Health Care Providers & Services (continued)

  

Express Scripts Holding

  

2.65% 2/15/17

  200,000    $ 204,962   

3.125% 5/15/16

  200,000      204,922   

3.90% 2/15/22

  450,000      478,535   

4.75% 11/15/21

  200,000      225,344   

6.125% 11/15/41

  300,000      381,025   

Howard Hughes Medical Institute
3.50% 9/1/23

  150,000      159,846   

Humana

  

3.15% 12/1/22

  100,000      100,795   

4.625% 12/1/42

  175,000      182,949   

7.20% 6/15/18

  100,000      116,203   

Kaiser Foundation Hospitals

  

3.50% 4/1/22

  50,000      51,251   

Laboratory Corporation of America Holdings

  

2.20% 8/23/17

  250,000      254,620   

4.625% 11/15/20

  150,000      165,093   

4.70% 2/1/45

  500,000      516,717   

McKesson

  

2.284% 3/15/19

  250,000      253,040   

2.70% 12/15/22

  400,000      397,810   

4.75% 3/1/21

  300,000      335,250   

4.883% 3/15/44

  125,000      144,034   

Medco Health Solutions
7.125% 3/15/18

  225,000      259,183   

Memorial Sloan-Kettering Cancer
Center 4.20% 7/1/55

  127,000      129,281   

New York and Presbyterian Hospital
4.024% 8/1/45

  75,000      75,995   

Owens & Minor 3.875% 9/15/21

  50,000      52,378   

Quest Diagnostics

  

2.70% 4/1/19

  150,000      152,757   

3.20% 4/1/16

  200,000      204,598   

4.75% 1/30/20

  60,000      65,836   

5.75% 1/30/40

  59,000      66,764   

UnitedHealth Group

  

1.875% 11/15/16

  500,000      508,538   

2.75% 2/15/23

  107,000      108,218   

2.875% 12/15/21

  400,000      411,004   

2.875% 3/15/23

  250,000      256,363   

4.25% 3/15/43

  100,000      108,461   

4.375% 3/15/42

  100,000      110,543   

4.625% 11/15/41

  200,000      226,685   

4.70% 2/15/21

  100,000      114,023   

6.00% 2/15/18

  200,000      226,476   

6.50% 6/15/37

  150,000      211,664   

6.625% 11/15/37

  100,000      143,110   

6.875% 2/15/38

  100,000      144,467   
     

 

 

 
       12,991,828   
     

 

 

 

Hotels, Restaurants & Leisure–0.13%

  

Brinker International
3.875% 5/15/23

  100,000      100,210   

Carnival 3.95% 10/15/20

  133,000      141,546   
 

 

LVIP SSgA Bond Index Fund–26


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Hotels, Restaurants & Leisure (continued)

  

Darden Restaurants 7.05% 10/15/37

  84,000    $ 106,937   

Hyatt Hotels 3.875% 8/15/16

  100,000      103,623   

Marriott International

  

3.375% 10/15/20

  208,000      218,095   

6.375% 6/15/17

  100,000      110,096   

McDonald’s

  

1.875% 5/29/19

  250,000      252,931   

2.625% 1/15/22

  100,000      101,308   

3.25% 6/10/24

  300,000      311,611   

3.625% 5/20/21

  100,000      108,146   

3.625% 5/1/43

  100,000      98,810   

5.80% 10/15/17

  300,000      334,745   

6.30% 3/1/38

  50,000      66,117   

Starbucks

  

3.85% 10/1/23

  100,000      109,300   

6.25% 8/15/17

  100,000      111,723   

Starwood Hotels & Resorts Worldwide
3.125% 2/15/23

  211,000      209,552   

Wyndham Worldwide 4.25% 3/1/22

  300,000      313,540   

Yum Brands

  

3.75% 11/1/21

  65,000      68,494   

3.875% 11/1/23

  250,000      260,309   

5.30% 9/15/19

  150,000      167,420   

5.35% 11/1/43

  100,000      111,188   
     

 

 

 
         3,405,701   
     

 

 

 

Household Durables–0.14%

  

Church & Dwight 2.45% 12/15/19

  100,000      101,349   

Clorox

  

3.50% 12/15/24

  150,000      152,975   

5.95% 10/15/17

  100,000      111,344   

Energizer Holdings 4.70% 5/19/21

  100,000      105,874   

Kimberly-Clark

  

1.90% 5/22/19

  250,000      252,774   

3.875% 3/1/21

  45,000      49,700   

6.125% 8/1/17

  200,000      223,450   

6.625% 8/1/37

  100,000      142,183   

7.50% 11/1/18

  100,000      120,316   

Leggett & Platt 3.40% 8/15/22

  50,000      50,745   

Procter & Gamble

  

1.60% 11/15/18

  200,000      202,769   

1.90% 11/1/19

  200,000      202,847   

2.30% 2/6/22

  250,000      253,410   

3.10% 8/15/23

  200,000      210,787   

4.70% 2/15/19

  200,000      223,910   

5.50% 2/1/34

  100,000      130,930   

5.55% 3/5/37

  200,000      265,742   

Tupperware Brands 4.75% 6/1/21

  100,000      108,303   

Whirlpool

  

3.70% 3/1/23

  650,000      671,661   

4.70% 6/1/22

  100,000      110,499   
     

 

 

 
  3,691,568   
     

 

 

 
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Independent Power Producers & Energy Traders–0.08%

  

Constellation Energy Group
5.15% 12/1/20

  200,000    $ 226,195   

Exelon Generation

  

2.95% 1/15/20

  200,000      203,600   

4.25% 6/15/22

  250,000      264,195   

5.60% 6/15/42

  292,000      335,366   

6.20% 10/1/17

  25,000      27,709   

6.25% 10/1/39

  100,000      121,354   

Oglethorpe Power

  

4.55% 6/1/44

  100,000      109,169   

5.95% 11/1/39

  100,000      129,428   

PSEG Power

  

4.15% 9/15/21

  250,000      267,709   

5.125% 4/15/20

  60,000      67,331   

Southern Power 5.25% 7/15/43

  120,000      140,435   

TransAlta 6.50% 3/15/40

  250,000      254,211   
     

 

 

 
         2,146,702   
     

 

 

 

Industrial Conglomerates–0.18%

  

3M

1.00% 6/26/17

  100,000      100,278   

1.375% 9/29/16

  250,000      253,290   

2.00% 6/26/22

  500,000      494,861   

3.875% 6/15/44

  150,000      160,849   

5.70% 3/15/37

  100,000      133,435   

6.375% 2/15/28

  25,000      33,709   

Danaher

  

2.30% 6/23/16

  100,000      102,176   

3.90% 6/23/21

  100,000      109,921   

5.625% 1/15/18

  100,000      111,833   

General Electric

  

2.70% 10/9/22

  1,150,000      1,171,650   

4.125% 10/9/42

  311,000      329,618   

5.25% 12/6/17

  550,000      607,366   

Koninklijke Philips Electronics

  

3.75% 3/15/22

  100,000      104,768   

5.00% 3/15/42

  100,000      112,597   

5.75% 3/11/18

  300,000      335,512   

6.875% 3/11/38

  50,000      67,637   

Tyco Electronics Group

  

2.35% 8/1/19

  75,000      75,875   

2.375% 12/17/18

  60,000      61,183   

3.50% 2/3/22

  150,000      156,723   

6.55% 10/1/17

  100,000      112,178   

Tyco International Finance

  

8.50% 1/15/19

  100,000      121,693   
     

 

 

 
  4,757,152   
     

 

 

 

Insurance–0.87%

  

ACE INA Holdings

  

2.70% 3/13/23

  100,000      99,969   
 

 

LVIP SSgA Bond Index Fund–27


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Insurance (continued)

  

ACE INA Holdings (continued)

  

4.15% 3/13/43

  100,000    $ 108,280   

5.70% 2/15/17

  50,000      54,338   

5.90% 6/15/19

  125,000                144,288   

Aflac

  

6.45% 8/15/40

  100,000      132,556   

6.90% 12/17/39

  530,000      742,093   

8.50% 5/15/19

  200,000      252,764   

Alleghany

  

4.90% 9/15/44

  95,000      100,468   

4.95% 6/27/22

  100,000      110,971   

Allied World Assurance 7.50% 8/1/16

  200,000      215,944   

Allstate

  

4.50% 6/15/43

  100,000      114,243   

5.55% 5/9/35

  150,000      191,739   

Ÿ5.75% 8/15/53

  225,000      245,391   

7.45% 5/16/19

  100,000      121,545   

American Financial Group
9.875% 6/15/19

  100,000      127,963   

American International Group
2.30% 7/16/19

  350,000      355,551   

4.50% 7/16/44

  500,000      538,951   

4.875% 6/1/22

  500,000      569,097   

5.85% 1/16/18

  300,000      335,359   

6.25% 5/1/36

  100,000      130,753   

6.40% 12/15/20

  200,000      242,560   

Ÿ8.175% 5/15/58

  500,000      711,525   

Aon

  

3.125% 5/27/16

  100,000      102,581   

3.50% 6/14/24

  100,000      103,068   

4.00% 11/27/23

  150,000      160,432   

4.45% 5/24/43

  100,000      104,281   

5.00% 9/30/20

  100,000      112,736   

Arch Capital Group US
5.144% 11/1/43

  105,000      116,472   

Aspen Insurance Holdings
4.65% 11/15/23

  100,000      105,967   

Assurant 2.50% 3/15/18

  150,000      152,719   

Assured Guaranty US Holdings
5.00% 7/1/24

  100,000      107,140   

AXA 8.60% 12/15/30

  200,000      279,500   

Axis Specialty Finance
5.875% 6/1/20

  100,000      115,204   

Berkley (W.R.) 7.375% 9/15/19

  100,000      120,309   

Berkshire Hathaway

  

1.90% 1/31/17

  300,000      306,093   

2.10% 8/14/19

  200,000      204,769   

3.00% 2/11/23

  100,000      104,017   

3.40% 1/31/22

  300,000      321,679   

4.50% 2/11/43

  250,000      282,766   

Berkshire Hathaway Finance

  

1.30% 5/15/18

  150,000      150,530   

1.60% 5/15/17

  150,000      152,333   

3.00% 5/15/22

  100,000      104,169   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Insurance (continued)

  

Berkshire Hathaway Finance (continued)

  

4.25% 1/15/21

  100,000    $ 112,211   

4.30% 5/15/43

  100,000      109,440   

4.40% 5/15/42

  100,000                110,576   

5.40% 5/15/18

  50,000      56,341   

5.75% 1/15/40

  100,000      131,436   

Chubb

  

5.75% 5/15/18

  100,000      113,189   

6.00% 5/11/37

  100,000      134,447   

Ÿ6.375% 3/29/67

  100,000      106,500   

Cincinnati Financial 6.92% 5/15/28

  100,000      130,409   

CNA Financial

  

3.95% 5/15/24

  125,000      129,792   

5.75% 8/15/21

  30,000      34,667   

7.35% 11/15/19

  120,000      144,637   

Delphi Financial Group
7.875% 1/31/20

  25,000      30,177   

Everest Reinsurance Holdings
4.868% 6/1/44

  100,000      105,462   

Fidelity National Financial
6.60% 5/15/17

  100,000      109,314   

First American Financial
4.60% 11/15/24

  100,000      104,709   

Hartford Financial Services Group

  

4.30% 4/15/43

  43,000      45,814   

5.125% 4/15/22

  100,000      114,122   

5.50% 3/30/20

  100,000      114,937   

5.95% 10/15/36

  250,000      319,135   

6.10% 10/1/41

  50,000      65,546   

6.625% 3/30/40

  100,000      134,575   

HCC Insurance Holdings
6.30% 11/15/19

  50,000      58,166   

Kemper 4.35% 2/15/25

  100,000      102,536   

ßLincoln National 4.00% 9/1/23

  500,000      529,475   

Loews

  

4.125% 5/15/43

  500,000      495,187   

6.00% 2/1/35

  100,000      123,844   

Markel 7.125% 9/30/19

  100,000      119,842   

Marsh & McLennan

  

2.35% 3/6/20

  150,000      151,020   

2.55% 10/15/18

  100,000      102,777   

3.50% 3/10/25

  150,000      154,298   

4.80% 7/15/21

  100,000      112,959   

MetLife

  

3.00% 3/1/25

  150,000      150,520   

4.05% 3/1/45

  150,000      155,751   

4.368% 9/15/23

  367,000      408,251   

4.75% 2/8/21

  200,000      226,390   

4.875% 11/13/43

  200,000      231,402   

5.70% 6/15/35

  50,000      63,607   

5.875% 2/6/41

  100,000      130,340   

6.375% 6/15/34

  100,000      135,460   

6.40% 12/15/36

  100,000      119,000   
 

 

LVIP SSgA Bond Index Fund–28


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Insurance (continued)

  

MetLife (continued)

  

6.50% 12/15/32

  100,000    $ 135,112   

6.75% 6/1/16

  200,000      213,516   

6.817% 8/15/18

  400,000                466,544   

7.717% 2/15/19

  200,000      242,724   

10.75% 8/1/39

  150,000      252,675   

Montpelier Re Holdings
4.70% 10/15/22

  100,000      105,612   

Old Republic International
4.875% 10/1/24

  100,000      106,567   

OneBeacon US Holdings
4.60% 11/9/22

  100,000      104,865   

PartnerRe Finance B
5.50% 6/1/20

  100,000      114,088   

Primerica 4.75% 7/15/22

  100,000      111,052   

Principal Financial Group

  

1.85% 11/15/17

  250,000      252,331   

8.875% 5/15/19

  100,000      125,957   

ProAssurance 5.30% 11/15/23

  100,000      110,889   

Progressive

  

3.75% 8/23/21

  100,000      108,679   

4.35% 4/25/44

  250,000      277,191   

Protective Life

  

7.375% 10/15/19

  50,000      60,275   

8.45% 10/15/39

  25,000      38,102   

Prudential Financial

  

2.30% 8/15/18

  250,000      255,460   

5.10% 8/15/43

  250,000      281,987   

Ÿ5.20% 3/15/44

  100,000      102,175   

5.70% 12/14/36

  350,000      418,179   

Ÿ5.875% 9/15/42

  250,000      272,813   

5.90% 3/17/36

  250,000      308,286   

6.00% 12/1/17

  200,000      223,404   

6.625% 12/1/37

  400,000      532,810   

6.625% 6/21/40

  200,000      271,565   

Reinsurance Group of America

  

4.70% 9/15/23

  150,000      164,154   

6.45% 11/15/19

  90,000      105,309   

Swiss Re Solutions Holding
7.00% 2/15/26

  100,000      129,264   

Symetra Financial
4.25% 7/15/24

  50,000      52,323   

Torchmark

  

6.375% 6/15/16

  100,000      106,337   

9.25% 6/15/19

  25,000      31,769   

Transatlantic Holdings
8.00% 11/30/39

  100,000      141,804   

Travelers

  

3.90% 11/1/20

  100,000      109,101   

4.60% 8/1/43

  250,000      291,532   

5.80% 5/15/18

  250,000      282,534   

5.90% 6/2/19

  100,000      116,480   

6.25% 6/15/37

  100,000      138,113   

6.75% 6/20/36

  100,000      144,010   

Trinity Acquisition
6.125% 8/15/43

  100,000      118,427   

Unum Group 7.125% 9/30/16

  200,000      216,894   
 

Principal

Amount°

 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Insurance (continued)

  

Voya Financial

  

2.90% 2/15/18

  100,000    $ 103,251   

5.50% 7/15/22

  100,000      115,736   

5.70% 7/15/43

  100,000      123,468   

XLIT

  

2.30% 12/15/18

  100,000      101,668   

5.25% 12/15/43

  200,000      234,134   

5.75% 10/1/21

  100,000      117,959   
     

 

 

 
  23,318,499   
     

 

 

 

Internet & Catalog Retail–0.06%

  

Amazon.com

  

1.20% 11/29/17

  800,000      800,653   

3.80% 12/5/24

  500,000      526,537   

Expedia

  

4.50% 8/15/24

  200,000      202,519   

5.95% 8/15/20

  100,000      113,019   
     

 

 

 
         1,642,728   
     

 

 

 

Internet Software & Services–0.10%

  

Alibaba Group Holding

  

#144A 2.50% 11/28/19

  500,000      500,717   

#144A 3.60% 11/28/24

  633,000      636,302   

Baidu

  

3.25% 8/6/18

  200,000      207,505   

3.50% 11/28/22

  200,000      203,726   

eBay

  

2.60% 7/15/22

  250,000      239,317   

2.875% 8/1/21

  350,000      351,454   

3.25% 10/15/20

  100,000      103,553   

Google

  

2.125% 5/19/16

  200,000      203,919   

3.375% 2/25/24

  200,000      212,563   

3.625% 5/19/21

  100,000      109,004   
     

 

 

 
  2,768,060   
     

 

 

 

IT Services–0.19%

  

Broadridge Financial Solutions

  

3.95% 9/1/20

  100,000      106,163   

Computer Sciences
6.50% 3/15/18

  150,000      165,895   

Fidelity National Information Services

  

2.00% 4/15/18

  43,000      43,241   

3.50% 4/15/23

  311,000      312,604   

3.875% 6/5/24

  100,000      103,049   

Fiserv

  

3.125% 6/15/16

  100,000      102,595   

3.50% 10/1/22

  150,000      154,808   

4.625% 10/1/20

  100,000      110,614   

HP Enterprise Services
7.45% 10/15/29

  25,000      31,737   

International Business Machines

  

0.45% 5/6/16

  150,000      149,977   

1.125% 2/6/18

  100,000      99,795   

1.25% 2/6/17

  350,000      353,473   
 

 

LVIP SSgA Bond Index Fund–29


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

IT Services (continued)

  

International Business Machines (continued)

  

1.25% 2/8/18

  250,000    $ 250,983   

1.625% 5/15/20

  150,000      148,168   

1.875% 8/1/22

  600,000      571,779   

1.95% 7/22/16

  300,000      305,550   

1.95% 2/12/19

  200,000      203,047   

2.90% 11/1/21

  150,000      156,516   

4.00% 6/20/42

  200,000      201,871   

5.60% 11/30/39

  210,000      259,565   

5.70% 9/14/17

  300,000      333,435   

5.875% 11/29/32

  120,000      152,994   

7.625% 10/15/18

  300,000      362,469   

Total System Services
3.75% 6/1/23

  125,000      124,959   

Western Union

2.875% 12/10/17

  150,000      155,143   

3.65% 8/22/18

  100,000      105,098   

5.253% 4/1/20

  107,000      119,031   
     

 

 

 
         5,184,559   
     

 

 

 

Leisure Equipment & Products–0.02%

  

Hasbro

3.15% 5/15/21

  75,000      76,466   

5.10% 5/15/44

  65,000      69,455   

6.35% 3/15/40

  65,000      77,287   

Mattel

2.35% 5/6/19

  200,000      199,675   

6.20% 10/1/40

  100,000      119,407   
     

 

 

 
  542,290   
     

 

 

 

Life Sciences Tools & Services–0.09%

  

Agilent Technologies

3.875% 7/15/23

  150,000      154,072   

5.00% 7/15/20

  100,000      109,175   

#Keysight Technologies 144A 4.55% 10/30/24

  250,000      252,381   

Life Technologies 6.00% 3/1/20

  150,000      173,421   

Thermo Fisher Scientific

3.30% 2/15/22

  650,000      667,509   

3.60% 8/15/21

  100,000      104,529   

4.15% 2/1/24

  500,000      540,857   

4.50% 3/1/21

  240,000      262,868   

4.70% 5/1/20

  100,000      110,212   

Trimble Navigation 4.75% 12/1/24

  100,000      105,634   
     

 

 

 
  2,480,658   
     

 

 

 

Machinery–0.27%

  

Caterpillar

1.50% 6/26/17

  100,000      101,153   

2.60% 6/26/22

  50,000      50,145   

3.803% 8/15/42

  168,000      171,150   

3.90% 5/27/21

  150,000      165,326   

4.75% 5/15/64

  50,000      55,082   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Machinery (continued)

  

Caterpillar (continued)

5.70% 8/15/16

  125,000    $ 133,621   

6.05% 8/15/36

  200,000                260,775   

7.90% 12/15/18

  100,000      122,008   

Cooper US

3.875% 12/15/20

  100,000      108,576   

6.10% 7/1/17

  100,000      110,547   

Crane 4.45% 12/15/23

  100,000      107,204   

Cummins

3.65% 10/1/23

  139,000      149,289   

4.875% 10/1/43

  64,000      76,121   

Deere

2.60% 6/8/22

  100,000      100,542   

3.90% 6/9/42

  150,000      156,790   

4.375% 10/16/19

  350,000      389,186   

5.375% 10/16/29

  100,000      123,347   

Dover

4.30% 3/1/21

  100,000      111,563   

5.375% 3/1/41

  100,000      123,659   

6.60% 3/15/38

  25,000      35,566   

Eaton

1.50% 11/2/17

  200,000      200,886   

2.75% 11/2/22

  250,000      250,947   

4.15% 11/2/42

  150,000      155,179   

6.95% 3/20/19

  50,000      59,392   

Flowserve 4.00% 11/15/23

  64,000      67,256   

Illinois Tool Works

1.95% 3/1/19

  300,000      303,878   

3.375% 9/15/21

  60,000      63,862   

3.90% 9/1/42

  150,000      155,253   

4.875% 9/15/41

  100,000      116,933   

6.25% 4/1/19

  100,000      116,463   

Ingersoll-Rand Global Holding

4.25% 6/15/23

  250,000      267,393   

5.75% 6/15/43

  100,000      122,548   

6.875% 8/15/18

  250,000      290,726   

Joy Global 5.125% 10/15/21

  80,000      89,401   

Kennametal 2.65% 11/1/19

  150,000      150,563   

Parker Hannifin

3.30% 11/21/24

  60,000      63,068   

4.20% 11/21/34

  140,000      152,891   

6.25% 5/15/38

  550,000      754,604   

Pentair Finance 5.00% 5/15/21

  200,000      221,456   

Snap-on 6.125% 9/1/21

  50,000      60,343   

Stanley Black & Decker

2.90% 11/1/22

  150,000      152,718   

5.20% 9/1/40

  100,000      118,610   

5.75% 12/15/53

  100,000      108,190   

Textron 3.875% 3/1/25

  170,000      175,971   

#Timken 144A 3.875% 9/1/24

  70,000      71,412   

Valmont Industries 5.25% 10/1/54

  150,000      148,436   

Wabtec 4.375% 8/15/23

  100,000      107,984   
 

 

LVIP SSgA Bond Index Fund–30


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Machinery (continued)

  

Xylem 3.55% 9/20/16

  100,000    $ 103,183   
     

 

 

 
         7,301,196   
     

 

 

 

Media–1.04%

  

21st Century Fox America

3.00% 9/15/22

  600,000      608,238   

4.50% 2/15/21

  150,000      166,365   

4.75% 9/15/44

  60,000      67,525   

5.65% 8/15/20

  300,000      348,629   

6.15% 3/1/37

  30,000      38,866   

6.15% 2/15/41

  450,000      583,900   

6.40% 12/15/35

  300,000      395,935   

6.65% 11/15/37

  175,000      236,767   

6.90% 8/15/39

  100,000      137,253   

8.15% 10/17/36

  100,000      149,484   

CBS

2.30% 8/15/19

  200,000      200,237   

3.375% 3/1/22

  100,000      101,889   

4.85% 7/1/42

  150,000      158,750   

4.90% 8/15/44

  125,000      132,958   

7.875% 7/30/30

  200,000      278,095   

CC Holdings GS V

2.381% 12/15/17

  100,000      100,903   

3.849% 4/15/23

  150,000      152,119   

Comcast

3.125% 7/15/22

  100,000      103,765   

3.375% 2/15/25

  125,000      130,885   

4.20% 8/15/34

  83,000      90,098   

4.25% 1/15/33

  200,000      215,220   

4.65% 7/15/42

  24,000      26,860   

4.75% 3/1/44

  350,000      403,735   

5.15% 3/1/20

  300,000      345,178   

5.70% 5/15/18

  200,000      225,845   

5.70% 7/1/19

  200,000      231,592   

6.40% 5/15/38

  250,000      339,767   

6.45% 3/15/37

  200,000      271,718   

6.50% 1/15/17

  200,000      219,435   

6.50% 11/15/35

  200,000      272,708   

6.95% 8/15/37

  250,000      356,267   

7.05% 3/15/33

  500,000      711,329   

DIRECTV Holdings

1.75% 1/15/18

  75,000      75,062   

3.80% 3/15/22

  200,000      207,613   

3.95% 1/15/25

  225,000      232,282   

4.45% 4/1/24

  300,000      320,993   

4.60% 2/15/21

  300,000      328,467   

5.00% 3/1/21

  200,000      222,897   

5.15% 3/15/42

  150,000      157,341   

5.20% 3/15/20

  65,000      73,443   

5.875% 10/1/19

  40,000      46,123   

6.00% 8/15/40

  200,000      227,506   

6.35% 3/15/40

  50,000      59,372   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Media (continued)

  

Discovery Communications

3.30% 5/15/22

  150,000    $ 151,094   

4.375% 6/15/21

  100,000                108,004   

4.875% 4/1/43

  100,000      104,897   

5.05% 6/1/20

  200,000      222,869   

5.625% 8/15/19

  200,000      227,073   

6.35% 6/1/40

  150,000      185,937   

Disney (Walt)

0.875% 5/30/17

  150,000      150,005   

1.125% 2/15/17

  250,000      251,945   

1.35% 8/16/16

  200,000      202,196   

2.35% 12/1/22

  300,000      300,221   

3.70% 12/1/42

  150,000      153,049   

3.75% 6/1/21

  200,000      217,860   

4.125% 12/1/41

  100,000      109,975   

4.125% 6/1/44

  83,000      92,050   

6.00% 7/17/17

  150,000      167,199   

Grupo Televisa

6.625% 1/15/40

  100,000      124,318   

8.50% 3/11/32

  200,000      283,157   

Historic TW

6.625% 5/15/29

  300,000      388,267   

6.875% 6/15/18

  400,000      465,538   

Interpublic Group

2.25% 11/15/17

  150,000      151,301   

4.00% 3/15/22

  70,000      73,441   

NBCUniversal Media

2.875% 1/15/23

  575,000      585,069   

4.375% 4/1/21

  200,000      223,122   

4.45% 1/15/43

  675,000      735,984   

5.15% 4/30/20

  670,000      769,825   

5.95% 4/1/41

  200,000      262,532   

Omnicom Group

3.625% 5/1/22

  200,000      210,065   

4.45% 8/15/20

  35,000      38,556   

6.25% 7/15/19

  250,000      290,933   

Reed Elsevier Capital
8.625% 1/15/19

  100,000      122,791   

Scripps Networks Interactive

2.75% 11/15/19

  50,000      50,476   

3.90% 11/15/24

  150,000      155,066   

Thomson Reuters

0.875% 5/23/16

  100,000      99,990   

1.30% 2/23/17

  107,000      107,171   

4.30% 11/23/23

  200,000      215,386   

4.70% 10/15/19

  400,000      440,854   

6.50% 7/15/18

  150,000      171,809   

Time Warner

3.55% 6/1/24

  200,000      207,536   

4.70% 1/15/21

  100,000      111,473   

4.75% 3/29/21

  150,000      167,696   

4.875% 3/15/20

  200,000      224,076   

4.90% 6/15/42

  200,000      222,788   
 

 

LVIP SSgA Bond Index Fund–31


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Media (continued)

  

Time Warner (continued)

5.875% 11/15/16

  150,000    $ 161,572   

6.10% 7/15/40

  100,000      126,785   

6.25% 3/29/41

  800,000             1,036,174   

6.50% 11/15/36

  100,000      130,195   

7.625% 4/15/31

  325,000      455,599   

7.70% 5/1/32

  330,000      470,558   

Time Warner Cable

4.00% 9/1/21

  500,000      535,944   

5.00% 2/1/20

  145,000      161,989   

5.50% 9/1/41

  100,000      115,298   

5.85% 5/1/17

  500,000      544,106   

5.875% 11/15/40

  100,000      120,028   

6.55% 5/1/37

  200,000      251,973   

6.75% 7/1/18

  300,000      344,948   

6.75% 6/15/39

  200,000      257,200   

7.30% 7/1/38

  150,000      202,851   

8.25% 4/1/19

  250,000      306,052   

8.75% 2/14/19

  200,000      247,099   

Time Warner Entertainment

8.375% 3/15/23

  250,000      336,453   

8.375% 7/15/33

  200,000      294,113   

Viacom

2.50% 9/1/18

  120,000      122,166   

3.125% 6/15/22

  550,000      550,716   

3.25% 3/15/23

  250,000      247,162   

3.50% 4/1/17

  100,000      103,877   

3.875% 4/1/24

  200,000      206,153   

4.375% 3/15/43

  477,000      446,439   

5.625% 9/15/19

  200,000      226,124   

5.85% 9/1/43

  150,000      169,472   

6.875% 4/30/36

  125,000      155,056   

WPP Finance 2010

4.75% 11/21/21

  100,000      112,812   

5.625% 11/15/43

  250,000      295,742   
     

 

 

 
  28,031,664   
     

 

 

 

Metals & Mining–0.53%

  

Barrick Gold

3.85% 4/1/22

  250,000      244,834   

4.10% 5/1/23

  200,000      197,638   

5.25% 4/1/42

  300,000      290,607   

6.95% 4/1/19

  100,000      116,838   

Barrick North America Finance

4.40% 5/30/21

  200,000      205,669   

5.70% 5/30/41

  500,000      504,491   

5.75% 5/1/43

  150,000      156,130   

7.50% 9/15/38

  25,000      29,114   

Barrick PD Australia Finance
5.95% 10/15/39

  100,000      100,469   

BHP Billiton Finance USA

1.625% 2/24/17

  350,000      354,963   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Metals & Mining (continued)

  

BHP Billiton Finance USA (continued)

  

1.875% 11/21/16

  250,000    $ 253,955   

3.25% 11/21/21

  250,000                261,523   

3.85% 9/30/23

  200,000      214,054   

4.125% 2/24/42

  125,000      128,319   

5.00% 9/30/43

  500,000      574,900   

5.40% 3/29/17

  100,000      108,578   

6.50% 4/1/19

  150,000      176,758   

Freeport-McMoRan

2.15% 3/1/17

  100,000      99,677   

2.375% 3/15/18

  400,000      398,320   

3.10% 3/15/20

  775,000      755,985   

3.55% 3/1/22

  300,000      277,939   

3.875% 3/15/23

  225,000      208,651   

5.45% 3/15/43

  225,000      202,349   

Goldcorp

2.125% 3/15/18

  100,000      100,730   

3.70% 3/15/23

  200,000      198,309   

Kinross Gold 5.95% 3/15/24

  139,000      128,940   

Newmont Mining

3.50% 3/15/22

  150,000      145,808   

4.875% 3/15/42

  650,000      580,416   

5.125% 10/1/19

  180,000      197,609   

6.25% 10/1/39

  100,000      102,107   

Nucor

4.00% 8/1/23

  139,000      146,103   

4.125% 9/15/22

  100,000      107,049   

5.20% 8/1/43

  100,000      112,961   

5.75% 12/1/17

  50,000      55,624   

5.85% 6/1/18

  100,000      111,844   

Reliance Steel & Aluminum

4.50% 4/15/23

  150,000      151,780   

Rio Tinto Alcan 6.125% 12/15/33

  150,000      182,654   

Rio Tinto Finance USA

1.375% 6/17/16

  500,000      502,855   

1.625% 8/21/17

  250,000      251,523   

2.25% 12/14/18

  150,000      152,615   

2.50% 5/20/16

  100,000      101,913   

2.875% 8/21/22

  250,000      248,691   

3.50% 11/2/20

  250,000      263,969   

3.75% 9/20/21

  150,000      158,436   

4.125% 5/20/21

  200,000      215,739   

4.125% 8/21/42

  150,000      148,334   

5.20% 11/2/40

  100,000      113,147   

6.50% 7/15/18

  250,000      287,423   

7.125% 7/15/28

  75,000      100,577   

9.00% 5/1/19

  100,000      126,923   

Southern Copper

3.50% 11/8/22

  89,000      89,501   

5.25% 11/8/42

  150,000      137,483   

5.375% 4/16/20

  125,000      139,375   
 

 

LVIP SSgA Bond Index Fund–32


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Metals & Mining (continued)

  

Southern Copper (continued)

6.75% 4/16/40

  110,000    $ 118,371   

7.50% 7/27/35

  200,000      230,108   

Teck Resources

2.50% 2/1/18

  250,000      249,362   

4.50% 1/15/21

  100,000      102,049   

4.75% 1/15/22

  104,000      104,867   

5.20% 3/1/42

  250,000      223,040   

6.00% 8/15/40

  100,000      95,447   

6.25% 7/15/41

  201,000      195,341   

Vale 5.625% 9/11/42

  150,000      130,560   

Vale Overseas

4.375% 1/11/22

  250,000      241,567   

4.625% 9/15/20

  100,000      100,419   

5.625% 9/15/19

  300,000      320,121   

6.25% 1/23/17

  250,000      265,151   

6.875% 11/21/36

  350,000      340,270   

6.875% 11/10/39

  170,000      165,067   

Worthington Industries 4.55% 4/15/26

  40,000      43,039   

Yamana Gold 4.95% 7/15/24

  50,000      49,251   
     

 

 

 
       14,196,229   
     

 

 

 

Multiline Retail–0.15%

  

Dollar General 3.25% 4/15/23

  200,000      194,691   

Family Dollar Stores 5.00% 2/1/21

  100,000      105,297   

Kohl’s

4.00% 11/1/21

  200,000      212,616   

4.75% 12/15/23

  150,000      165,049   

6.00% 1/15/33

  100,000      115,495   

6.25% 12/15/17

  50,000      55,862   

Macy’s Retail Holdings

2.875% 2/15/23

  100,000      99,585   

3.625% 6/1/24

  150,000      156,154   

4.375% 9/1/23

  90,000      99,274   

5.125% 1/15/42

  100,000      112,509   

5.90% 12/1/16

  107,000      115,468   

6.70% 7/15/34

  150,000      201,282   

6.90% 4/1/29

  150,000      195,227   

Nordstrom

4.75% 5/1/20

  100,000      112,850   

5.00% 1/15/44

  281,000      325,508   

Target

2.30% 6/26/19

  200,000      205,058   

2.90% 1/15/22

  300,000      309,241   

3.875% 7/15/20

  100,000      109,866   

4.00% 7/1/42

  150,000      159,588   

5.875% 7/15/16

  100,000      106,652   

6.00% 1/15/18

  250,000      282,659   

6.35% 11/1/32

  100,000      133,183   

6.50% 10/15/37

  200,000      279,220   

7.00% 1/15/38

  200,000      292,475   
     

 

 

 
  4,144,809   
     

 

 

 
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Multi-Utilities–0.29%

  

American Water Capital

3.85% 3/1/24

  250,000    $ 269,965   

4.30% 12/1/42

  100,000      108,360   

6.085% 10/15/17

  100,000      111,427   

Avista

5.125% 4/1/22

  30,000      34,880   

5.95% 6/1/18

  100,000      113,385   

Consolidated Edison New York

3.95% 3/1/43

  150,000      155,203   

4.45% 3/15/44

  200,000      222,949   

4.625% 12/1/54

  500,000                563,116   

5.50% 12/1/39

  250,000      319,339   

5.85% 3/15/36

  100,000      130,654   

6.30% 8/15/37

  20,000      27,178   

6.65% 4/1/19

  200,000      237,335   

6.75% 4/1/38

  25,000      35,686   

7.125% 12/1/18

  200,000      238,411   

Dominion Resources

2.50% 12/1/19

  600,000      610,422   

2.75% 9/15/22

  250,000      249,093   

4.45% 3/15/21

  100,000      110,819   

4.90% 8/1/41

  60,000      67,698   

5.20% 8/15/19

  80,000      90,136   

5.95% 6/15/35

  25,000      30,707   

6.40% 6/15/18

  76,000      86,980   

DTE Energy

2.40% 12/1/19

  150,000      152,606   

3.50% 6/1/24

  100,000      104,102   

6.35% 6/1/16

  50,000      53,166   

KeySpan 8.00% 11/15/30

  25,000      35,707   

NiSource Finance

3.85% 2/15/23

  50,000      52,857   

4.80% 2/15/44

  100,000      112,878   

5.25% 2/15/43

  59,000      70,495   

5.45% 9/15/20

  125,000      144,065   

5.80% 2/1/42

  100,000      127,716   

6.125% 3/1/22

  100,000      120,269   

6.40% 3/15/18

  300,000      341,225   

Puget Energy 6.00% 9/1/21

  200,000      236,470   

Puget Sound Energy

4.434% 11/15/41

  100,000      113,306   

5.638% 4/15/41

  80,000      104,748   

5.764% 7/15/40

  50,000      66,369   

5.795% 3/15/40

  100,000      134,562   

San Diego Gas & Electric

3.00% 8/15/21

  175,000      183,361   

3.60% 9/1/23

  200,000      215,263   

6.00% 6/1/39

  110,000      150,526   

SCANA

4.125% 2/1/22

  500,000      526,442   

6.25% 4/1/20

  100,000      115,089   
 

 

LVIP SSgA Bond Index Fund–33


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Multi-Utilities (continued)

  

Sempra Energy

2.40% 3/15/20

  250,000    $ 253,069   

2.875% 10/1/22

  150,000      150,208   

6.00% 10/15/39

  125,000      161,210   

6.15% 6/15/18

  25,000      28,519   

6.50% 6/1/16

  230,000      244,760   

United Utilities 5.375% 2/1/19

  100,000      107,760   
     

 

 

 
         7,920,491   
     

 

 

 

Office Electronics–0.03%

Xerox

2.80% 5/15/20

  250,000      252,542   

4.50% 5/15/21

  345,000      374,875   

6.35% 5/15/18

  250,000      282,539   
     

 

 

 
  909,956   
     

 

 

 

Oil, Gas & Consumable Fuels–2.75%

  

Anadarko Finance 7.50% 5/1/31

  250,000      332,443   

Anadarko Petroleum

5.95% 9/15/16

  200,000      213,432   

6.375% 9/15/17

  300,000      333,980   

6.45% 9/15/36

  250,000      311,105   

7.95% 6/15/39

  200,000      282,847   

8.70% 3/15/19

  200,000      244,705   

Apache

1.75% 4/15/17

  50,000      50,424   

3.25% 4/15/22

  73,000      74,296   

4.25% 1/15/44

  100,000      98,631   

4.75% 4/15/43

  200,000      209,847   

5.10% 9/1/40

  350,000      376,137   

5.25% 2/1/42

  100,000      109,978   

5.625% 1/15/17

  200,000      215,688   

6.00% 1/15/37

  50,000      59,883   

Boardwalk Pipelines

3.375% 2/1/23

  100,000      92,622   

4.95% 12/15/24

  50,000      50,489   

5.75% 9/15/19

  100,000      108,934   

Buckeye Partners

4.875% 2/1/21

  260,000      275,983   

5.50% 8/15/19

  50,000      55,046   

5.85% 11/15/43

  500,000      505,961   

Burlington Resources Finance
7.20% 8/15/31

  100,000      140,175   

Canadian Natural Resources

3.80% 4/15/24

  43,000      43,116   

3.90% 2/1/25

  200,000      202,324   

5.70% 5/15/17

  250,000      270,681   

5.85% 2/1/35

  200,000      219,787   

5.90% 2/1/18

  100,000      110,437   

6.25% 3/15/38

  150,000      176,252   

Cenovus Energy

3.80% 9/15/23

  250,000      248,670   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Cenovus Energy (continued)

4.45% 9/15/42

  100,000    $ 91,997   

5.70% 10/15/19

  100,000      111,583   

6.75% 11/15/39

  200,000      239,807   

Chevron

1.104% 12/5/17

  300,000      300,456   

1.345% 11/15/17

  500,000      504,270   

1.718% 6/24/18

  500,000      506,569   

2.193% 11/15/19

  500,000      510,763   

2.355% 12/5/22

  500,000      494,819   

3.191% 6/24/23

  550,000      573,484   

4.95% 3/3/19

  100,000      112,291   

CNOOC Finance 2013

3.00% 5/9/23

  250,000      244,634   

4.25% 5/9/43

  1,000,000             1,010,923   

ConocoPhillips

1.05% 12/15/17

  250,000      249,245   

2.40% 12/15/22

  450,000      440,235   

4.15% 11/15/34

  90,000      95,850   

4.30% 11/15/44

  150,000      159,613   

5.75% 2/1/19

  425,000      488,521   

5.90% 5/15/38

  450,000      576,270   

6.00% 1/15/20

  200,000      235,985   

6.50% 2/1/39

  380,000      514,379   

ConocoPhillips Canada Funding I
5.625% 10/15/16

  100,000      107,292   

ConocoPhillips Holding
6.95% 4/15/29

  200,000      273,961   

Continental Resources

3.80% 6/1/24

  435,000      401,716   

4.50% 4/15/23

  700,000      680,500   

4.90% 6/1/44

  100,000      88,512   

Devon Energy

3.25% 5/15/22

  250,000      252,932   

4.00% 7/15/21

  100,000      106,808   

4.75% 5/15/42

  100,000      107,363   

5.60% 7/15/41

  300,000      350,614   

6.30% 1/15/19

  100,000      114,698   

7.95% 4/15/32

  100,000      137,889   

Devon Financing 7.875% 9/30/31

  200,000      273,312   

Ecopetrol

4.125% 1/16/25

  500,000      479,940   

5.875% 9/18/23

  200,000      215,200   

5.875% 5/28/45

  155,000      144,995   

7.625% 7/23/19

  200,000      235,800   

El Paso Natural Gas

5.95% 4/15/17

  100,000      106,925   

8.375% 6/15/32

  100,000      128,885   

El Paso Pipeline Partners Operating
5.00% 10/1/21

  250,000      268,531   

Enable Midstream Partners

#144A 3.90% 5/15/24

  200,000      193,076   

#144A 5.00% 5/15/44

  70,000      64,108   
 

 

LVIP SSgA Bond Index Fund–34


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Enbridge

3.50% 6/10/24

  100,000    $ 98,420   

4.00% 10/1/23

  150,000                152,809   

4.50% 6/10/44

  100,000      93,183   

5.60% 4/1/17

  100,000      107,303   

Enbridge Energy Partners

5.20% 3/15/20

  100,000      110,323   

6.50% 4/15/18

  50,000      55,739   

7.50% 4/15/38

  300,000      376,276   

9.875% 3/1/19

  50,000      63,018   

Encana

5.90% 12/1/17

  50,000      56,353   

6.50% 5/15/19

  300,000      344,962   

6.50% 2/1/38

  100,000      114,849   

6.625% 8/15/37

  250,000      289,879   

7.20% 11/1/31

  50,000      59,996   

Energy Transfer Partners

3.60% 2/1/23

  100,000      99,227   

4.05% 3/15/25

  100,000      101,047   

4.15% 10/1/20

  150,000      157,660   

5.15% 3/15/45

  150,000      151,512   

5.20% 2/1/22

  250,000      272,769   

5.95% 10/1/43

  125,000      138,379   

6.50% 2/1/42

  150,000      174,587   

7.50% 7/1/38

  200,000      253,534   

7.60% 2/1/24

  150,000      187,191   

EnLink Midstream Partners

4.40% 4/1/24

  150,000      157,963   

5.60% 4/1/44

  100,000      111,293   

Enterprise Products Operating

3.35% 3/15/23

  350,000      354,413   

3.75% 2/15/25

  640,000      661,988   

3.90% 2/15/24

  200,000      209,629   

4.05% 2/15/22

  100,000      106,755   

4.45% 2/15/43

  125,000      127,419   

4.85% 8/15/42

  200,000      214,638   

4.85% 3/15/44

  125,000      135,282   

5.20% 9/1/20

  100,000      112,810   

5.25% 1/31/20

  100,000      112,987   

5.70% 2/15/42

  150,000      180,182   

5.75% 3/1/35

  250,000      296,899   

5.95% 2/1/41

  100,000      121,769   

6.125% 10/15/39

  50,000      61,665   

6.30% 9/15/17

  100,000      111,699   

6.50% 1/31/19

  100,000      115,688   

7.55% 4/15/38

  100,000      141,382   

EOG Resources

2.625% 3/15/23

  150,000      150,114   

3.15% 4/1/25

  250,000      255,288   

3.90% 4/1/35

  350,000      359,649   

4.40% 6/1/20

  150,000      166,594   

6.875% 10/1/18

  25,000      29,351   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

EQT

4.875% 11/15/21

  100,000    $ 105,386   

8.125% 6/1/19

  75,000      89,678   

EQT Midstream Partners
4.00% 8/1/24

  55,000      54,705   

Exxon Mobil

1.305% 3/6/18

  500,000      503,094   

1.819% 3/15/19

  500,000      506,961   

3.567% 3/6/45

  800,000                831,793   

Freeport-McMoran Oil & Gas
6.875% 2/15/23

  196,000      208,495   

Hess

5.60% 2/15/41

  200,000      219,193   

7.125% 3/15/33

  100,000      122,100   

7.30% 8/15/31

  250,000      305,361   

8.125% 2/15/19

  285,000      342,475   

Husky Energy

3.95% 4/15/22

  150,000      152,633   

4.00% 4/15/24

  50,000      50,744   

7.25% 12/15/19

  125,000      148,510   

Kerr-McGee 6.95% 7/1/24

  100,000      125,363   

Kinder Morgan

2.00% 12/1/17

  110,000      109,899   

4.30% 6/1/25

  200,000      205,702   

5.55% 6/1/45

  700,000      740,803   

Kinder Morgan Energy Partners

2.65% 2/1/19

  300,000      300,734   

3.50% 3/1/21

  520,000      524,807   

3.50% 9/1/23

  500,000      491,077   

3.95% 9/1/22

  100,000      101,722   

5.00% 8/15/42

  500,000      487,357   

5.00% 3/1/43

  250,000      245,073   

5.30% 9/15/20

  250,000      275,498   

5.80% 3/15/35

  150,000      165,566   

5.95% 2/15/18

  50,000      55,314   

6.50% 9/1/39

  100,000      114,171   

6.55% 9/15/40

  200,000      225,203   

7.75% 3/15/32

  200,000      248,837   

Magellan Midstream Partners

3.20% 3/15/25

  100,000      99,962   

4.20% 3/15/45

  150,000      145,920   

4.25% 2/1/21

  150,000      162,352   

6.55% 7/15/19

  50,000      58,650   

Marathon Oil

2.80% 11/1/22

  125,000      121,955   

5.90% 3/15/18

  500,000      554,088   

6.60% 10/1/37

  100,000      121,023   

Marathon Petroleum

3.625% 9/15/24

  250,000      253,341   

5.00% 9/15/54

  500,000      503,994   

5.125% 3/1/21

  135,000      152,042   

6.50% 3/1/41

  145,000      177,276   

Murphy Oil 2.50% 12/1/17

  500,000      493,233   
 

 

LVIP SSgA Bond Index Fund–35


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Nexen

6.20% 7/30/19

  130,000    $ 148,821   

6.40% 5/15/37

  150,000                190,549   

7.50% 7/30/39

  200,000      283,844   

Noble Energy

4.15% 12/15/21

  100,000      106,069   

5.05% 11/15/44

  800,000      842,713   

5.25% 11/15/43

  250,000      262,251   

6.00% 3/1/41

  135,000      152,492   

8.25% 3/1/19

  100,000      119,735   

Noble Holding International

2.50% 3/15/17

  100,000      98,507   

3.95% 3/15/22

  100,000      88,946   

6.20% 8/1/40

  125,000      108,656   

Northwest Pipeline 6.05% 6/15/18

  300,000      337,097   

Occidental Petroleum

1.50% 2/15/18

  100,000      99,947   

1.75% 2/15/17

  250,000      253,153   

2.70% 2/15/23

  200,000      198,955   

3.125% 2/15/22

  150,000      154,715   

4.10% 2/1/21

  100,000      109,805   

4.125% 6/1/16

  150,000      155,691   

ONEOK Partners

3.20% 9/15/18

  100,000      101,307   

3.375% 10/1/22

  150,000      142,545   

3.80% 3/15/20

  100,000      102,075   

4.90% 3/15/25

  100,000      101,380   

6.125% 2/1/41

  100,000      102,774   

6.15% 10/1/16

  50,000      53,442   

6.20% 9/15/43

  178,000      185,984   

6.65% 10/1/36

  100,000      106,494   

8.625% 3/1/19

  100,000      118,587   

Petrobras Global Finance

2.00% 5/20/16

  200,000      191,800   

3.00% 1/15/19

  500,000      432,910   

3.25% 3/17/17

  700,000      647,500   

3.50% 2/6/17

  600,000      563,010   

4.375% 5/20/23

  350,000      300,160   

5.375% 1/27/21

  700,000      638,505   

5.625% 5/20/43

  225,000      183,353   

5.75% 1/20/20

  200,000      186,016   

5.875% 3/1/18

  200,000      192,000   

6.875% 1/20/40

  450,000      411,102   

7.25% 3/17/44

  1,000,000      943,980   

7.875% 3/15/19

  400,000      409,184   

Petro-Canada

5.95% 5/15/35

  200,000      240,079   

6.80% 5/15/38

  100,000      132,421   

9.25% 10/15/21

  50,000      67,522   

Petroleos Mexicanos

2.378% 4/15/25

  190,000      193,566   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Petroleos Mexicanos (continued)

  

3.125% 1/23/19

  80,000    $ 81,800   

3.50% 7/18/18

  200,000      208,500   

3.50% 1/30/23

  800,000      783,200   

#144A 4.50% 1/23/26

  250,000      255,375   

4.875% 1/24/22

  1,250,000             1,329,687   

4.875% 1/18/24

  500,000      530,500   

5.50% 1/21/21

  400,000      441,000   

6.00% 3/5/20

  260,000      297,830   

6.375% 1/23/45

  609,000      682,385   

6.50% 6/2/41

  800,000      910,000   

6.625% 6/15/35

  250,000      287,500   

8.00% 5/3/19

  550,000      660,687   

Phillips 66

2.95% 5/1/17

  950,000      983,058   

4.65% 11/15/34

  350,000      372,044   

5.875% 5/1/42

  250,000      298,905   

Pioneer Natural Resources
3.95% 7/15/22

  100,000      103,005   

Plains All American Pipeline

4.30% 1/31/43

  100,000      95,717   

4.70% 6/15/44

  600,000      612,040   

5.15% 6/1/42

  200,000      212,848   

5.75% 1/15/20

  100,000      113,961   

6.65% 1/15/37

  125,000      156,538   

8.75% 5/1/19

  150,000      187,129   

Shell International Finance

0.90% 11/15/16

  200,000      201,071   

1.125% 8/21/17

  500,000      501,766   

2.00% 11/15/18

  300,000      305,791   

2.375% 8/21/22

  250,000      249,506   

3.40% 8/12/23

  650,000      688,829   

4.30% 9/22/19

  200,000      222,070   

4.375% 3/25/20

  75,000      84,001   

4.55% 8/12/43

  100,000      113,825   

5.50% 3/25/40

  100,000      127,385   

6.375% 12/15/38

  300,000      416,820   

Southwestern Energy

3.30% 1/23/18

  500,000      509,931   

4.10% 3/15/22

  200,000      197,104   

Spectra Energy Capital

5.65% 3/1/20

  100,000      110,269   

7.50% 9/15/38

  350,000      427,089   

Spectra Energy Partners

2.95% 6/15/16

  100,000      102,268   

2.95% 9/25/18

  350,000      361,082   

Statoil

1.15% 5/15/18

  250,000      248,870   

1.25% 11/9/17

  250,000      250,559   

2.45% 1/17/23

  200,000      197,142   

2.65% 1/15/24

  100,000      98,415   

3.15% 1/23/22

  200,000      208,978   
 

 

LVIP SSgA Bond Index Fund–36


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Statoil (continued)

3.70% 3/1/24

  600,000    $ 642,073   

3.95% 5/15/43

  250,000      257,165   

4.80% 11/8/43

  150,000      175,915   

5.10% 8/17/40

  200,000      241,218   

5.25% 4/15/19

  250,000                284,502   

7.15% 1/15/29

  25,000      35,024   

Suncor Energy

3.60% 12/1/24

  250,000      255,527   

6.10% 6/1/18

  150,000      169,094   

6.50% 6/15/38

  250,000      322,216   

6.85% 6/1/39

  100,000      132,185   

7.15% 2/1/32

  25,000      32,884   

Sunoco Logistics Partners Operations

3.45% 1/15/23

  200,000      197,116   

5.30% 4/1/44

  200,000      207,097   

6.85% 2/15/40

  100,000      121,851   

Talisman Energy

3.75% 2/1/21

  250,000      246,304   

7.75% 6/1/19

  125,000      144,372   

TC PipeLines 4.375% 3/13/25

  150,000      151,785   

Tennessee Gas Pipeline

7.50% 4/1/17

  400,000      441,871   

7.625% 4/1/37

  150,000      193,495   

Tosco 8.125% 2/15/30

  100,000      147,671   

Total Capital

4.125% 1/28/21

  100,000      110,477   

4.45% 6/24/20

  100,000      111,843   

Total Capital Canada

1.45% 1/15/18

  200,000      200,793   

2.75% 7/15/23

  300,000      299,459   

Total Capital International

1.00% 8/12/16

  200,000      201,164   

1.00% 1/10/17

  500,000      502,307   

1.55% 6/28/17

  150,000      151,766   

2.10% 6/19/19

  300,000      304,537   

2.70% 1/25/23

  200,000      199,657   

2.875% 2/17/22

  200,000      205,155   

3.70% 1/15/24

  100,000      106,241   

TransCanada PipeLines

2.50% 8/1/22

  150,000      146,704   

3.75% 10/16/23

  150,000      157,586   

3.80% 10/1/20

  100,000      106,115   

4.625% 3/1/34

  200,000      215,954   

6.10% 6/1/40

  100,000      124,581   

Ÿ6.35% 5/15/67

  150,000      145,875   

6.50% 8/15/18

  200,000      228,743   

7.25% 8/15/38

  100,000      139,249   

7.625% 1/15/39

  250,000      361,269   

Transcontinental Gas Pipe Line

4.45% 8/1/42

  100,000      91,662   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Valero Energy

3.65% 3/15/25

  100,000    $ 102,481   

4.90% 3/15/45

  150,000      155,693   

6.125% 2/1/20

  65,000      75,379   

6.625% 6/15/37

  300,000      371,466   

7.50% 4/15/32

  100,000      130,289   

9.375% 3/15/19

  200,000      250,729   

Western Gas Partners

4.00% 7/1/22

  150,000      152,707   

5.45% 4/1/44

  100,000      106,584   

Williams

3.70% 1/15/23

  139,000      128,705   

4.55% 6/24/24

  250,000      242,578   

5.75% 6/24/44

  100,000      93,780   

8.75% 3/15/32

  109,000      130,758   

Williams Partners

3.90% 1/15/25

  425,000      416,371   

4.00% 11/15/21

  100,000      102,800   

4.30% 3/4/24

  195,000      194,933   

5.25% 3/15/20

  200,000      220,426   

6.30% 4/15/40

  470,000      518,835   

XTO Energy 6.50% 12/15/18

  100,000      117,283   
     

 

 

 
       73,973,608   
     

 

 

 

Paper & Forest Products–0.09%

  

Celulosa Arauco y Constitucion

4.50% 8/1/24

  200,000      205,018   

5.00% 1/21/21

  100,000      105,996   

Domtar

4.40% 4/1/22

  100,000      103,515   

6.75% 2/15/44

  100,000      115,633   

Georgia-Pacific 8.00% 1/15/24

  250,000      332,245   

International Paper

4.75% 2/15/22

  200,000      221,418   

4.80% 6/15/44

  200,000      206,216   

6.00% 11/15/41

  135,000      160,810   

7.30% 11/15/39

  100,000      133,856   

7.50% 8/15/21

  80,000      100,644   

7.95% 6/15/18

  300,000      354,633   

9.375% 5/15/19

  100,000      127,555   

Plum Creek Timberlands
4.70% 3/15/21

  100,000      110,584   

Westvaco 8.20% 1/15/30

  150,000      212,361   
     

 

 

 
  2,490,484   
     

 

 

 

Personal Products–0.04%

Colgate-Palmolive

0.90% 5/1/18

  100,000      99,477   

1.30% 1/15/17

  200,000      202,210   

1.50% 11/1/18

  250,000      252,546   

1.75% 3/15/19

  344,000      348,061   

2.30% 5/3/22

  100,000      100,037   
     

 

 

 
  1,002,331   
     

 

 

 
 

 

LVIP SSgA Bond Index Fund–37


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Pharmaceuticals–0.94%

  

Abbott Laboratories

5.125% 4/1/19

  478,000    $ 539,086   

5.30% 5/27/40

  250,000      316,842   

6.00% 4/1/39

  50,000      66,893   

6.15% 11/30/37

  50,000      68,078   

AbbVie

1.75% 11/6/17

  750,000      753,134   

2.90% 11/6/22

  500,000      496,818   

4.40% 11/6/42

  300,000      310,069   

Actavis

3.25% 10/1/22

  250,000      250,177   

4.625% 10/1/42

  125,000      127,854   

6.125% 8/15/19

  45,000      51,461   

Actavis Funding

2.35% 3/12/18

  1,000,000             1,014,241   

2.45% 6/15/19

  210,000      211,073   

3.45% 3/15/22

  500,000      512,909   

4.55% 3/15/35

  1,000,000      1,045,707   

4.85% 6/15/44

  650,000      693,139   

Allergan

1.35% 3/15/18

  50,000      49,162   

5.75% 4/1/16

  100,000      104,697   

AstraZeneca

4.00% 9/18/42

  150,000      156,041   

5.90% 9/15/17

  350,000      389,696   

6.45% 9/15/37

  450,000      621,109   

Bristol-Myers Squibb

1.75% 3/1/19

  200,000      200,820   

2.00% 8/1/22

  100,000      96,711   

3.25% 8/1/42

  100,000      93,887   

4.50% 3/1/44

  500,000      569,611   

5.875% 11/15/36

  195,000      255,520   

6.125% 5/1/38

  103,000      137,780   

GlaxoSmithKline Capital

2.85% 5/8/22

  750,000      762,827   

5.375% 4/15/34

  100,000      123,302   

5.65% 5/15/18

  450,000      509,381   

6.375% 5/15/38

  450,000      613,237   

Johnson & Johnson

1.65% 12/5/18

  800,000      815,793   

2.15% 5/15/16

  400,000      407,713   

2.45% 12/5/21

  150,000      156,126   

2.95% 9/1/20

  100,000      106,104   

3.55% 5/15/21

  100,000      109,540   

4.375% 12/5/33

  183,000      210,162   

4.85% 5/15/41

  100,000      123,600   

5.15% 7/15/18

  250,000      282,143   

5.85% 7/15/38

  100,000      139,209   

Lilly (Eli)

1.25% 3/1/18

  610,000      612,279   

1.95% 3/15/19

  250,000      254,417   

2.75% 6/1/25

  110,000      110,629   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Pharmaceuticals (continued)

  

Lilly (Eli) (continued)

5.20% 3/15/17

  140,000    $ 151,709   

5.50% 3/15/27

  100,000      123,526   

5.95% 11/15/37

  100,000      132,818   

Merck

0.70% 5/18/16

  125,000      125,210   

1.10% 1/31/18

  150,000      149,818   

1.30% 5/18/18

  100,000      100,156   

1.85% 2/10/20

  400,000                402,836   

2.40% 9/15/22

  150,000      149,905   

2.75% 2/10/25

  900,000      900,428   

2.80% 5/18/23

  250,000      256,137   

3.60% 9/15/42

  100,000      99,767   

3.875% 1/15/21

  400,000      438,032   

4.15% 5/18/43

  242,000      261,221   

5.00% 6/30/19

  100,000      113,469   

5.85% 6/30/39

  50,000      66,296   

6.50% 12/1/33

  100,000      138,419   

6.55% 9/15/37

  100,000      141,399   

Mylan

2.55% 3/28/19

  75,000      75,464   

2.60% 6/24/18

  200,000      204,385   

5.40% 11/29/43

  133,000      154,142   

Novartis Capital

2.40% 9/21/22

  250,000      251,973   

3.40% 5/6/24

  250,000      267,355   

3.70% 9/21/42

  150,000      156,800   

4.40% 4/24/20

  100,000      112,087   

4.40% 5/6/44

  250,000      289,172   

Novartis Securities Investment
5.125% 2/10/19

  400,000      451,823   

Perrigo

1.30% 11/8/16

  206,000      205,954   

4.00% 11/15/23

  250,000      261,684   

Pfizer

0.90% 1/15/17

  500,000      501,379   

3.00% 6/15/23

  200,000      205,057   

3.40% 5/15/24

  200,000      210,173   

4.40% 5/15/44

  400,000      441,031   

6.20% 3/15/19

  400,000      468,394   

7.20% 3/15/39

  300,000      442,572   

Sanofi

1.25% 4/10/18

  91,000      91,191   

4.00% 3/29/21

  325,000      357,583   

Teva Pharmaceutical Finance

2.95% 12/18/22

  175,000      174,945   

6.15% 2/1/36

  100,000      127,476   

Teva Pharmaceutical Finance IV

2.25% 3/18/20

  250,000      251,791   

3.65% 11/10/21

  250,000      263,685   

Wyeth

5.95% 4/1/37

  350,000      449,595   
 

 

LVIP SSgA Bond Index Fund–38


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Pharmaceuticals (continued)

  

Wyeth (continued)

6.00% 2/15/36

  100,000    $ 129,858   

6.50% 2/1/34

  100,000      136,332   

Zoetis

3.25% 2/1/23

  163,000      162,725   

4.70% 2/1/43

  150,000      157,022   
     

 

 

 
       25,221,771   
     

 

 

 

Real Estate Investment Trusts–0.61%

  

Alexandria Real Estate Equities
4.50% 7/30/29

  110,000      116,428   

American Tower

3.45% 9/15/21

  250,000      255,559   

3.50% 1/31/23

  250,000      248,230   

4.50% 1/15/18

  200,000      214,837   

4.70% 3/15/22

  225,000      241,662   

5.00% 2/15/24

  100,000      109,547   

5.05% 9/1/20

  100,000      110,589   

5.90% 11/1/21

  65,000      75,024   

AvalonBay Communities

3.50% 11/15/24

  200,000      205,895   

3.625% 10/1/20

  200,000      212,075   

6.10% 3/15/20

  100,000      116,944   

BioMed Realty

2.625% 5/1/19

  100,000      100,923   

3.85% 4/15/16

  100,000      102,470   

Boston Properties

3.70% 11/15/18

  100,000      106,608   

3.85% 2/1/23

  125,000      132,284   

4.125% 5/15/21

  250,000      272,057   

5.625% 11/15/20

  150,000      174,685   

5.875% 10/15/19

  100,000      116,182   

Brandywine Operating Partnership

4.55% 10/1/29

  200,000      208,448   

4.95% 4/15/18

  100,000      107,685   

Brixmor Operating Partnership
3.85% 2/1/25

  70,000      70,200   

Brookfield Asset Management
4.00% 1/15/25

  150,000      150,894   

Camden Property Trust

4.25% 1/15/24

  67,000      71,600   

4.625% 6/15/21

  100,000      109,775   

CBL & Associates
5.25% 12/1/23

  67,000      71,843   

Corporate Office Properties
3.70% 6/15/21

  150,000      151,843   

CubeSmart 4.375% 12/15/23

  100,000      107,793   

DDR

3.50% 1/15/21

  150,000      155,540   

7.50% 4/1/17

  200,000      222,451   

Digital Realty Trust
5.25% 3/15/21

  100,000      111,439   

Duke Realty

3.75% 12/1/24

  250,000      257,106   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Real Estate Investment Trusts (continued)

  

Duke Realty (continued)

4.375% 6/15/22

  100,000    $ 107,557   

6.75% 3/15/20

  50,000      59,489   

EPR Properties

5.25% 7/15/23

  75,000      81,090   

5.75% 8/15/22

  100,000                110,414   

ERP Operating

2.375% 7/1/19

  150,000      152,105   

4.50% 7/1/44

  150,000      162,106   

4.625% 12/15/21

  150,000      167,789   

4.75% 7/15/20

  100,000      111,841   

Essex Portfolio

3.25% 5/1/23

  100,000      100,039   

3.375% 1/15/23

  250,000      253,167   

Excel Trust 4.625% 5/15/24

  50,000      52,562   

Federal Realty Investment Trust

2.75% 6/1/23

  100,000      98,957   

4.50% 12/1/44

  50,000      54,247   

Government Properties Income Trust
3.75% 8/15/19

  100,000      103,718   

HCP

2.625% 2/1/20

  200,000      200,721   

3.75% 2/1/19

  100,000      105,505   

3.875% 8/15/24

  200,000      203,629   

4.25% 11/15/23

  186,000      195,838   

5.375% 2/1/21

  200,000      225,433   

6.30% 9/15/16

  125,000      134,094   

Health Care REIT

4.50% 1/15/24

  250,000      268,895   

5.25% 1/15/22

  100,000      112,871   

6.125% 4/15/20

  135,000      156,683   

6.20% 6/1/16

  50,000      52,977   

6.50% 3/15/41

  250,000      331,278   

Healthcare Realty Trust

5.75% 1/15/21

  200,000      226,236   

6.50% 1/17/17

  100,000      108,817   

Healthcare Trust of America Holdings

3.375% 7/15/21

  100,000      101,661   

Hospitality Properties Trust

5.00% 8/15/22

  300,000      319,784   

5.625% 3/15/17

  100,000      106,734   

Host Hotels & Resorts

4.75% 3/1/23

  150,000      161,927   

5.25% 3/15/22

  400,000      445,623   

Kilroy Realty

4.25% 8/15/29

  150,000      156,746   

4.80% 7/15/18

  100,000      107,702   

Kimco Realty

3.20% 5/1/21

  150,000      154,009   

6.875% 10/1/19

  150,000      178,687   

Lexington Realty Trust 4.40% 6/15/24

  60,000      62,549   
 

 

LVIP SSgA Bond Index Fund–39


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Real Estate Investment Trusts (continued)

  

Liberty Property

4.125% 6/15/22

  50,000    $ 52,400   

4.40% 2/15/24

  100,000      107,071   

5.50% 12/15/16

  100,000                106,335   

6.625% 10/1/17

  50,000      55,777   

Mack-Cali Realty 7.75% 8/15/19

  100,000      115,726   

Mid-America Apartments

3.75% 6/15/24

  100,000      102,646   

4.30% 10/15/23

  50,000      53,506   

National Retail Properties

3.30% 4/15/23

  100,000      100,040   

5.50% 7/15/21

  100,000      114,619   

Omega Healthcare Investors

#144A 4.50% 4/1/27

  200,000      197,460   

4.95% 4/1/24

  57,000      60,340   

6.75% 10/15/22

  100,000      106,125   

Prologis

4.25% 8/15/23

  150,000      161,568   

4.50% 8/15/17

  100,000      107,124   

6.875% 3/15/20

  104,000      122,775   

Realty Income

3.875% 7/15/24

  65,000      67,565   

4.65% 8/1/23

  100,000      109,464   

5.75% 1/15/21

  100,000      115,309   

5.875% 3/15/35

  50,000      58,491   

5.95% 9/15/16

  110,000      117,695   

Retail Opportunity Investments Partnership
4.00% 12/15/24

  50,000      51,249   

Senior Housing Properties Trust
4.75% 5/1/24

  200,000      207,927   

Simon Property Group

3.375% 3/15/22

  150,000      156,276   

3.375% 10/1/24

  250,000      256,823   

4.125% 12/1/21

  300,000      328,971   

5.65% 2/1/20

  200,000      231,641   

6.75% 2/1/40

  300,000      421,097   

10.35% 4/1/19

  200,000      259,449   

Tanger Properties 3.875% 12/1/23

  100,000      104,532   

UDR

4.25% 6/1/18

  100,000      107,272   

4.625% 1/10/22

  100,000      109,428   

Ventas Realty

2.70% 4/1/20

  100,000      101,199   

3.75% 5/1/24

  150,000      154,386   

4.00% 4/30/19

  200,000      213,872   

4.25% 3/1/22

  200,000      214,733   

4.75% 6/1/21

  100,000      110,541   

Vornado Realty 2.50% 6/30/19

  100,000      100,902   

Washington Real Estate Investment Trust
3.95% 10/15/22

  100,000      101,239   

Weingarten Realty Investors
3.375% 10/15/22

  150,000      149,975   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Real Estate Investment Trusts (continued)

  

Weyerhaeuser

4.625% 9/15/23

  250,000    $ 275,308   

7.375% 3/15/32

  250,000      336,775   
     

 

 

 
       16,467,727   
     

 

 

 

Real Estate Management & Development–0.02%

  

American Campus Communities Operating Partnership
4.125% 7/1/24

  100,000      103,888   

Carey (W.P.) 4.60% 4/1/24

  100,000      103,613   

Jones Lang LaSalle 4.40% 11/15/22

  100,000      105,349   

Regency Centers 4.80% 4/15/21

  100,000      110,780   
     

 

 

 
  423,630   
     

 

 

 

Road & Rail–0.33%

Burlington Northern Santa Fe

3.00% 3/15/23

  100,000      102,182   

3.00% 4/1/25

  250,000      252,652   

3.05% 3/15/22

  150,000      154,363   

3.45% 9/15/21

  200,000      212,649   

3.85% 9/1/23

  100,000      108,105   

4.10% 6/1/21

  100,000      110,027   

4.15% 4/1/45

  114,000      119,099   

4.40% 3/15/42

  100,000      106,771   

4.45% 3/15/43

  100,000      107,569   

4.95% 9/15/41

  100,000      114,571   

5.05% 3/1/41

  100,000      116,955   

5.15% 9/1/43

  150,000      175,660   

5.65% 5/1/17

  350,000      383,029   

5.75% 5/1/40

  200,000      250,897   

6.15% 5/1/37

  100,000      134,469   

7.95% 8/15/30

  100,000      148,029   

Canadian National Railway

2.95% 11/21/24

  100,000      102,860   

4.50% 11/7/43

  75,000      86,962   

5.55% 3/1/19

  200,000      228,395   

5.85% 11/15/17

  150,000      167,881   

6.20% 6/1/36

  100,000      135,322   

6.25% 8/1/34

  100,000      135,418   

Canadian Pacific Railway

2.90% 2/1/25

  150,000      149,943   

4.45% 3/15/23

  100,000      111,492   

7.125% 10/15/31

  150,000      208,218   

7.25% 5/15/19

  65,000      78,114   

Con-way 7.25% 1/15/18

  100,000      113,090   

CSX

3.70% 10/30/20

  275,000      296,638   

3.70% 11/1/23

  94,000      100,571   

4.10% 3/15/44

  100,000      104,592   

4.40% 3/1/43

  200,000      218,934   

5.50% 4/15/41

  200,000      249,995   

6.15% 5/1/37

  120,000      157,723   

6.22% 4/30/40

  100,000      136,038   
 

 

LVIP SSgA Bond Index Fund–40


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Road & Rail (continued)

  

CSX (continued)

7.375% 2/1/19

  100,000    $ 120,217   

Kansas City Southern de Mexico
2.35% 5/15/20

  150,000      147,924   

Kansas City Southern Railway
4.30% 5/15/43

  100,000      106,051   

Norfolk Southern

2.903% 2/15/23

  121,000      122,021   

3.00% 4/1/22

  118,000      120,687   

3.25% 12/1/21

  100,000      104,341   

3.85% 1/15/24

  150,000      162,175   

4.80% 8/15/43

  125,000      144,629   

4.837% 10/1/41

  111,000      126,914   

5.75% 4/1/18

  100,000      112,369   

5.90% 6/15/19

  100,000      115,565   

6.00% 5/23/11

  100,000      127,512   

7.70% 5/15/17

  240,000      271,644   

Ryder System

2.45% 9/3/19

  250,000      250,695   

2.50% 3/1/17

  200,000      203,895   

5.85% 11/1/16

  100,000      106,926   

Union Pacific

3.25% 1/15/25

  95,000      99,613   

3.375% 2/1/35

  200,000      195,787   

3.646% 2/15/24

  185,000      200,371   

3.875% 2/1/55

  94,000      91,971   

4.00% 2/1/21

  65,000      71,993   

4.163% 7/15/22

  190,000      212,916   

4.75% 9/15/41

  200,000      233,964   

4.75% 12/15/43

  105,000      122,698   

4.821% 2/1/44

  25,000      29,776   
     

 

 

 
         8,981,867   
     

 

 

 

Semiconductors & Semiconductor Equipment–0.16%

  

Altera 2.50% 11/15/18

  250,000      256,871   

Analog Devices 3.00% 4/15/16

  100,000      102,096   

Applied Materials 5.85% 6/15/41

  350,000      430,724   

Broadcom 2.50% 8/15/22

  250,000      245,707   

Intel

1.35% 12/15/17

  400,000      402,282   

1.95% 10/1/16

  200,000      203,836   

2.70% 12/15/22

  150,000      151,515   

3.30% 10/1/21

  254,000      270,783   

4.00% 12/15/32

  250,000      260,877   

4.25% 12/15/42

  250,000      261,539   

4.80% 10/1/41

  172,000      194,552   

KLA-Tencor 4.65% 11/1/24

  300,000      315,666   

Lam Research 2.75% 3/15/20

  100,000      100,672   

Maxim Integrated Products

2.50% 11/15/18

  200,000      204,063   

3.375% 3/15/23

  100,000      100,212   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Semiconductors & Semiconductor Equipment (continued)

  

Texas Instruments

1.65% 8/3/19

  100,000    $ 99,621   

2.25% 5/1/23

  250,000      243,769   

2.375% 5/16/16

  100,000      102,121   

2.75% 3/12/21

  200,000      205,613   

Xilinx 3.00% 3/15/21

  200,000      206,598   
     

 

 

 
         4,359,117   
     

 

 

 

Software–0.35%

  

Adobe Systems

3.25% 2/1/25

  95,000      96,217   

4.75% 2/1/20

  85,000      95,024   

Autodesk 1.95% 12/15/17

  100,000      100,145   

CA

2.875% 8/15/18

  150,000      153,927   

5.375% 12/1/19

  100,000      111,946   

Intuit 5.75% 3/15/17

  100,000      108,395   

Microsoft

1.85% 2/12/20

  500,000      505,099   

2.375% 5/1/23

  150,000      150,007   

3.00% 10/1/20

  300,000      319,263   

3.50% 11/15/42

  150,000      145,003   

3.625% 12/15/23

  300,000      327,350   

3.75% 2/12/45

  500,000      503,242   

4.20% 6/1/19

  200,000      221,664   

4.50% 10/1/40

  100,000      112,358   

4.875% 12/15/43

  800,000      959,946   

5.20% 6/1/39

  200,000      246,405   

5.30% 2/8/41

  400,000      502,520   

Oracle

1.20% 10/15/17

  350,000      351,269   

2.25% 10/8/19

  300,000      306,121   

2.375% 1/15/19

  200,000      205,604   

2.50% 10/15/22

  550,000      550,966   

3.875% 7/15/20

  100,000      109,699   

4.30% 7/8/34

  700,000      761,037   

4.50% 7/8/44

  500,000      558,684   

5.00% 7/8/19

  250,000      283,074   

5.375% 7/15/40

  400,000      492,542   

5.75% 4/15/18

  375,000      423,997   

6.125% 7/8/39

  150,000      199,655   

6.50% 4/15/38

  200,000      275,400   

Symantec

3.95% 6/15/22

  150,000      155,775   

4.20% 9/15/20

  100,000      105,517   
     

 

 

 
  9,437,851   
     

 

 

 

Specialty Retail–0.25%

  

Advance Auto Parts

4.50% 1/15/22

  100,000      107,544   

4.50% 12/1/23

  100,000      107,419   
 

 

LVIP SSgA Bond Index Fund–41


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Specialty Retail (continued)

  

AutoZone

2.875% 1/15/23

  100,000    $ 98,765   

4.00% 11/15/20

  75,000      80,967   

Bed Bath & Beyond

3.749% 8/1/24

  50,000      52,029   

4.915% 8/1/34

  530,000      569,360   

Gap 5.95% 4/12/21

  150,000      172,324   

Home Depot

2.00% 6/15/19

  900,000      916,354   

2.25% 9/10/18

  143,000      147,795   

2.70% 4/1/23

  150,000      152,427   

3.75% 2/15/24

  200,000      218,215   

4.20% 4/1/43

  150,000      164,284   

4.40% 4/1/21

  100,000      113,175   

4.875% 2/15/44

  96,000      115,069   

5.40% 9/15/40

  100,000      125,312   

5.875% 12/16/36

  350,000      464,518   

5.95% 4/1/41

  100,000      134,029   

Lowe’s

1.625% 4/15/17

  150,000      152,256   

3.12% 4/15/22

  100,000      104,963   

3.875% 9/15/23

  200,000      219,261   

4.25% 9/15/44

  250,000      271,799   

4.625% 4/15/20

  150,000      167,025   

4.65% 4/15/42

  100,000      115,071   

5.40% 10/15/16

  200,000      213,908   

5.80% 10/15/36

  200,000      257,120   

5.80% 4/15/40

  20,000      26,043   

6.65% 9/15/37

  100,000      141,471   

O’Reilly Automotive

3.80% 9/1/22

  100,000      104,629   

4.875% 1/14/21

  45,000      50,259   

QVC 4.375% 3/15/23

  600,000      612,331   

Ross Stores 3.375% 9/15/24

  100,000      102,636   

Signet UK Finance 4.70% 6/15/24

  50,000      51,418   

#Tiffany 144A 3.80% 10/1/24

  180,000      183,320   

TJX

2.50% 5/15/23

  100,000      98,664   

6.95% 4/15/19

  55,000      65,686   
     

 

 

 
         6,677,446   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.02%

  

NIKE

2.25% 5/1/23

  100,000      99,456   

3.625% 5/1/43

  100,000      100,899   

Ralph Lauren 2.125% 9/26/18

  50,000      50,786   

VF 6.00% 10/15/33

  150,000      196,599   
     

 

 

 
  447,740   
     

 

 

 

Thrift & Mortgage Finance–0.01%

  

People’s United Financial
3.65% 12/6/22

  150,000      153,089   
  Principal
Amount°
 

Value

(U.S. $)

 

CORPORATE BONDS (continued)

  

Thrift & Mortgage Finance (continued)

  

Santander Holdings USA

4.625% 4/19/16

  100,000    $ 103,595   
     

 

 

 
  256,684   
     

 

 

 

Tobacco–0.23%

  

Altria Group

2.625% 1/14/20

  1,000,000      1,017,156   

2.85% 8/9/22

  200,000      199,152   

4.00% 1/31/24

  89,000      95,674   

4.50% 5/2/43

  100,000      103,850   

4.75% 5/5/21

  200,000      223,538   

5.375% 1/31/44

  63,000      73,969   

9.70% 11/10/18

  119,000      150,156   

9.95% 11/10/38

  113,000      196,712   

10.20% 2/6/39

  97,000      172,067   

Lorillard Tobacco

2.30% 8/21/17

  100,000      101,033   

3.50% 8/4/16

  45,000      46,266   

3.75% 5/20/23

  200,000      203,978   

8.125% 6/23/19

  100,000      122,413   

8.125% 5/1/40

  100,000      144,124   

Philip Morris International

1.875% 1/15/19

  500,000      503,607   

2.50% 5/16/16

  250,000      255,339   

2.90% 11/15/21

  250,000      257,348   

3.60% 11/15/23

  600,000      636,044   

4.125% 3/4/43

  150,000      154,325   

4.375% 11/15/41

  200,000      212,433   

4.50% 3/26/20

  100,000      111,692   

4.50% 3/20/42

  100,000      108,838   

5.65% 5/16/18

  300,000      339,180   

6.375% 5/16/38

  150,000      199,469   

Reynolds American

4.75% 11/1/42

  125,000      129,435   

4.85% 9/15/23

  225,000      249,037   

6.15% 9/15/43

  125,000      155,022   
     

 

 

 
         6,161,857   
     

 

 

 

Trading Companies & Distributors–0.02%

  

GATX

2.50% 3/15/19

  167,000      167,430   

2.60% 3/30/20

  100,000      100,382   

3.90% 3/30/23

  101,000      105,915   

5.20% 3/15/44

  50,000      56,293   

Ingram Micro 4.95% 12/15/24

  150,000      155,678   
     

 

 

 
  585,698   
     

 

 

 

Wireless Telecommunication Services–0.18%

  

America Movil

2.375% 9/8/16

  400,000      407,056   

3.125% 7/16/22

  200,000      203,920   

4.375% 7/16/42

  200,000      200,972   
 

 

LVIP SSgA Bond Index Fund–42


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
  Value
(U.S. $)
 

CORPORATE BONDS (continued)

  

Wireless Telecommunication Services (continued)

  

America Movil (continued)

5.00% 3/30/20

  200,000    $ 227,644   

6.125% 11/15/37

  150,000      184,919   

6.125% 3/30/40

  250,000      312,453   

6.375% 3/1/35

  25,000      31,512   

Rogers Communications

3.00% 3/15/23

  125,000      124,611   

4.10% 10/1/23

  300,000      320,447   

4.50% 3/15/43

  100,000      102,983   

5.00% 3/15/44

  100,000      110,662   

6.80% 8/15/18

  150,000      174,151   

7.50% 8/15/38

  25,000      36,223   

Vodafone Group

1.50% 2/19/18

  350,000      350,010   

2.50% 9/26/22

  300,000      290,627   

2.95% 2/19/23

  225,000      221,738   

4.375% 2/19/43

  150,000      148,128   

5.45% 6/10/19

  200,000      227,373   

5.625% 2/27/17

  300,000      324,139   

6.15% 2/27/37

  700,000      852,156   

7.875% 2/15/30

  100,000      137,266   
     

 

 

 
         4,988,990   
     

 

 

 

Total Corporate Bonds
(Cost $624,160,485)

  663,837,797   
     

 

 

 

MUNICIPAL BONDS–0.83%

  

American Municipal Power, Ohio Taxable Build America Bonds Series B

6.449% 2/15/44

  50,000      66,305   

7.834% 2/15/41

  55,000      82,573   

8.084% 2/15/50

  800,000      1,294,464   

Bay Area Toll Authority, California Toll Bridge Revenue Taxable Build America Bonds

Series F-2 6.263% 4/1/49

  200,000      286,814   

Series S1 6.793% 4/1/30

  100,000      128,180   

Series S1 6.918% 4/1/40

  100,000      140,632   

Series S1 7.043% 4/1/50

  100,000      150,564   

California State Taxable Build America Bonds

5.75% 3/1/17

  100,000      109,039   

6.65% 3/1/22

  200,000      246,000   

7.30% 10/1/39

  1,100,000      1,644,016   

7.60% 11/1/40

  80,000      126,037   

7.625% 3/1/40

  85,000      132,572   

7.95% 3/1/36

  100,000      123,302   

California State Various Purposes

5.95% 4/1/16

  35,000      36,857   

6.20% 10/1/19

  100,000      118,152   

7.50% 4/1/34

  325,000      486,366   

7.55% 4/1/39

  600,000      940,848   
  Principal
Amount°
 

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

Central Puget Sound, Washington Regional Transportation Authority Sales & Use Tax Revenue Taxable Build America Bonds
5.491% 11/1/39

  50,000    $ 65,257   

Chicago, Illinois Board of Education
6.319% 11/1/29

  100,000                102,294   

Chicago, Illinois Transit Authority Transfer Tax Receipts Revenue

Series A 6.899% 12/1/40

  100,000      129,009   

Series B 6.899% 12/1/40

  40,000      51,604   

City & County of Denver, Colorado Taxable Build America Bonds
5.65% 8/1/30

  100,000      116,767   

Clark County, Nevada Airport Revenue Taxable Build America Bonds

6.881% 7/1/42

  50,000      57,523   

Series C 6.82% 7/1/45

  75,000      109,736   

Commonwealth of Massachusetts Consolidated Loan Taxable Build America Bonds 5.456% 12/1/39

  100,000      127,051   

Commonwealth of Massachusetts Taxable Build America Bonds

4.91% 5/1/29

  100,000      117,683   

Series E 4.20% 12/1/21

  100,000      111,189   

Connecticut State Taxable Build America Bonds

Series A 5.85% 3/15/32

  100,000      126,887   

Series D 5.09% 10/1/30

  200,000      231,978   

Dallas Area, Texas Rapid Transit
5.999% 12/1/44

  200,000      277,360   

Dallas, Texas Independent School District Taxable Build America Bonds Series C
6.45% 2/15/35

  100,000      119,313   

East Baton Rouge, Louisiana Sewerage Commission 6.087% 2/1/45

  100,000      113,001   

East Bay Municipal Utility District Taxable Build America Bonds
5.874% 6/1/40

  100,000      134,459   

Georgia State Taxable Build America Bonds Series H 4.503% 11/1/25

  100,000      113,208   

Greater Chicago Metropolitan Water Reclamation District Taxable Build America Bonds 5.72% 12/1/38

  150,000      190,512   

Illinois State 5.665% 3/1/18

  250,000      274,463   

Illinois State Taxable Pension

4.35% 6/1/18

  500,000      523,560   

4.95% 6/1/23

  100,000      106,622   

5.10% 6/1/33

  800,000      810,000   

Illinois State Toll Highway Authority Taxable Build America Bonds Series B
5.851% 12/1/34

  100,000      129,830   

Los Angeles, California Community College District

6.60% 8/1/42

  100,000      143,044   

6.75% 8/1/49

  100,000      150,628   
 

 

LVIP SSgA Bond Index Fund–43


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

Los Angeles, California County Public Works Financing Authority

7.488% 8/1/33

  100,000    $ 135,802   

7.618% 8/1/40

  100,000                145,506   

Los Angeles, California Department of Airports Taxable Build America Bonds 6.582% 5/15/39

  25,000      33,915   

Los Angeles, California Department of Water & Power Taxable Build America Bonds Series C 6.008% 7/1/39

  25,000      32,747   

Los Angeles, California Unified School District Taxable Build America Bonds 6.758% 7/1/34

  315,000      440,127   

Massachusetts State Water Pollution Abatement 5.192% 8/1/40

  70,000      83,279   

Metropolitan Government of Nashville & Davidson County Convention Center Authority Taxable Build America Bonds Series B 6.731% 7/1/43

  50,000      66,901   

Metropolitan Transportation Authority, New York Revenue Taxable Build America Bonds

5.871% 11/15/39

  100,000      127,811   

6.668% 11/15/39

  130,000      182,485   

Series E 6.814% 11/15/40

  500,000      704,965   

Mississippi State Taxable Build America Bonds Series F 5.245% 11/1/34

  100,000      119,260   

Municipal Electric Authority, Georgia Build America Bonds (PLT Vogtle Units 3 & 4 Project)

6.655% 4/1/57

  125,000      164,779   

Taxable 6.637% 4/1/57

  150,000      200,382   

Taxable 7.055% 4/1/57

  100,000      118,675   

New Jersey Economic Development Authority

1.096% 6/15/16

  250,000      249,667   

Series A 7.425% 2/15/29

  225,000      283,212   

^Series B 6.23% 2/15/22

  200,000      157,074   

New Jersey State Transportation Trust Fund Authority Taxable Build America Bonds

6.561% 12/15/40

  100,000      127,920   

Series C 5.754% 12/15/28

  100,000      112,893   

Series C 6.104% 12/15/28

  200,000      222,458   

New Jersey State Turnpike Authority Revenue Taxable Build America Bonds

Series A 7.102% 1/1/41

  350,000      512,687   

Series F 7.414% 1/1/40

  90,000      135,313   

New York City, New York
5.517% 10/1/37

  85,000      106,758   

New York City, New York Municipal Water Finance Authority Taxable Build America Bonds
5.724% 6/15/42

  65,000      86,618   

 

  Principal
Amount°
 

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

New York City, New York Municipal Water Finance Authority Taxable Build America Bonds (continued)

5.75% 6/15/41

  100,000    $ 132,164   

5.79% 6/15/41

  200,000                226,900   

5.952% 6/15/42

  100,000      136,645   

6.011% 6/15/42

  35,000      48,051   

New York City, New York Taxable Build America Bonds

Series A2 5.206% 10/1/31

  100,000      118,185   

Series F-1 6.271% 12/1/37

  100,000      135,637   

New York City, New York Transitional Finance Authority 5.508% 8/1/37

  200,000      252,114   

New York City, New York Transitional Finance Authority Taxable Build America Bonds 5.572% 11/1/38

  65,000      82,497   

New York State Dormitory Authority Taxable Build America Bonds

5.50% 3/15/30

  100,000      119,824   

5.60% 3/15/40

  100,000      130,011   

New York State Urban Development Taxable Build America Bonds 5.77% 3/15/39

  50,000      62,137   

Ohio State University Taxable Build America Bonds Series C
4.91% 6/1/40

  100,000      118,874   

Oregon School Boards Association Taxable Pension Series B 5.55% 6/30/28

  250,000      299,487   

Oregon State Department of Transportation Taxable Series A Sub-Lien 5.834% 11/15/34

  75,000      98,881   

Pennsylvania State Public School Building Authority Revenue Qualified School Construction Bond Taxable (Direct Subsidiary) Series A 5.00% 9/15/27

  100,000      109,985   

Pennsylvania State Taxable Series B 2nd 5.35% 5/1/30

  100,000      113,105   

Pennsylvania State Turnpike Commission Revenue Taxable Build America Bonds

5.561% 12/1/49

  200,000      255,576   

Series B 5.511% 12/1/45

  150,000      189,909   

Series B 6.105% 12/1/39

  100,000      130,912   

Philadelphia Authority for Industrial Development
3.964% 4/15/26

  105,000      107,506   

Port Authority of New York & New Jersey Consolidated

Series 165th 5.647% 11/1/40

  250,000      319,767   

Series 168th 4.926% 10/1/51

  350,000      418,523   

Series 174th 4.458% 10/1/62

  250,000      273,437   

Series 181st 4.96% 8/1/46

  156,250      189,952   

Port of Seattle, Washington Taxable Series-B1
7.00% 5/1/36

  100,000      115,975   
 

 

LVIP SSgA Bond Index Fund–44


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

Rutgers State University of New Jersey/New Brunswick Taxable Build America Bonds
5.665% 5/1/40

  155,000    $ 199,341   

Salt River, Arizona Project Agricultural Improvement & Power District
4.839% 1/1/41

  60,000      73,756   

San Antonio, Texas Electric & Gas Taxable Build America Bonds

4.427% 2/1/42

  250,000                285,660   

5.985% 2/1/39

  50,000      68,741   

San Diego County, California Regional Transportation Commission 5.911% 4/1/48

  100,000      142,128   

San Diego County, California Water Authority Financing Agency Revenue Taxable Build America Bonds Series B
6.138% 5/1/49

  100,000      137,582   

San Francisco City & County Public Utilities Commission Taxable Build America Bonds 6.00% 11/1/40

  100,000      131,160   

Series B 6.00% 11/1/40

  100,000      130,368   

Texas State Taxable Build America Bonds 5.517% 4/1/39

  100,000      134,776   

Texas State Transportation Commission 1st Tier 5.178% 4/1/30

  200,000      243,536   

University of California Build America Bonds Series H 6.548% 5/15/48

  100,000      138,378   

University of California Taxable Series AD 4.858% 5/15/12

  250,000      265,217   

University of Massachusetts Building Authority Taxable Build America Bonds 5.45% 11/1/40

  100,000      126,604   

University of Missouri (Curators University) Taxable Build America Bonds 5.792% 11/1/41

  100,000      137,299   

University of Texas System Revenue Taxable Build America Bonds Series C
4.794% 8/15/46

  90,000      109,971   

University of Virginia Revenue Taxable Build America Bonds 6.20% 9/1/39

  50,000      73,267   

Utah State Taxable Build America Bonds

Series B 3.539% 7/1/25

  100,000      107,723   

Series D 4.554% 7/1/24

  60,000      68,376   

Virginia Commonwealth Transportation Board Taxable Build America Bonds 5.35% 5/15/35

  100,000      121,779   

Washington State Convention Center Public Facilities District 6.79% 7/1/40

  50,000      65,885   

Washington State Taxable Build America Bonds Series D 5.481% 8/1/39

  50,000      64,215   

 

  Principal
Amount°
 

Value

(U.S. $)

 

MUNICIPAL BONDS (continued)

  

Washington State Taxable Build America Bonds (continued)

  

Series F 5.09% 8/1/33

  100,000    $ 120,107   
     

 

 

 

Total Municipal Bonds
(Cost $18,377,451)

       22,228,856   
     

 

 

 

NON-AGENCY ASSET-BACKED SECURITIES–0.47%

  

AEP Texas Central Transition Funding II Series 2006-A A4 5.17% 1/1/18

  250,000      265,683   

AmeriCredit Automobile Receivables Trust Series 2014-3 A3 1.15% 6/10/19

  2,000,000      1,999,678   

Capital Auto Receivables Asset Trust Series 2013-3 A4 1.68% 4/20/18

  1,770,000      1,786,636   

Capital One Multi-Asset Execution Trust Series 2014-A5 A
1.48% 7/15/20

  1,000,000      1,007,350   

CarMax Auto Owner Trust

Series 2013-2 A4 0.84% 11/15/18

  750,000      747,496   

Series 2013-3 A4 1.49% 1/15/19

  400,000      402,727   

CenterPoint Energy Restoration Bond Series 2009-1 A2
3.46% 8/15/19

  389,205      404,785   

Chase Issuance Trust Series 2014-A2 A2 2.77% 3/15/23

  1,100,000      1,136,203   

Citibank Credit Card Issuance Trust

Series 2007-A3 A3 6.15% 6/15/39

  750,000      1,046,806   

Series 2008-A1 A1 5.35% 2/7/20

  500,000      555,739   

Series 2014-A5 A5 2.68% 6/7/23

  1,000,000      1,025,644   

Discover Card Execution Note Trust Series 2007-A1 A1 5.65% 3/16/20

  750,000      829,884   

Volkswagen Auto Lease Trust Series 2014-A A4 0.99% 7/20/18

  800,000      801,035   

World Financial Network Credit Card Master Trust
Series 2013-B A 0.91% 3/16/20

  750,000      750,092   
     

 

 

 

Total Non-Agency Asset-Backed Securities
(Cost $12,578,966)

  12,759,758   
     

 

 

 

DREGIONAL BONDS–0.28%

  

Canada–0.26%

Province of British Columbia

1.20% 4/25/17

  200,000      201,606   

2.00% 10/23/22

  150,000      150,424   

2.10% 5/18/16

  200,000      203,747   

6.50% 1/15/26

  100,000      136,417   

7.25% 9/1/36

  100,000      162,555   

Province of Manitoba Canada

1.30% 4/3/17

  250,000      252,490   

2.10% 9/6/22

  63,000      63,140   

4.90% 12/6/16

  300,000      321,006   

Province of New Brunswick Canada 2.75% 6/15/18

  200,000      209,685   

Province of Nova Scotia Canada
5.125% 1/26/17

  50,000      53,947   
 

 

LVIP SSgA Bond Index Fund–45


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

DREGIONAL BONDS (continued)

  

Canada (continued)

  

Province of Ontario Canada

1.00% 7/22/16

  300,000    $ 301,719   

1.10% 10/25/17

  500,000      501,385   

1.20% 2/14/18

  100,000      100,240   

1.60% 9/21/16

  400,000      405,597   

1.65% 9/27/19

  100,000      100,505   

2.00% 9/27/18

  300,000      307,064   

2.30% 5/10/16

  300,000      305,936   

2.45% 6/29/22

  150,000      154,013   

3.00% 7/16/18

  200,000      211,240   

3.15% 12/15/17

  250,000      263,935   

4.00% 10/7/19

  200,000      221,205   

4.40% 4/14/20

  400,000      452,823   

5.45% 4/27/16

  300,000      315,775   

Province of Quebec Canada

2.625% 2/13/23

  350,000      361,317   

3.50% 7/29/20

  300,000      326,318   

4.625% 5/14/18

  200,000      220,724   

7.50% 7/15/23

  200,000      274,955   

7.50% 9/15/29

  175,000      265,993   

Province of Saskatchewan Canada

8.50% 7/15/22

  100,000      140,689   
     

 

 

 
         6,986,450   
     

 

 

 

Italy–0.01%

Region of Lombardy

5.804% 10/25/32

  100,000      114,983   
     

 

 

 
  114,983   
     

 

 

 

Japan–0.01%

Japan Finance Organization for Municipalities

4.00% 1/13/21

  100,000      111,301   

5.00% 5/16/17

  200,000      217,101   
     

 

 

 
  328,402   
     

 

 

 

Total Regional Bonds
(Cost $7,093,054)

  7,429,835   
     

 

 

 

DSOVEREIGN BONDS–1.69%

  

Brazil–0.19%

Brazilian Government International Bonds

4.25% 1/7/25

  1,140,000      1,118,625   

4.875% 1/22/21

  600,000      633,000   

5.625% 1/7/41

  325,000      332,313   

6.00% 1/17/17

  500,000      536,875   

7.125% 1/20/37

  600,000      715,500   

8.00% 1/15/18

  66,667      72,167   

8.25% 1/20/34

  150,000      195,000   

8.75% 2/4/25

  271,000      357,043   

8.875% 10/14/19

  200,000      248,000   

8.875% 4/15/24

  100,000      132,500   

10.125% 5/15/27

  226,000      339,000   
  Principal
Amount°
 

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

Brazil (continued)

  

Brazilian Government International Bonds (continued)

  

11.00% 8/17/40

  300,000    $ 310,650   
     

 

 

 
  4,990,673   
     

 

 

 

Canada–0.08%

Canada Government International Bonds

0.875% 2/14/17

  500,000      502,763   

1.625% 2/27/19

  800,000      812,637   

Export Development Canada

0.625% 12/15/16

  500,000      500,085   

0.75% 12/15/17

  200,000      199,175   
     

 

 

 
  2,014,660   
     

 

 

 

Chile–0.01%

Chile Government International Bonds

2.25% 10/30/22

  100,000      99,750   

3.875% 8/5/20

  250,000      274,125   
     

 

 

 
  373,875   
     

 

 

 

Colombia–0.13%

Colombia Government International Bonds

2.625% 3/15/23

  700,000      659,750   

4.00% 2/26/24

  250,000      258,375   

5.00% 6/15/45

  500,000      516,250   

6.125% 1/18/41

  200,000      238,500   

7.375% 3/18/19

  700,000      830,550   

7.375% 9/18/37

  500,000      671,250   

8.125% 5/21/24

  250,000      333,125   
     

 

 

 
         3,507,800   
     

 

 

 

Israel–0.04%

Israel Government AID Bond
5.50% 4/26/24

  200,000      251,595   

Israel Government International Bonds

3.15% 6/30/23

  200,000      209,160   

4.00% 6/30/22

  150,000      166,545   

4.50% 1/30/43

  200,000      213,790   

5.125% 3/26/19

  175,000      199,063   

5.50% 11/9/16

  100,000      107,873   
     

 

 

 
  1,148,026   
     

 

 

 

Italy–0.08%

Italy Government International Bonds

5.25% 9/20/16

  400,000      424,371   

5.375% 6/12/17

  200,000      217,598   

5.375% 6/15/33

  800,000      976,655   

6.875% 9/27/23

  350,000      455,881   
     

 

 

 
  2,074,505   
     

 

 

 

Japan–0.09%

Development Bank of Japan
5.125% 2/1/17

  200,000      215,592   
 

 

LVIP SSgA Bond Index Fund–46


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

Japan (continued)

Japan Bank for International Cooperation

  

1.125% 7/19/17

  250,000    $ 250,937   

1.75% 7/31/18

  500,000      506,881   

1.75% 11/13/18

  500,000      505,793   

1.75% 5/29/19

  200,000      201,768   

2.25% 7/13/16

  200,000      204,176   

2.50% 5/18/16

  400,000      408,777   

3.375% 7/31/23

  200,000      219,074   
     

 

 

 
         2,512,998   
     

 

 

 

Mexico–0.26%

Mexico Government International Bonds

  

3.50% 1/21/21

  120,000      125,220   

3.60% 1/30/25

  1,400,000      1,443,750   

3.625% 3/15/22

  868,000      903,588   

4.00% 10/2/23

  550,000      582,587   

4.75% 3/8/44

  1,000,000      1,055,000   

5.625% 1/15/17

  650,000      698,750   

5.75% 10/12/10

  800,000      876,000   

6.05% 1/11/40

  475,000      589,000   

6.75% 9/27/34

  500,000      670,000   
     

 

 

 
  6,943,895   
     

 

 

 

Panama–0.08%

Panama Government International Bonds

  

5.20% 1/30/20

  1,300,000      1,452,750   

6.70% 1/26/36

  200,000      263,000   

7.125% 1/29/26

  100,000      130,875   

8.875% 9/30/27

  100,000      148,000   

9.375% 4/1/29

  100,000      153,500   
     

 

 

 
  2,148,125   
     

 

 

 

Peru–0.06%

Peruvian Government International Bonds

  

5.625% 11/18/50

  100,000      122,750   

6.55% 3/14/37

  500,000      668,125   

7.125% 3/30/19

  225,000      270,000   

7.35% 7/21/25

  100,000      136,500   

8.375% 5/3/16

  100,000      108,250   

8.75% 11/21/33

  200,000      318,750   
     

 

 

 
  1,624,375   
     

 

 

 

Philippines–0.14%

Philippine Government International Bonds

  

5.00% 1/13/37

  500,000      614,375   

7.75% 1/14/31

  1,000,000      1,505,590   

8.375% 6/17/19

  1,000,000      1,260,000   

9.50% 2/2/30

  300,000      505,125   
     

 

 

 
  3,885,090   
     

 

 

 

Poland–0.08%

Poland Government International Bonds

  

3.00% 3/17/23

  250,000      257,250   
  Principal
Amount°
 

Value

(U.S. $)

 

DSOVEREIGN BONDS (continued)

  

Poland (continued)

Poland Government International Bonds (continued)

  

5.00% 3/23/22

  500,000    $ 575,625   

5.125% 4/21/21

  700,000      805,910   

6.375% 7/15/19

  380,000      447,925   
     

 

 

 
         2,086,710   
     

 

 

 

Republic of Korea–0.02%

Republic of Korea

  

3.875% 9/11/23

  200,000      222,470   

5.125% 12/7/16

  100,000      107,353   

7.125% 4/16/19

  200,000      241,820   
     

 

 

 
  571,643   
     

 

 

 

South Africa–0.07%

South Africa Government International Bonds

  

4.665% 1/17/24

  250,000      265,625   

5.375% 7/24/44

  500,000      538,550   

5.875% 5/30/22

  100,000      114,155   

5.875% 9/16/25

  200,000      229,640   

6.25% 3/8/41

  100,000      120,500   

6.875% 5/27/19

  500,000      577,450   
     

 

 

 
  1,845,920   
     

 

 

 

Sweden–0.03%

Svensk Exportkredit

  

0.625% 5/31/16

  200,000      200,347   

1.125% 4/5/18

  300,000      299,915   

5.125% 3/1/17

  250,000      270,651   
     

 

 

 
  770,913   
     

 

 

 

Turkey–0.27%

Turkey Government International Bonds

  

4.875% 4/16/43

  500,000      495,625   

5.75% 3/22/24

  200,000      223,420   

6.00% 1/14/41

  1,100,000      1,254,220   

6.25% 9/26/22

  400,000      456,000   

6.625% 2/17/45

  800,000      992,760   

6.75% 4/3/18

  1,800,000      1,997,784   

7.375% 2/5/25

  1,500,000      1,864,950   
     

 

 

 
  7,284,759   
     

 

 

 

Uruguay–0.06%

Uruguay Government International Bonds

  

5.10% 6/18/50

  1,000,000      1,042,500   

7.625% 3/21/36

  250,000      355,000   

8.00% 11/18/22

  200,000      264,000   
     

 

 

 
  1,661,500   
     

 

 

 

Total Sovereign Bonds
(Cost $43,181,804)

  45,445,467   
     

 

 

 

SUPRANATIONAL BANKS–1.65%

  

African Development Bank

0.75% 10/18/16

  250,000      250,887   
 

 

LVIP SSgA Bond Index Fund–47


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

SUPRANATIONAL BANKS (continued)

  

African Development Bank (continued)

  

0.875% 5/15/17

  115,000    $ 115,264   

0.875% 3/15/18

  250,000      248,956   

1.125% 3/15/17

  200,000      201,684   

1.25% 9/2/16

  350,000      353,698   

Andina de Fomento

4.375% 6/15/22

  250,000      273,849   

8.125% 6/4/19

  140,000      173,648   

Asian Development Bank

1.125% 3/15/17

  500,000      504,143   

1.375% 3/23/20

  200,000      199,147   

1.50% 9/28/18

  400,000      405,017   

1.75% 9/11/18

  500,000      510,153   

1.75% 3/21/19

  350,000      356,604   

1.875% 4/12/19

  300,000      307,093   

1.875% 2/18/22

  600,000      604,607   

5.50% 6/27/16

  200,000      212,388   

5.593% 7/16/18

  700,000      792,282   

Council of Europe Development Bank

  

1.125% 5/31/18

  300,000      300,464   

1.25% 9/22/16

  200,000      202,021   

1.50% 2/22/17

  100,000      101,492   

1.50% 6/19/17

  100,000      101,471   

1.75% 11/14/19

  400,000      405,520   

European Bank for Reconstruction & Development

   

1.00% 2/16/17

  250,000      252,066   

1.00% 6/15/18

  250,000      248,842   

1.00% 9/17/18

  150,000      148,845   

1.50% 3/16/20

  250,000      250,712   

1.625% 4/10/18

  250,000      252,936   

1.625% 11/15/18

  500,000      506,063   

1.875% 2/23/22

  400,000      401,975   

European Investment Bank

0.50% 8/15/16

  1,500,000             1,501,053   

0.625% 4/15/16

  2,000,000      2,005,972   

0.875% 4/18/17

  500,000      501,997   

1.00% 3/15/18

  1,000,000      1,000,731   

1.00% 6/15/18

  1,000,000      998,797   

1.125% 9/15/17

  200,000      201,521   

1.625% 6/15/17

  1,000,000      1,017,999   

1.625% 3/16/20

  1,500,000      1,510,861   

1.75% 6/17/19

  1,500,000      1,527,423   

1.875% 3/15/19

  500,000      511,973   

2.125% 7/15/16

  200,000      204,268   

2.50% 4/15/21

  1,500,000      1,571,129   

2.875% 9/15/20

  350,000      374,454   

3.25% 1/29/24

  600,000      663,071   

4.00% 2/16/21

  400,000      452,953   

4.875% 1/17/17

  400,000      429,906   

4.875% 2/15/36

  700,000      945,328   

5.125% 5/30/17

  500,000      546,393   

FMS Wertmanagement

  

0.625% 4/18/16

  600,000      601,262   
  Principal
Amount°
 

Value

(U.S. $)

 

SUPRANATIONAL BANKS (continued)

  

FMS Wertmanagement (continued)

  

1.00% 11/21/17

  250,000    $ 250,486   

1.625% 11/20/18

  500,000      507,431   

Inter-American Development Bank

  

0.875% 11/15/16

  200,000      200,824   

0.875% 3/15/18

  500,000      498,577   

1.00% 7/14/17

  200,000      201,037   

1.125% 3/15/17

  250,000      252,279   

1.25% 1/16/18

  900,000      908,021   

1.375% 7/15/20

  1,250,000             1,241,009   

1.75% 8/24/18

  500,000      509,679   

2.125% 11/9/20

  400,000      411,730   

3.00% 10/4/23

  500,000      545,004   

3.00% 2/21/24

  400,000      434,780   

3.20% 8/7/42

  100,000      103,394   

3.875% 2/14/20

  200,000      222,921   

3.875% 10/28/41

  100,000      114,616   

4.375% 1/24/44

  56,000      71,787   

5.125% 9/13/16

  500,000      532,601   

International Bank for Reconstruction & Development

   

0.50% 4/15/16

  500,000      500,533   

0.50% 5/16/16

  600,000      600,422   

0.625% 10/14/16

  600,000      600,077   

0.875% 4/17/17

  624,000      627,907   

1.00% 9/15/16

  750,000      754,633   

1.125% 7/18/17

  150,000      151,467   

1.625% 2/10/22

  600,000      594,479   

1.875% 3/15/19

  1,000,000      1,025,330   

1.875% 10/7/19

  700,000      716,411   

2.125% 11/1/20

  1,000,000      1,031,247   

2.125% 2/13/23

  100,000      103,615   

2.50% 11/25/24

  900,000      932,975   

4.75% 2/15/35

  50,000      64,970   

5.00% 4/1/16

  300,000      313,883   

7.625% 1/19/23

  100,000      141,098   

International Finance

  

0.50% 5/16/16

  150,000      150,181   

0.625% 11/15/16

  200,000      200,013   

0.625% 12/21/17

  200,000      197,792   

0.875% 6/15/18

  1,000,000      990,000   

1.00% 4/24/17

  250,000      251,077   

1.125% 11/23/16

  300,000      302,112   

1.75% 9/16/19

  400,000      405,434   

2.125% 11/17/17

  200,000      205,513   

2.25% 4/11/16

  300,000      305,789   

Nordic Investment Bank

  

0.50% 4/14/16

  375,000      375,347   

1.00% 3/7/17

  350,000      352,167   

2.25% 9/30/21

  200,000      206,399   
 

 

LVIP SSgA Bond Index Fund–48


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

  Principal
Amount°
 

Value

(U.S. $)

 

SUPRANATIONAL BANKS (continued)

  

North American Development Bank

  

4.375% 2/11/20

  100,000    $ 110,940   
     

 

 

 

Total Supranational Banks
(Cost $43,468,512)

       44,466,905   
     

 

 

 

U.S. TREASURY OBLIGATIONS–35.80%

  

U.S. Treasury Bonds

  

2.75% 8/15/42

  2,600,000      2,706,642   

2.75% 11/15/42

  3,500,000      3,638,085   

2.875% 5/15/43

  12,500,000      13,320,313   

3.00% 5/15/42

  2,850,000      3,109,618   

3.125% 11/15/41

  4,000,000      4,471,876   

3.125% 2/15/42

  3,050,000      3,409,805   

3.125% 2/15/43

  9,000,000      10,051,875   

3.125% 8/15/44

  21,000,000      23,531,487   

3.50% 2/15/39

  2,650,000      3,138,594   

3.625% 8/15/43

  5,000,000      6,110,940   

3.625% 2/15/44

  3,000,000      3,668,673   

3.75% 8/15/41

  3,850,000      4,785,431   

3.875% 8/15/40

  3,750,000      4,721,190   

4.25% 11/15/40

  4,000,000      5,324,376   

4.375% 5/15/40

  2,500,000      3,378,320   

4.375% 5/15/41

  2,750,000      3,748,594   

4.50% 5/15/38

  950,000      1,293,262   

4.50% 8/15/39

  3,350,000      4,586,096   

4.625% 2/15/40

  4,100,000      5,723,666   

4.75% 2/15/41

  3,750,000      5,376,855   

5.00% 5/15/37

  3,000,000      4,361,250   

5.25% 11/15/28

  500,000      682,539   

5.25% 2/15/29

  1,200,000      1,641,844   

5.375% 2/15/31

  500,000      710,625   

5.50% 8/15/28

  500,000      695,469   

6.00% 2/15/26

  750,000      1,045,019   

6.125% 11/15/27

  800,000      1,158,625   

6.125% 8/15/29

  300,000      445,945   

6.625% 2/15/27

  750,000      1,113,223   

6.75% 8/15/26

  500,000      741,836   

6.875% 8/15/25

  1,000,000      1,464,922   

U.S. Treasury Notes

  

0.25% 4/15/16

  10,000,000      9,994,530   

0.375% 5/31/16

  10,000,000      10,003,910   

0.50% 8/31/16

  35,000,000      35,046,480   

0.50% 7/31/17

  9,000,000      8,966,250   

0.625% 7/15/16

  14,000,000      14,043,750   

0.625% 8/15/16

  4,000,000      4,012,188   

0.625% 10/15/16

  9,000,000      9,024,606   

0.625% 5/31/17

  4,350,000      4,350,679   

0.625% 8/31/17

  19,600,000      19,566,308   

0.625% 9/30/17

  12,500,000      12,468,750   

0.625% 11/30/17

  2,250,000      2,240,683   

0.625% 4/30/18

  4,000,000      3,964,064   

0.75% 10/31/17

  15,000,000      15,000,000   
  Principal
Amount°
 

Value

(U.S. $)

 

U.S. TREASURY OBLIGATIONS (continued)

  

U.S. Treasury Notes (continued)

  

0.75% 12/31/17

  4,000,000    $ 3,992,812   

0.75% 2/28/18

  2,500,000      2,491,993   

0.75% 3/31/18

  20,000,000           19,912,500   

0.875% 9/15/16

  4,000,000      4,025,936   

0.875% 11/30/16

  5,000,000      5,034,375   

0.875% 12/31/16

  12,200,000      12,283,875   

0.875% 1/31/17

  5,000,000      5,033,205   

0.875% 2/28/17

  6,200,000      6,239,717   

0.875% 4/30/17

  6,000,000      6,034,686   

0.875% 1/31/18

  32,500,000      32,530,485   

0.875% 7/31/19

  6,000,000      5,904,372   

1.00% 8/31/16

  4,000,000      4,033,436   

1.00% 9/30/16

  9,000,000      9,078,048   

1.00% 10/31/16

  5,250,000      5,296,347   

1.00% 5/31/18

  2,300,000      2,302,875   

1.00% 11/30/19

  28,500,000      28,070,277   

1.125% 5/31/19

  2,000,000      1,992,656   

1.125% 4/30/20

  17,000,000      16,778,201   

1.25% 11/30/18

  3,000,000      3,014,532   

1.25% 1/31/19

  3,750,000      3,764,355   

1.375% 6/30/18

  3,000,000      3,037,266   

1.375% 7/31/18

  35,000,000      35,410,165   

1.375% 9/30/18

  2,000,000      2,021,406   

1.375% 11/30/18

  3,000,000      3,029,298   

1.375% 12/31/18

  3,500,000      3,530,625   

1.375% 1/31/20

  23,000,000      23,035,926   

1.50% 6/30/16

  3,000,000      3,041,952   

1.50% 7/31/16

  5,000,000      5,073,440   

1.50% 8/31/18

  6,000,000      6,092,814   

1.50% 12/31/18

  18,300,000      18,544,470   

1.625% 8/31/19

  11,000,000      11,161,568   

1.625% 11/15/22

  16,750,000      16,590,356   

1.75% 5/31/16

  5,000,000      5,081,640   

1.75% 10/31/18

  2,000,000      2,047,188   

1.75% 5/15/22

  9,000,000      9,025,308   

1.75% 5/15/23

  25,000,000      24,867,200   

1.875% 8/31/17

  3,000,000      3,084,609   

1.875% 9/30/17

  2,000,000      2,056,406   

1.875% 10/31/17

  2,000,000      2,057,500   

2.00% 4/30/16

  6,000,000      6,108,282   

2.00% 9/30/20

  14,000,000      14,381,724   

2.00% 8/31/21

  5,000,000      5,106,250   

2.00% 11/15/21

  4,700,000      4,805,750   

2.00% 2/15/22

  8,000,000      8,165,624   

2.00% 2/15/23

  14,150,000      14,381,041   

2.125% 8/31/20

  19,000,000      19,647,178   

2.125% 8/15/21

  7,500,000      7,720,313   

2.25% 11/30/17

  3,750,000      3,895,313   

2.25% 7/31/18

  3,000,000      3,121,641   

2.25% 3/31/21

  4,500,000      4,672,265   

2.375% 7/31/17

  2,000,000      2,079,218   

2.375% 5/31/18

  4,000,000      4,177,188   
 

 

LVIP SSgA Bond Index Fund–49


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

  Principal
Amount°
  Value
(U.S. $)
 

U.S. TREASURY OBLIGATIONS (continued)

  

U.S. Treasury Notes (continued)

  

2.375% 6/30/18

  3,000,000    $ 3,132,423   

2.375% 8/15/24

  19,000,000      19,752,571   

2.50% 6/30/17

  1,900,000             1,978,671   

2.50% 8/15/23

  18,250,000      19,208,125   

2.625% 4/30/16

  1,000,000      1,024,922   

2.625% 1/31/18

  2,000,000      2,099,532   

2.625% 4/30/18

  3,000,000      3,155,625   

2.625% 8/15/20

  6,000,000      6,358,596   

2.625% 11/15/20

  6,500,000      6,886,951   

2.75% 11/30/16

  2,500,000      2,594,923   

2.75% 5/31/17

  3,000,000      3,137,109   

2.75% 12/31/17

  2,000,000      2,105,782   

2.75% 2/28/18

  2,500,000      2,635,353   

2.75% 2/15/19

  5,000,000      5,298,440   

2.75% 2/15/24

  24,000,000      25,723,128   

2.875% 3/31/18

  3,000,000      3,175,314   

3.00% 8/31/16

  2,000,000      2,073,594   

3.00% 9/30/16

  2,000,000      2,077,032   

3.00% 2/28/17

  2,000,000      2,093,750   

3.125% 10/31/16

  2,500,000      2,606,055   

3.125% 1/31/17

  3,500,000      3,666,523   

3.125% 5/15/19

  4,000,000      4,303,436   

3.125% 5/15/21

  3,500,000      3,810,625   

3.25% 5/31/16

  1,700,000      1,757,640   

3.25% 6/30/16

  1,500,000      1,553,907   

3.25% 7/31/16

  1,850,000      1,920,820   

3.25% 12/31/16

  2,500,000      2,620,117   

3.25% 3/31/17

  2,500,000      2,633,397   

3.375% 11/15/19

  6,500,000      7,098,201   

3.50% 2/15/18

  4,100,000      4,408,140   

3.50% 5/15/20

  4,000,000      4,413,752   

3.625% 8/15/19

  5,500,000      6,049,142   

3.625% 2/15/20

  6,000,000      6,648,750   

3.625% 2/15/21

  9,000,000      10,046,952   

3.75% 11/15/18

  3,630,000      3,973,431   

3.875% 5/15/18

  4,850,000      5,289,153   

4.00% 8/15/18

  5,550,000      6,107,170   

4.25% 11/15/17

  2,500,000      2,725,977   

4.50% 5/15/17

  1,350,000      1,461,059   

4.625% 11/15/16

  3,600,000      3,844,123   
  Principal
Amount°
  Value
(U.S. $)
 

U.S. TREASURY OBLIGATIONS (continued)

  

U.S. Treasury Notes (continued)

  

4.625% 2/15/17

  1,700,000    $ 1,830,023   

4.75% 8/15/17

  2,500,000             2,739,845   

4.875% 8/15/16

  2,000,000      2,123,124   

5.125% 5/15/16

  1,500,000      1,580,274   

6.25% 8/15/23

  1,600,000      2,158,000   

7.125% 2/15/23

  1,000,000      1,398,828   

7.25% 5/15/16

  1,000,000      1,077,500   

7.25% 8/15/22

  500,000      694,649   

7.50% 11/15/16

  800,000      891,062   

7.50% 11/15/24

  500,000      749,179   

7.625% 11/15/22

  500,000      713,399   

7.625% 2/15/25

  500,000      760,156   

7.875% 2/15/21

  750,000      1,018,945   

8.00% 11/15/21

  1,700,000      2,376,015   

8.125% 8/15/19

  750,000      970,606   

8.125% 5/15/21

  500,000      691,601   

8.125% 8/15/21

  700,000      978,468   

8.50% 2/15/20

  150,000      200,859   

8.75% 5/15/17

  1,000,000      1,172,344   

8.75% 5/15/20

  900,000      1,228,570   

8.75% 8/15/20

  800,000      1,103,750   

8.875% 8/15/17

  750,000      895,254   

8.875% 2/15/19

  750,000      972,656   

9.125% 5/15/18

  250,000      313,613   
     

 

 

 

Total U.S. Treasury Obligations
(Cost $924,092,129)

  963,793,731   
     

 

 

 
  Number of
Shares
     

MONEY MARKET FUND–6.68%

  

Dreyfus Treasury & Agency

Cash Management Fund -

Institutional Shares

  179,824,641      179,824,641   
     

 

 

 

Total Money Market Fund
(Cost $179,824,641)

  179,824,641   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–105.40% (Cost $2,724,343,270)

  2,837,276,851   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(5.40%)

  (145,374,722
  

 

 

 

NET ASSETS APPLICABLE TO 232,029,346 SHARES OUTSTANDING–100.00%

$ 2,691,902,129   
  

 

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $10,220,451, which represents 0.38% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

 

Variable rate security. The rate shown is the rate as of March 31, 2015. Interest rates reset periodically.

 

«

Includes $160,658,020 payable for securities purchased and $1,561,310 payable for fund shares redeeemed as of March 31, 2015.

 

LVIP SSgA Bond Index Fund–50


LVIP SSgA Bond Index Fund

Schedule of Investments (continued)

 

 

^

Zero coupon security. The rate shown is the yield at the time of purchase.

 

¿

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.

 

ß

Considered an affiliated company. Investments in companies considered to be affiliates of the Fund were as follows:

 

Company

Balance at
Beginning of Period
  Gross
Additions
Gross
Reductions
Realized Gain
During the Period
Value
3/31/15
Interest
Income

Lincoln National

$ 519,687    $— $— $— $529,475 $4,944

 

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

f

Step coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2015.

Summary of Abbreviations:

ARM–Adjustable Rate Mortgage

AGM–Insured by Assured Guaranty Municipal Corporation

GNMA–Government National Mortgage Association

GS–Goldman Sachs

LB–Lehman Brothers

NATL-RE–Insured by the National Public Finance Guarantee Corporation

NCUA–National Credit Union Administration

PSF–Guaranteed by Permanent School Fund

REIT–Real Estate Investment Trust

S.F.–Single Family

TBA–To Be Announced

yr–year

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Agency Mortgage-Backed Securities

$    $ 758,724,627    $ 758,724,627   

Agency Obligations

       86,847,124      86,847,124   

Commercial Mortgage-Backed Securities

       51,918,110      51,918,110   

Corporate Bonds

       663,837,797      663,837,797   

Municipal Bonds

       22,228,856      22,228,856   

Non-Agency Asset-Backed Securities

       12,759,758      12,759,758   

Regional Bonds

       7,429,835      7,429,835   

Sovereign Bonds

       45,445,467      45,445,467   

Supranational Banks

       44,466,905      44,466,905   

U.S. Treasury Obligations

       963,793,731      963,793,731   

Money Market Fund

  179,824,641           179,824,641   
  

 

 

    

 

 

    

 

 

 

Total

$ 179,824,641    $ 2,657,452,210    $ 2,837,276,851   
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Bond Index Fund–51


LVIP SSgA Developed International 150 Fund

Schedule of Investments (unaudited)

March 31, 2015

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK–96.98%

  

Australia–6.08%

Aurizon Holdings

  1,492,484    $ 5,493,051   

Bendigo & Adelaide Bank

  570,175      5,432,760   

BHP Billiton

  249,730      5,480,219   

BHP Billiton

  237,110      5,511,031   

Incitec Pivot

  816,464      2,521,688   

Orica

  365,460      5,549,243   

Santos

  966,655      5,228,672   

Sonic Healthcare

  356,534      5,538,711   

Wesfarmers

  168,124      5,613,948   

Woolworths

  252,185      5,647,059   
     

 

 

 
    52,016,382   
     

 

 

 

Austria–1.32%

OMV

  206,026      5,652,657   

voestalpine

  154,095      5,637,853   
     

 

 

 
  11,290,510   
     

 

 

 

Belgium–1.68%

Ageas

  158,551      5,695,020   

Belgacom

  160,889      5,630,280   

Groupe Bruxelles Lambert

  36,628      3,037,362   
     

 

 

 
  14,362,662   
     

 

 

 

Canada–1.38%

RioCan Real Estate Investment Trust

  107,866      2,467,041   

Shaw Communications Class B

  172,896      3,879,291   

Teck Resources Class B

  395,863      5,431,729   
     

 

 

 
  11,778,061   
     

 

 

 

Denmark–1.91%

A.P. Moller - Maersk Class B

  2,462      5,146,102   

Carlsberg Class B

  68,403      5,640,222   

TDC

  780,284      5,590,664   
     

 

 

 
  16,376,988   
     

 

 

 

Finland–1.97%

Fortum

  265,524      5,563,814   

Nokian Renkaat

  189,509      5,648,763   

UPM-Kymmene

  291,058      5,655,421   
     

 

 

 
  16,867,998   
     

 

 

 

France–7.88%

AXA

  225,210      5,669,406   

Bouygues

  141,959      5,573,748   

Casino Guichard Perrachon

  62,671      5,550,302   

Cie Generale des Etablissements Michelin

  57,014      5,670,809   

Electricite de France

  231,893      5,561,430   

GDF Suez

  280,833      5,545,526   

Rexel

  301,795      5,691,639   

Sanofi

  57,301      5,660,045   

SCOR SE

  170,725      5,759,233   

TOTAL

  112,388      5,587,511   

Vinci

  96,804      5,531,802   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

France (continued)

Vivendi

  228,055    $ 5,663,155   
     

 

 

 
    67,464,606   
     

 

 

 

Germany–4.77%

Allianz

  32,702      5,678,666   

Bayerische Motoren Werke

  44,965      5,600,764   

Daimler

  59,198      5,686,121   

Deutsche Lufthansa

  403,245      5,647,560   

Hannover Rueckversicherung

  11,757      1,215,131   

Muenchener Rueckversicherungs

  26,306      5,653,743   

Siemens

  52,435      5,672,118   

Volkswagen

  22,063      5,673,944   
     

 

 

 
  40,828,047   
     

 

 

 

nHong Kong–10.01%

Bank of East Asia

  1,147,600      4,571,449   

CK Hutchison Holdings

  283,826      5,798,714   

Hang Lung Properties

  2,091,000      5,874,664   

Henderson Land Development

  824,046      5,788,977   

Hutchison Whampoa

  414,333      5,743,009   

Li & Fung

  6,040,000      5,897,700   

Link REIT

  917,881      5,662,576   

MTR

  1,217,958      5,792,984   

New World Development

  5,015,121      5,814,232   

Power Assets Holdings

  576,000      5,879,718   

Sino Land

  3,598,512      5,867,852   

Sun Hung Kai Properties

  371,304      5,725,318   

Swire Pacific Class A

  425,876      5,797,227   

Swire Properties

  1,759,273      5,713,843   

Wharf Holdings

  831,776      5,806,501   
     

 

 

 
  85,734,764   
     

 

 

 

Israel–1.28%

Bank Hapoalim

  398,047      1,913,184   

Bezeq The Israeli Telecommunication

  1,793,383      3,338,194   

Teva Pharmaceutical Industries

  91,239      5,699,897   
     

 

 

 
  10,951,275   
     

 

 

 

Italy–0.66%

Eni

  327,463      5,668,831   
     

 

 

 
  5,668,831   
     

 

 

 

Japan–25.87%

Aeon

  509,100      5,583,602   

Aisin Seiki

  154,700      5,607,763   

Bridgestone

  142,723      5,713,666   

Brother Industries

  348,700      5,539,175   

Canon

  162,044      5,732,371   

Daiichi Sankyo

  342,900      5,448,080   

FUJIFILM Holdings

  160,137      5,696,174   

Hitachi

  819,631      5,597,026   

Honda Motor

  168,000      5,483,100   

ITOCHU

  504,400      5,457,646   
 

 

LVIP SSgA Developed International 150 Fund–1


LVIP SSgA Developed International 150 Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Japan (continued)

Japan Airlines

  178,800    $ 5,561,050   

Japan Tobacco

  180,200      5,696,049   

JFE Holdings

  247,501      5,462,205   

JGC

  283,000      5,618,736   

Kobe Steel

  2,997,815      5,528,296   

Komatsu

  278,800      5,464,316   

Konica Minolta Holdings

  543,100      5,503,043   

Marubeni

  924,300      5,342,945   

Mitsubishi

  271,333      5,451,211   

Mitsubishi Heavy Industries

  1,014,000      5,578,377   

Mitsubishi Materials

  1,667,000      5,600,605   

Mitsubishi Tanabe Pharma

  327,700      5,620,883   

Mitsubishi UFJ Financial Group

  889,432      5,507,702   

Mitsui

  400,000      5,355,980   

Mitsui OSK Lines

  1,635,000      5,544,478   

Mizuho Financial Group

  3,054,300      5,366,969   

NEC

  1,916,000      5,627,166   

Nissan Motor

  542,450      5,516,096   

Nomura Research Institute

  151,300      5,683,427   

Otsuka Holdings

  182,882      5,720,265   

Resona Holdings

  1,069,134      5,304,978   

Ricoh

  511,200      5,557,572   

Seiko Epson

  293,005      5,188,649   

Sekisui House

  392,901      5,703,986   

Sumitomo Electric Industries

  423,100      5,545,261   

Sumitomo Metal Mining

  371,049      5,422,249   

Sumitomo Mitsui Financial Group

  143,900      5,511,111   

Toyota Motor

  79,082      5,519,298   

Toyota Tsusho

  206,526      5,463,272   

Yamada Denki

  1,369,200      5,637,339   
     

 

 

 
  221,462,117   
     

 

 

 

Netherlands–1.95%

Boskalis Westminster

  112,629      5,552,360   

Delta Lloyd

  298,866      5,637,627   

Royal Dutch Shell Class B

  177,516      5,529,493   
     

 

 

 
  16,719,480   
     

 

 

 

Norway–0.65%

Statoil

  315,350      5,576,525   
     

 

 

 
  5,576,525   
     

 

 

 

Portugal–0.64%

Energias de Portugal

  1,461,793      5,475,645   
     

 

 

 
  5,475,645   
     

 

 

 

Singapore–4.03%

Ascendas Real Estate Investment Trust

  3,067,100      5,785,053   

CapitaMall Trust

  3,587,700      5,743,405   

Hutchison Port Holdings Trust

  8,285,600      5,751,499   

Keppel

  864,200      5,662,072   

Singapore Press Holdings

  1,884,600      5,752,634   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Singapore (continued)

Wilmar International

  2,428,900    $ 5,765,954   
     

 

 

 
    34,460,617   
     

 

 

 

Spain–3.27%

ACS Actividades de Construccion y

Servicios

  158,455      5,609,451   

Banco Santander

  757,215      5,677,421   

Endesa

  291,626      5,630,841   

Repsol

  299,979      5,585,253   

Telefonica

  387,575      5,516,027   
     

 

 

 
  28,018,993   
     

 

 

 

Sweden–2.66%

Investment Kinnevik Class B

  171,140      5,713,079   

Investor Class B

  143,437      5,709,804   

Svenska Cellulosa Class B

  248,032      5,699,527   

TeliaSonera

  887,693      5,641,043   
     

 

 

 
  22,763,453   
     

 

 

 

Switzerland–3.94%

Baloise Holding

  42,230      5,580,995   

Glencore

  1,296,127      5,471,729   

Novartis

  57,350      5,660,473   

Swiss Life Holding

  22,759      5,622,541   

Swiss Re

  58,918      5,683,110   

†Zurich Insurance Group

  16,853      5,696,351   
     

 

 

 
  33,715,199   
     

 

 

 

United Kingdom–15.03%

Amlin

  435,285      3,259,644   

Anglo American

  357,835      5,344,075   

Antofagasta

  531,689      5,751,768   

AstraZeneca

  82,117      5,634,552   

BP

  863,504      5,597,186   

Centrica

  1,490,747      5,575,661   

Cobham

  464,356      2,091,708   

HSBC Holdings

  662,213      5,642,807   

J Sainsbury

  1,456,918      5,590,612   

Kingfisher

  1,073,903      6,058,835   

Meggitt

  686,036      5,576,364   

Melrose Industries

  1,337,067      5,491,308   

Persimmon

  226,860      5,590,424   

Rio Tinto

  133,893      5,521,142   

Rio Tinto

  129,173      5,596,699   

Royal Mail

  870,726      5,647,510   

Smiths Group

  326,725      5,403,607   

Standard Chartered

  350,190      5,671,736   

Tate & Lyle

  645,241      5,718,781   

Tesco

  1,618,525      5,777,221   

Vodafone Group

  1,719,683      5,627,173   

Weir Group

  216,775      5,469,828   

William Hill

  1,019,341      5,597,283   
 

 

LVIP SSgA Developed International 150 Fund–2


LVIP SSgA Developed International 150 Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United Kingdom (continued)

  

WM Morrison Supermarkets

  1,909,812    $ 5,457,945   
     

 

 

 
  128,693,869   
     

 

 

 

Total Common Stock
(Cost $810,903,417)

  830,226,022   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

MONEY MARKET FUND–2.21%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  18,936,477    $   18,936,477   
     

 

 

 

Total Money Market Fund
(Cost $18,936,477)

  18,936,477   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.19% (Cost $829,839,894)

  849,162,499   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.81%

  6,956,611   
  

 

 

 

NET ASSETS APPLICABLE TO 89,221,741 SHARES OUTSTANDING–100.00%

$ 856,119,110   
  

 

 

 

 

 

D

Securities have been classified by country of origin.

 

n

Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

Non-income producing for the period.

 

«

Includes $324,118 cash pledged as collateral for futures contracts as of March 31, 2015.

The following foreign currency exchange contracts, foreign cross currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

                  Unrealized
Appreciation
(Depreciation)
 

Counterparty

Contracts to
Receive (Deliver)
  In Exchange For   Settlement Date

BNP

CAD   415,000      USD      (326,399 4/1/15 $ 1,233   

CITI

CHF   1,365,000      JPY      (168,927,486 4/2/15   (3,572

CITI

HKD   98,000,000      JPY      (1,515,879,582 4/2/15   3,302   

CITI

ILS   40,900,000      JPY      (1,235,385,604 4/2/15   (25,033

CITI

JPY   (1,243,584,504   SGD      14,220,000    4/6/15   (8,259

CITI

JPY   (328,000,000   USD      2,735,175    4/3/15   685   

DB

CHF   3,072,528      EUR      (2,950,000 4/2/15   (10,706

HSBC

DKK   49,010,000      NOK      (57,023,135 4/7/15   (23,168

HSBC

NOK   (18,100,000   USD      2,240,376    4/7/15   (6,285

JPMC

SEK   200,000      USD      (23,182 4/2/15   42   

SCB

GBP   3,560,000      USD      (5,274,852 4/2/15   5,799   

WBC

AUD   30,100,000      JPY      (2,747,994,851 4/8/15   1,483   
               

 

 

 
$ (64,479
               

 

 

 

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

198    E-mini MSCIEAFE Index

$18,016,481 $18,116,010 6/22/15 $99,529

The use of foreign currency exchange contracts, foreign cross currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts and notional values 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.

 

LVIP SSgA Developed International 150 Fund–3


LVIP SSgA Developed International 150 Fund

Schedule of Investments (continued)

 

Summary of Abbreviations:

AUD–Australian Dollar

BNP–Banque Paribas

CAD–Canadian Dollar

CHF–Swiss Franc

CITI–Citigroup Global Markets

DB–Deutsche Bank

DKK–Danish Krone

EUR–European Monetary Unit

GBP–British Pound Sterling

HKD–Hong Kong Dollar

HSBC–Hong Kong Shanghai Bank

ILS–Israeli Shekel

JPY–Japanese Yen

NOK–Norwegian Krone

REIT–Real Estate Investment Trust

SCB–Standard Chartered Bank

SEK–Swedish Krona

SGD–Singapore Dollar

USD–U.S. Dollar

WBC–Westpac Banking Corporation

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

Australia

$    $ 52,016,382    $ 52,016,382   

Austria

       11,290,510      11,290,510   

Belgium

       14,362,662      14,362,662   

Canada

  11,778,061           11,778,061   

Denmark

       16,376,988      16,376,988   

Finland

       16,867,998      16,867,998   

France

       67,464,606      67,464,606   

Germany

       40,828,047      40,828,047   

Hong Kong

  5,897,700      79,837,064      85,734,764   

Israel

       10,951,275      10,951,275   

Italy

       5,668,831      5,668,831   

Japan

       221,462,117      221,462,117   

Netherlands

  5,637,627      11,081,853      16,719,480   

Norway

       5,576,525      5,576,525   

Portugal

       5,475,645      5,475,645   

Singapore

       34,460,617      34,460,617   

Spain

       28,018,993      28,018,993   

Sweden

       22,763,453      22,763,453   

Switzerland

       33,715,199      33,715,199   

United Kingdom

  5,718,781      122,975,088      128,693,869   

Money Market Fund

  18,936,477           18,936,477   
  

 

 

    

 

 

   

 

 

 

Total

$ 47,968,646    $ 801,193,853    $ 849,162,499   
  

 

 

    

 

 

   

 

 

 

Foreign Currency Exchange Contracts

$    $ (64,479 $ (64,479
  

 

 

    

 

 

   

 

 

 

Futures Contracts

$ 99,529    $    $ 99,529   
  

 

 

    

 

 

   

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, the majority of the Fund’s common stock was categorized as Level 2.

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the

 

LVIP SSgA Developed International 150 Fund–4


LVIP SSgA Developed International 150 Fund

Schedule of Investments (continued)

 

Fund utilizing international fair value pricing. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Developed International 150 Fund–5


LVIP SSgA Emerging Markets 100 Fund

Schedule of Investments (unaudited)

March 31, 2015

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK–91.20%

  

Brazil–6.22%

  

Banco do Brasil

  1,003,326    $ 7,232,623   

BR Malls Participacoes

  1,343,300      7,145,750   

Cia de Saneamento Basico do Estadode Sao Paulo ADR

  1,121,814      6,080,232   

Cia Energetica de Minas Gerais ADR

  601,528      2,460,249   

Cia Siderurgica Nacional

  143,200      245,396   

Cia Siderurgica Nacional ADR

  511,904      859,999   

Cyrela Brazil Realty

  781,400      3,268,073   

Kroton Educacional

  2,187,900      7,080,516   

Petroleo Brasileiro ADR

  1,185,250      7,218,173   

Tim Participacoes

  893,200      2,974,535   
     

 

 

 
    44,565,546   
     

 

 

 

Chile–0.48%

  

Cencosud

  1,434,434      3,398,770   
     

 

 

 
  3,398,770   
     

 

 

 

Greece–0.54%

  

OPAP

  413,078      3,856,214   
     

 

 

 
  3,856,214   
     

 

 

 

¡Hong Kong–30.87%

  

Agricultural Bank of China

  15,632,000      7,739,280   

Bank of China

  12,503,100      7,227,741   

Bank of Communications

  8,466,000      7,276,085   

Belle International Holdings

  6,838,000      7,982,159   

China CITIC Bank

  9,577,000      7,220,066   

China Communications Construction

  5,418,000      7,634,237   

China Construction Bank

  9,729,000      8,074,945   

China Merchants Bank

  2,932,500      7,160,107   

China Minsheng Banking

  5,903,000      7,198,633   

China Mobile

  540,500      7,044,009   

China National Building Material

  6,852,000      6,816,288   

China Railway Construction

  5,316,000      7,925,194   

China Railway Group

  7,967,000      8,148,553   

China Resources Enterprise

  3,592,000      7,042,650   

China Resources Power Holdings

  2,784,000      6,981,959   

China Telecom

  11,206,000      7,164,130   

CITIC Pacific

  3,875,000      6,632,386   

CNOOC

  5,144,000      7,259,858   

COSCO Pacific

  985,710      1,291,175   

Country Garden Holdings

  16,450,733      6,635,203   

CSPC Pharmaceutical Group

  8,532,000      7,219,457   

Dongfeng Motor Group

  4,854,000      7,763,675   

Evergrande Real Estate Group

  14,677,000      7,398,350   

Guangzhou Automobile Group

  7,650,000      7,308,313   

Huaneng Power International

  6,152,000      7,306,609   

Industrial & Commercial Bank of China

  11,075,000      8,191,981   

Jiangsu Expressway

  2,044,000      2,744,722   

Jiangxi Copper

  4,087,000      7,596,085   

Longfor Properties

  2,811,500      3,983,927   

Shanghai Industrial Holdings

  342,000      1,054,209   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

¡Hong Kong (continued)

  

Shanghai Pharmaceuticals Holding

  1,479,900    $ 3,938,878   

Shimao Property Holdings

  3,131,500      6,570,820   

Sinopharm Group

  1,824,800      7,430,327   

Sun Art Retail Group

  2,478,000      2,158,504   
     

 

 

 
  221,120,515   
     

 

 

 

Hungary–0.91%

  

Richter Gedeon

  476,277      6,534,282   
     

 

 

 
  6,534,282   
     

 

 

 

India–1.75%

  

Cairn India

  375,000      1,289,723   

Hindalco Industries

  1,022,935      2,118,319   

NTPC

  1,036,717      2,444,984   

Sesa Sterlite

  2,200,920      6,696,945   
     

 

 

 
  12,549,971   
     

 

 

 

Indonesia–0.98%

  

Indofood Sukses Makmur

  12,294,500      7,001,258   
     

 

 

 
  7,001,258   
     

 

 

 

Malaysia–2.41%

  

AMMB Holdings

  2,009,600      3,447,017   

IOI

  5,507,500      6,825,728   

UMW Holdings

  1,339,800      3,926,056   

YTL

  6,768,100      3,051,863   
     

 

 

 
  17,250,664   
     

 

 

 

Mexico–0.80%

  

Coca-Cola Femsa

  714,347      5,692,124   
     

 

 

 
  5,692,124   
     

 

 

 

Poland–2.32%

  

KGHM Polska Miedz

  219,935      6,949,294   

Orange Polska

  619,075      1,555,349   

PGE

  1,242,449      6,824,573   

Tauron Polska Energia

  1,100,000      1,278,276   
     

 

 

 
  16,607,492   
     

 

 

 

Qatar–0.49%

  

Industries Qatar

  91,183      3,475,423   
     

 

 

 
  3,475,423   
     

 

 

 

Republic of Korea–14.00%

  

CJ CheilJedang

  9,487      3,230,875   

Daewoo Shipbuilding & Marine Engineering

  422,860      6,878,718   

DGB Financial Group

  632,559      6,897,092   

Hyundai Mobis

  31,307      6,937,927   

Hyundai Motor

  45,664      6,918,674   

Industrial Bank of Korea

  553,550      6,647,704   

Kia Motors

  170,546      6,933,886   

KT&G

  91,525      7,320,811   

LG

  125,913      6,952,687   
 

 

LVIP SSgA Emerging Markets 100 Fund–1


LVIP SSgA Emerging Markets 100 Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Republic of Korea (continued)

  

Lotte Shopping

  33,050    $ 7,069,009   

POSCO

  30,323      6,630,745   

Samsung Electronics

  5,451      7,071,917   

Shinhan Financial Group

  184,620      6,939,393   

SK Holdings

  46,073      7,053,102   

SK Telecom

  27,512      6,772,956   
     

 

 

 
  100,255,496   
     

 

 

 

Russia–3.09%

  

@Gazprom ADR

  1,506,895      7,093,378   

Lukoil ADR

  152,538      7,050,044   

@Rosneft GDR

  1,682,642      7,217,964   

Rostelecom ADR

  99,032      783,343   
     

 

 

 
  22,144,729   
     

 

 

 

South Africa–6.08%

  

AVI

  725,000      4,922,374   

Barloworld

  568,499      4,338,583   

Imperial Holdings

  444,252      7,044,527   

Investec

  460,465      3,811,112   

Life Healthcare Group Holdings

  646,989      2,253,745   

MTN Group

  408,794      6,892,183   

Netcare

  651,059      2,233,017   

SPAR Group

  345,101      5,359,881   

Tiger Brands

  266,822      6,714,954   
     

 

 

 
  43,570,376   
     

 

 

 

Taiwan–13.47%

  

Asia Cement

  1,927,000      2,424,018   

Asustek Computer

  688,000      6,924,649   

AU Optronics

  8,469,000      4,254,472   

Cheng Shin Rubber Industry

  1,619,000      3,720,757   

Compal Electronics

  5,268,000      4,381,583   

Far Eastern New Century

  1,010,000      1,042,329   

Inventec

  5,622,000      4,064,910   

Lite-On Technology

  5,110,956      6,619,419   

Mega Financial Holding

  8,932,000      7,407,595   

Pegatron

  1,179,000      3,184,761   

Quanta Computer

  1,489,000      3,598,193   

Radiant Opto-Electronics

  764,000      2,375,327   

SinoPac Financial Holdings

  7,882,000      3,289,394   

Synnex Technology International

  4,761,000      6,432,568   

Taishin Financial Holding

  7,385,000      3,137,815   

Taiwan Cement

  2,853,000      4,020,101   

Taiwan Fertilizer

  2,340,000      4,059,422   

Teco Electric and Machinery

  4,911,000      4,672,887   

Uni-President Enterprises

  1,514,040      2,533,232   

Wistron

  8,446,723      7,175,597   

WPG Holdings

  5,736,000      7,389,322   

Yuanta Financial Holding

  7,562,000      3,806,076   
     

 

 

 
  96,514,427   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Thailand–3.93%

Bangkok Bank NVDR

  1,244,700    $ 7,050,120   

Charoen Pokphand Foods-Foreign

  10,587,900      7,318,825   

Krung Thai Bank NVDR

  9,981,500      6,990,418   

PTT Global Chemical NVDR

  4,235,170      6,796,418   
     

 

 

 
  28,155,781   
     

 

 

 

Turkey–1.76%

  

Eregli Demir ve Celik Fabrikalari

  2,957,570      4,597,361   

KOC Holding

  212,289      965,793   

Turkiye Is Bankasi Class C

  3,142,243      7,073,036   
     

 

 

 
  12,636,190   
     

 

 

 

United Arab Emirates–1.10%

  

Aldar Properties

  5,274,707      3,392,015   

Dubai Islamic Bank

  2,679,923      4,508,349   
     

 

 

 
  7,900,364   
     

 

 

 

Total Common Stock
(Cost $650,078,822)

  653,229,622   
     

 

 

 

PREFERRED STOCK–0.54%

  

Brazil–0.54%

Bradespar 15.91%

  608,100      2,013,664   

Metalurgica Gerdau 3.54%

  541,600      1,852,842   
     

 

 

 

Total Preferred Stock
(Cost $9,105,190)

  3,866,506   
     

 

 

 

MONEY MARKET FUND–0.23%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  1,672,487      1,672,487   
     

 

 

 

Total Money Market Fund
(Cost $1,672,487)

   

  1,672,487   
     

 

 

 

DSOVEREIGN BOND–0.10%

  

India–0.10%

NTPC
8.49% 3/25/25

  INR 43,453,850      694,981   
     

 

 

 
  694,981   
     

 

 

 

Total Sovereign Bond
(Cost $708,168)

  694,981   
     

 

 

 
 

 

LVIP SSgA Emerging Markets 100 Fund–2


LVIP SSgA Emerging Markets 100 Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–92.07% (Cost $661,564,667)

$ 659,463,596   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–7.93%

  56,833,156   
  

 

 

 

NET ASSETS APPLICABLE TO 76,144,202 SHARES OUTSTANDING–100.00%

$ 716,296,752   
  

 

 

 

 

D

Securities have been classified by country of origin.

 

¢

Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

«

Includes $123,620 cash pledged as collateral for futures contracts as of March 31, 2015.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $14,311,342, which represents 2.00% of the Fund’s net assets.

The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

 

                Unrealized
Appreciation
(Depreciation)
 

Counterparty

Contracts to
Receive (Deliver)
  In Exchange For   Settlement Date

BAML

AED   5,235,000    USD   (1,425,460 4/1/15 $ (157

BAML

QAR   2,591,000    USD   (711,715 4/1/15   (147

BNYM

CLP   278,555,452    USD   (451,859 4/2/15   (5,890

BNYM

IDR   11,899,218,453    USD   (914,797 4/6/15   (6,806

BNYM

INR   504,035,509    USD   (8,124,363 4/6/15   (41,729

BNYM

INR   (1,145,832,463 USD   18,385,497    4/8/15   19,158   

BNYM

KRW   6,291,619,857    USD   (5,705,675 4/2/15   (32,473

BNYM

MYR   (508,302 USD   137,404    4/1/15   170   

BNYM

MYR   2,805,212    USD   (758,263 4/2/15   (971

BNYM

MYR   17,407,344    USD   (4,723,069 4/7/15   (26,072

BNYM

THB   (48,390,860 USD   1,488,606    4/3/15   2,235   

BNYM

THB   294,458,176    USD   (9,058,162 4/7/15   (15,959

BNYM

TWD   125,100,000    USD   (4,000,000 4/1/15   2,826   

HSBC

AED   23,810,000    USD   (6,482,969 4/2/15   (365

HSBC

CZK   (151,066,977 USD   5,873,522    4/2/15   (19,406

HSBC

EUR   3,614,231    USD   (3,877,709 4/2/15   9,323   

HSBC

HKD   (226,000,000 USD   29,150,758    4/2/15   (414

HSBC

HUF   294,823,826    USD   (1,054,222 4/2/15   826   

HSBC

QAR   9,975,200    USD   (2,740,289 4/2/15   (790

HSBC

TRY   (52,500,000 USD   20,185,709    4/2/15   (7,140

HSBC

ZAR   (17,789,600 USD   1,463,640    4/9/15   (985

UBS

HKD   (31,200,000 USD   4,022,962    4/1/15   (1,458

UBS

ZAR   (86,750,000 USD   7,126,516    4/8/15   (16,894
             

 

 

 
$ (143,118
             

 

 

 

Futures Contracts

 

Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

632         E-mini MSCI Emerging Markets Index

  $ 29,520,340     $ 30,727,840       6/22/15     $ 1,207,500  

The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The foreign currency exchange contracts and notional values 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.

 

LVIP SSgA Emerging Markets 100 Fund–3


LVIP SSgA Emerging Markets 100 Fund

Schedule of Investments (continued)

 

Summary of Abbreviations:

ADR–American Depositary Receipt

AED–United Arab Emirates Dirham

BAML–Bank of America Merrill Lynch

BNYM–Bank of New York Mellon

CLP–Chilean Peso

CZK–Czech Koruna

EUR–Euro

GDR–Global Depositary Receipt

HKD–Hong Kong Dollar

HSBC–Hong Kong Shanghai Bank

HUF–Hungarian Forint

IDR–Indonesian Rupiah

INR–Indian Rupee

KRW–South Korean Won

MYR–Malaysian Ringgit

NVDR–Non-Voting Depositary Receipt

QAR–Qatari Riyal

THB–Thailand Baht

TRY–Turkish Lira

TWD–Taiwan Dollar

UBS–Union Bank of Switzerland

USD–U.S. Dollar

ZAR–South African Rand

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1      Level 2      Total  

Common Stock

        

Brazil

   $ 44,565,546       $       $ 44,565,546   

Chile

     3,398,770                 3,398,770   

Greece

             3,856,214         3,856,214   

Hong Kong

     7,219,457         213,901,058         221,120,515   

Hungary

             6,534,282         6,534,282   

India

     6,696,945         5,853,026         12,549,971   

Indonesia

             7,001,258         7,001,258   

Malaysia

     9,877,591         7,373,073         17,250,664   

Mexico

     5,692,124                 5,692,124   

Poland

             16,607,492         16,607,492   

Qatar

             3,475,423         3,475,423   

Republic of Korea

     7,320,811         92,934,685         100,255,496   

Russia

     8,001,307         14,143,422         22,144,729   

South Africa

             43,570,376         43,570,376   

Taiwan

     4,672,887         91,841,540         96,514,427   

Thailand

             28,155,781         28,155,781   

Turkey

             12,636,190         12,636,190   

United Arab Emirates

             7,900,364         7,900,364   

Sovereign Debt

             694,981         694,981   

Money Market Fund

     1,672,487                 1,672,487   

Preferred Stock

     3,866,506                 3,866,506   
  

 

 

    

 

 

    

 

 

 

Total

$ 102,984,431    $ 556,479,165    $ 659,463,596   
  

 

 

    

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ (143,118 $ (143,118
  

 

 

    

 

 

    

 

 

 

Futures Contracts

$ 1,207,500    $    $ 1,207,500   
  

 

 

    

 

 

    

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, the majority of the Fund’s common stock was categorized as Level 2.

There were no Level 3 investments at the beginning or end of the period.

 

LVIP SSgA Emerging Markets 100 Fund–4


LVIP SSgA Emerging Markets 100 Fund

Schedule of Investments (continued)

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Emerging Markets 100 Fund–5


LVIP SSgA Large Cap 100 Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–99.43%

  

Aerospace & Defense–0.99%

  

L-3 Communications Holdings

  101,422    $      12,757,873   
     

 

 

 
  12,757,873   
     

 

 

 

Auto Components–2.01%

  

Johnson Controls

  258,082      13,017,656   

Lear

  117,199      12,987,993   
     

 

 

 
  26,005,649   
     

 

 

 

Automobiles–2.98%

  

Ford Motor

  792,946      12,798,148   

General Motors

  339,895      12,746,063   

Harley-Davidson

  211,655      12,855,925   
     

 

 

 
  38,400,136   
     

 

 

 

Banks–4.96%

  

BB&T

  328,377      12,803,419   

CIT Group

  286,635      12,932,971   

Fifth Third Bancorp

  665,010      12,535,439   

JPMorgan Chase

  213,219      12,916,807   

Regions Financial

  1,363,594      12,885,963   
     

 

 

 
  64,074,599   
     

 

 

 

Chemicals–2.98%

  

Dow Chemical

  270,915      12,998,502   

Eastman Chemical

  184,440      12,774,314   

LyondellBasell Industries Class A

  144,491      12,686,310   
     

 

 

 
  38,459,126   
     

 

 

 

Commercial Services & Supplies–0.99%

  

Republic Services

  315,014      12,776,968   
     

 

 

 
  12,776,968   
     

 

 

 

Communications Equipment–3.01%

  

Cisco Systems

  468,625      12,898,903   

Juniper Networks

  569,029      12,848,675   

QUALCOMM

  189,041      13,108,103   
     

 

 

 
  38,855,681   
     

 

 

 

Consumer Finance–0.99%

  

Navient

  629,715      12,802,106   
     

 

 

 
  12,802,106   
     

 

 

 

Diversified Financial Services–0.98%

  

Voya Financial

  293,799      12,665,675   
     

 

 

 
  12,665,675   
     

 

 

 

Diversified Telecommunication Services–0.98%

  

CenturyLink

  367,334      12,691,390   
     

 

 

 
  12,691,390   
     

 

 

 

Electric Utilities–3.03%

  

Duke Energy

  170,747      13,109,955   

Entergy

  165,905      12,855,978   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Electric Utilities (continued)

  

Exelon

  390,377    $      13,120,571   
     

 

 

 
  39,086,504   
     

 

 

 

Electrical Equipment–1.99%

  

Eaton

  190,417      12,936,931   

Emerson Electric

  224,810      12,728,742   
     

 

 

 
  25,665,673   
     

 

 

 

Electronic Equipment, Instruments & Components–0.99%

  

Corning

  564,978      12,813,701   
     

 

 

 
  12,813,701   
     

 

 

 

Energy Equipment & Services–1.00%

  

National Oilwell Varco

  259,347      12,964,756   
     

 

 

 
  12,964,756   
     

 

 

 

Food & Staples Retailing–0.99%

  

Wal-Mart Stores

  155,026      12,750,889   
     

 

 

 
  12,750,889   
     

 

 

 

Food Products–6.09%

  

Archer-Daniels-Midland

  274,192      12,996,701   

Bunge

  161,721      13,319,342   

Kellogg

  201,509      13,289,518   

Kraft Foods Group

  150,433      13,104,971   

Mondelez International

  361,889      13,060,574   

Smucker (J.M.)

  110,894      12,833,763   
     

 

 

 
  78,604,869   
     

 

 

 

Health Care Equipment & Supplies–2.98%

  

Baxter International

  186,638      12,784,703   

St. Jude Medical

  194,470      12,718,338   

Zimmer Holdings

  109,772      12,900,405   
     

 

 

 
  38,403,446   
     

 

 

 

Health Care Providers & Services–5.97%

  

Aetna

  119,867      12,769,431   

Anthem

  83,071      12,826,993   

Cigna

  100,587      13,019,981   

Quest Diagnostics

  167,326      12,859,003   

UnitedHealth Group

  109,205      12,917,859   

Universal Health Services Class B

  108,190      12,735,045   
     

 

 

 
  77,128,312   
     

 

 

 

Hotels, Restaurants & Leisure–2.05%

  

Carnival

  285,796      13,672,481   

Las Vegas Sands

  232,128      12,776,325   
     

 

 

 
  26,448,806   
     

 

 

 

Household Durables–1.05%

  

Horton (D.R.)

  475,648      13,546,455   
     

 

 

 
  13,546,455   
     

 

 

 
 

 

LVIP SSgA Large Cap 100 Fund–1


LVIP SSgA Large Cap 100 Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Household Products–0.98%

  

Procter & Gamble

  154,536    $      12,662,680   
     

 

 

 
  12,662,680   
     

 

 

 

Industrial Conglomerates–0.98%

  

General Electric

  511,898      12,700,189   
     

 

 

 
  12,700,189   
     

 

 

 

Insurance–8.90%

  

ACE

  114,103      12,721,343   

Aflac

  199,922      12,797,007   

American International Group

  234,356      12,840,365   

Cincinnati Financial

  239,642      12,768,126   

Everest Re Group

  72,772      12,662,328   

MetLife

  250,990      12,687,545   

Principal Financial Group

  249,854      12,835,000   

Prudential Financial

  158,609      12,737,889   

Unum Group

  380,661      12,839,695   
     

 

 

 
  114,889,298   
     

 

 

 

IT Services–2.04%

  

Western Union

  654,722      13,624,765   

Xerox

  986,407      12,675,330   
     

 

 

 
  26,300,095   
     

 

 

 

Leisure Products–0.99%

  

Mattel

  557,902      12,748,061   
     

 

 

 
  12,748,061   
     

 

 

 

Life Sciences Tools & Services–1.00%

  

Agilent Technologies

  311,918      12,960,193   
     

 

 

 
  12,960,193   
     

 

 

 

Machinery–5.92%

  

Caterpillar

  158,927      12,718,928   

Cummins

  92,814      12,867,733   

Deere

  144,245      12,648,844   

Dover

  182,663      12,625,666   

Parker-Hannifin

  108,172      12,848,670   

Stanley Black & Decker

  133,830      12,762,029   
     

 

 

 
  76,471,870   
     

 

 

 

Media–2.98%

  

Comcast Class A

  227,062      12,822,191   

Gannett

  352,054      13,054,162   

Time Warner

  149,830      12,651,645   
     

 

 

 
  38,527,998   
     

 

 

 

Metals & Mining–1.95%

  

Freeport-McMoRan Copper & Gold

  651,029      12,336,999   

Nucor

  269,477      12,808,242   
     

 

 

 
  25,145,241   
     

 

 

 

Multiline Retail–2.04%

  

Kohl’s

  169,290      13,246,943   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Multiline Retail (continued)

  

Macy’s

  200,681    $      13,026,204   
     

 

 

 
  26,273,147   
     

 

 

 

Multi-Utilities–2.00%

  

CenterPoint Energy

  621,697      12,688,836   

Consolidated Edison

  215,902      13,170,022   
     

 

 

 
  25,858,858   
     

 

 

 

Oil, Gas & Consumable Fuels–5.87%

  

Chevron

  120,618      12,662,478   

ConocoPhillips

  200,744      12,498,321   

Exxon Mobil

  150,558      12,797,430   

Marathon Oil

  481,238      12,565,124   

Occidental Petroleum

  172,183      12,569,359   

Valero Energy

  200,300      12,743,086   
     

 

 

 
  75,835,798   
     

 

 

 

Paper & Forest Products–1.01%

  

International Paper

  234,183      12,994,815   
     

 

 

 
  12,994,815   
     

 

 

 

Pharmaceuticals–2.97%

  

Johnson & Johnson

  126,773      12,753,364   

Merck

  220,400      12,668,592   

Pfizer

  371,635      12,929,182   
     

 

 

 
  38,351,138   
     

 

 

 

Real Estate Investment Trusts–0.95%

  

Annaly Capital Management

  1,173,295      12,202,268   
     

 

 

 
  12,202,268   
     

 

 

 

Road & Rail–0.97%

  

Norfolk Southern

  122,173      12,574,045   
     

 

 

 
  12,574,045   
     

 

 

 

Semiconductors & Semiconductor Equipment–2.06%

  

Intel

  422,043      13,197,285   

Xilinx

  317,535      13,431,731   
     

 

 

 
  26,629,016   
     

 

 

 

Software–2.97%

  

CA

  398,839      13,006,140   

Microsoft

  308,058      12,524,098   

Symantec

  545,320      12,741,402   
     

 

 

 
  38,271,640   
     

 

 

 

Specialty Retail–1.97%

  

Best Buy

  330,601      12,493,412   

Staples

  792,451      12,905,064   
     

 

 

 
  25,398,476   
     

 

 

 

Technology Hardware, Storage & Peripherals–2.89%

  

EMC

  491,866      12,572,095   

Hewlett-Packard

  396,596      12,357,931   
 

 

LVIP SSgA Large Cap 100 Fund–2


LVIP SSgA Large Cap 100 Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Technology Hardware, Storage & Peripherals (continued)

  

Western Digital

  135,573    $ 12,338,499   
     

 

 

 
  37,268,525   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.98%

  

Ralph Lauren

  96,197      12,649,905   
     

 

 

 
  12,649,905   
     

 

 

 

Total Common Stock
(Cost $1,143,507,588)

   

  1,283,615,870   
     

 

 

 

MONEY MARKET FUND–1.05%

  

Dreyfus Treasury & Agency Cash

  

Management Fund - Institutional Shares

  13,563,705      13,563,705   
     

 

 

 

Total Money Market Fund
(Cost $13,563,705)

   

  13,563,705   
     

 

 

 
  Principal
Amount°
  Value (U.S. $)  

SHORT-TERM INVESTMENT–0.14%

  

U.S. Treasury Obligations–0.14%

  

U.S. Treasury Bill

¥ 0.005% 4/16/15

  1,760,000    $        1,760,000   
     

 

 

 

Total Short-Term Investment
(Cost $1,759,998)

   

  1,760,000   
     

 

 

 

 

 

TOTAL VALUE OF SECURITIES–100.62% (Cost $1,158,831,291)

  1,298,939,575   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.62%)

  (7,951,213
  

 

 

 

NET ASSETS APPLICABLE TO 79,627,833 SHARES OUTSTANDING–100.00%

$ 1,290,988,362   
  

 

 

 

 

The rate shown is the effective yield at the time of purchase.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

¥

Fully or partially pledged as collateral for derivatives.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

169    E-mini S&P 500 Index

$17,383,016 $17,413,760 6/22/15 $30,744

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

$ 1,283,615,870    $    $ 1,283,615,870   

Money Market Fund

  13,563,705           13,563,705   

Short-Term Investments

       1,760,000      1,760,000   
  

 

 

    

 

 

    

 

 

 

Total

$ 1,297,179,575    $ 1,760,000    $ 1,298,939,575   
  

 

 

    

 

 

    

 

 

 

Futures Contracts

$ 30,744    $    $ 30,744   
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

 

LVIP SSgA Large Cap 100 Fund–3


LVIP SSgA Large Cap 100 Fund

Schedule of Investments (continued)

 

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Large Cap 100 Fund–4


LVIP SSgA Small-Mid Cap 200 Fund

Schedule of Investments (unaudited)

March 31, 2015

 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK–98.51%

  

Aerospace & Defense–0.50%

  

National Presto Industries

  18,553    $     1,176,075   
   

 

 

 
  1,176,075   
   

 

 

 

Auto Components–0.48%

  

Superior Industries International

  60,250      1,140,533   
   

 

 

 
  1,140,533   
   

 

 

 

Banks–1.97%

  

First Niagara Financial Group

  130,571      1,154,248   

Hancock Holding

  39,400      1,176,484   

Trustmark

  48,200      1,170,296   

Valley National Bancorp

  123,000      1,161,120   
   

 

 

 
  4,662,148   
   

 

 

 

Biotechnology–0.98%

  

PDL BioPharma

  163,300      1,148,815   

†Xencor

  77,200      1,182,704   
   

 

 

 
  2,331,519   
   

 

 

 

Building Products–0.51%

  

Universal Forest Products

  21,600      1,198,368   
   

 

 

 
  1,198,368   
   

 

 

 

Capital Markets–1.45%

  

Arlington Asset Investment Class A

  46,083      1,108,757   

Calamos Asset Management Class A

  74,700      1,004,715   

Fidus Investment

  15,600      239,772   

Gladstone Capital

  27,600      243,156   

Gladstone Investment

  41,800      309,320   

Golub Capital

  6,900      121,095   

MCG Capital

  49,000      194,040   

Medallion Financial

  9,200      85,192   

Solar Senior Capital

  8,600      138,546   
   

 

 

 
  3,444,593   
   

 

 

 

Chemicals–0.99%

  

Huntsman

  53,700      1,190,529   

Kronos Worldwide

  91,600      1,158,740   
   

 

 

 
  2,349,269   
   

 

 

 

Commercial Services & Supplies–4.22%

  

Brady Class A

  41,778      1,181,900   

Civeo

  445,800      1,132,332   

Ennis

  82,983      1,171,720   

Kimball International Class B

  78,900      826,872   

McGrath RentCorp

  35,264      1,160,538   

Quad Graphics

  50,576      1,162,236   

Tetra Tech

  47,700      1,145,754   

United Stationers

  28,964      1,187,234   

Viad

  37,400      1,040,468   
   

 

 

 
  10,009,054   
   

 

 

 

Communications Equipment–2.55%

  

ADTRAN

  63,000      1,176,210   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Communications Equipment (continued)

  

Black Box

  55,113    $     1,153,515   

Comtech Telecommunications

  40,310      1,166,975   

Harris

  15,800      1,244,408   

†NETGEAR

  36,060      1,185,653   

TESSCO Technologies

  4,400      108,504   
   

 

 

 
  6,035,265   
   

 

 

 

Diversified Consumer Services–0.97%

  

DeVry Education Group

  34,600      1,154,256   

Graham Holdings

  1,100      1,154,593   
   

 

 

 
  2,308,849   
   

 

 

 

Diversified Telecommunication Services–0.50%

  

†Iridium Communications

  122,450      1,188,989   
   

 

 

 
  1,188,989   
   

 

 

 

Electric Utilities–0.99%

  

Empire District Electric

  46,985      1,166,168   

Westar Energy

  30,507      1,182,451   
   

 

 

 
  2,348,619   
   

 

 

 

Electrical Equipment–0.49%

  

Global Power Equipment Group

  84,554      1,116,113   

Preformed Line Products

  1,278      53,842   
   

 

 

 
  1,169,955   
   

 

 

 

Electronic Equipment, Instruments & Components–3.80%

  

Avnet

  26,523      1,180,273   

AVX

  81,529      1,163,419   

CTS

  47,900      861,721   

Daktronics

  97,800      1,057,218   

†Fabrinet

  62,467      1,186,248   

†Kimball Electronics

  66,000      933,240   

Park Electrochemical

  11,500      247,940   

SYNNEX

  15,230      1,176,517   

Vishay Intertechnology

  86,525      1,195,776   
   

 

 

 
  9,002,352   
   

 

 

 

Energy Equipment & Services–3.34%

  

Atwood Oceanics

  40,400      1,135,644   

CARBO Ceramics

  37,700      1,150,227   

Diamond Offshore Drilling

  43,218      1,157,810   

†Hornbeck Offshore Services

  58,400      1,098,504   

Nabors Industries

  84,700      1,156,155   

Rowan

  63,900      1,131,669   

Tidewater

  57,203      1,094,865   
   

 

 

 
  7,924,874   
   

 

 

 

Food & Staples Retailing–0.68%

  

Andersons

  28,500      1,179,045   

†Roundy’s

  17,800      87,042   

Weis Markets

  7,000      348,320   
   

 

 

 
  1,614,407   
   

 

 

 
 

 

LVIP SSgA Small-Mid Cap 200 Fund–1


LVIP SSgA Small-Mid Cap 200 Fund

Schedule of Investments (continued)

 

 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Food Products–1.48%

  

Cal-Maine Foods

  29,800    $     1,163,988   

Fresh Del Monte Produce

  30,061      1,169,674   

Sanderson Farms

  14,800      1,178,820   
   

 

 

 
  3,512,482   
   

 

 

 

Gas Utilities–0.50%

  

AGL Resources

  23,800      1,181,670   
   

 

 

 
  1,181,670   
   

 

 

 

Health Care Equipment & Supplies–4.99%

  

Analogic

  12,812      1,164,611   

CONMED

  23,394      1,181,163   

CryoLife

  115,674      1,199,539   

DENTSPLY International

  22,879      1,164,312   

†Greatbatch

  20,800      1,203,280   

†Halyard Health

  23,800      1,170,960   

Hill-Rom Holdings

  24,210      1,186,290   

Meridian Bioscience

  60,400      1,152,432   

STERIS

  16,861      1,184,822   

†Symmetry Surgical

  5,200      38,116   

Teleflex

  9,650      1,166,009   
   

 

 

 
  11,811,534   
   

 

 

 

Health Care Providers & Services–5.95%

  

Chemed

  9,519      1,136,569   

Ensign Group

  25,425      1,191,415   

†IPC Healthcare

  25,170      1,173,929   

Kindred Healthcare

  49,348      1,173,989   

†LHC Group

  36,936      1,219,996   

†Magellan Health

  16,921      1,198,345   

Omnicare

  15,212      1,172,237   

Owens & Minor

  34,232      1,158,411   

Patterson

  23,866      1,164,422   

Select Medical Holdings

  78,838      1,169,168   

†Triple-S Management Class B

  57,947      1,151,986   

U.S. Physical Therapy

  24,800      1,178,000   
   

 

 

 
  14,088,467   
   

 

 

 

Health Care Technology–0.91%

  

Quality Systems

  73,100      1,168,138   

†Vocera Communications

  100,700      998,944   
   

 

 

 
  2,167,082   
   

 

 

 

Hotels, Restaurants & Leisure–0.50%

  

Marcus

  55,528      1,182,191   
   

 

 

 
  1,182,191   
   

 

 

 

Household Durables–3.54%

  

CSS Industries

  39,598      1,193,880   

Ethan Allen Interiors

  44,600      1,232,744   

KB Home

  76,400      1,193,368   

MDC Holdings

  42,270      1,204,695   

NACCO Industries Class A

  21,943      1,162,760   

PulteGroup

  53,647      1,192,573   
 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Household Durables (continued)

  

Ryland Group

  24,755    $     1,206,559   
   

 

 

 
  8,386,579   
   

 

 

 

Household Products–0.42%

  

Orchids Paper Products

  36,600      986,736   
   

 

 

 
  986,736   
   

 

 

 

Insurance–5.37%

  

Aspen Insurance Holdings

  24,600      1,161,858   

Assurant

  18,800      1,154,508   

Assured Guaranty

  44,800      1,182,272   

Axis Capital Holdings

  22,400      1,155,392   

Endurance Specialty Holdings

  18,340      1,121,308   

Meadowbrook Insurance Group

  21,400      181,900   

Old Republic International

  78,410      1,171,445   

OneBeacon Insurance Group Class A

  59,400      903,474   

PartnerRe

  10,200      1,166,166   

Safety Insurance Group

  19,561      1,168,770   

Symetra Financial

  50,300      1,180,038   

Validus Holdings

  27,737      1,167,728   
   

 

 

 
  12,714,859   
   

 

 

 

Internet Software & Services–0.43%

  

†Liquidity Services

  88,700      876,356   

†QuinStreet

  25,200      149,940   
   

 

 

 
  1,026,296   
   

 

 

 

IT Services–3.04%

  

Brocade Communications Systems

  99,800      1,184,127   

Computer Task Group

  16,400      119,884   

CSG Systems International

  38,712      1,176,458   

DST Systems

  10,876      1,204,082   

InterActiveCorp

  17,400      1,173,978   

Leidos Holdings

  27,745      1,164,180   

ManTech International Class A

  34,777      1,180,331   
   

 

 

 
  7,203,040   
   

 

 

 

Life Sciences Tools & Services–0.49%

  

PerkinElmer

  22,872      1,169,674   
   

 

 

 
  1,169,674   
   

 

 

 

Machinery–5.64%

  

AGCO

  24,748      1,178,995   

American Railcar Industries

  23,300      1,158,709   

Briggs & Stratton

  59,007      1,212,004   

Hyster-Yale Materials Handling

  16,000      1,172,640   

Joy Global

  29,456      1,154,086   

Kadant

  3,300      173,613   

Kennametal

  33,909      1,142,394   

Miller Industries

  10,900      267,050   

Oshkosh

  24,400      1,190,476   

SPX

  13,800      1,171,620   

Terex

  43,700      1,161,983   

Timken

  28,100      1,184,134   
 

 

LVIP SSgA Small-Mid Cap 200 Fund–2


LVIP SSgA Small-Mid Cap 200 Fund

Schedule of Investments (continued)

 

 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Machinery (continued)

  

Trinity Industries

  33,600    $     1,193,136   
   

 

 

 
  13,360,840   
   

 

 

 

Media–3.50%

  

AMC Entertainment Holdings

  33,300      1,181,817   

Dolby Laboratories Class A

  30,400      1,160,064   

Harte-Hanks

  148,620      1,159,236   

†Media General

  72,800      1,200,472   

Meredith

  21,364      1,191,470   

Scholastic

  30,469      1,247,401   

Time

  51,700      1,160,148   
   

 

 

 
  8,300,608   
   

 

 

 

Metals & Mining–3.49%

  

Commercial Metals

  75,600      1,223,964   

Kaiser Aluminum

  15,207      1,169,266   

Reliance Steel & Aluminum

  19,321      1,180,127   

Schnitzer Steel Industries

  75,154      1,191,942   

TimkenSteel

  44,600      1,180,562   

United States Steel

  46,500      1,134,600   

Worthington Industries

  44,200      1,176,162   
   

 

 

 
  8,256,623   
   

 

 

 

Multi-Utilities–1.00%

  

Avista

  34,900      1,192,882   

SCANA

  21,260      1,169,087   
   

 

 

 
  2,361,969   
   

 

 

 

Oil, Gas & Consumable Fuels–1.79%

  

†Approach Resources

  155,600      1,025,404   

Denbury Resources

  145,832      1,063,115   

Murphy Oil

  24,400      1,137,040   

†Rex Energy

  274,300      1,020,396   
   

 

 

 
  4,245,955   
   

 

 

 

Paper & Forest Products–0.91%

  

Domtar

  24,700      1,141,634   

†Veritiv

  22,900      1,010,577   
   

 

 

 
  2,152,211   
   

 

 

 

Pharmaceuticals–0.44%

  

†Endocyte

  167,400      1,047,924   
   

 

 

 
  1,047,924   
   

 

 

 

Professional Services–0.50%

  

CDI

  84,656      1,189,417   
   

 

 

 
  1,189,417   
   

 

 

 

Real Estate Investment Trusts–10.17%

  

AG Mortgage Investment Trust

  62,100      1,169,964   

American Capital Mortgage Investment

  62,800      1,127,888   

Anworth Mortgage Asset

  220,728      1,123,506   
 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Real Estate Investment Trusts (continued)

  

Apollo Commercial Real Estate Finance

  65,861    $     1,131,492   

Apollo Residential Mortgage

  71,500      1,140,425   

Ares Commercial Real Estate

  103,166      1,139,984   

Capstead Mortgage

  94,799      1,115,784   

Chimera Investment

  354,181      1,112,128   

CYS Investments

  130,200      1,160,082   

Dynex Capital

  137,799      1,167,158   

Hatteras Financial

  64,400      1,169,504   

JAVELIN Mortgage Investment

  9,400      71,064   

MFA Financial

  147,468      1,159,098   

New Residential Investment

  76,291      1,146,654   

New York Mortgage Trust

  148,990      1,156,162   

PennyMac Mortgage Investment Trust

  54,113      1,152,066   

Redwood Trust

  62,468      1,116,303   

Resource Capital

  247,261      1,122,565   

Select Income REIT

  46,550      1,163,285   

Starwood Property Trust

  47,310      1,149,633   

Two Harbors Investment

  106,734      1,133,515   

Western Asset Mortgage Capital

  77,093      1,162,562   
   

 

 

 
  24,090,822   
   

 

 

 

Real Estate Management & Development–0.49%

  

Altisource Residential

  55,400      1,155,644   
   

 

 

 
  1,155,644   
   

 

 

 

Semiconductors & Semiconductor Equipment–4.26%

  

Brooks Automation

  99,040      1,151,835   

†First Solar

  19,362      1,157,654   

Integrated Silicon Solution

  64,300      1,150,327   

Intersil Class A

  82,800      1,185,696   

IXYS

  75,100      925,232   

Marvell Technology Group

  77,150      1,134,105   

MKS Instruments

  34,075      1,152,076   

Pericom Semiconductor

  68,400      1,058,148   

Teradyne

  62,600      1,180,010   
   

 

 

 
  10,095,083   
   

 

 

 

Software–1.68%

  

Ebix

  38,832      1,179,716   

†EnerNOC

  105,700      1,204,980   

Epiq Systems

  22,200      398,046   

Mentor Graphics

  49,727      1,194,940   
   

 

 

 
  3,977,682   
   

 

 

 

Specialty Retail–5.33%

  

Abercrombie & Fitch

  52,700      1,161,508   

Big 5 Sporting Goods

  87,702      1,163,806   

†Christopher & Banks

  152,400      847,344   

Destination Maternity

  73,133      1,101,383   

Finish Line Class A

  48,200      1,181,864   

GameStop Class A

  29,722      1,128,247   

Group 1 Automotive

  13,833      1,194,203   
 

 

LVIP SSgA Small-Mid Cap 200 Fund–3


LVIP SSgA Small-Mid Cap 200 Fund

Schedule of Investments (continued)

 

 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Specialty Retail (continued)

  

Guess

  60,710    $     1,128,599   

Penske Automotive Group

  23,300      1,199,717   

Rent-A-Center

  42,396      1,163,346   

Shoe Carnival

  5,300      156,032   

Sonic Automotive Class A

  48,100      1,197,690   
   

 

 

 
  12,623,739   
   

 

 

 

Technology Hardware, Storage & Peripherals–0.48%

  

Lexmark International Class A

  26,756      1,132,849   
   

 

 

 
  1,132,849   
   

 

 

 

Textiles, Apparel & Luxury Goods–0.58%

  

Movado Group

  48,000      1,368,960   
   

 

 

 
  1,368,960   
   

 

 

 

Thrifts & Mortgage Finance–2.31%

  

Federal Agricultural Mortgage Class C

  34,800      981,012   

Home Loan Servicing Solutions

  67,415      1,115,044   

New York Community Bancorp

  69,400      1,161,062   

Northwest Bancshares

  98,800      1,170,780   

Oritani Financial

  71,400      1,038,870   
   

 

 

 
  5,466,768   
   

 

 

 

Tobacco–0.50%

  

Universal

  25,212      1,188,998   
   

 

 

 
  1,188,998   
   

 

 

 

Trading Companies & Distributors–2.91%

  

Aceto

  47,900      1,053,800   

Aircastle

  52,289      1,174,411   

Applied Industrial Technologies

  26,600      1,206,044   

 

 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Trading Companies & Distributors (continued)

  

†CAI International

  46,773    $ 1,149,213   

GATX

  20,100      1,165,398   

TAL International Group

  28,197      1,148,464   
   

 

 

 
  6,897,330   
   

 

 

 

Wireless Telecommunication Services–0.49%

  

Spok Holdings

  60,169      1,153,440   
   

 

 

 
  1,153,440   
   

 

 

 

Total Common Stock
(Cost $224,952,923)

   

  233,402,341   
   

 

 

 

MONEY MARKET FUND–1.72%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  4,066,019      4,066,019   
   

 

 

 

Total Money Market Fund
(Cost $4,066,019)

   

  4, 066,019   
   

 

 

 
  Principal
Amount°
     

SHORT-TERM INVESTMENT–0.10%

  

U.S. Treasury Obligations–0.10%

  

U.S. Treasury Bill

¥ 0.015% 6/4/15

  250,000      249,996   
   

 

 

 

Total Short-Term Investment
(Cost $250,000)

   

  249,996   
   

 

 

 
 

TOTAL VALUE OF SECURITIES–100.33% (Cost $229,268,942)

  237,718,356   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.33%)

  (777,362
  

 

 

 

NET ASSETS APPLICABLE TO 15,233,095 SHARES OUTSTANDING–100.00%

  $ 236,940,994   
  

 

 

 

 

 

 

Non-income producing for the period.

 

The rate shown is the effective yield at the time of purchase.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

¥

Fully or partially pledged as collateral for derivatives.

 

LVIP SSgA Small-Mid Cap 200 Fund-4


LVIP SSgA Small-Mid Cap 200 Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
    Expiration
Date
  Unrealized
Appreciation
(Depreciation)

14

    E-mini Russell 2000 Index $ 1,720,953    $ 1,748,460      6/22/15      $ 27,507   

18

    E-mini S&P MidCap 400 Index   2,689,342      2,735,640      6/22/15        46,298   
           

 

 

                      

 

 

    
$ 4,410,295    $ 73,805   
           

 

 

                      

 

 

    

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

REIT–Real Estate Investment Trust

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2 Total  

Common Stock

$ 233,402,341    $    $ 233,402,341   

Money Market Fund

  4,066,019           4,066,019   

Short-Term Investments

       249,996      249,996   
  

 

 

    

 

  

 

 

    

 

  

 

 

 

Total

$ 237,468,360    $ 249,996    $ 237,718,356   
  

 

 

       

 

 

       

 

 

 

Futures Contracts

$ 73,805    $    $ 73,805   
  

 

 

       

 

 

       

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

 

LVIP SSgA Small-Mid Cap 200 Fund-5


LVIP SSgA Global Tactical Allocation RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

 

Number of

Shares

 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANIES–53.85%

  

Equity Funds–21.65%

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Large Cap 100 Fund

  8,094,740    $ 131,288,587   

LVIP SSgA S&P 500 Index Fund

  4,078,707      60,291,449   

LVIP SSgA Small-Cap Index Fund

  366,185      10,307,745   

LVIP SSgA Small-Mid Cap 200 Fund

  1,632,046      25,402,796   
   

 

 

 
  227,290,577   
   

 

 

 

Fixed Income Fund–15.45%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Bond Index Fund

  13,975,252      162,154,853   
   

 

 

 
  162,154,853   
   

 

 

 

International Equity Funds–16.75%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA Developed International 150 Fund

  12,027,878      115,443,576   

LVIP SSgA Emerging Markets 100 Fund

  1,074,963      10,107,873   

LVIP SSgA International Index Fund

  5,522,191      50,318,207   
   

 

 

 
    175,869,656   
   

 

 

 

Total Affiliated Investment Companies
(Cost $474,865,344)

   

  565,315,086   
   

 

 

 

UNAFFILIATED INVESTMENT COMPANIES–45.57%

  

Equity Funds–14.44%

Financial Select Sector SPDR® Fund

  836,101      20,158,395   

Health Care Select Sector SPDR® Fund

  278,217      20,170,733   

SPDR® Dow Jones REIT ETF

  163,943      15,504,089   
  Number of
Shares
 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANIES (continued)

  

Equity Funds (continued)

SPDR® S&P 500 ETF

  144,456    $ 29,820,052   

SPDR® S&P 600 Small Cap ETF

  146,307      15,859,679   

Technology Select Sector SPDR® Fund

  473,011      19,601,576   

WisdomTree Japan Hedged Equity Fund

  552,857      30,473,478   
   

 

 

 
    151,588,002   
   

 

 

 

Fixed Income Funds–19.76%

SPDR® Barclays Aggregate Bond ETF

  857,006      50,529,074   

SPDR® Barclays High Yield Bond ETF

  509,124      19,967,843   

SPDR® Barclays TIPS ETF

  1,160,451      65,797,572   

SPDR® DB International Government Inflation-Protected Bond ETF

  89,307      4,872,590   

Vanguard Long-Term Bond ETF

  688,729      66,310,828   
   

 

 

 
  207,477,907   
   

 

 

 

International Equity Funds–5.32%

  

SPDR® S&P Emerging Markets ETF

  159,443      10,239,429   

SPDR® S&P World ex-US ETF

  1,615,403      45,602,827   
   

 

 

 
  55,842,256   
   

 

 

 

Money Market Fund–6.05%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  63,550,330      63,550,330   
   

 

 

 
  63,550,330   
   

 

 

 

Total Unaffiliated Investment Companies
(Cost $450,640,123)

   

  478,458,495   
   

 

 

 
 

TOTAL VALUE OF SECURITIES–99.42% (Cost $925,505,467)

  1,043,773,581   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.58%

  6,096,932   
  

 

 

 

NET ASSETS APPLICABLE TO 86,348,095 SHARES OUTSTANDING–100.00%

$ 1,049,870,513   
  

 

 

 

 

 

*

Standard Class shares.

 

«

Includes $7,764,741 cash and $393,561 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

 

 

LVIP SSgA Global Tactical Allocation RPM Fund–1


LVIP SSgA Global Tactical Allocation RPM Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

 

Contracts to Buy (Sell) Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
Unrealized
Appreciation
(Depreciation)
 
  (99)

British Pound Currency

$ (9,224,671 $ (9,180,394 6/18/15 $ 44,277   
(222)

E-mini MSCI Emerging Markets Index

  (10,478,589   (10,793,640 6/22/15   (315,051
(115)

E-mini Russell 2000 Index

  (14,029,474   (14,362,350 6/22/15   (332,876
(448)

E-mini S&P 500 Index

  (45,726,809   (46,161,920 6/22/15   (435,111
(111)

Euro Currency

  (14,926,788   (14,921,175 6/18/15   5,613   
(387)

Euro STOXX 50 Index

  (14,937,032   (15,112,190 6/22/15   (175,158
  (90)

FTSE 100 Index

  (9,015,478   (8,980,646 6/22/15   34,832   
(104)

Japanese Yen Currency

  (10,850,421   (10,849,800 6/18/15   621   
  (67)

Nikkei 225 Index (OSE)

  (10,647,825   (10,729,607 6/12/15   (81,782
     

 

 

        

 

 

 
$ (139,837,087 $ (1,254,635
     

 

 

        

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value 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.

Summary of Abbreviations:

ETF–Exchange-Traded Fund

OSE–Osaka Securities Exchange

REIT–Real Estate Investment Trust

SPDR–Standard & Poor’s Depositary Receipt

TIPS–Treasury Inflation–Protected Securities

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 1,043,773,581   
  

 

 

 

Futures Contracts

$ (1,254,635
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP SSgA Global Tactical Allocation Managed Volatility Fund.

 

LVIP SSgA Global Tactical Allocation RPM Fund–2


LVIP SSgA International Index Fund

Schedule of Investments (unaudited)

March 31, 2015

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK–96.92%

Australia–7.28%

AGL Energy

  127,435    $ 1,475,228   

ALS

  57,681      216,643   

Alumina

  445,290      541,844   

Amcor

  202,424      2,156,677   

AMP

  484,656      2,365,379   

APA Group

  208,320      1,432,752   

Asciano

  155,556      748,017   

ASX

  33,510      1,054,203   

Aurizon Holdings

  359,343      1,322,553   

AusNet Services

  244,760      271,624   

Australia & New Zealand Banking Group

  477,966            13,296,232   

Bank of Queensland

  54,020      566,026   

Bendigo & Adelaide Bank

  73,184      697,314   

BHP Billiton

  556,812      12,941,706   

BHP Billiton

  368,248      8,081,046   

Boral

  130,004      630,143   

Brambles

  273,963      2,395,705   

Caltex Australia

  21,130      560,741   

Coca-Cola Amatil

  102,339      837,830   

Cochlear

  8,574      589,396   

Commonwealth Bank of Australia

  280,272      19,878,569   

Computershare

  73,999      715,216   

Crown Resorts

  59,112      599,945   

CSL

  80,820      5,653,988   

Dexus Property Group

  145,229      836,036   

Federation Centres

  245,337      566,279   

Flight Centre Travel Group

  8,399      252,774   

Fortescue Metals Group

  243,687      360,706   

Goodman Group

  320,244      1,541,922   

GPT Group

  277,959      965,387   

†@=GPT Group In-Specie

  160,069      0   

Harvey Norman Holdings

  112,540      380,363   

Healthscope

  228,851      532,007   

Iluka Resources

  71,132      458,482   

Incitec Pivot

  285,136      880,656   

Insurance Australia Group

  394,306      1,825,119   

Leighton Holdings

  17,957      287,719   

Lend Lease Group

  94,753      1,196,708   

Macquarie Group

  48,416      2,814,064   

†Medibank

  527,768      930,732   

Mirvac Group

  599,563      915,421   

National Australia Bank

  410,920      12,028,606   

†Newcrest Mining

  141,761      1,429,638   

Novion Property Group

  315,644      601,252   

Orica

  59,674      906,106   

Origin Energy

  184,608      1,582,311   

†Qantas Airways

  94,179      223,369   

QBE Insurance Group

  242,521      2,397,118   

Ramsay Health Care

  21,099      1,077,152   

REA Group

  8,246      302,038   

Santos

  163,295      883,269   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Australia (continued)

Scentre Group

  950,611    $ 2,700,354   

Seek

  55,169      715,260   

Sonic Healthcare

  60,784      944,272   

Stockland

  434,960      1,485,981   

Suncorp Group

  215,966      2,214,501   

Sydney Airport

  174,088      685,023   

Tabcorp Holdings

  157,922      568,955   

Tatts Group

  242,800      734,514   

Telstra

  750,734      3,603,630   

Toll Holdings

  118,261      795,615   

TPG Telecom

  40,572      281,648   

Transurban Group

  302,822      2,192,553   

Treasury Wine Estates

  126,488      491,426   

Wesfarmers

  196,205      6,551,621   

Westfield

  353,094      2,558,745   

Westpac Banking

  538,414      16,092,709   

Woodside Petroleum

  127,500      3,340,145   

Woolworths

  214,761      4,809,041   

WorleyParsons

  29,413      212,854   
     

 

 

 
     166,182,858   
     

 

 

 

Austria–0.19%

ANDRITZ

  13,432      802,135   

Erste Group Bank

  48,008      1,180,460   

=IMMOEAST

  13,053      0   

†IMMOFINANZ

  155,075      456,810   

OMV

  22,930      629,122   

Raiffeisen Bank International

  19,247      267,528   

Vienna Insurance Group

  5,870      259,952   

voestalpine

  18,078      661,417   
     

 

 

 
  4,257,424   
     

 

 

 

Belgium–1.30%

Ageas

  37,789      1,357,349   

Anheuser-Busch InBev

  139,172      17,005,163   

*=Anheuser-Busch InBev VVPR Strip

  1,896      0   

Belgacom

  23,376      818,039   

Colruyt

  11,778      512,707   

Delhaize Group

  19,030      1,709,975   

Groupe Bruxelles Lambert

  15,148      1,256,142   

†KBC Groep

  43,789      2,706,766   

Solvay Class A

  11,016      1,592,660   

†Telenet Group Holding

  7,983      439,350   

UCB

  22,480      1,624,282   

Umicore

  15,771      658,802   
     

 

 

 
  29,681,235   
     

 

 

 

¨China–0.01%

Yangzijiang Shipbuilding Holdings

  294,000      270,290   
     

 

 

 
  270,290   
     

 

 

 

Denmark–1.63%

A.P. Moller - Maersk Class A

  643      1,305,696   
 

 

LVIP SSgA International Index Fund–1


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Denmark (continued)

A.P. Moller - Maersk Class B

  1,280    $ 2,675,471   

Carlsberg Class B

  17,731      1,462,023   

Coloplast Class B

  20,362      1,538,240   

Danske Bank

  116,786      3,078,826   

DSV

  28,607      889,065   

†ISS

  18,465      582,010   

Novo Nordisk Class B

  347,438      18,547,422   

Novozymes Class B

  39,462      1,801,388   

Pandora

  19,333      1,760,162   

TDC

  153,000      1,096,231   

Tryg

  3,270      384,577   

Vestas Wind Systems

  41,346      1,704,721   

†William Demant Holding

  3,899      331,056   
     

 

 

 
        37,156,888   
     

 

 

 

Finland–0.84%

Elisa

  21,162      531,552   

Fortum

  73,886      1,548,214   

Kone Class B

  52,497      2,328,165   

Metso

  16,203      473,487   

Neste Oil

  23,689      621,714   

Nokia

  639,361      4,875,880   

Nokian Renkaat

  19,229      573,166   

Orion Class B

  16,843      474,853   

Sampo Class A

  79,121      3,991,478   

Stora Enso Class R

  87,244      897,213   

UPM-Kymmene

  90,038      1,749,489   

Wartsila

  23,154      1,024,302   
     

 

 

 
  19,089,513   
     

 

 

 

France–9.29%

Accor

  28,706      1,497,184   

Aeroports de Paris

  4,250      508,072   

Air Liquide

  58,479      7,529,952   

Airbus Group

  100,135      6,511,078   

†Alcatel-Lucent

  458,117      1,722,593   

†Alstom

  34,453      1,060,357   

Arkema

  12,795      1,013,477   

AtoS

  13,576      934,693   

AXA

  308,210      7,758,836   

BNP Paribas

  184,053      11,200,977   

Bollore

  79,600      424,205   

†Bollore Class NEW

  300      1,574   

Bouygues

  30,962      1,215,664   

Bureau Veritas

  34,457      739,404   

Cap Gemini

  23,724      1,946,716   

Carrefour

  108,000      3,608,622   

Casino Guichard Perrachon

  8,803      779,616   

Christian Dior

  8,860      1,667,920   

Cie de Saint-Gobain

  78,385      3,442,314   

Cie Generale des Etablissements Michelin

  32,338      3,216,449   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

France (continued)

CNP Assurances

  27,678    $ 485,193   

Credit Agricole

  180,111      2,647,216   

Danone

  98,439      6,636,795   

Dassault Systemes

  20,356      1,377,837   

Edenred

  32,232      804,334   

Electricite de France

  37,423      897,506   

Essilor International

  35,122      4,033,287   

Eurazeo

  5,472      375,081   

Eutelsat Communications

  26,686      885,372   

Fonciere Des Regions

  4,115      407,559   

†Fonciere Des Regions

  257      24,806   

GDF Suez

  246,448      4,866,535   

Gecina

  5,042      682,063   

Groupe Eurotunnel

  75,374      1,080,765   

Hermes International

  4,846      1,711,366   

ICADE

  5,292      478,196   

Iliad

  4,074      952,075   

Imerys

  5,370      394,087   

JCDecaux

  10,481      353,002   

Kering

  13,190      2,575,416   

Klepierre

  26,897      1,321,053   

Lafarge

  33,634      2,186,975   

Lagardere

  18,306      550,297   

Legrand

  46,259      2,506,213   

L’Oreal

  42,669      7,860,693   

LVMH Moet Hennessy Louis Vuitton

  48,686      8,569,506   

Natixis

  171,606      1,285,669   

†Numericable-SFR

  18,274      997,182   

Orange

  324,911      5,218,899   

Pernod-Ricard

  37,420      4,425,429   

†Peugeot

  75,557      1,263,216   

Publicis Groupe

  32,603      2,516,005   

Remy Cointreau

  3,794      279,479   

Renault

  34,501      3,134,310   

Rexel

  43,641      823,038   

Safran

  46,960      3,281,778   

Sanofi

  205,636            20,312,194   

Schneider Electric

  89,185      6,941,559   

SCOR SE

  22,969      774,836   

Societe BIC

  4,470      636,962   

Societe Generale

  123,448      5,961,428   

Sodexo

  15,633      1,525,022   

Suez Environnement

  46,507      800,837   

Technip

  19,488      1,179,006   

Thales

  17,875      991,933   

TOTAL

  370,167      18,403,318   

Unibail-Rodamco

  17,253      4,659,800   

Valeo

  13,495      2,013,224   

Vallourec

  18,537      452,526   

Veolia Environnement

  69,734      1,319,165   

Vinci

  80,958      4,626,293   

Vivendi

  207,176      5,144,679   
 

 

LVIP SSgA International Index Fund–2


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

France (continued)

Wendel

  4,961    $ 591,437   

Zodiac Aerospace

  31,381      1,038,483   
     

 

 

 
     212,040,638   
     

 

 

 

Germany–8.72%

adidas

  36,422      2,876,536   

Allianz

  79,129      13,740,663   

Axel Springer

  6,481      382,591   

BASF

  159,175      15,760,550   

Bayer

  142,934      21,389,175   

Bayerische Motoren Werke

  56,325      7,015,746   

Beiersdorf

  18,607      1,613,705   

Brenntag

  27,756      1,658,579   

Celesio

  9,059      267,559   

†Commerzbank

  169,160      2,324,893   

Continental

  18,901      4,451,947   

Daimler

  166,783      16,019,940   

Deutsche Annington Immobilien

  59,156      1,993,788   

Deutsche Bank

  233,970      8,110,378   

Deutsche Boerse

  32,437      2,647,642   

Deutsche Lufthansa

  35,835      501,879   

Deutsche Post

  169,673      5,287,127   

Deutsche Telekom

  552,320      10,104,045   

Deutsche Wohnen

  46,841      1,198,263   

E.ON

  340,349      5,061,566   

Fraport

  6,547      391,137   

Fresenius

  67,023      3,996,419   

Fresenius Medical Care

  37,748      3,138,264   

GEA Group

  33,906      1,630,211   

Hannover Rueckversicherung

  9,135      944,137   

HeidelbergCement

  22,809      1,804,124   

Henkel

  20,647      2,131,019   

HUGO BOSS

  9,660      1,173,828   

Infineon Technologies

  198,849      2,366,133   

K+S

  32,389      1,055,496   

†Kabel Deutschland Holding

  3,440      446,622   

LANXESS

  13,318      708,450   

Linde

  31,621      6,431,304   

MAN

  6,236      656,580   

Merck

  23,284      2,606,380   

METRO

  31,210      1,057,899   

Muenchener Rueckversicherungs Class R

  29,448      6,329,028   

OSRAM Licht

  12,830      635,241   

ProSiebenSat.1 Media

  40,068      1,960,207   

†QIAGEN

  44,456      1,115,804   

RWE

  84,832      2,160,219   

SAP

  159,970      11,564,362   

Siemens

  137,278      14,849,948   

Symrise

  21,484      1,354,896   

Telefonica Deutschland Holding

  86,810      499,287   

ThyssenKrupp

  82,203      2,152,491   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Germany (continued)

TUI Class DI

  84,794    $ 1,487,583   

United Internet

  20,046      910,042   

Volkswagen

  4,562      1,173,210   
     

 

 

 
     199,136,893   
     

 

 

 

¢Hong Kong–3.06%

AIA Group

  2,089,600      13,119,523   

ASM Pacific Technology

  34,000      353,892   

Bank of East Asia

  205,272      817,698   

BOC Hong Kong Holdings

  606,500      2,163,059   

Cathay Pacific Airways

  188,000      435,041   

Cheung Kong Infrastructure Holdings

  95,000      815,936   

CK Hutchison Holdings

  238,000      4,862,464   

CLP Holdings

  329,500      2,879,871   

First Pacific

  369,750      369,147   

Galaxy Entertainment Group

  422,000      1,916,025   

Hang Lung Properties

  349,000      980,515   

Hang Seng Bank

  125,100      2,264,168   

Henderson Land Development

  164,608      1,156,382   

HKT Trust

  420,592      541,971   

Hong Kong & China Gas

  1,130,885      2,618,618   

Hong Kong Exchanges & Clearing

  190,135      4,660,638   

Hutchison Whampoa

  365,000      5,059,211   

Hysan Development

  120,850      529,721   

Kerry Logistics Network

  15      22   

Kerry Properties

  101,531      352,440   

Li & Fung

  916,000      894,419   

Link REIT

  413,715      2,552,284   

MGM China Holdings

  135,995      255,505   

MTR

  238,339      1,133,614   

New World Development

  840,443      974,359   

Noble Group

  676,155      452,897   

NWS Holdings

  269,593      449,033   

PCCW

  636,596      389,008   

Power Assets Holdings

  228,000      2,327,388   

Sands China

  396,668      1,640,315   

Shangri-La Asia

  254,166      349,059   

Sino Land

  451,405      736,076   

SJM Holdings

  287,591      375,615   

Sun Hung Kai Properties

  281,005      4,332,954   

Swire Pacific Class A

  117,000      1,592,660   

Swire Properties

  170,761      554,605   

Techtronic Industries

  269,000      906,906   

#†WH Group 144A

  741,639      421,260   

Wharf Holdings

  268,000      1,870,867   

Wheelock

  155,000      792,063   

Wynn Macau

  271,153      585,995   

Yue Yuen Industrial Holdings

  118,500      419,305   
     

 

 

 
  69,902,529   
     

 

 

 

Ireland–1.04%

=Anglo Irish Bank

  3,965      0   
 

 

LVIP SSgA International Index Fund–3


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Ireland (continued)

†Bank of Ireland

  4,858,979    $ 1,854,279   

CRH

  131,646      3,443,557   

Experian

  172,105      2,848,760   

James Hardie Industries CDI

  69,632      805,438   

Kerry Group Class A

  25,979      1,746,195   

Shire

  100,074      7,977,942   

WPP

  225,351      5,117,689   
     

 

 

 
        23,793,860   
     

 

 

 

Israel–0.59%

Bank Hapoalim

  181,640      873,039   

†Bank Leumi Le-Israel BM

  232,588      862,152   

Bezeq The Israeli Telecommunication

  354,913      660,633   

Delek Group

  735      189,079   

Israel

  558      194,282   

Israel Chemicals

  69,597      494,099   

†Mizrahi Tefahot Bank

  17,430      176,805   

NICE Systems

  11,008      671,644   

Teva Pharmaceutical Industries

  149,146      9,317,473   
     

 

 

 
  13,439,206   
     

 

 

 

Italy–2.05%

Assicurazioni Generali

  200,324      3,939,537   

Atlantia

  73,410      1,928,131   

†Banca Monte Dei Paschi Di Siena

  637,089      422,907   

†Banco Popolare

  55,320      861,335   

Enel

  1,123,473      5,076,150   

Enel Green Power

  280,471      523,080   

Eni

  431,026      7,461,647   

EXOR

  15,044      682,525   

†Finmeccanica

  67,349      800,129   

Intesa Sanpaolo

  2,136,216      7,251,672   

Intesa Sanpaolo RSP

  202,428      628,829   

Luxottica Group

  30,110      1,907,393   

Mediobanca

  113,127      1,082,545   

Pirelli & C

  39,571      655,130   

Prysmian

  33,255      685,509   

†Saipem

  39,228      399,101   

Snam

  360,146      1,748,523   

†Telecom Italia

  1,671,810      1,957,890   

Telecom Italia RSP

  970,500      912,746   

Terna Rete Elettrica Nazionale

  283,703      1,249,503   

UniCredit

  750,636      5,091,229   

Unione di Banche Italiane SCpA

  134,094      1,046,005   

UnipolSai

  165,713      482,269   
     

 

 

 
  46,793,785   
     

 

 

 

Japan–21.59%

ABC-Mart

  4,800      280,683   

†Acom

  83,400      289,159   

Advantest

  23,400      294,965   

Aeon

  123,300      1,352,304   

AEON Financial Service

  19,500      491,829   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Japan (continued)

Aeon Mall

  16,390    $ 324,519   

Air Water

  24,000      428,515   

Aisin Seiki

  30,700      1,112,853   

Ajinomoto

  100,000      2,193,478   

Alfresa Holdings

  29,600      417,033   

Amada

  49,000      471,826   

ANA Holdings

  199,000      532,668   

Aozora Bank

  189,000      669,810   

Asahi Glass

  163,000      1,067,471   

Asahi Group Holdings

  70,000      2,219,222   

Asahi Kasei

  228,000      2,176,952   

Asics

  29,200      794,468   

Astellas Pharma

  366,500              6,004,065   

Bank of Kyoto

  61,000      639,229   

Bank of Yokohama

  191,000      1,118,432   

Benesse Holdings

  10,300      323,964   

Bridgestone

  111,800      4,475,718   

Brother Industries

  35,000      555,983   

Calbee

  12,400      538,221   

Canon

  192,900      6,823,914   

Casio Computer

  39,300      744,282   

Central Japan Railway

  24,900      4,499,169   

Chiba Bank

  128,000      937,964   

Chiyoda

  27,000      230,612   

Chubu Electric Power

  101,800      1,213,653   

Chugai Pharmaceutical

  36,500      1,151,782   

Chugoku Bank

  25,500      380,703   

Chugoku Electric Power

  45,600      594,311   

Citizen Holdings

  51,700      396,186   

COLOPL

  12,000      258,637   

Credit Saison

  24,400      437,634   

Dai Nippon Printing

  93,000      903,171   

Daicel

  43,000      512,454   

Daihatsu Motor

  31,800      486,319   

Dai-ichi Life Insurance

  187,400      2,717,805   

Daiichi Sankyo

  117,500      1,866,869   

Daikin Industries

  40,800      2,727,191   

Dainippon Sumitomo Pharma

  22,500      266,451   

Daito Trust Construction

  13,100      1,462,577   

Daiwa House Industry

  107,800      2,124,412   

Daiwa Securities Group

  300,000      2,361,173   

Denso

  83,500      3,805,740   

Dentsu

  39,800      1,702,303   

Don Quijote Holdings

  10,800      877,767   

East Japan Railway

  58,900      4,719,106   

Eisai

  44,900      3,193,107   

Electric Power Development

  17,100      575,954   

FamilyMart

  8,500      356,077   

FANUC

  32,700      7,137,671   

Fast Retailing

  9,200      3,556,662   

Fuji Electric

  83,000      391,529   

Fuji Heavy Industries

  103,900      3,448,514   
 

 

LVIP SSgA International Index Fund–4


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Japan (continued)

FUJIFILM Holdings

  83,000    $         2,952,363   

Fujitsu

  299,000      2,038,732   

Fukuoka Financial Group

  136,000      699,261   

GungHo Online Entertainment

  59,000      230,445   

Gunma Bank

  57,000      384,999   

Hachijuni Bank

  58,000      408,897   

Hakuhodo DY Holdings

  34,100      362,467   

Hamamatsu Photonics

  25,800      777,538   

Hankyu Hanshin Holdings

  179,000      1,105,571   

Hikari Tsushin

  2,400      155,412   

Hino Motors

  47,200      671,479   

Hirose Electric

  5,040      648,795   

Hiroshima Bank

  75,000      404,134   

Hisamitsu Pharmaceutical

  8,900      365,473   

Hitachi

  822,000      5,613,204   

Hitachi Chemical

  21,400      456,890   

Hitachi Construction Machinery

  14,900      260,053   

Hitachi High-Technologies

  9,200      279,931   

Hitachi Metals

  34,000      521,016   

Hokuhoku Financial Group

  180,000      401,168   

Hokuriku Electric Power

  23,600      312,234   

Honda Motor

  283,800      9,262,522   

Hoya

  76,300      3,054,111   

Hulic

  37,500      421,281   

Ibiden

  20,100      338,782   

Idemitsu Kosan

  14,400      250,750   

IHI

  260,000      1,215,487   

IIda Group Holdings

  25,000      310,961   

Inpex

  140,600      1,548,984   

Isetan Mitsukoshi Holdings

  53,500      883,822   

Isuzu Motors

  110,500      1,465,812   

ITOCHU

  269,000      2,910,600   

Itochu Techno-Solutions

  7,200      149,334   

Iyo Bank

  38,000      450,577   

J Front Retailing

  43,000      674,928   

Japan Airlines

  20,000      622,041   

†Japan Display

  53,000      189,064   

Japan Exchange Group

  40,800      1,181,078   

Japan Prime Realty Investment

  116      399,397   

Japan Real Estate Investment

  235      1,105,159   

Japan Retail Fund Investment

  384      762,912   

Japan Tobacco

  187,400      5,923,638   

JFE Holdings

  79,900      1,763,347   

JGC

  31,000      615,480   

Joyo Bank

  119,000      611,459   

JSR

  31,300      541,937   

JTEKT

  31,200      486,372   

JX Holdings

  362,210      1,393,427   

Kajima

  125,000      579,430   

Kakaku.com

  22,800      378,274   

Kamigumi

  41,000      386,982   

Kaneka

  43,000      302,263   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Japan (continued)

†Kansai Electric Power

  110,200    $         1,050,128   

Kansai Paint

  36,000      655,082   

Kao

  89,100      4,448,381   

Kawasaki Heavy Industries

  244,000      1,230,781   

KDDI

  297,600      6,722,416   

Keihan Electric Railway

  102,000      620,652   

Keikyu

  74,000      591,396   

Keio

  91,000      712,598   

Keisei Electric Railway

  39,000      483,966   

Keyence

  7,844      4,279,733   

Kikkoman

  21,000      665,784   

Kintetsu

  284,000      1,041,789   

Kirin Holdings

  134,900      1,769,090   

Kobe Steel

  596,000      1,099,089   

Koito Manufacturing

  14,100      423,899   

Komatsu

  160,700      3,149,625   

Konami

  13,300      248,776   

Konica Minolta Holdings

  72,500      734,617   

Kubota

  195,000      3,080,273   

Kuraray

  52,900      716,134   

Kurita Water Industries

  16,000      386,482   

Kyocera

  53,600      2,928,898   

Kyowa Hakko Kirin

  36,000      469,175   

†Kyushu Electric Power

  65,500      634,505   

Lawson

  11,400      790,115   

LIXIL Group

  50,900      1,204,387   

M3

  35,600      755,124   

Mabuchi Motor

  9,800      518,352   

Makita

  18,600      963,697   

Marubeni

  271,000      1,566,524   

Marui Group

  39,100      442,997   

Maruichi Steel Tube

  7,000      165,663   

Mazda Motor

  97,600      1,977,225   

McDonald’s Holdings Japan

  13,100      290,267   

Medipal Holdings

  20,600      268,458   

MEIJI Holdings

  9,834      1,197,678   

Minebea

  60,000      943,549   

Miraca Holdings

  8,200      376,916   

Mitsubishi

  236,500      4,751,399   

Mitsubishi Chemical Holdings

  254,300      1,475,983   

Mitsubishi Electric

  341,000      4,047,501   

Mitsubishi Estate

  214,000      4,962,253   

Mitsubishi Gas Chemical

  61,000      300,148   

Mitsubishi Heavy Industries

  526,000      2,893,715   

Mitsubishi Logistics

  25,000      389,017   

Mitsubishi Materials

  180,000      604,744   

Mitsubishi Motors

  121,700      1,097,156   

Mitsubishi Tanabe Pharma

  39,700      680,955   

Mitsubishi UFJ Financial Group

  2,212,300      13,699,404   

Mitsubishi UFJ Lease & Finance

  69,900      345,374   

Mitsui

  301,600      4,038,409   

Mitsui Chemicals

  129,000      413,607   
 

 

LVIP SSgA International Index Fund–5


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Japan (continued)

Mitsui Fudosan

  166,000    $         4,874,278   

Mitsui OSK Lines

  166,000      562,926   

Mixi

  8,300      335,464   

Mizuho Financial Group

  3,921,320      6,890,483   

MS&AD Insurance Group Holdings

  89,054      2,492,743   

Murata Manufacturing

  34,800      4,778,608   

Nabtesco

  22,000      635,457   

Nagoya Railroad

  122,000      487,074   

Namco Bandai Holdings

  27,800      541,009   

NEC

  484,000      1,421,476   

Nexon

  30,200      321,549   

NGK Insulators

  41,000      873,422   

NGK Spark Plug

  30,000      805,186   

NH Foods

  34,000      783,353   

NHK Spring

  23,500      244,432   

Nidec

  39,000      2,588,455   

Nikon

  49,900      668,974   

Nintendo

  17,400      2,552,587   

Nippon Building Fund

  238      1,168,985   

Nippon Electric Glass

  61,000      298,068   

Nippon Express

  166,000      927,340   

Nippon Paint

  30,000      1,096,520   

†Nippon Prologis REIT

  225      495,226   

Nippon Steel & Sumitomo Metal

  1,311,220      3,296,389   

Nippon Telegraph & Telephone

  64,800      3,999,504   

Nippon Yusen

  248,000      713,311   

Nissan Motor

  427,200      4,344,136   

Nisshin Seifun Group

  32,065      377,347   

Nissin Foods Holdings

  8,500      417,672   

Nitori Holdings

  10,700      724,200   

Nitto Denko

  28,700      1,916,093   

NKSJ Holdings

  61,475      1,910,838   

NOK

  14,100      423,882   

Nomura Holdings

  624,600      3,668,060   

Nomura Real Estate Holdings

  25,100      451,955   

Nomura Research Institute

  16,500      619,805   

NSK

  90,000      1,313,382   

NTT Data

  19,400      842,449   

NTT DOCOMO

  269,500      4,709,003   

NTT Urban Development

  13,800      137,823   

Obayashi

  110,000      712,907   

Odakyu Electric Railway

  102,000      1,038,690   

Oji Holdings

  123,000      503,177   

†Olympus

  44,200      1,638,468   

Omron

  34,000      1,531,416   

Ono Pharmaceutical

  13,200      1,489,292   

Oracle Japan

  5,900      253,857   

Oriental Land

  35,600      2,695,116   

ORIX

  229,300      3,221,387   

Osaka Gas

  293,000      1,225,057   

Otsuka

  7,300      311,039   

Otsuka Holdings

  68,800      2,151,957   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Japan (continued)

Panasonic

  388,700    $         5,103,574   

Park24

  17,800      364,123   

Rakuten

  132,300      2,329,169   

Recruit Holdings

  26,000      811,103   

Resona Holdings

  360,500      1,788,779   

Ricoh

  110,800      1,204,575   

Rinnai

  5,600      414,952   

Rohm

  14,900      1,017,990   

Sankyo

  7,600      269,881   

Sanrio

  5,700      152,237   

Santen Pharmaceutical

  54,500      794,795   

SBI Holdings

  27,270      330,058   

Secom

  38,000      2,534,190   

Sega Sammy Holdings

  31,700      461,807   

Seibu Holdings

  18,000      464,897   

Seiko Epson

  42,800      757,919   

Sekisui Chemical

  82,000      1,063,772   

Sekisui House

  100,700      1,461,924   

Seven & I Holdings

  128,900      5,415,897   

Seven Bank

  91,400      450,594   

†Sharp

  244,000      477,842   

†Shikoku Electric Power

  27,900      343,330   

Shimadzu

  41,000      456,537   

Shimamura

  3,500      324,119   

Shimano

  13,100      1,946,364   

Shimizu

  118,000      797,643   

Shin-Etsu Chemical

  70,200      4,582,461   

Shinsei Bank

  258,000      512,906   

Shionogi

  55,000      1,830,674   

Shiseido

  57,900      1,026,978   

Shizuoka Bank

  82,000      817,705   

Showa Shell Sekiyu

  36,300      331,494   

SMC

  9,600      2,858,056   

SoftBank

  166,900      9,718,543   

†Sony

  197,200      5,272,962   

Sony Financial Holdings

  24,400      392,433   

Stanley Electric

  19,600      442,344   

Sumitomo

  198,400      2,116,766   

Sumitomo Chemical

  230,000      1,180,267   

Sumitomo Electric Industries

  121,800      1,596,343   

Sumitomo Heavy Industries

  79,000      516,914   

Sumitomo Metal Mining

  83,000      1,212,904   

Sumitomo Mitsui Financial Group

  215,700      8,260,922   

Sumitomo Mitsui Trust Holdings

  581,460      2,415,026   

Sumitomo Realty & Development

  63,000      2,267,708   

Sumitomo Rubber Industries

  23,600      434,955   

Suntory Beverage & Food

  21,800      933,301   

Suruga Bank

  28,300      587,599   

Suzuken

  11,550      351,997   

Suzuki Motor

  66,200      1,987,934   

Sysmex

  27,400      1,518,991   

T&D Holdings

  90,700      1,245,657   
 

 

LVIP SSgA International Index Fund–6


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Japan (continued)

Taiheiyo Cement

  198,000    $ 604,452   

Taisei

  192,000      1,083,525   

Taisho Pharmaceutical Holdings

  4,800      356,592   

Taiyo Nippon Sanso

  34,000      462,588   

Takashimaya

  42,000      412,524   

Takeda Pharmaceutical

  134,600      6,717,830   

TDK

  20,700      1,465,471   

Teijin

  135,000      457,953   

Terumo

  48,900      1,287,955   

THK

  16,500      419,208   

Tobu Railway

  169,000      800,541   

Toho

  17,100      418,038   

Toho Gas

  58,000      338,037   

Tohoku Electric Power

  86,900      986,882   

Tokio Marine Holdings

  119,000      4,491,124   

†Tokyo Electric Power

  235,400      890,828   

Tokyo Electron

  31,000      2,149,918   

Tokyo Gas

  419,000      2,633,702   

Tokyo Tatemono

  64,000      468,806   

Tokyu

  178,000      1,101,064   

Tokyu Fudosan Holdings

  72,000      490,999   

TonenGeneral Sekiyu

  39,000      336,284   

Toppan Printing

  86,000      661,431   

Toray Industries

  259,000      2,167,464   

Toshiba

  718,000      3,007,964   

TOTO

  44,000      653,245   

Toyo Seikan Kaisha

  22,000      321,733   

Toyo Suisan Kaisha

  14,000      492,471   

Toyoda Gosei

  15,200      339,255   

Toyota Industries

  30,100      1,721,340   

Toyota Motor

  469,000      32,732,490   

Toyota Tsusho

  35,000      925,862   

Trend Micro

  18,500      609,483   

Unicharm

  68,200      1,785,178   

United Urban Investment

  394      614,110   

USS

  31,700      547,671   

West Japan Railway

  29,800      1,562,166   

Yahoo Japan

  219,300      904,393   

Yakult Honsha

  17,100      1,191,031   

Yamada Denki

  149,900      617,176   

Yamaguchi Financial Group

  32,000      367,724   

Yamaha

  25,900      452,201   

Yamaha Motor

  43,500      1,047,768   

Yamato Holdings

  67,600      1,557,829   

Yamato Kogyo

  5,900      142,189   

Yamazaki Baking

  17,000      306,261   

Yaskawa Electric

  35,500      518,719   

Yokogawa Electric

  31,000      333,924   

Yokohama Rubber

  32,000      329,803   
     

 

 

 
     492,888,165   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Luxembourg–0.34%

†Altice

  16,305    $ 1,768,426   

ArcelorMittal

  161,711      1,517,550   

Millicom International Cellular SDR

  10,274      742,908   

RTL Group

  6,015      578,512   

SES FDR

  53,702      1,904,101   

Tenaris

  85,654      1,200,925   
     

 

 

 
  7,712,422   
     

 

 

 

Mexico–0.01%

Fresnillo

  32,375      326,940   
     

 

 

 
  326,940   
     

 

 

 

Netherlands–4.13%

Aegon

  318,904      2,518,426   

Akzo Nobel

  42,099      3,183,681   

ASML Holding

  60,780      6,162,991   

Boskalis Westminster

  14,511      715,360   

CNH Industrial

  172,123      1,410,860   

Delta Lloyd

  31,199      588,519   

Gemalto

  14,967      1,192,768   

Heineken

  39,904      3,046,305   

Heineken Holding

  15,794      1,087,057   

†ING Groep CVA

  671,598      9,839,382   

Koninklijke Ahold

  150,609      2,968,434   

Koninklijke DSM

  30,437      1,696,703   

Koninklijke KPN

  568,418      1,927,098   

Koninklijke Philips

  163,596      4,642,077   

Koninklijke Vopak

  11,600      640,287   

†NN Group

  23,016      652,620   

†OCI

  15,255      472,189   

Randstad Holding

  22,091      1,339,404   

Reed Elsevier

  121,351      3,024,338   

Royal Dutch Shell Class A

  670,646      19,942,389   

Royal Dutch Shell Class B

  422,849      13,171,437   

TNT Express

  74,375      472,503   

Unilever CVA

  284,456      11,888,934   

Wolters Kluwer

  54,061      1,765,673   
     

 

 

 
        94,349,435   
     

 

 

 

New Zealand–0.14%

Auckland International Airport

  168,953      567,573   

Contact Energy

  57,389      256,301   

Fletcher Building

  102,878      646,231   

Meridian Energy Class PPS

  274,764      415,427   

Mighty River Power

  154,373      357,524   

Ryman Healthcare

  58,695      343,543   

Spark New Zealand

  284,798      633,463   
     

 

 

 
  3,220,062   
     

 

 

 

Norway–0.62%

DNB

  175,892      2,823,367   

Gjensidige Forsikring

  31,313      540,350   

Norsk Hydro

  250,639      1,317,606   
 

 

LVIP SSgA International Index Fund–7


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Norway (continued)

Orkla

  155,897    $ 1,176,751   

Seadrill

  61,742      578,199   

Statoil

  192,396      3,402,255   

Telenor

  134,035      2,705,214   

Yara International

  32,920      1,671,652   
     

 

 

 
        14,215,394   
     

 

 

 

Portugal–0.14%

†Banco Comercial Portugues Class R

  5,144,244      529,006   

EDP

  412,560      1,545,384   

Galp Energia

  62,209      672,873   

Jeronimo Martins

  39,399      495,880   
     

 

 

 
  3,243,143   
     

 

 

 

Singapore–1.36%

Ascendas Real Estate Investment Trust

  325,000      613,003   

CapitaCommercial Trust

  294,000      378,426   

CapitaLand

  485,000      1,264,142   

CapitaMall Trust

  405,000      648,348   

City Developments

  63,000      461,753   

ComfortDelGro

  318,000      669,879   

DBS Group Holdings

  303,552      4,500,861   

Genting Singapore

  955,800      639,055   

Global Logistic Properties

  492,000      949,572   

Golden Agri-Resources

  1,199,480      371,176   

Hutchison Port Holdings Trust

  909,400      631,265   

Jardine Cycle & Carriage

  17,000      507,753   

Keppel

  259,815      1,702,258   

OCBC Bank

  499,669      3,847,512   

Sembcorp Industries

  151,000      463,540   

Sembcorp Marine

  131,000      278,039   

Singapore Airlines

  83,000      722,617   

Singapore Exchange

  126,000      747,073   

Singapore Press Holdings

  241,000      735,639   

Singapore Technologies Engineering

  239,000      606,057   

Singapore Telecommunications

  1,407,000      4,489,628   

StarHub

  118,000      374,076   

Suntec Real Estate Investment Trust

  451,000      609,077   

United Overseas Bank

  221,397      3,710,958   

UOL Group

  73,832      410,890   

Wilmar International

  294,000      697,925   
     

 

 

 
  31,030,522   
     

 

 

 

Spain–3.37%

Abertis Infraestructuras

  74,755      1,351,416   

ACS Actividades de Construccion y Servicios

  28,505      1,009,103   

#†Aena 144A

  10,291      1,034,918   

Amadeus IT Holding

  73,786      3,162,841   

Banco Bilbao Vizcaya Argentaria

  1,053,017      10,636,944   

Banco de Sabadell

  608,247      1,486,441   

Banco Popular Espanol

  320,159      1,566,237   

Banco Santander

  2,418,501      18,133,356   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Spain (continued)

†Bankia

  835,065    $ 1,163,981   

Bankinter

  120,397      918,120   

CaixaBank

  411,034      1,949,672   

Distribuidora Internacional de Alimentacion

  94,473      737,401   

Enagas

  38,364      1,097,217   

Endesa

  54,479      1,051,904   

Ferrovial

  76,820      1,633,655   

Gas Natural SDG

  62,405      1,401,385   

Grifols

  22,781      976,319   

Iberdrola

  879,125      5,670,139   

Inditex

  186,149      5,977,553   

Mapfre

  133,095      486,037   

Red Electrica

  19,282      1,568,175   

Repsol

  178,808      3,329,193   

Telefonica

  731,980      10,417,653   

Zardoya Otis

  24,729      319,218   
     

 

 

 
        77,078,878   
     

 

 

 

Sweden–2.97%

Alfa Laval

  49,082      963,994   

Assa Abloy Class B

  59,404      3,538,442   

Atlas Copco Class A

  116,041      3,756,695   

Atlas Copco Class B

  64,423      1,902,384   

Boliden

  42,382      839,573   

Electrolux Class B

  39,106      1,117,203   

Elekta Class B

  68,131      612,713   

Ericsson Class B

  517,475      6,496,906   

Getinge Class B

  35,029      865,530   

Hennes & Mauritz Class B

  161,295      6,535,347   

Hexagon Class B

  43,305      1,537,557   

Husqvarna Class B

  76,246      552,298   

ICA Gruppen

  14,943      500,881   

Industrivarden Class C

  25,640      481,077   

Investment Kinnevik Class B

  43,919      1,466,126   

Investor Class B

  81,335      3,237,706   

†Lundin Petroleum

  36,176      494,991   

Nordea Bank

  516,584      6,292,276   

Sandvik

  188,613      2,112,109   

Securitas Class B

  44,925      644,965   

Skandinaviska Enskilda Banken Class A

  270,230      3,154,071   

Skanska Class B

  70,159      1,572,926   

SKF Class B

  66,956      1,728,881   

Svenska Cellulosa Class B

  96,263      2,212,027   

Svenska Handelsbanken Class A

  85,699      3,859,608   

Swedbank Class A

  155,605      3,714,893   

Swedish Match

  34,439      1,012,605   

Tele2 Class B

  49,952      597,470   

TeliaSonera

  425,879      2,706,343   

Volvo Class B

  273,154      3,305,793   
     

 

 

 
  67,813,390   
     

 

 

 
 

 

LVIP SSgA International Index Fund–8


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Switzerland–9.60%

†ABB

  372,586    $ 7,904,043   

Actelion

  18,532      2,137,361   

Adecco

  27,813      2,311,914   

†Aryzta

  13,724      841,319   

Baloise Holding

  8,008      1,058,314   

Barry Callebaut

  344      335,862   

Cie Financiere Richemont Class A

  90,927      7,306,065   

Coca-Cola HBC

  29,554      531,613   

Credit Suisse Group

  259,325      6,976,866   

EMS-Chemie Holding

  1,211      492,440   

Geberit

  6,801      2,545,041   

Givaudan

  1,644      2,970,129   

Glencore

  1,806,801      7,627,590   

Holcim

  40,850      3,043,426   

†Julius Baer Group

  36,933      1,846,054   

Kuehne & Nagel International Class R

  10,068      1,494,811   

Lindt & Spruengli Class R

  16      1,012,171   

Lindt & Spruengli PC

  184      984,882   

Lonza Group

  8,938      1,112,763   

Nestle

  553,119      41,651,211   

Novartis

  394,542      38,941,488   

Pargesa Holding Bearer Shares

  4,834      339,249   

Partners Group Holding

  2,857      851,750   

Roche Holding

  121,169      33,296,284   

Schindler Holding

  4,023      657,377   

Schindler Holding PC

  7,686      1,275,582   

SGS

  995      1,897,084   

Sika Bearer Shares

  336      1,203,030   

Sonova Holding

  9,098      1,262,372   

STMicroelectronics

  123,283      1,149,091   

Sulzer

  4,424      485,613   

Swatch Group

  5,539      2,342,480   

Swatch Group Bearer Shares

  7,766      650,892   

Swiss Life Holding

  5,963      1,473,141   

Swiss Prime Site

  8,926      775,021   

Swiss Re

  60,140      5,800,982   

Swisscom

  4,211      2,441,918   

Syngenta

  16,302      5,538,256   

Transocean

  59,076      851,101   

†UBS Group

  634,147      12,248,342   

Wolseley

  44,649      2,638,868   

†Zurich Insurance Group

  26,026      8,796,846   
     

 

 

 
     219,100,642   
     

 

 

 

United Arab Emirates–0.00%

†Orascom Construction

  1      7   
     

 

 

 
  7   
     

 

 

 

United Kingdom–16.65%

3i Group

  152,165      1,087,232   

Aberdeen Asset Management

  174,782      1,189,055   

Admiral Group

  28,308      640,947   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United Kingdom (continued)

Aggreko

  48,532    $ 1,097,781   

Amec Foster Wheeler

  68,198      912,227   

Anglo American

  246,182      3,676,597   

Antofagasta

  57,751      624,746   

ARM Holdings

  242,263      3,934,528   

Ashtead Group

  87,092      1,396,716   

Associated British Foods

  61,707      2,575,141   

AstraZeneca

  218,551            14,996,128   

Aviva

  506,531      4,053,572   

Babcock International Group

  38,977      568,572   

BAE Systems

  541,982      4,199,982   

Barclays

  2,853,256      10,298,559   

BG Group

  577,755      7,090,974   

BP

  3,128,543      20,279,046   

British American Tobacco

  322,420      16,695,648   

British Land

  170,388      2,099,943   

BT Group

  1,416,893      9,206,443   

Bunzl

  59,747      1,619,775   

Burberry Group

  78,328      2,011,434   

Capita

  117,067      1,935,146   

Capital Shopping Centres Group

  151,559      781,337   

Carnival

  33,231      1,624,958   

Centrica

  863,301      3,228,901   

Cobham

  175,520      790,636   

Compass Group

  294,637      5,114,507   

Croda International

  25,935      1,051,839   

Diageo

  435,666      12,038,935   

Direct Line Insurance Group

  280,423      1,323,270   

Dixons Carphone

  153,105      936,334   

easyJet

  25,867      719,891   

†Fiat Chrysler Automobiles

  147,674      2,397,801   

G4S

  242,856      1,064,505   

GKN

  294,248      1,560,749   

GlaxoSmithKline

  838,669      19,305,461   

Hammerson

  145,910      1,436,897   

Hargreaves Lansdown

  34,732      592,412   

HSBC Holdings

  3,303,872      28,152,744   

ICAP

  84,379      658,091   

IMI

  52,372      988,241   

Imperial Tobacco Group

  162,429      7,124,914   

Inmarsat

  67,267      921,165   

Intercontinental Hotels Group Loan

  43,219      1,685,643   

†International Consolidated Airlines Group

  102,223      911,105   

†International Consolidated Airlines Group (London Stock Exchange)

  60,078      538,393   

Intertek Group

  30,680      1,136,372   

Investec

  86,438      716,853   

ITV

  672,350      2,517,226   

Johnson Matthey

  36,309      1,819,138   

Kingfisher

  417,530      2,355,655   

Land Securities Group

  132,377      2,457,533   
 

 

LVIP SSgA International Index Fund–9


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United Kingdom (continued)

  

Legal & General Group

  1,020,812    $ 4,203,916   

†Lloyds Banking Group

  9,910,946            11,487,763   

London Stock Exchange Group

  36,522      1,328,261   

Marks & Spencer Group

  287,310      2,272,220   

Meggitt

  128,773      1,046,716   

Melrose Industries

  146,811      602,949   

#Merlin Entertainments 144A

  99,164      649,194   

National Grid

  655,835      8,431,165   

Next

  26,659      2,772,403   

Old Mutual

  855,083      2,806,857   

Pearson

  142,714      3,071,626   

Persimmon

  47,874      1,179,741   

Petrofac

  37,994      534,867   

Prudential

  445,906      11,064,982   

Randgold Resources

  16,516      1,144,888   

Reckitt Benckiser Group

  113,034      9,709,926   

Reed Elsevier

  202,659      3,485,197   

Resolution

  255,304      1,562,925   

Rexam

  109,921      942,029   

Rio Tinto

  221,155      9,119,432   

Rio Tinto

  75,025      3,250,620   

†Rolls-Royce Holdings

  332,379      4,687,699   

†Royal Bank of Scotland Group

  440,200      2,223,685   

Royal Mail

  100,422      651,335   

RSA Insurance Group

  189,977      1,184,092   

SABMiller

  168,336      8,817,442   

Sage Group

  196,607      1,358,062   

Sainsbury (J.)

  189,939      728,850   

Schroders

  23,299      1,103,670   

Segro

  113,659      701,843   

Severn Trent

  44,502      1,356,488   

Sky PLC

  180,030      2,648,510   

Smith & Nephew

  149,294      2,545,611   

Smiths Group

  61,765      1,021,513   

†Sports Direct International

  39,327      353,433   

SSE

  172,193      3,821,342   

Standard Chartered

  420,111      6,804,188   

Standard Life

  340,522      2,392,660   

Subsea 7

  42,965      368,995   

Tate & Lyle

  91,019      806,703   

Tesco

  1,429,341      5,101,940   

Travis Perkins

  46,274      1,336,026   

Tullow Oil

  139,390      584,332   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United Kingdom (continued)

  

Unilever

  223,236    $ 9,313,864   

United Utilities Group

  121,692      1,682,612   

Vodafone Group

  4,586,531      15,008,116   

Weir Group

  32,941      831,192   

Whitbread

  30,586      2,374,921   

William Hill

  130,580      717,025   

WM Morrison Supermarkets

  337,113      963,416   
     

 

 

 
  380,298,940   
     

 

 

 

Total Common Stock
(Cost $1,939,200,487)

  2,213,023,059   
     

 

 

 

DPREFERRED STOCK–0.66%

  

Germany–0.66%

Bayerische Motoren Werke 2.62%

  8,838      816,480   

Fuchs Petrolub 0.70%

  12,670      505,455   

Henkel 1.22%

  31,583      3,710,471   

Porsche Automobil Holding 2.01%

  26,841      2,628,985   

Volkswagen 4.06%

  27,654      7,335,274   
     

 

 

 

Total Preferred Stock
(Cost $10,864,206)

  14,996,665   
     

 

 

 

DRIGHTS–0.02%

Spain–0.02%

†Banco Bilbao Vizcaya Argentaria

  1,053,017      151,751   

†Banco De Sabadell, exercise price EUR 1.48, expiration date 4/17/15

  608,247      154,377   

†Telefonica, exercise price EUR 10.84, expiration date 4/12/15

  731,980      118,081   
     

 

 

 
  424,209   
     

 

 

 

Total Rights
(Cost $152,649)

  424,209   
     

 

 

 

MONEY MARKET FUND–1.53%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  34,906,204      34,906,204   
     

 

 

 

Total Money Market Fund
(Cost $34,906,204)

  34,906,204   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.13% (Cost $1,985,123,546)

  2,263,350,137   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.87%

  19,933,202   
  

 

 

 

NET ASSETS APPLICABLE TO 250,600,387 SHARES OUTSTANDING–100.00%

      $2,283,283,339   
  

 

 

 

 

#

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2015, the aggregate value of Rule 144A securities was $2,105,372, which represents 0.09% of the Fund’s net assets.

 

D

Securities have been classified by country of origin.

 

LVIP SSgA International Index Fund–10


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

¢

Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

Non-income producing for the period.

 

«

Includes $453,989 cash pledged as collateral for futures contracts as of March 31, 2015.

 

*

If dividend payments are received, the tax withholding rate is at a reduced amount of 15%, rather than 25%.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $0, which represents 0.00% of the Fund’s net assets.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $0, which represents 0.00% of the Fund’s net assets.

 

¨

Securities listed and traded on the Hong Kong Stock Exchange.

The following futures contract was outstanding at March 31, 2015:

Futures Contracts

 

 

Contracts to Buy (Sell) Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
  Unrealized
Appreciation
(Depreciation)
551 E-mini MSCI EAFE Index   $49,881,444    $ 50,413,745      6/22/15    $532,301

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

Summary of Abbreviations:

CDI–Chess Depository Interest

CVA–Dutch Certificate

EUR–European Monetary Unit

FDR–Fiduciary Depositary Receipt

PC–Participation Certificate

REIT–Real Estate Investment Trust

RSP–Risparmio Italian Savings Shares

SCpA–Italian Consortium Joint-Stock Company

SDR–Special Drawing Right

VVPR Strip–Dividend Coupon

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

Australia

$ 1,475,228    $ 164,707,630    $ 166,182,858   

Austria

       4,257,424      4,257,424   

Belgium

       29,681,235      29,681,235   

China

       270,290      270,290   

Denmark

  331,056      36,825,832      37,156,888   

Finland

       19,089,513      19,089,513   

France

  2,612,599      209,428,039      212,040,638   

Germany

       199,136,893      199,136,893   

Hong Kong

  2,240,578      67,661,951      69,902,529   

Ireland

  1,746,195      22,047,665      23,793,860   

Israel

       13,439,206      13,439,206   

Italy

       46,793,785      46,793,785   

Japan

       492,888,165      492,888,165   

Luxembourg

  1,768,426      5,943,996      7,712,422   

Mexico

       326,940      326,940   

Netherlands

  588,519      93,760,916      94,349,435   

New Zealand

       3,220,062      3,220,062   

Norway

       14,215,394      14,215,394   

Portugal

       3,243,143      3,243,143   

Singapore

       31,030,522      31,030,522   

Spain

  1,034,918      76,043,960      77,078,878   

 

LVIP SSgA International Index Fund–11


LVIP SSgA International Index Fund

Schedule of Investments (continued)

 

  Level 1   Level 2   Total  

Sweden

$ 612,713    $ 67,200,677    $ 67,813,390   

Switzerland

  12,248,342      206,852,300      219,100,642   

United Arab Emirates

  7           7   

United Kingdom

  806,703      379,492,237      380,298,940   

Preferred Stock

       14,996,665      14,996,665   

Rights

  424,209           424,209   

Money Market Fund

  34,906,204           34,906,204   
  

 

 

    

 

 

    

 

 

 

Total

$ 60,795,697    $ 2,202,554,440    $ 2,263,350,137   
  

 

 

    

 

 

    

 

 

 

Futures Contracts

$ 532,301    $    $ 532,301   
  

 

 

    

 

 

    

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, the majority of the Fund’s common stock was categorized as Level 2.

The value of Level 3 investments was zero at the end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA International Index Fund–12


LVIP SSgA International RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANY–91.37%

  

International Equity Fund–91.37%

  

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA International Index Fund

  3,045,445    $ 27,750,097   
     

 

 

 

Total Affiliated Investment Company
(Cost $27,876,079)

   

  27,750,097   
     

 

 

 

 

  Number of
Shares
 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANY–7.11%

  

Money Market Fund–7.11%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  2,159,628    $ 2,159,628   
     

 

 

 

Total Unaffiliated Investment Company
(Cost $2,159,628)

   

  2,159,628   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–98.48% (Cost $30,035,707)

  29,909,725   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.52%

  461,355   
  

 

 

 

NET ASSETS APPLICABLE TO 3,205,704 SHARES OUTSTANDING–100.00%

    $30,371,080   
  

 

 

 

 

*  

Standard Class shares.

 

«   Includes $78,721 cash and $35,772 foreign currencies pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell) Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
Unrealized
Appreciation
(Depreciation)
 
  4    British Pound Currency $ 368,700    $ 370,925    6/18/15 $ 2,225   
  5    Euro Currency   666,537      672,125    6/18/15   5,588   
  18    Euro STOXX 50 Index   693,298      702,893    6/22/15   9,594   
  4    FTSE 100 Index   409,268      399,140    6/22/15   (10,129
  5    Japanese Yen Currency   519,003      521,625    6/18/15   2,623   
  3    Nikkei 225 Index (OSE)   485,697      480,430    6/12/15   (5,267
     

 

 

          

 

 

 
$ 3,142,503    $ 4,634   
     

 

 

          

 

 

 

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.

Summary of Abbreviations:

OSE–Osaka Securities Exchange

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 29,909,725   
  

 

 

 

Futures Contracts

$ 4,634   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP SSgA International Managed Volatility Fund.

 

LVIP SSgA International RPM Fund–1


LVIP SSgA Large Cap RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANY–93.12%

  

Equity Fund–93.12%

*Lincoln Variable Insurance Products Trust–

  

LVIP SSgA S&P 500 Index Fund

  8,428,286    $   124,586,924   
     

 

 

 

Total Affiliated Investment Company
(Cost $116,141,606)

   

  124,586,924   
     

 

 

 

 

  Number of
Shares
 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANY–6.62%

  

Money Market Fund–6.62%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  8,864,533    $       8,864,533   
     

 

 

 

Total Unaffiliated Investment Company
(Cost $8,864,533)

   

  8,864,533   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.74% (Cost $125,006,139)

  133,451,457   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.26%

  345,369   
  

 

 

 

NET ASSETS APPLICABLE TO 11,569,842 SHARES OUTSTANDING–100.00%

    $ 133,796,826   
  

 

 

 

 

*

Standard Class shares.

« Includes $1,306,090 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
Unrealized
Appreciation
(Depreciation)
(200) E-mini S&P 500 Index   $(20,369,006)    $ (20,608,000)    6/22/15 $(238,994)

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 133,451,457   
  

 

 

 

Futures Contracts

$ (238,994
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP SSgA Large Cap Managed Volatility Fund.

 

LVIP SSgA Large Cap RPM Fund–1


LVIP SSgA Mid-Cap Index Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–97.67%

Aerospace & Defense–2.06%

B/E Aerospace

  55,582    $ 3,536,127   

†Esterline Technologies

  16,059      1,837,471   

Exelis

  97,749      2,382,143   

Huntington Ingalls Industries

  25,290      3,544,394   

†KLX

  26,491      1,020,963   

Orbital ATK

  30,300      2,321,889   

†Teledyne Technologies

  18,400      1,963,832   

Triumph Group

  26,596      1,588,313   
     

 

 

 
    18,195,132   
     

 

 

 

Airlines–0.81%

Alaska Air Group

  68,853      4,556,692   

†JetBlue Airways

  136,821      2,633,804   
     

 

 

 
  7,190,496   
     

 

 

 

Auto Components–0.52%

Dana Holding

  85,300      1,804,948   

Gentex

  154,738      2,831,705   
     

 

 

 
  4,636,653   
     

 

 

 

Automobiles–0.17%

Thor Industries

  24,182      1,528,544   
     

 

 

 
  1,528,544   
     

 

 

 

Banks–4.77%

Associated Banc-Corp

  76,494      1,422,788   

BancorpSouth

  45,256      1,050,844   

Bank of Hawaii

  22,982      1,406,728   

Cathay General Bancorp

  39,236      1,116,264   

City National

  25,188      2,243,747   

Commerce Bancshares

  43,456      1,839,058   

Cullen/Frost Bankers

  28,798      1,989,366   

East West Bancorp

  75,264      3,045,181   

First Horizon National

  122,136      1,745,323   

First Niagara Financial Group

  185,552      1,640,280   

FirstMerit

  86,704      1,652,578   

Fulton Financial

  93,248      1,150,680   

Hancock Holding

  41,052      1,225,813   

International Bancshares

  29,205      760,206   

PacWest Bancorp

  49,430      2,317,773   

Prosperity Bancshares

  31,610      1,658,893   

†Signature Bank

  26,392      3,419,875   

†SVB Financial Group

  26,692      3,390,952   

Synovus Financial

  71,356      1,998,682   

TCF Financial

  84,207      1,323,734   

Trustmark

  33,924      823,675   

Umpqua Holdings

  115,544      1,985,046   

Valley National Bancorp

  116,569      1,100,411   

Webster Financial

  47,466      1,758,615   
     

 

 

 
  42,066,512   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Beverages–0.14%

†Boston Beer Class A

  4,800    $ 1,283,520   
     

 

 

 
  1,283,520   
     

 

 

 

Biotechnology–0.48%

†United Therapeutics

  24,481      4,221,381   
     

 

 

 
  4,221,381   
     

 

 

 

Building Products–1.00%

Fortune Brands Home & Security

  83,206      3,950,621   

Lennox International

  20,983      2,343,591   

Smith (A.O.)

  38,440      2,523,970   
     

 

 

 
  8,818,182   
     

 

 

 

Capital Markets–1.87%

Eaton Vance

  62,122      2,586,760   

Federated Investors Class B

  49,974      1,693,619   

Janus Capital Group

  77,176      1,326,655   

Raymond James Financial

  66,629      3,783,195   

SEI Investments

  68,162      3,005,263   

†Stifel Financial

  34,800      1,940,100   

Waddell & Reed Financial Class A

  43,957      2,177,630   
     

 

 

 
    16,513,222   
     

 

 

 

Chemicals–3.14%

Albemarle

  58,746      3,104,139   

Ashland

  33,433      4,256,355   

Cabot

  33,610      1,512,450   

Cytec Industries

  37,079      2,003,749   

Minerals Technologies

  18,263      1,335,025   

NewMarket

  5,520      2,637,456   

Olin

  39,345      1,260,614   

PolyOne

  45,773      1,709,622   

RPM International

  70,059      3,362,131   

Scotts Miracle-Gro Class A

  23,142      1,554,448   

Sensient Technologies

  24,291      1,673,164   

Valspar

  38,843      3,263,977   
     

 

 

 
  27,673,130   
     

 

 

 

Commercial Services & Supplies–2.13%

  

CDK Global

  84,300      3,941,868   

†Clean Harbors

  27,502      1,561,564   

†Copart

  59,807      2,246,949   

Deluxe

  26,192      1,814,582   

Donnelley (R.R.) & Sons

  104,768      2,010,498   

Herman Miller

  29,909      830,274   

HNI

  22,383      1,234,870   

MSA Safety

  15,858      790,997   

Rollins

  50,727      1,254,479   

Waste Connections

  65,028      3,130,448   
     

 

 

 
  18,816,529   
     

 

 

 

Communications Equipment–1.07%

  

†ARRIS Group

  69,220      2,000,112   

†Ciena

  56,493      1,090,880   
 

 

LVIP SSgA Mid-Cap Index Fund–1


LVIP SSgA Mid-Cap Index Fund

Schedule of Investments (continued)

 

 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Communications Equipment (continued)

  

InterDigital

  18,674    $ 947,519   

†JDS Uniphase

  121,932      1,599,748   

Plantronics

  22,678      1,200,800   

†Polycom

  68,654      919,964   

†Riverbed Technology

  81,296      1,699,899   
     

 

 

 
  9,458,922   
     

 

 

 

Construction & Engineering–0.48%

  

†AECOM

  81,486      2,511,399   

Granite Construction

  18,167      638,388   

KBR

  73,071      1,058,068   
     

 

 

 
  4,207,855   
     

 

 

 

Construction Materials–0.25%

  

Eagle Materials

  26,392      2,205,316   
     

 

 

 
  2,205,316   
     

 

 

 

Consumer Finance–0.23%

  

†SLM

  221,978      2,059,956   
     

 

 

 
  2,059,956   
     

 

 

 

Containers & Packaging–1.99%

  

AptarGroup

  32,621      2,072,086   

Bemis

  51,000      2,361,810   

Greif Class A

  17,056      669,789   

Packaging of America

  51,581      4,033,118   

Rock-Tenn Class A

  73,364      4,731,978   

Silgan Holdings

  21,981      1,277,756   

Sonoco Products

  52,888      2,404,289   
     

 

 

 
    17,550,826   
     

 

 

 

Distributors–0.46%

  

†LKQ

  159,352      4,073,037   
     

 

 

 
  4,073,037   
     

 

 

 

Diversified Consumer Services–0.97%

  

†Apollo Education Group Class A

  50,883      962,706   

DeVry Education Group

  30,305      1,010,975   

Graham Holdings

  2,358      2,475,028   

Service International

  105,993      2,761,118   

Sotheby’s

  32,327      1,366,139   
     

 

 

 
  8,575,966   
     

 

 

 

Diversified Financial Services–0.70%

  

CBOE Holdings

  44,158      2,534,890   

MSCI

  58,915      3,612,079   
     

 

 

 
  6,146,969   
     

 

 

 

Electric Utilities–1.64%

  

Cleco

  31,711      1,728,884   

Great Plains Energy

  80,783      2,155,290   

Hawaiian Electric Industries

  53,887      1,730,850   

IDACORP

  26,393      1,659,328   

OGE Energy

  104,567      3,305,363   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Electric Utilities (continued)

  

PNM Resources

  42,047    $ 1,227,772   

Westar Energy

  69,237      2,683,626   
     

 

 

 
  14,491,113   
     

 

 

 

Electrical Equipment–0.99%

  

Acuity Brands

  22,780      3,830,685   

Hubbell Class B

  27,699      3,036,364   

Regal-Beloit

  23,483      1,876,761   
     

 

 

 
  8,743,810   
     

 

 

 

Electronic Equipment, Instruments & Components–3.71%

  

†Arrow Electronics

  49,483      3,025,886   

Avnet

  71,455      3,179,748   

Belden

  22,180      2,075,161   

†Cognex

  44,500      2,206,755   

FEI

  21,878      1,670,167   

†Ingram Micro

  81,886      2,056,976   

†IPG Photonics

  18,700      1,733,490   

†Itron

  19,672      718,225   

Jabil Circuit

  101,300      2,368,394   

†Keysight Technologies

  88,300      3,280,345   

†Knowles

  42,857      825,854   

National Instruments

  53,081      1,700,715   

†Tech Data

  20,170      1,165,221   

†Trimble Navigation

  135,880      3,424,176   

Vishay Intertechnology

  68,250      943,215   

†Zebra Technologies

  25,993      2,357,955   
     

 

 

 
  32,732,283   
     

 

 

 

Energy Equipment & Services–2.00%

  

Atwood Oceanics

  30,107      846,308   

†Dresser-Rand Group

  40,141      3,225,329   

†Dril-Quip

  19,875      1,359,251   

†Helix Energy Solutions Group

  49,381      738,740   

Nabors Industries

  151,700      2,070,705   

Oceaneering International

  52,199      2,815,092   

†Oil States International

  26,798      1,065,756   

Patterson-UTI Energy

  77,164      1,448,754   

Rowan

  65,729      1,164,061   

Superior Energy Services

  79,788      1,782,464   

Tidewater

  23,591      451,532   

†Unit

  23,181      648,604   
     

 

 

 
    17,616,596   
     

 

 

 

Food & Staples Retailing–0.37%

  

†SUPERVALU

  108,853      1,265,960   

†United Natural Foods

  26,191      2,017,755   
     

 

 

 
  3,283,715   
     

 

 

 

Food Products–2.02%

  

Dean Foods

  47,272      781,406   

Flowers Foods

  96,624      2,197,230   

†Hain Celestial Group

  53,284      3,412,840   
 

 

LVIP SSgA Mid-Cap Index Fund–2


LVIP SSgA Mid-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Food Products (continued)

  

Ingredion

  37,595    $ 2,925,643   

Lancaster Colony

  9,736      926,575   

†Post Holdings

  27,481      1,287,210   

Tootsie Roll Industries

  10,385      352,264   

†TreeHouse Foods

  22,400      1,904,448   

†Whitewave Foods

  91,420      4,053,563   
     

 

 

 
  17,841,179   
     

 

 

 

Gas Utilities–1.52%

  

Atmos Energy

  52,884      2,924,485   

National Fuel Gas

  44,155      2,663,871   

ONE Gas

  27,496      1,188,652   

Questar

  92,023      2,195,669   

UGI

  90,618      2,953,241   

WGL Holdings

  25,896      1,460,534   
     

 

 

 
  13,386,452   
     

 

 

 

Health Care Equipment & Supplies–3.77%

  

†Align Technology

  38,032      2,045,551   

Bio-Techne

  19,461      1,951,744   

Cooper

  25,288      4,739,477   

†Halyard Health

  24,600      1,210,320   

Hill-Rom Holdings

  28,905      1,416,345   

†Hologic

  127,709      4,217,590   

†IDEXX Laboratories

  24,694      3,814,729   

ResMed

  73,658      5,287,171   

†Sirona Dental Systems

  29,102      2,618,889   

STERIS

  31,209      2,193,056   

Teleflex

  21,676      2,619,111   

†Thoratec

  27,705      1,160,562   
     

 

 

 
    33,274,545   
     

 

 

 

Health Care Providers & Services–2.82%

  

†Centene

  62,310      4,404,694   

†Community Health Systems

  61,212      3,200,163   

†Health Net

  40,348      2,440,651   

†LifePoint Hospitals

  22,814      1,675,688   

†MEDNAX

  50,383      3,653,271   

Omnicare

  50,882      3,920,967   

Owens & Minor

  33,316      1,127,413   

†VCA

  42,963      2,355,232   

†WellCare Health Plans

  23,081      2,110,988   
     

 

 

 
  24,889,067   
     

 

 

 

Health Care Technology–0.20%

  

†Allscripts Healthcare Solutions

  89,594      1,071,544   

†HMS Holdings

  44,161      682,287   
     

 

 

 
  1,753,831   
     

 

 

 

Hotels, Restaurants & Leisure–1.78%

  

Brinker International

  32,920      2,026,555   

†Buffalo Wild Wings

  9,900      1,794,276   

Cheesecake Factory

  24,485      1,207,845   
 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Hotels, Restaurants & Leisure (continued)

  

Domino’s Pizza

  29,202    $ 2,936,261   

International Game Technology

  126,355      2,199,841   

International Speedway Class A

  14,051      458,203   

†Life Time Fitness

  18,969      1,346,040   

†Panera Bread Class A

  13,348      2,135,613   

Wendy’s

  144,486      1,574,897   
     

 

 

 
  15,679,531   
     

 

 

 

Household Durables–1.79%

  

†Jarden

  94,031      4,974,240   

KB Home

  45,866      716,427   

MDC Holdings

  19,672      560,652   

†NVR

  1,975      2,624,104   

†Tempur Sealy International

  31,912      1,842,599   

†Toll Brothers

  83,895      3,300,429   

Tupperware Brands

  26,193      1,807,841   
     

 

 

 
  15,826,292   
     

 

 

 

Household Products–1.17%

  

Church & Dwight

  68,150      5,821,373   

Energizer Holdings

  32,514      4,488,558   
     

 

 

 
  10,309,931   
     

 

 

 

Industrial Conglomerates–0.36%

  

Carlisle

  34,118      3,160,350   
     

 

 

 
  3,160,350   
     

 

 

 

Insurance–4.53%

  

†Alleghany

  8,430      4,105,410   

American Financial Group

  38,532      2,471,828   

Aspen Insurance Holdings

  32,420      1,531,197   

Berkley (W.R.)

  52,890      2,671,474   

Brown & Brown

  61,719      2,043,516   

Everest Re Group

  23,085      4,016,790   

First American Financial

  56,497      2,015,813   

Gallagher (Arthur J.)

  86,389      4,038,686   

Hanover Insurance Group

  23,181      1,682,477   

HCC Insurance Holdings

  50,584      2,866,595   

Kemper

  25,194      981,558   

Mercury General

  19,167      1,106,894   

Old Republic International

  125,646      1,877,151   

Primerica

  26,700      1,359,030   

Reinsurance Group of America

  36,027      3,357,356   

RenaissanceRe Holdings

  23,612      2,354,825   

StanCorp Financial Group

  21,981      1,507,897   
     

 

 

 
    39,988,497   
     

 

 

 

Internet & Catalog Retail–0.13%

  

HSN

  17,162      1,170,963   
     

 

 

 
  1,170,963   
     

 

 

 

Internet Software & Services–0.54%

  

†AOL

  41,147      1,629,833   
 

 

LVIP SSgA Mid-Cap Index Fund–3


LVIP SSgA Mid-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Internet Software & Services (continued)

  

†Rackspace Hosting

  60,815    $ 3,137,446   
     

 

 

 
  4,767,279   
     

 

 

 

IT Services–3.91%

  

†Acxiom

  38,742      716,340   

Broadridge Financial Solutions

  63,322      3,483,343   

Convergys

  50,487      1,154,638   

†CoreLogic

  46,869      1,653,070   

DST Systems

  14,764      1,634,522   

†Gartner

  45,866      3,845,864   

Global Payments

  35,226      3,229,520   

Jack Henry & Associates

  42,856      2,995,206   

Leidos Holdings

  31,317      1,314,061   

MAXIMUS

  34,600      2,309,896   

†NeuStar Class A

  27,603      679,586   

†Qorvo

  77,855      6,205,044   

Science Applications International

  20,375      1,046,256   

†VeriFone Systems

  59,606      2,079,653   

†WEX

  20,371      2,187,031   
     

 

 

 
    34,534,030   
     

 

 

 

Leisure Products–0.79%

  

Brunswick

  47,471      2,442,383   

Polaris Industries

  32,021      4,518,163   
     

 

 

 
  6,960,546   
     

 

 

 

Life Sciences Tools & Services–0.94%

  

†Bio-Rad Laboratories Class A

  10,837      1,464,946   

†Charles River Laboratories International

  24,789      1,965,520   

†Mettler-Toledo International

  14,754      4,848,902   
     

 

 

 
  8,279,368   
     

 

 

 

Machinery–4.51%

  

AGCO

  42,161      2,008,550   

CLARCOR

  26,293      1,736,916   

Crane

  25,691      1,603,375   

Donaldson

  66,742      2,516,841   

Graco

  30,412      2,194,530   

Harsco

  40,649      701,602   

IDEX

  40,548      3,074,755   

ITT

  47,669      1,902,470   

Kennametal

  41,745      1,406,389   

Lincoln Electric Holdings

  40,748      2,664,512   

Nordson

  30,010      2,350,983   

Oshkosh

  40,156      1,959,211   

SPX

  21,481      1,823,737   

Terex

  54,603      1,451,894   

Timken

  38,841      1,636,760   

Trinity Industries

  81,585      2,897,083   

Valmont Industries

  12,350      1,517,568   

Wabtec

  50,476      4,795,725   
 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Machinery (continued)

  

Woodward

  30,509    $ 1,556,264   
     

 

 

 
  39,799,165   
     

 

 

 

Media–1.39%

  

†AMC Networks Class A

  31,009      2,376,530   

Cinemark Holdings

  53,192      2,397,363   

†DreamWorks Animation SKG Class A

  36,432      881,654   

John Wiley & Sons Class A

  24,486      1,497,074   

†Live Nation Entertainment

  76,056      1,918,893   

Meredith

  18,368      1,024,383   

New York Times Class A

  66,232      911,352   

Time

  57,705      1,294,900   
     

 

 

 
  12,302,149   
     

 

 

 

Metals & Mining–1.61%

  

Carpenter Technology

  26,798      1,041,906   

Cliffs Natural Resources

  77,082      370,764   

Commercial Metals

  59,517      963,580   

Compass Minerals International

  17,662      1,646,275   

Reliance Steel & Aluminum

  40,643      2,482,474   

Royal Gold

  34,220      2,159,624   

Steel Dynamics

  123,388      2,480,099   

TimkenSteel

  19,271      510,103   

United States Steel

  76,316      1,862,110   

Worthington Industries

  25,496      678,449   
     

 

 

 
  14,195,384   
     

 

 

 

Multiline Retail–0.30%

  

Big Lots

  26,902      1,292,103   

†Penney (J.C.)

  160,861      1,352,841   
     

 

 

 
  2,644,944   
     

 

 

 

Multi-Utilities–1.01%

  

Alliant Energy

  58,104      3,660,552   

Black Hills

  23,582      1,189,476   

MDU Resources Group

  101,953      2,175,677   

Vectren

  43,252      1,909,143   
     

 

 

 
  8,934,848   
     

 

 

 

Oil, Gas & Consumable Fuels–2.23%

  

California Resources

  162,800      1,238,908   

Denbury Resources

  185,200      1,350,108   

Energen

  38,334      2,530,044   

†Gulfport Energy

  44,957      2,063,976   

HollyFrontier

  102,744      4,137,501   

Peabody Energy

  145,400      715,368   

†Rosetta Resources

  37,013      629,961   

SM Energy

  35,410      1,829,989   

Western Refining

  36,700      1,812,613   

World Fuel Services

  37,933      2,180,389   

†WPX Energy

  107,572      1,175,762   
     

 

 

 
    19,664,619   
     

 

 

 
 

 

LVIP SSgA Mid-Cap Index Fund–4


LVIP SSgA Mid-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Paper & Forest Products–0.32%

  

Domtar

  33,620    $ 1,553,916   

†Louisiana-Pacific

  75,060      1,239,241   
     

 

 

 
  2,793,157   
     

 

 

 

Personal Products–0.21%

  

Avon Products

  227,900      1,820,921   
     

 

 

 
  1,820,921   
     

 

 

 

Pharmaceuticals–0.86%

  

†Akorn

  39,000      1,852,890   

†Salix Pharmaceuticals

  33,417      5,774,792   
     

 

 

 
  7,627,682   
     

 

 

 

Professional Services–1.19%

  

Corporate Executive Board

  17,662      1,410,487   

†FTI Consulting

  20,675      774,486   

ManpowerGroup

  40,347      3,475,894   

Towers Watson Class A

  36,418      4,813,913   
     

 

 

 
    10,474,780   
     

 

 

 

Real Estate Investment Trusts–9.78%

  

Alexandria Real Estate Equities

  37,732      3,699,245   

American Campus Communities

  58,793      2,520,456   

BioMed Realty Trust

  105,581      2,392,466   

Camden Property Trust

  45,458      3,551,634   

Corporate Office Properties Trust

  46,561      1,367,962   

Corrections of America

  61,214      2,464,476   

Duke Realty

  180,707      3,933,991   

Equity One

  40,917      1,092,075   

Extra Space Storage

  58,003      3,919,263   

Federal Realty Investment Trust

  36,024      5,303,093   

Highwoods Properties

  48,666      2,227,930   

Home Properties

  30,305      2,099,833   

Hospitality Properties Trust

  78,576      2,592,222   

Kilroy Realty

  45,251      3,446,769   

Lamar Advertising

  42,021      2,490,585   

LaSalle Hotel Properties

  59,192      2,300,201   

Liberty Property Trust

  78,072      2,787,170   

Mack-Cali Realty

  42,163      812,903   

Mid-America Apartment Communitie

  39,438      3,047,374   

National Retail Properties

  69,327      2,840,327   

Omega Healthcare Investors

  72,632      2,946,680   

Potlatch

  20,475      819,819   

Rayonier

  66,333      1,788,338   

Realty Income

  118,008      6,089,213   

Regency Centers

  49,370      3,359,135   

Senior Housing Properties Trust

  123,175      2,733,253   

Tanger Factory Outlet Centers

  48,300      1,698,711   

Taubman Centers

  33,216      2,561,950   

UDR

  135,663      4,616,612   

Urban Edge Properties

  46,100      1,092,570   

Weingarten Realty Investors

  59,107      2,126,670   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Real Estate Investment Trusts (continued)

  

WP GLIMCHER

  97,016    $ 1,613,376   
     

 

 

 
  86,336,302   
     

 

 

 

Real Estate Management & Development–0.56%

  

Alexander & Baldwin

  22,779      983,597   

Jones Lang LaSalle

  23,482      4,001,333   
     

 

 

 
  4,984,930   
     

 

 

 

Road & Rail–1.73%

  

Con-way

  30,305      1,337,360   

†Genesee & Wyoming

  26,923      2,596,454   

Hunt (J.B.) Transport Services

  48,268      4,121,846   

†Kirby

  29,297      2,198,740   

Landstar System

  23,483      1,556,923   

†Old Dominion Freight Line

  35,629      2,754,122   

Werner Enterprises

  22,384      703,081   
     

 

 

 
  15,268,526   
     

 

 

 

Semiconductors & Semiconductor Equipment–2.03%

  

†Advanced Micro Devices

  316,093      847,129   

Atmel

  218,175      1,795,580   

†Cree

  58,525      2,077,052   

†Cypress Semiconductor

  166,556      2,350,105   

†Fairchild Semiconductor International

  59,830      1,087,709   

†Integrated Device Technology

  77,350      1,548,547   

Intersil Class A

  68,937      987,178   

†Semtech

  33,624      895,912   

†Silicon Laboratories

  19,874      1,009,003   

†SunEdison

  132,053      3,169,272   

Teradyne

  114,177      2,152,236   
     

 

 

 
    17,919,723   
     

 

 

 

Software–4.12%

  

†ACI Worldwide

  60,409      1,308,459   

Advent Software

  23,782      1,049,024   

†ANSYS

  46,871      4,133,554   

†Cadence Design Systems

  153,233      2,825,617   

†CommVault Systems

  21,682      947,503   

FactSet Research Systems

  20,365      3,242,108   

Fair Isaac

  16,159      1,433,627   

†Fortinet

  74,352      2,598,602   

†Informatica

  57,402      2,517,365   

Mentor Graphics

  51,578      1,239,419   

†PTC

  60,218      2,178,085   

†Rovi

  47,674      868,144   

†SolarWinds

  34,821      1,784,228   

Solera Holdings

  35,327      1,824,993   

†Synopsys

  80,685      3,737,329   

†Tyler Technologies

  17,600      2,121,328   

†Ultimate Software Group

  14,952      2,541,167   
     

 

 

 
  36,350,552   
     

 

 

 
 

 

LVIP SSgA Mid-Cap Index Fund–5


LVIP SSgA Mid-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Specialty Retail–4.45%

  

Aaron’s

  32,433    $ 918,178   

Abercrombie & Fitch

  35,934      791,985   

Advance Auto Parts

  38,325      5,736,869   

American Eagle Outfitters

  92,015      1,571,616   

†ANN

  22,986      943,116   

†Ascena Retail Group

  66,338      962,564   

†Cabela’s

  25,086      1,404,314   

Chico’s FAS

  80,782      1,429,034   

CST Brands

  39,139      1,715,462   

Dick’s Sporting Goods

  51,383      2,928,317   

Foot Locker

  74,468      4,691,484   

Guess

  32,210      598,784   

†Murphy USA

  22,382      1,619,785   

†Office Depot

  257,296      2,367,123   

Rent-A-Center

  26,597      729,822   

Signet Jewelers

  42,048      5,835,842   

†Vista Outdoor

  33,618      1,439,523   

Williams-Sonoma

  44,861      3,575,870   
     

 

 

 
    39,259,688   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.75%

  

†3D Systems

  54,488      1,494,061   

Diebold

  34,119      1,209,860   

Lexmark International Class A

  31,115      1,317,409   

†NCR

  88,409      2,608,950   
     

 

 

 
  6,630,280   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.69%

  

Carter’s

  26,999      2,496,598   

†Deckers Outdoor

  18,264      1,330,898   

†Kate Spade

  66,833      2,231,554   
     

 

 

 
  6,059,050   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Thrifts & Mortgage Finance–0.57%

  

New York Community Bancorp

  232,015    $ 3,881,611   

Washington Federal

  51,787      1,129,216   
     

 

 

 
  5,010,827   
     

 

 

 

Trading Companies & Distributors–0.71%

  

GATX

  22,285      1,292,084   

MSC Industrial Direct

  26,686      1,926,729   

†NOW

  56,498      1,222,617   

Watsco

  14,350      1,803,795   
     

 

 

 
  6,245,225   
     

 

 

 

Water Utilities–0.28%

  

Aqua America

  92,726      2,443,330   
     

 

 

 
  2,443,330   
     

 

 

 

Wireless Telecommunication Services–0.15%

  

Telephone & Data Systems

  51,782      1,289,372   
     

 

 

 
  1,289,372   
     

 

 

 

Total Common Stock
(Cost $824,014,632)

   

  861,966,980   
     

 

 

 

MONEY MARKET FUND–2.13%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  18,784,301      18,784,301   
     

 

 

 

Total Money Market Fund
(Cost $18,784,301)

   

  18,784,301   
     

 

 

 
 

TOTAL VALUE OF SECURITIES–99.80% (Cost $842,798,933)

  880,751,281   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.20%

  1,758,624   
  

 

 

 

NET ASSETS APPLICABLE TO 82,975,035 SHARES OUTSTANDING–100.00%

  $ 882,509,905   
  

 

 

 

 

Non-income producing for the period.

« Includes $512,492 cash pledged as collateral for futures contracts as of March 31, 2015.

 

LVIP SSgA Mid-Cap Index Fund–6


LVIP SSgA Mid-Cap Index Fund

Schedule of Investments (continued)

 

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
Unrealized
Appreciation
(Depreciation)

132

E-mini S&P MidCap 400 Index   $19,751,492      $20,061,360    6/22/15 $309,868

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Common Stock

$ 861,966,980   

Money Market Fund

  18,784,301   
  

 

 

 

Total

$ 880,751,281   
  

 

 

 

Futures Contracts

$ 309,868   
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

 

LVIP SSgA Mid-Cap Index Fund–7


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–97.67%

Aerospace & Defense–2.70%

Boeing

  232,689    $ 34,921,965   

General Dynamics

  110,480      14,995,450   

Honeywell International

  274,772      28,661,467   

L-3 Communications Holdings

  29,876      3,758,102   

Lockheed Martin

  94,203      19,119,441   

Northrop Grumman

  70,933      11,417,376   

Precision Castparts

  50,047      10,509,870   

Raytheon

  108,201      11,820,959   

Rockwell Collins

  47,305      4,567,298   

Textron

  97,822      4,336,449   

United Technologies

  292,459      34,276,195   
     

 

 

 
  178,384,572   
     

 

 

 

Air Freight & Logistics–0.70%

Expeditors International of Washington

  67,776      3,265,448   

FedEx

  92,403      15,288,076   

Robinson (C.H.) Worldwide

  51,527      3,772,807   

United Parcel Service Class B

  244,624      23,713,851   
     

 

 

 
  46,040,182   
     

 

 

 

Airlines–0.56%

American Airlines Group

  253,900      13,400,842   

Delta Air Lines

  293,700      13,204,752   

Southwest Airlines

  238,181      10,551,418   
     

 

 

 
  37,157,012   
     

 

 

 

Auto Components–0.42%

BorgWarner

  79,998      4,838,279   

Delphi Automotive

  103,924      8,286,900   

Goodyear Tire & Rubber

  96,337      2,608,806   

Johnson Controls

  233,837      11,794,738   
     

 

 

 
  27,528,723   
     

 

 

 

Automobiles–0.68%

Ford Motor

  1,400,202      22,599,260   

General Motors

  473,706      17,763,975   

Harley-Davidson

  76,193      4,627,963   
     

 

 

 
  44,991,198   
     

 

 

 

Banks–5.64%

Bank of America

  3,723,301      57,301,602   

BB&T

  252,826      9,857,686   

Citigroup

  1,073,762      55,320,218   

Comerica

  63,052      2,845,537   

Fifth Third Bancorp

  292,212      5,508,196   

Huntington Bancshares

  285,820      3,158,311   

JPMorgan Chase

  1,319,560      79,938,945   

KeyCorp

  307,095      4,348,465   

M&T Bank

  46,324      5,883,148   

PNC Financial Services Group

  184,646      17,216,393   

Regions Financial

  483,114      4,565,427   

SunTrust Banks

  183,064      7,522,100   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

Banks (continued)

U.S. Bancorp

  628,056    $ 27,427,206   

Wells Fargo

  1,656,882      90,134,381   

Zions Bancorporation

  71,242      1,923,534   
     

 

 

 
  372,951,149   
     

 

 

 

Beverages–2.09%

Brown-Forman Class B

  55,370      5,002,679   

Coca-Cola

  1,383,597      56,104,858   

Coca-Cola Enterprises

  78,032      3,449,014   

†Constellation Brands Class A

  58,935      6,848,836   

Dr Pepper Snapple Group

  68,258      5,356,888   

Molson Coors Brewing Class B

  55,717      4,148,131   

†Monster Beverage

  50,568      6,998,358   

PepsiCo

  525,275      50,226,796   
     

 

 

 
  138,135,560   
     

 

 

 

Biotechnology–2.96%

†Alexion Pharmaceuticals

  69,605      12,062,547   

Amgen

  266,957      42,673,076   

†Biogen

  82,849      34,982,162   

†Celgene

  280,340      32,317,595   

†Gilead Sciences

  529,549      51,964,643   

†Regeneron Pharmaceuticals

  26,062      11,766,472   

†Vertex Pharmaceuticals

  84,400      9,956,668   
     

 

 

 
  195,723,163   
     

 

 

 

Building Products–0.08%

Allegion

  33,625      2,056,841   

Masco

  128,321      3,426,171   
     

 

 

 
  5,483,012   
     

 

 

 

Capital Markets–2.19%

†Affiliated Managers Group

  19,500      4,188,210   

Ameriprise Financial

  64,782      8,476,077   

Bank of New York Mellon

  395,103      15,898,945   

BlackRock

  44,691      16,349,755   

†E*TRADE Financial

  101,343      2,893,849   

Franklin Resources

  137,656      7,064,506   

Goldman Sachs Group

  142,186      26,726,702   

Invesco

  151,239      6,002,676   

Legg Mason

  36,847      2,033,954   

Morgan Stanley

  535,820      19,123,416   

Northern Trust

  77,684      5,410,691   

Schwab (Charles)

  403,325      12,277,213   

State Street

  146,490      10,771,410   

T. Rowe Price Group

  91,035      7,372,014   
     

 

 

 
  144,589,418   
     

 

 

 

Chemicals–2.31%

Air Products & Chemicals

  67,499      10,211,249   

Airgas

  23,551      2,498,997   

CF Industries Holdings

  17,458      4,952,485   

Dow Chemical

  388,857      18,657,359   
 

 

LVIP SSgA S&P 500 Index Fund–1


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Chemicals (continued)

duPont (E.I.) deNemours

  317,960    $ 22,724,601   

Eastman Chemical

  52,227      3,617,242   

Ecolab

  94,759      10,838,534   

FMC

  46,801      2,679,357   

International Flavors & Fragrances

  28,420      3,336,508   

LyondellBasell Industries Class A

  139,860      12,279,708   

Monsanto

  169,852      19,115,144   

Mosaic

  110,747      5,101,007   

PPG Industries

  48,128      10,854,789   

Praxair

  102,284      12,349,770   

Sherwin-Williams

  28,616      8,141,252   

Sigma-Aldrich

  41,844      5,784,933   
     

 

 

 
  153,142,935   
     

 

 

 

Commercial Services & Supplies–0.38%

  

ADT

  61,257      2,543,391   

Cintas

  33,808      2,759,747   

Iron Mountain

  65,400      2,385,792   

Pitney Bowes

  70,554      1,645,319   

Republic Services

  88,437      3,587,005   

†Stericycle

  29,701      4,170,911   

Waste Management

  149,471      8,105,812   
     

 

 

 
  25,197,977   
     

 

 

 

Communications Equipment–1.64%

  

Cisco Systems

  1,794,724      49,399,778   

†F5 Networks

  25,896      2,976,486   

Harris

  36,758      2,895,060   

Juniper Networks

  127,104      2,870,008   

†Level 3 Communications

  97,900      5,270,936   

Motorola Solutions

  66,880      4,458,890   

QUALCOMM

  583,524      40,461,554   
     

 

 

 
  108,332,712   
     

 

 

 

Construction & Engineering–0.11%

  

Fluor

  51,837      2,963,003   

†Jacobs Engineering Group

  45,834      2,069,863   

†Quanta Services

  79,787      2,276,323   
     

 

 

 
  7,309,189   
     

 

 

 

Construction Materials–0.11%

Martin Marietta Materials

  21,700      3,033,660   

Vulcan Materials

  46,963      3,958,981   
     

 

 

 
  6,992,641   
     

 

 

 

Consumer Finance–0.78%

American Express

  312,350      24,400,782   

Capital One Financial

  195,130      15,380,147   

Discover Financial Services

  159,111      8,965,905   

Navient

  143,964      2,926,788   
     

 

 

 
  51,673,622   
     

 

 

 

Containers & Packaging–0.19%

  

Avery Dennison

  31,943      1,690,104   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Containers & Packaging (continued)

  

Ball

  48,478    $ 3,424,486   

MeadWestvaco

  58,535      2,919,140   

†Owens-Illinois

  57,882      1,349,808   

Sealed Air

  74,097      3,375,859   
     

 

 

 
  12,759,397   
     

 

 

 

Distributors–0.08%

Genuine Parts

  53,641      4,998,805   
     

 

 

 
  4,998,805   
     

 

 

 

Diversified Consumer Services–0.05%

  

Block (H&R)

  96,614      3,098,411   
     

 

 

 
  3,098,411   
     

 

 

 

Diversified Financial Services–2.03%

  

†Berkshire Hathaway Class B

  645,469      93,154,086   

CME Group

  111,153      10,527,301   

Intercontinental Exchange

  39,526      9,220,230   

Leucadia National

  111,225      2,479,205   

McGraw-Hill Financial

  95,279      9,851,849   

Moody’s

  65,142      6,761,740   

NASDAQ OMX Group

  41,177      2,097,556   
     

 

 

 
  134,091,967   
     

 

 

 

Diversified Telecommunication Services–2.15%

  

AT&T

  1,836,940      59,976,091   

CenturyLink

  200,303      6,920,469   

Frontier Communications

  351,749      2,479,830   

Verizon Communications

  1,470,758      71,522,962   

Windstream Holdings

  211,592      1,565,781   
     

 

 

 
  142,465,133   
     

 

 

 

Electric Utilities–1.67%

American Electric Power

  171,678      9,656,887   

Duke Energy

  248,248      19,060,481   

Edison International

  114,304      7,140,571   

Entergy

  63,372      4,910,696   

Eversource Energy

  111,174      5,616,510   

Exelon

  301,656      10,138,658   

FirstEnergy

  147,706      5,178,572   

NextEra Energy

  153,158      15,936,090   

Pepco Holdings

  88,409      2,372,013   

Pinnacle West Capital

  39,983      2,548,916   

PPL

  233,398      7,856,176   

Southern

  315,826      13,984,775   

Xcel Energy

  177,477      6,177,974   
     

 

 

 
  110,578,319   
     

 

 

 

Electrical Equipment–0.53%

AMETEK

  86,300      4,534,202   

Eaton

  166,617      11,319,959   

Emerson Electric

  243,430      13,783,007   
 

 

LVIP SSgA S&P 500 Index Fund–2


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Electrical Equipment (continued)

  

Rockwell Automation

  48,290    $ 5,601,157   
     

 

 

 
  35,238,325   
     

 

 

 

Electronic Equipment, Instruments & Components–0.53%

  

Amphenol Class A

  109,832      6,472,400   

Corning

  449,860      10,202,825   

FLIR Systems

  49,450      1,546,796   

TE Connectivity

  142,711      10,220,962   

Tyco International

  146,863      6,323,921   
     

 

 

 
  34,766,904   
     

 

 

 

Energy Equipment & Services–1.24%

  

Baker Hughes

  151,897      9,657,611   

†Cameron International

  69,300      3,126,816   

Diamond Offshore Drilling

  23,552      630,958   

ENSCO Class A

  84,759      1,785,872   

†FMC Technologies

  82,116      3,039,113   

Halliburton

  297,437      13,051,536   

Helmerich & Payne

  38,008      2,587,205   

National Oilwell Varco

  151,090      7,552,989   

Noble

  88,463      1,263,252   

Schlumberger

  451,655      37,686,093   

Transocean

  119,500      1,753,065   
     

 

 

 
  82,134,510   
     

 

 

 

Food & Staples Retailing–2.47%

  

Costco Wholesale

  153,648      23,276,904   

CVS Health

  397,421      41,017,821   

Kroger

  172,323      13,210,281   

Sysco

  206,318      7,784,378   

Walgreens Boots Alliance

  305,962      25,908,862   

Wal-Mart Stores

  554,295      45,590,764   

Whole Foods Market

  126,300      6,577,704   
     

 

 

 
  163,366,714   
     

 

 

 

Food Products–1.63%

Archer-Daniels-Midland

  225,923      10,708,750   

Campbell Soup

  62,850      2,925,667   

ConAgra Foods

  149,152      5,448,523   

General Mills

  211,912      11,994,219   

Hershey

  51,930      5,240,256   

Hormel Foods

  47,136      2,679,682   

Kellogg

  89,577      5,907,603   

Keurig Green Mountain

  42,600      4,759,698   

Kraft Foods Group

  206,624      18,000,050   

McCormick

  45,419      3,502,259   

Mead Johnson Nutrition

  70,859      7,123,455   

Mondelez International

  589,608      21,278,953   

Smucker (J.M.)

  35,647      4,125,427   

Tyson Foods Class A

  102,850      3,939,155   
     

 

 

 
  107,633,697   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Gas Utilities–0.03%

AGL Resources

  41,983    $ 2,084,456   
     

 

 

 
  2,084,456   
     

 

 

 

Health Care Equipment & Supplies–2.13%

  

Abbott Laboratories

  528,503      24,485,544   

Bard (C.R.)

  26,337      4,407,497   

Baxter International

  190,235      13,031,097   

Becton, Dickinson

  72,902      10,467,948   

†Boston Scientific

  465,587      8,264,169   

DENTSPLY International

  49,675      2,527,961   

†Edwards Lifesciences

  37,508      5,343,390   

†Intuitive Surgical

  12,723      6,425,497   

Medtronic

  504,396      39,337,844   

St. Jude Medical

  100,342      6,562,367   

Stryker

  104,912      9,678,132   

†Varian Medical Systems

  35,132      3,305,570   

Zimmer Holdings

  59,390      6,979,513   
     

 

 

 
  140,816,529   
     

 

 

 

Health Care Providers & Services–2.73%

  

Aetna

  123,444      13,150,489   

AmerisourceBergen

  72,878      8,284,042   

Anthem

  94,788      14,636,215   

Cardinal Health

  116,161      10,485,853   

Cigna

  91,856      11,889,841   

†DaVita HealthCare Partners

  60,328      4,903,460   

†Express Scripts Holding

  257,632      22,354,729   

†HCA Holdings

  106,500      8,011,995   

†Henry Schein

  29,500      4,118,790   

Humana

  53,832      9,583,173   

†Laboratory Corporation of America Holdings

  34,947      4,406,467   

McKesson

  81,387      18,409,739   

Patterson

  30,024      1,464,871   

Quest Diagnostics

  50,611      3,889,455   

†Tenet Healthcare

  34,468      1,706,511   

UnitedHealth Group

  336,846      39,845,513   

Universal Health Services Class B

  32,000      3,766,720   
     

 

 

 
  180,907,863   
     

 

 

 

Health Care Technology–0.12%

  

†Cerner

  106,629      7,811,641   
     

 

 

 
  7,811,641   
     

 

 

 

Hotels, Restaurants & Leisure–1.68%

  

Carnival

  158,091      7,563,073   

†Chipotle Mexican Grill

  10,922      7,105,198   

Darden Restaurants

  43,530      3,018,370   

Marriott International Class A

  74,583      5,990,507   

McDonald’s

  341,618      33,287,258   

Royal Caribbean Cruises

  58,600      4,796,410   

Starbucks

  262,603      24,868,504   

Starwood Hotels & Resorts Worldwide

  62,705      5,235,868   
 

 

LVIP SSgA S&P 500 Index Fund–3


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Hotels, Restaurants & Leisure (continued)

  

Wyndham Worldwide

  43,873    $ 3,969,190   

Wynn Resorts

  28,350      3,568,698   

Yum Brands

  153,524      12,085,409   
     

 

 

 
  111,488,485   
     

 

 

 

Household Durables–0.45%

Garmin.

  42,324      2,011,236   

Harman International Industries

  24,006      3,207,922   

Horton (D.R.)

  116,474      3,317,180   

Leggett & Platt

  48,336      2,227,806   

Lennar Class A

  62,643      3,245,534   

†Mohawk Industries

  21,700      4,030,775   

Newell Rubbermaid

  95,104      3,715,713   

PulteGroup

  117,141      2,604,044   

Whirlpool

  27,308      5,517,854   
     

 

 

 
  29,878,064   
     

 

 

 

Household Products–1.79%

Clorox

  45,385      5,010,050   

Colgate-Palmolive

  300,652      20,847,210   

Kimberly-Clark

  130,731      14,002,597   

Procter & Gamble

  955,768      78,315,630   
     

 

 

 
  118,175,487   
     

 

 

 

Independent Power & Renewable Electricity
Producers–0.09%

  

AES

  230,215      2,958,263   

NRG Energy

  118,655      2,988,919   
     

 

 

 
  5,947,182   
     

 

 

 

Industrial Conglomerates–2.26%

  

3M

  224,871      37,092,471   

Danaher

  214,601      18,219,625   

General Electric

  3,562,369      88,382,375   

Roper Industries

  35,164      6,048,208   
     

 

 

 
  149,742,679   
     

 

 

 

Insurance–2.65%

ACE.

  116,397      12,977,102   

Aflac

  158,111      10,120,685   

Allstate

  147,172      10,474,231   

American International Group

  491,344      26,920,738   

Aon

  100,096      9,621,228   

Assurant

  25,316      1,554,656   

Chubb

  82,793      8,370,372   

Cincinnati Financial

  52,875      2,817,180   

†Genworth Financial

  184,251      1,346,875   

Hartford Financial Services Group

  151,389      6,331,088   

ßLincoln National

  91,136      5,236,675   

Loews

  105,008      4,287,477   

Marsh & McLennan

  189,869      10,649,752   

MetLife

  398,715      20,155,043   

Principal Financial Group

  95,833      4,922,941   

Progressive

  188,518      5,127,690   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Insurance (continued)

Prudential Financial

  160,725    $ 12,907,825   

Torchmark

  45,179      2,481,231   

Travelers

  116,306      12,576,168   

Unum Group

  89,211      3,009,087   

XL Group

  92,942      3,420,266   
     

 

 

 
  175,308,310   
     

 

 

 

Internet & Catalog Retail–1.31%

  

†Amazon.com

  134,758      50,143,452   

Expedia

  34,749      3,270,923   

†Netflix

  21,100      8,792,159   

†Priceline Group

  18,375      21,391,256   

†TripAdvisor

  39,134      3,254,775   
     

 

 

 
  86,852,565   
     

 

 

 

Internet Software & Services–3.34%

  

†Akamai Technologies

  62,403      4,433,421   

†eBay

  396,744      22,884,194   

Equinix

  20,000      4,657,000   

†Facebook Class A

  743,000      61,085,745   

†Google Class A

  101,120      56,091,264   

†Google Class C

  101,320      55,523,360   

†VeriSign

  39,387      2,637,747   

†Yahoo

  309,223      13,740,324   
     

 

 

 
  221,053,055   
     

 

 

 

IT Services–3.28%

Accenture Class A

  220,267      20,636,815   

†Alliance Data Systems

  22,400      6,636,000   

Automatic Data Processing

  169,168      14,487,548   

†Cognizant Technology Solutions

Class A

  213,716      13,333,741   

Computer Sciences

  49,285      3,217,325   

Fidelity National Information Services

  99,589      6,778,027   

†Fiserv

  85,612      6,797,593   

International Business Machines

  323,063      51,851,612   

MasterCard Class A

  343,920      29,711,249   

Paychex

  114,576      5,684,688   

†Teradata

  53,728      2,371,554   

Total System Services

  58,068      2,215,294   

Visa Class A

  685,528      44,840,386   

Western Union

  183,387      3,816,283   

Xerox

  376,585      4,839,117   
     

 

 

 
  217,217,232   
     

 

 

 

Leisure Products–0.08%

Hasbro

  39,684      2,509,616   

Mattel

  118,368      2,704,709   
     

 

 

 
  5,214,325   
     

 

 

 

Life Sciences Tools & Services–0.44%

  

Agilent Technologies

  117,037      4,862,887   

PerkinElmer

  39,675      2,028,980   
 

 

LVIP SSgA S&P 500 Index Fund–4


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

Life Sciences Tools & Services (continued)

  

Thermo Fisher Scientific

  140,353    $ 18,855,022   

†Waters

  29,216      3,632,133   
     

 

 

 
  29,379,022   
     

 

 

 

Machinery–1.43%

Caterpillar

  212,481      17,004,854   

Cummins

  59,629      8,266,965   

Deere

  119,900      10,514,031   

Dover

  58,351      4,033,221   

Flowserve

  47,884      2,704,967   

Illinois Tool Works

  126,219      12,260,914   

Ingersoll-Rand

  93,175      6,343,354   

Joy Global

  34,434      1,349,124   

PACCAR

  124,255      7,845,461   

Pall

  37,408      3,755,389   

Parker-Hannifin

  52,182      6,198,178   

Pentair

  65,594      4,125,207   

Snap-on

  20,375      2,996,348   

Stanley Black & Decker

  54,940      5,239,078   

Xylem

  63,873      2,236,832   
     

 

 

 
  94,873,923   
     

 

 

 

Media–3.46%

Cablevision Systems Class A

  76,841      1,406,190   

CBS Class B

  167,303      10,143,581   

Comcast Class A

  904,172      51,058,593   

†DIRECTV

  176,296      15,002,790   

†Discovery Communications Class A

  52,143      1,603,919   

†Discovery Communications Class C

  95,943      2,827,920   

Disney (Walt)

  553,390      58,045,077   

Gannett

  79,305      2,940,629   

Interpublic Group

  147,580      3,264,470   

†News Class A

  175,090      2,803,191   

Omnicom Group

  87,097      6,791,824   

Scripps Networks Interactive Class A

  35,653      2,444,370   

Time Warner

  294,333      24,853,479   

Time Warner Cable

  98,423      14,751,639   

Twenty-First Century Fox Class A

  650,757      22,021,617   

Viacom Class B

  129,623      8,853,251   
     

 

 

 
  228,812,540   
     

 

 

 

Metals & Mining–0.34%

Alcoa

  413,781      5,346,051   

Allegheny Technologies

  38,171      1,145,512   

Freeport-McMoRan Copper & Gold

  364,661      6,910,326   

Newmont Mining

  175,032      3,799,945   

Nucor

  111,943      5,320,651   
     

 

 

 
  22,522,485   
     

 

 

 

Multiline Retail–0.79%

Dollar General

  106,529      8,030,156   

†Dollar Tree

  72,160      5,855,423   

Family Dollar Stores

  34,715      2,750,817   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Multiline Retail (continued)

Kohl’s

  70,903    $ 5,548,160   

Macy’s

  121,217      7,868,195   

Nordstrom

  49,411      3,968,692   

Target

  223,538      18,345,764   
     

 

 

 
  52,367,207   
     

 

 

 

Multi-Utilities–1.15%

Ameren

  85,201      3,595,482   

CenterPoint Energy

  150,835      3,078,542   

CMS Energy

  96,538      3,370,142   

Consolidated Edison

  102,812      6,271,532   

Dominion Resources

  204,910      14,521,972   

DTE Energy

  62,092      5,010,203   

Integrys Energy Group

  28,036      2,019,153   

NiSource

  110,795      4,892,707   

PG&E

  166,773      8,850,643   

Public Service Enterprise Group

  177,589      7,444,531   

SCANA

  49,706      2,733,333   

Sempra Energy

  81,088      8,840,214   

TECO Energy

  78,862      1,529,923   

Wisconsin Energy

  79,034      3,912,183   
     

 

 

 
  76,070,560   
     

 

 

 

Oil, Gas & Consumable Fuels–6.61%

  

Anadarko Petroleum

  177,727      14,717,573   

Apache

  132,126      7,971,162   

Cabot Oil & Gas

  146,196      4,317,168   

Chesapeake Energy

  182,105      2,578,607   

Chevron

  663,534      69,657,799   

Cimarex Energy

  30,600      3,521,754   

ConocoPhillips

  432,010      26,896,943   

CONSOL Energy

  80,832      2,254,404   

Devon Energy

  135,014      8,142,694   

EOG Resources

  192,302      17,632,170   

EQT

  53,107      4,400,977   

Exxon Mobil

  1,486,210      126,327,850   

Hess

  89,220      6,055,361   

Kinder Morgan

  596,381      25,083,785   

Marathon Oil

  236,829      6,183,605   

Marathon Petroleum

  98,310      10,065,961   

Murphy Oil

  58,565      2,729,129   

†Newfield Exploration

  53,397      1,873,701   

Noble Energy

  132,085      6,458,957   

Occidental Petroleum

  272,198      19,870,454   

ONEOK

  73,077      3,525,234   

Phillips 66

  194,271      15,269,701   

Pioneer Natural Resources

  52,214      8,537,511   

QEP Resources

  58,167      1,212,782   

Range Resources

  59,106      3,075,876   

†Southwestern Energy

  133,050      3,085,430   

Spectra Energy

  235,490      8,517,673   

Tesoro

  44,961      4,104,490   
 

 

LVIP SSgA S&P 500 Index Fund–5


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

Valero Energy

  182,945    $ 11,638,961   

Williams

  236,118      11,945,210   
     

 

 

 
  437,652,922   
     

 

 

 

Paper & Forest Products–0.12%

  

International Paper

  148,701      8,251,418   
     

 

 

 
  8,251,418   
     

 

 

 

Personal Products–0.10%

Estee Lauder Class A

  78,567      6,533,632   
     

 

 

 
  6,533,632   
     

 

 

 

Pharmaceuticals–6.17%

AbbVie

  559,210      32,736,153   

†Actavis

  138,204      41,132,141   

Bristol-Myers Squibb

  582,226      37,553,577   

†Endo International

  58,300      5,229,510   

†Hospira

  59,371      5,215,149   

Johnson & Johnson

  982,381      98,827,529   

Lilly (Eli)

  343,852      24,980,848   

†Mallinckrodt

  40,800      5,167,320   

Merck

  1,000,581      57,513,396   

†Mylan

  130,905      7,769,212   

Perrigo

  49,451      8,186,613   

Pfizer

  2,169,248      75,468,138   

Zoetis

  175,921      8,143,383   
     

 

 

 
  407,922,969   
     

 

 

 

Professional Services–0.21%

Dun & Bradstreet

  13,178      1,691,528   

Equifax

  42,618      3,963,474   

Nielsen

  113,700      5,067,609   

Robert Half International

  47,717      2,887,833   
     

 

 

 
  13,610,444   
     

 

 

 

Real Estate Investment Trusts–2.42%

  

American Tower

  145,903      13,736,767   

Apartment Investment & Management

  56,213      2,212,544   

AvalonBay Communities

  46,348      8,076,139   

Boston Properties

  53,712      7,545,462   

Crown Castle International

  117,165      9,670,799   

Equity Residential

  127,142      9,899,276   

Essex Property Trust

  22,400      5,149,760   

General Growth Properties

  220,200      6,506,910   

HCP

  161,223      6,966,446   

Health Care REIT

  121,001      9,360,637   

Host Hotels & Resorts

  265,751      5,362,855   

Kimco Realty

  143,945      3,864,923   

Macerich

  49,310      4,158,312   

Plum Creek Timber

  61,686      2,680,257   

Prologis

  175,489      7,644,301   

Public Storage

  50,951      10,044,480   

Simon Property Group

  109,048      21,334,151   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Real Estate Investment Trusts (continued)

  

SL Green Realty

  34,900    $ 4,480,462   

Ventas

  112,295      8,199,781   

Vornado Realty Trust

  61,274      6,862,688   

Weyerhaeuser

  184,010      6,099,932   
     

 

 

 
  159,856,882   
     

 

 

 

Real Estate Management & Development–0.06%

  

†CBRE Group Class A

  98,176      3,800,393   
     

 

 

 
  3,800,393   
     

 

 

 

Road & Rail–0.94%

CSX

  349,404      11,572,260   

Kansas City Southern

  38,738      3,954,375   

Norfolk Southern

  108,632      11,180,405   

Ryder System

  18,586      1,763,626   

Union Pacific

  312,002      33,792,937   
     

 

 

 
  62,263,603   
     

 

 

 

Semiconductors & Semiconductor Equipment–2.34%

  

Altera

  108,227      4,644,021   

Analog Devices

  109,222      6,880,986   

Applied Materials

  427,653      9,647,852   

Avago Technologies

  88,800      11,275,824   

Broadcom Class A

  189,072      8,185,872   

†First Solar

  26,332      1,574,390   

Intel

  1,676,228      52,415,650   

KLA-Tencor

  57,921      3,376,215   

Lam Research

  56,750      3,985,836   

Linear Technology

  83,733      3,918,704   

Microchip Technology

  70,503      3,447,597   

†Micron Technology

  376,759      10,221,472   

NVIDIA

  180,310      3,772,987   

Skyworks Solutions

  66,900      6,575,601   

Texas Instruments

  370,724      21,199,852   

Xilinx

  92,855      3,927,767   
     

 

 

 
  155,050,626   
     

 

 

 

Software–3.51%

†Adobe Systems

  166,300      12,296,222   

†Autodesk

  79,903      4,685,512   

CA

  112,419      3,665,984   

†Citrix Systems

  56,456      3,605,845   

†Electronic Arts

  109,179      6,421,363   

Intuit

  100,240      9,719,270   

Microsoft

  2,903,588      118,045,370   

Oracle

  1,135,378      48,991,561   

†Red Hat

  65,903      4,992,152   

†salesforce.com

  214,136      14,306,426   

Symantec

  242,225      5,659,587   
     

 

 

 
  232,389,292   
     

 

 

 

Specialty Retail–2.43%

†AutoNation

  26,206      1,685,832   
 

 

LVIP SSgA S&P 500 Index Fund–6


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Specialty Retail (continued)

†AutoZone

  11,227    $ 7,658,610   

†Bed Bath & Beyond

  65,026      4,992,371   

Best Buy

  101,677      3,842,374   

†CarMax

  76,809      5,300,589   

GameStop Class A

  38,063      1,444,871   

Gap

  93,650      4,057,855   

Home Depot

  466,385      52,986,000   

L Brands

  86,243      8,131,852   

Lowe’s

  341,497      25,403,962   

†O’Reilly Automotive

  35,557      7,688,846   

Ross Stores

  73,613      7,755,866   

Staples

  224,535      3,656,552   

Tiffany

  39,515      3,477,715   

TJX

  241,746      16,934,307   

Tractor Supply

  47,700      4,057,362   

†Urban Outfitters

  35,117      1,603,091   
     

 

 

 
  160,678,055   
     

 

 

 

Technology Hardware, Storage & Peripherals–4.79%

  

Apple

  2,058,389      256,125,343   

EMC

  714,167      18,254,109   

Hewlett-Packard

  654,976      20,409,052   

NetApp

  111,843      3,965,953   

SanDisk

  78,527      4,995,888   

Seagate Technology

  114,872      5,976,790   

Western Digital

  76,652      6,976,099   
     

 

 

 
  316,703,234   
     

 

 

 

Textiles, Apparel & Luxury Goods–0.89%

  

Coach

  96,734      4,007,690   

†Fossil Group

  15,783      1,301,308   

Hanesbrands

  141,900      4,755,069   

†Michael Kors Holdings

  72,300      4,753,725   

NIKE Class B

  244,934      24,574,228   

PVH

  28,933      3,083,100   

Ralph Lauren

  21,272      2,797,268   

†Under Armour Class A

  58,500      4,723,875   

VF

  121,252      9,131,488   
     

 

 

 
  59,127,751   
     

 

 

 

Thrifts & Mortgage Finance–0.05%

  

Hudson City Bancorp

  168,852      1,769,569   

People’s United Financial

  108,817      1,654,018   
     

 

 

 
  3,423,587   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Tobacco–1.38%

Altria Group

  693,701    $ 34,698,924   

Lorillard

  126,367      8,258,083   

Philip Morris International

  545,316      41,078,654   

Reynolds American

  108,160      7,453,306   
     

 

 

 
  91,488,967   
     

 

 

 

Trading Companies & Distributors–0.18%

  

Fastenal

  95,603      3,961,310   

Grainger (W.W.)

  21,253      5,011,670   

†United Rentals

  36,000      3,281,760   
     

 

 

 
  12,254,740   
     

 

 

 

Total Common Stock
(Cost $4,304,417,753)

   

  6,462,297,372   
     

 

 

 

MONEY MARKET FUND–2.02%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  133,529,917      133,529,917   
     

 

 

 

Total Money Market Fund
(Cost $133,529,917)

   

  133,529,917   
     

 

 

 
  Principal
Amount°
     

SHORT-TERM INVESTMENTS–0.20%

  

U.S. Treasury Obligations–0.20%

  

U.S. Treasury Bills

¥0.002% 4/9/15

  1,065,000      1,064,997   

¥0.005% 4/16/15

  11,895,000      11,895,000   
     

 

 

 

Total Short-Term Investments
(Cost $12,959,984)

   

  12,959,997   
     

 

 

 
 

 

LVIP SSgA S&P 500 Index Fund–7


LVIP SSgA S&P 500 Index Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–99.89% (Cost $4,450,907,654)

$ 6,608,787,286   

« RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.11%

  7,424,755   
  

 

 

 

NET ASSETS APPLICABLE TO 447,617,695 SHARES OUTSTANDING–100.00%

  $ 6,616,212,041   
  

 

 

 

 

† Non-income producing for the period.

« Includes $1,251,295 cash pledged as collateral for futures contracts as of March 31, 2015.

ß Considered an affiliated company. Investments in companies considered to be affiliates of the Fund were as follows:

 

        Company        

Balance at
Beginning of
Period
  Gross
Additions
  Gross
Reductions
  Realized Gain
During the Period
  Value
03/31/15
  Dividend
Income
 

Lincoln National

$ 5,273,114    $ 284,888    $ (306,354 $ 8,203    $ 5,236,675    $ 18,287   

 

≠ The rate shown is the effective yield at the time of purchase.

° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

¥ Fully or partially pledged as collateral for derivatives.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional

Cost (Proceeds)

Notional

Value

Expiration

Date

Unrealized
Appreciation
(Depreciation)

1,432    E-mini S&P 500 Index

$147,368,135 $147,553,280 6/22/15 $185,145

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

REIT–Real Estate Investment Trust

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Total  

Common Stock

$ 6,462,297,372    $    $ 6,462,297,372   

Money Market Fund

  133,529,917           133,529,917   

Short-Term Investments

       12,959,997      12,959,997   
  

 

 

    

 

 

    

 

 

 

Total

$ 6,595,827,289    $ 12,959,997    $ 6,608,787,286   
  

 

 

    

 

 

    

 

 

 

Futures Contracts

$ 185,145    $    $ 185,145   
  

 

 

    

 

 

    

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA S&P 500 Index Fund–8


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–97.66%

  

Aerospace & Defense–1.61%

  

AAR

  35,998    $ 1,105,139   

†Aerovironment

  14,181      375,938   

American Science & Engineering

  6,301      307,867   

†Astronics

  16,576      1,221,651   

Cubic

  18,617      963,802   

Curtiss-Wright

  42,444      3,138,309   

†DigitalGlobe

  66,766      2,274,718   

†Ducommun

  6,800      176,120   

Engility Holdings

  13,900      417,556   

†Erickson

  7,600      32,832   

†Esterline Technologies

  28,022      3,206,277   

†GenCorp

  53,968      1,251,518   

HEICO

  58,418      3,567,587   

†KEYW Holding

  20,408      167,958   

†Kratos Defense & Security Solutions

  39,750      219,817   

†LMI Aerospace

  5,541      67,656   

†Moog Class A

  36,481      2,737,899   

National Presto Industries

  4,172      264,463   

SIFCO Industries

  400      8,716   

†Sparton

  6,600      161,700   

†TASER International

  48,945      1,180,064   

†Teledyne Technologies

  30,964      3,304,788   
     

 

 

 
  26,152,375   
     

 

 

 

Air Freight & Logistics–0.50%

†Air Transport Services Group

  43,976      405,459   

†Atlas Air Worldwide Holdings

  20,720      891,374   

†Echo Global Logistics

  20,591      561,311   

Forward Air

  27,839      1,511,658   

†Hub Group Class A

  32,944      1,294,370   

Park-Ohio Holdings

  7,516      395,868   

†UTi Worldwide

  82,600      1,015,980   

†XPO Logistics

  46,518      2,115,173   
     

 

 

 
  8,191,193   
     

 

 

 

Airlines–0.56%

Allegiant Travel

  12,184      2,342,861   

†Hawaiian Holdings

  37,025      815,476   

†JetBlue Airways

  218,383      4,203,873   

†Republic Airways Holdings

  46,349      637,299   

SkyWest

  46,892      685,092   

†Virgin America

  11,700      355,680   
     

 

 

 
  9,040,281   
     

 

 

 

Auto Components–1.19%

†American Axle & Manufacturing

Holdings

  60,381      1,559,641   

Cooper Tire & Rubber

  51,517      2,206,988   

†Cooper-Standard Holding

  12,600      745,920   

Dana Holding

  149,072      3,154,364   

†Dorman Products

  24,373      1,212,557   

Drew Industries

  21,204      1,304,894   

†Federal-Mogul Class A

  25,034      333,203   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Auto Components (continued)

  

†Fox Factory Holding

  6,400    $ 98,176   

†Fuel Systems Solutions

  8,782      96,953   

†Gentherm

  31,506      1,591,368   

†Metaldyne Performance Group

  10,000      180,200   

†Modine Manufacturing

  39,264      528,886   

†Motorcar Parts of America

  14,700      408,513   

Remy International

  25,900      575,239   

†Shiloh Industries

  8,074      113,359   

Spartan Motors

  20,504      99,444   

Standard Motor Products

  18,151      767,061   

†Stoneridge

  21,231      239,698   

Strattec Security

  2,500      184,600   

Superior Industries International

  19,207      363,589   

†Tenneco

  53,577      3,076,391   

†Tower International

  19,420      516,572   
     

 

 

 
  19,357,616   
     

 

 

 

Automobiles–0.03%

Winnebago Industries

  25,473      541,556   
     

 

 

 
  541,556   
     

 

 

 

Banks–7.39%

1st Source

  12,359      397,095   

American National Bankshares

  5,995      135,367   

Ameris Bancorp

  26,579      701,420   

Ames National

  4,997      124,175   

Arrow Financial

  10,315      280,052   

Banc of California

  27,838      342,686   

BancFirst

  5,593      341,061   

Banco Latinoamericano de Exportacions

  27,758      910,185   

†Bancorp

  26,347      237,913   

BancorpSouth

  85,231      1,979,064   

Bank of Kentucky Financial

  5,495      269,530   

Bank of Marin Bancorp

  5,149      262,084   

Bank of the Ozarks

  75,020      2,770,489   

Banner

  16,019      735,272   

BBCN Bancorp

  71,933      1,040,870   

†Blue Hills Bancorp

  24,053      317,981   

BNC Bancorp

  17,200      311,320   

Boston Private Financial Holdings

  72,638      882,552   

Bridge Bancorp

  10,192      263,259   

†Bridge Capital Holdings

  6,125      159,924   

Bryn Mawr Bank

  13,164      400,317   

Camden National

  5,058      201,511   

†Capital Bank Financial

  19,770      545,850   

Capital City Bank Group

  6,384      103,740   

Cardinal Financial

  29,821      595,824   

†Cascade Bancorp

  18,443      88,526   

Cathay General Bancorp

  70,703      2,011,500   

Centerstate Banks of Florida

  32,205      383,562   

Central Pacific Financial

  18,230      418,743   
 

 

LVIP SSgA Small-Cap Index Fund–1


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Banks (continued)

  

Century Bancorp Class A

  2,361    $ 93,732   

Chemical Financial

  29,812      934,904   

Citizens & Northern

  12,361      249,445   

City Holding

  14,497      681,794   

CNB Financial

  12,991      221,107   

CoBiz Financial

  29,853      367,789   

Columbia Banking System

  51,383           1,488,566   

Community Bank System

  36,446      1,289,824   

Community Trust Bancorp

  11,746      389,497   

†CommunityOne Bancorp

  5,605      55,153   

ConnectOne Bancorp

  19,969      388,597   

†CU Bancorp

  6,000      136,500   

†Customers Bancorp

  22,280      542,741   

CVB Financial

  94,559      1,507,270   

†Eagle Bancorp

  21,509      825,946   

Enterprise Bancorp

  6,760      143,650   

Enterprise Financial Services

  15,538      321,015   

Fidelity Southern

  12,915      218,005   

Financial Institutions

  11,888      272,592   

First Bancorp (Maine)

  5,538      96,638   

First Bancorp (North Carolina)

  19,585      343,913   

†First Bancorp (Puerto Rico)

  87,135      540,237   

First Busey

  57,291      383,277   

First Business Financial Services

  2,900      125,396   

First Citizens BancShares Class A

  8,500      2,207,365   

First Commonwealth Financial

  86,339      777,051   

First Community Bancshares

  17,663      309,632   

First Connecticut Bancorp

  16,728      257,109   

First Financial

  11,159      400,496   

First Financial Bancorp

  47,773      850,837   

First Financial Bankshares

  57,114      1,578,631   

First Interstate Bancsystem

  13,498      375,514   

First Merchants

  33,083      778,774   

First Midwest Bancorp

  67,755      1,176,904   

†First NBC Bank Holding

  14,200      468,316   

First of Long Island

  12,036      306,918   

FirstMerit

  145,907      2,780,987   

Flushing Financial

  28,330      568,583   

FNB

  153,984      2,023,350   

German American Bancorp

  10,082      296,713   

Glacier Bancorp

  66,374      1,669,306   

Great Southern Bancorp

  8,370      329,694   

Great Western Bancorp

  14,000      308,140   

†Green Bancorp

  5,400      60,372   

Guaranty Bancorp

  15,168      257,249   

Hancock Holding

  72,864      2,175,719   

Hanmi Financial

  29,620      626,463   

Heartland Financial USA

  12,338      402,589   

Heritage Commerce

  11,254      102,749   

Heritage Financial

  23,755      403,835   

Heritage Oaks Bancorp

  19,116      158,854   

Home Bancshares

  48,314      1,637,361   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Banks (continued)

  

†HomeTrust Bancshares

  20,577    $ 328,615   

Horizon Bancorp

  8,337      195,002   

Hudson Valley Holding

  14,338      366,479   

Iberiabank

  27,904           1,758,789   

Independent Bank

  16,600      212,978   

@Independent Bank (Massachusetts)

  23,184      1,017,082   

Independent Bank Group

  6,600      256,806   

International Bancshares

  48,864      1,271,930   

Investors Bancorp

  314,886      3,690,464   

Lakeland Bancorp

  33,778      388,447   

Lakeland Financial

  15,378      624,039   

LegacyTexas Financial Group

  36,427      827,986   

Macatawa Bank

  25,100      134,285   

MainSource Financial Group

  19,820      389,265   

MB Financial

  59,026      1,848,104   

Mercantile Bank

  15,733      307,580   

Merchants Bancshares

  2,742      79,984   

†Meridian Bancorp

  14,154      186,408   

Metro Bancorp

  13,810      380,742   

MidSouth Bancorp

  4,611      68,012   

MidWestOne Financial Group

  3,742      107,882   

National Bank Holdings Class A

  29,752      559,635   

National Bankshares

  3,739      111,572   

National Penn Bancshares

  111,413      1,199,918   

NBT Bancorp

  39,939      1,000,871   

NewBridge Bancorp

  24,200      215,864   

Northrim BanCorp

  3,625      88,957   

OFG Bancorp

  41,388      675,452   

Old Line Bancshares

  7,600      120,080   

Old National Bancorp

  105,225      1,493,143   

Opus Bank

  5,800      179,104   

Pacific Continental

  11,170      147,667   

†Pacific Premier Bancorp

  14,000      226,660   

Palmetto Bancshares

  800      15,200   

Park National

  11,876      1,016,111   

Park Sterling

  30,733      218,204   

Peapack Gladstone Financial

  15,091      325,966   

Penns Woods Bancorp

  5,076      248,267   

Peoples Bancorp

  9,640      227,890   

Peoples Financial Services

  5,500      246,785   

Pinnacle Financial Partners

  31,804      1,414,006   

Preferred Bank

  10,329      283,738   

PrivateBancorp

  63,405      2,229,954   

Prosperity Bancshares

  61,351      3,219,700   

Renasant

  28,696      862,315   

Republic Bancorp Class A

  6,086      150,507   

†Republic First Bancorp

  13,200      47,916   

S&T Bancorp

  27,156      770,687   

Sandy Spring Bancorp

  21,513      564,286   

†Seacoast Banking Corp of Florida

  17,844      254,634   

Sierra Bancorp

  8,220      137,274   

Simmons First National Class A

  20,041      911,264   
 

 

LVIP SSgA Small-Cap Index Fund–2


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Banks (continued)

  

South State

  21,591    $ 1,476,608   

Southside Bancshares

  20,058      575,464   

Southwest Bancorp

  19,498      346,869   

†Square 1 Financial Class A

  7,900      211,483   

State Bank Financial

  32,428      680,988   

Sterling Bancorp

  81,933      1,098,722   

Stock Yards Bancorp

  13,055      449,484   

Stonegate Bank

  7,200      217,368   

Suffolk Bancorp

  11,049      262,524   

†Sun Bancorp

  5,281      99,864   

Susquehanna Bancshares

  166,010      2,275,997   

Talmer Bancorp Class A

  12,700      194,501   

†Texas Capital Bancshares

  40,515      1,971,055   

Tompkins Financial

  13,697      737,583   

TowneBank

  41,190      662,335   

Trico Bancshares

  19,153      462,162   

†Tristate Capital Holdings

  22,700      237,669   

†Triumph Bancorp

  9,300      127,038   

Trustmark

  60,279      1,463,574   

UMB Financial

  33,582      1,776,152   

Umpqua Holdings

  147,181      2,528,570   

Union Bankshares

  42,031      933,509   

United Bankshares

  61,135      2,297,453   

United Community Banks

  41,756      788,353   

Univest of Pennsylvania

  13,432      265,819   

Valley National Bancorp

  201,199      1,899,319   

Washington Trust Bancorp

  12,675      484,058   

Webster Financial

  79,653      2,951,144   

Wesbanco

  29,610      964,694   

West Bancorporation

  11,475      228,238   

Westamerica Bancorporation

  23,781      1,027,577   

†Western Alliance Bancorp

  66,990      1,985,584   

Wilshire Bancorp

  59,947      597,672   

Wintrust Financial

  41,307      1,969,518   

†Yadkin Financial

  18,486      375,266   
     

 

 

 
  120,347,691   
     

 

 

 

Beverages–0.17%

†Boston Beer Class A

  7,416      1,983,038   

Coca-Cola Bottling Consolidated

  4,013      453,710   

†Craft Brewers Alliance

  6,450      87,978   

†National Beverage

  12,367      301,878   
     

 

 

 
  2,826,604   
     

 

 

 

Biotechnology–6.00%

†ACADIA Pharmaceuticals

  69,500      2,265,005   

†Acceleron Pharma

  15,200      578,512   

†Achillion Pharmaceuticals

  102,672      1,012,346   

†Acorda Therapeutics

  37,271      1,240,379   

†Actinium Pharmaceuticals

  14,300      35,321   

†Aegerion Pharmaceuticals

  27,043      707,715   

†Agenus

  45,000      230,850   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Biotechnology (continued)

  

†Agios Pharmaceuticals

  13,100    $      1,235,330   

†Akebia Therapeutics

  5,700      63,327   

†Alder Biopharmaceuticals

  10,200      294,372   

†AMAG Pharmaceuticals

  22,929      1,253,299   

†Anacor Pharmaceuticals

  29,451      1,703,740   

†Applied Genetic Technologies

  6,000      119,940   

†Ardelyx

  5,700      74,613   

†Arena Pharmaceuticals

  199,343      871,129   

†ARIAD Pharmaceuticals

  149,400      1,231,056   

†Array BioPharma

  126,233      930,337   

†Arrowhead Research

  52,400      354,486   

†Atara Biotherapeutics

  6,200      257,734   

†Auspex Pharmaceuticals

  9,600      962,592   

†Avalanche Biotechnologies

  7,700      312,004   

†BioCryst Pharmaceuticals

  64,700      584,241   

†BioSpecifics Technologies

  3,700      144,855   

†Biotime

  49,144      244,246   

†Bluebird Bio

  21,800      2,632,786   

†Celldex Therapeutics

  85,840      2,392,361   

†Cellular Dynamics International

  6,100      100,223   

†Cepheid

  61,306      3,488,311   

†ChemoCentryx

  15,750      118,913   

†Chimerix

  27,200      1,025,168   

†Clovis Oncology

  21,935      1,628,235   

†Coherus Biosciences

  7,200      220,176   

†CTI BioPharma

  108,200      195,842   

†Cytokinetics

  32,466      220,119   

†Cytori Therapeutics

  30,696      36,221   

†CytRx

  40,400      136,148   

†Dermira

  5,900      90,565   

=Durata Therapeutics

  14,227      11,808   

†Dyax

  120,531      2,019,497   

†Dynavax Technologies

  22,157      496,982   

†Emergent BioSolutions

  24,548      706,000   

†Enanta Pharmaceuticals

  7,500      229,650   

†Epizyme

  9,300      174,654   

†Exact Sciences

  78,750      1,734,075   

†Exelixis

  170,468      438,103   

†Five Prime Therapeutics

  17,800      406,730   

†Foundation Medicine

  12,400      596,564   

†Galectin Therapeutics

  13,000      43,550   

†Galena Biopharma

  84,600      117,594   

†Genomic Health

  15,677      478,932   

†Geron

  134,144      505,723   

†Halozyme Therapeutic

  92,443      1,320,086   

†Heron Therapeutics

  22,800      331,740   

†Hyperion Therapeutics

  12,434      570,721   

†Idera Pharmaceuticals

  82,800      307,188   

†ImmunoGen

  67,993      608,537   

†Immunomedics

  64,026      245,220   

†Infinity Pharmaceuticals

  39,224      548,352   

†Inovio Pharmaceuticals

  59,400      484,704   
 

 

LVIP SSgA Small-Cap Index Fund–3


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Biotechnology (continued)

  

†Insmed

  46,000    $ 956,800   

†Insys Therapeutics

  8,750      508,637   

†Intrexon

  33,700           1,528,969   

†Ironwood Pharmaceuticals

  106,372      1,701,952   

†Isis Pharmaceuticals

  102,741      6,541,519   

†Karyopharm Therapeutics

  13,400      410,174   

†Keryx Biopharmaceuticals

  92,887      1,182,452   

†Kindred Biosciences

  11,000      78,540   

†KYTHERA Biopharmaceuticals

  14,446      724,467   

†Lexicon Pharmaceutical

  168,816      159,413   

†Ligand Pharmaceuticals Class B

  17,665      1,362,148   

†MacroGenics

  18,500      580,345   

†MannKind

  210,036      1,092,187   

†Merrimack Pharmaceuticals

  90,670      1,077,160   

†MiMedx Group

  84,700      880,880   

†Momenta Pharmaceuticals

  44,382      674,606   

†NanoViricides

  29,000      65,250   

†Navidea Biopharmaceuticals

  114,850      182,611   

†Neuralstem

  49,800      94,620   

†Neurocrine Biosciences

  74,353      2,952,558   

†NewLink Genetics

  16,447      899,815   

†Northwest Biotherapeutics

  25,700      189,409   

†Novavax

  211,336      1,747,749   

†Ohr Pharmaceutical

  15,200      38,608   

†OncoMed Pharmaceuticals

  12,100      311,938   

†Oncothyreon

  51,200      83,456   

†Ophthotech

  11,900      553,707   

†OPKO Health

  174,039      2,466,133   

†Orexigen Therapeutics

  111,420      872,419   

†Organovo Holdings

  45,200      160,008   

†Osiris Therapeutics

  15,147      266,284   

†OvaScience

  15,800      548,734   

PDL BioPharma

  145,081      1,020,645   

†Peregrine Pharmaceuticals

  135,900      183,465   

†Portola Pharmaceuticals

  38,100      1,446,276   

†Progenics Pharmaceuticals

  66,198      395,864   

†Prothena

  24,600      938,244   

†PTC Therapeutics

  21,800      1,326,530   

†Puma Biotechnology

  21,600      5,099,976   

†Raptor Pharmaceutical

  50,730      551,435   

†Receptos

  19,400      3,198,866   

†Regulus Therapeutics

  14,327      242,699   

†Repligen

  26,525      805,299   

†Retrophin

  21,100      505,556   

†Rigel Pharmaceuticals

  61,674      220,176   

†Sage Therapeutics

  5,400      271,242   

†Sangamo Biosciences

  61,289      961,012   

†Sarepta Therapeutics

  32,100      426,288   

†Spark Therapeutics

  7,100      550,250   

†Spectrum Pharmaceuticals

  63,225      383,776   

†Stemline Therapeutics

  14,700      212,709   

†Sunesis Pharmaceuticals

  39,097      95,788   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Biotechnology (continued)

  

†Synageva BioPharma

  20,607    $ 2,009,801   

†Synergy Pharmaceuticals

  86,618      400,175   

†Synta Pharmaceuticals

  46,890      90,967   

†TESARO

  18,704      1,073,610   

†TG Therapeutics

  20,600      318,888   

†Threshold Pharmaceuticals

  48,147      195,477   

†Ultragenyx Pharmaceutical

  7,400      459,466   

†Vanda Pharmaceuticals

  29,481      274,173   

†Veracyte

  4,300      31,304   

†Verastem

  28,203      286,825   

†Versartis

  5,000      91,850   

†Xencor

  11,100      170,052   

†XOMA

  89,370      325,307   

†ZIOPHARM Oncology

  81,734      880,275   
     

 

 

 
    97,706,721   
     

 

 

 

Building Products–0.82%

AAON

  38,517      944,822   

†American Woodmark

  9,775      534,986   

Apogee Enterprises

  26,147      1,129,550   

†Builders FirstSource

  41,066      273,910   

†Continental Building Products

  9,600      216,864   

†Gibraltar Industries

  23,856      391,477   

Griffon

  35,364      616,395   

Insteel Industries

  15,439      333,946   

†Masonite International

  26,200      1,762,212   

†NCI Building Systems

  27,891      481,956   

†Norcraft

  6,800      173,876   

†Nortek

  7,276      642,107   

†Patrick Industries

  6,101      379,909   

†PGT

  43,195      482,704   

†Ply Gem Holdings

  19,100      248,300   

Quanex Building Products

  33,352      658,368   

Simpson Manufacturing

  36,989      1,382,279   

†Trex

  29,894      1,630,120   

†Trinseo

  10,600      209,880   

Universal Forest Products

  16,570      919,304   
     

 

 

 
  13,412,965   
     

 

 

 

Capital Markets–1.53%

†Altisource Asset Management

  1,000      185,130   

Arlington Asset Investment Class A

  20,885      502,493   

BGC Partners Class A

  155,909      1,473,340   

Calamos Asset Management Class A

  11,459      154,124   

CIFC

  325      2,486   

Cohen & Steers

  17,769      727,641   

CorEnergy Infrastructure Trust

  42,700      295,911   

†Cowen Group Class A

  107,635      559,702   

Diamond Hill Investment Group

  2,432      389,120   

Evercore Partners Class A

  29,492      1,523,557   

†FBR

  5,231      120,888   

Fifth Street Asset Management

  5,200      58,604   
 

 

LVIP SSgA Small-Cap Index Fund–4


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Capital Markets (continued)

  

Financial Engines

  45,622    $ 1,908,368   

FXCM Class A

  32,953      70,190   

GAMCO Investors

  5,496      431,491   

Greenhill

  25,590      1,014,643   

Hannon Armstrong Sustainable Infrastructure Capital

  25,100      458,828   

HFF Class A

  29,681      1,114,225   

†INTL. FCStone

  14,724      437,745   

†Investment Technology Group

  29,942      907,542   

Janus Capital Group

  132,400      2,275,956   

†KCG Holdings

  38,166      467,915   

†Ladenburg Thalmann Financial Services

  83,408      321,955   

Manning & Napier

  12,216      158,930   

†Marcus & Millichap

  7,400      277,352   

Moelis & Co

  5,300      159,636   

OM Asset Management

  18,400      342,976   

Oppenheimer Holdings Class A

  7,302      171,305   

†Piper Jaffray

  15,268      800,959   

Pzena Investment Management Class A

  4,622      42,384   

†Safeguard Scientifics

  17,820      322,186   

Silvercrest Asset Management Group Class A

  7,300      104,025   

†Stifel Financial

  57,647      3,213,820   

@=Teton Advisors Class B

  19      0   

Virtus Investment Partners

  6,472      846,343   

†Walter Investment Management

  35,218      568,771   

Westwood Holdings Group

  7,114      428,974   

WisdomTree Investments

  95,508      2,049,602   
     

 

 

 
    24,889,117   
     

 

 

 

Chemicals–2.06%

American Vanguard

  19,795      210,223   

Axiall

  61,621      2,892,490   

Balchem

  27,107      1,501,186   

Calgon Carbon

  44,040      927,923   

Chase

  4,411      192,893   

†Chemtura

  64,720      1,766,209   

=Chemtura

  37,800      0   

†Ferro

  67,287      844,452   

†Flotek Industries

  50,886      750,060   

Fuller (H.B.)

  44,409      1,903,814   

FutureFuel

  17,308      177,753   

Hawkins

  8,139      309,201   

Innophos Holdings

  19,764      1,113,899   

Innospec

  22,604      1,048,600   

†Intrepid Potash

  51,400      593,670   

KMG Chemicals

  9,772      261,206   

Koppers Holdings

  14,660      288,509   

†Kraton Performance Polymers

  30,441      615,213   

Kronos Worldwide

  15,200      192,280   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Chemicals (continued)

  

†Landec

  20,233    $ 282,250   

†LSB Industries

  17,761      734,062   

†Marrone Bio Innovations

  3,600      13,932   

Minerals Technologies

  30,564      2,234,228   

Olin

  70,017      2,243,345   

OM Group

  26,741      803,032   

†OMNOVA Solutions

  39,840      339,835   

PolyOne

  78,464      2,930,630   

Quaker Chemical

  12,013      1,028,793   

†Rentech

  182,573      204,482   

Schulman (A.)

  24,131      1,163,114   

†Senomyx

  30,800      135,828   

Sensient Technologies

  43,595      3,002,824   

Stepan

  17,670      736,132   

†Trecora Resources

  17,392      212,182   

Tredegar

  23,630      475,199   

Tronox

  55,400      1,126,282   

Zep

  18,945      322,633   
     

 

 

 
    33,578,364   
     

 

 

 

Commercial Services & Supplies–2.22%

  

ABM Industries

  49,923      1,590,547   

†ACCO Brands

  94,724      787,156   

†ARC Document Solutions

  31,770      293,237   

Brady Class A

  43,137      1,220,346   

Brink’s

  43,557      1,203,480   

†Casella Waste Systems

  36,534      200,937   

Ceco Environmental

  13,767      146,068   

†Cenveo

  27,711      59,302   

†Cimpress

  29,434      2,483,641   

Civeo

  68,000      172,720   

Deluxe

  44,140      3,058,019   

Ennis

  23,860      336,903   

G&K Services Class A

  17,861      1,295,458   

Healthcare Services Group

  62,281      2,001,089   

†Heritage-Crystal Clean

  4,288      50,170   

Herman Miller

  52,887      1,468,143   

HNI

  39,975      2,205,421   

†InnerWorkings

  28,357      190,559   

Interface Class A

  60,321      1,253,470   

James River Holdings L

  9,600      225,888   

Kimball International Class B

  26,702      279,837   

Knoll

  40,182      941,464   

†Lendingtree

  5,905      330,739   

†Liberty Tax

  1,700      47,311   

McGrath RentCorp

  20,640      679,262   

Mobile Mini

  41,566      1,772,374   

MSA Safety

  26,518      1,322,718   

Multi-Color

  10,092      699,678   

†Neff Class CL A

  6,900      72,726   

†NL Industries

  4,936      38,254   

†Performant Financial

  28,495      96,883   
 

 

LVIP SSgA Small-Cap Index Fund–5


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Commercial Services & Supplies (continued)

  

Quad Graphics

  23,523    $ 540,559   

†SP Plus

  12,197      266,504   

Steelcase Class A

  74,034      1,402,204   

†Team

  16,413      639,779   

Tetra Tech

  52,691      1,265,638   

UniFirst

  13,167      1,549,624   

United Stationers

  35,219      1,443,627   

US Ecology

  19,519      975,364   

Viad

  15,713      437,136   

West

  34,700      1,170,431   
     

 

 

 
  36,214,666   
     

 

 

 

Communications Equipment–1.51%

  

ADTRAN

  46,848      874,652   

†Aerohive Networks

  11,200      49,952   

Alliance Fiber Optic Products

  10,600      184,652   

†Applied Optoelectronics

  10,700      148,516   

†Aruba Networks

  94,388      2,311,562   

Bel Fuse Class B

  6,538      124,418   

Black Box

  12,650      264,765   

†CalAmp

  33,272      538,674   

†Calix

  32,331      271,257   

†Ciena

  93,240      1,800,464   

†Clearfield

  8,300      123,006   

Comtech Telecommunications

  12,775      369,836   

†Digi International

  14,522      144,930   

†Emulex

  65,406      521,286   

†Extreme Networks

  71,245      225,134   

†Finisar

  91,867      1,960,442   

†Harmonic

  75,788      561,589   

†Infinera

  108,741      2,138,935   

InterDigital

  33,088      1,678,885   

†Ixia

  49,691      602,752   

†KVH Industries

  16,575      250,614   

†NETGEAR

  31,334      1,030,262   

†Numerex Class A

  7,573      86,332   

†Oclaro

  67,800      134,244   

†Parkervision

  57,733      47,918   

Plantronics

  37,751      1,998,915   

†Polycom

  123,000      1,648,200   

†Procera Networks

  18,335      172,166   

†Ruckus Wireless

  52,211      671,956   

†ShoreTel

  52,268      356,468   

†Sonus Networks

  39,702      312,852   

TESSCO Technologies

  2,972      73,290   

Ubiquiti Networks

  27,029      798,707   

†ViaSat

  36,546      2,178,507   
     

 

 

 
  24,656,138   
     

 

 

 

Construction & Engineering–0.69%

  

†Aegion

  35,228      635,865   

†Ameresco Class A

  10,729      79,395   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Construction & Engineering (continued)

  

Argan

  12,051    $ 435,885   

Comfort Systems USA

  34,836      732,949   

†Dycom Industries

  31,029      1,515,456   

EMCOR Group

  55,177      2,564,075   

†Furmanite

  33,418      263,668   

Granite Construction

  35,140      1,234,820   

†Great Lakes Dredge & Dock

  52,797      317,310   

†Layne Christensen

  10,946      54,839   

†MasTec

  58,678      1,132,485   

†MYR Group

  19,994      626,612   

†Northwest Pipe

  8,096      185,803   

†Orion Marine Group

  17,195      152,348   

Primoris Services

  30,838      530,105   

†Sterling Construction

  9,910      44,793   

†Tutor Perini

  30,983      723,453   
     

 

 

 
  11,229,861   
     

 

 

 

Construction Materials–0.10%

  

†Headwaters

  60,823      1,115,494   

United States Lime & Minerals

  1,487      95,912   

†US Concrete

  12,000      406,560   
     

 

 

 
  1,617,966   
     

 

 

 

Consumer Finance–0.64%

Cash America International

  26,856      625,745   

†Consumer Portfolio Services

  14,500      101,355   

†Credit Acceptance

  5,801      1,131,195   

†Encore Capital Group

  23,363      971,667   

†Enova International

  24,223      476,951   

†Ezcorp Class A

  43,419      396,415   

†First Cash Financial Services

  26,017      1,210,311   

†Green Dot Class A

  24,241      385,917   

Nelnet Class A

  19,438      919,806   

†Nicholas Financial

  6,497      91,023   

†PRA Group

  44,323      2,407,625   

†Regional Management

  11,943      176,279   

†Springleaf Holdings

  20,400      1,056,108   

†World Acceptance

  7,301      532,389   
     

 

 

 
  10,482,786   
     

 

 

 

Containers & Packaging–0.47%

  

†AEP Industries

  2,547      140,187   

†Berry Plastics Group

  79,287      2,869,397   

Graphic Packaging Holding

  286,996      4,172,922   

Myers Industries

  24,897      436,444   

†UFP Technologies

  3,077      70,094   
     

 

 

 
  7,689,044   
     

 

 

 

Distributors–0.27%

Core-Mark Holding

  20,730      1,333,354   

Pool

  39,771      2,774,425   

†VOXX International Class A

  11,189      102,491   
 

 

LVIP SSgA Small-Cap Index Fund–6


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Distributors (continued)

  

Weyco Group

  4,458    $ 133,294   
     

 

 

 
  4,343,564   
     

 

 

 

Diversified Consumer Services–0.96%

  

†2U

  7,400      189,292   

†American Public Education

  13,160      394,537   

†Ascent Capital Group Class A

  12,977      516,614   

†Bridgepoint Education

  15,373      148,349   

†Bright Horizons Family Solutions

  25,263      1,295,234   

Capella Education

  8,980      582,622   

†Career Education

  62,568      314,717   

Carriage Services

  13,935      332,628   

†Chegg

  68,600      545,370   

Collectors Universe

  8,200      184,992   

†Grand Canyon Education

  41,408      1,792,966   

†Houghton Mifflin Harcourt

  96,700      2,270,516   

†ITT Educational Services

  15,000      101,850   

†K12

  32,200      506,184   

†LifeLock

  66,181      933,814   

Matthews International Class A

  26,710      1,375,832   

†Regis

  36,946      604,437   

Sotheby’s

  53,875      2,276,758   

†Steiner Leisure

  12,380      586,812   

†Strayer Education

  9,165      489,503   

Universal Technical Institute

  12,295      118,032   

†Weight Watchers International

  20,000      139,800   
     

 

 

 
  15,700,859   
     

 

 

 

Diversified Financial Services–0.33%

  

†FCB Financial Holdings Class A

  7,700      210,749   

Gain Capital Holdings

  22,453      219,366   

†JG Wentworth

  5,000      51,950   

MarketAxess Holdings

  33,285      2,759,327   

Marlin Business Services

  5,686      113,891   

†NewStar Financial

  27,098      317,860   

†On Deck Capital

  10,100      215,029   

†PHH

  45,852      1,108,243   

†PICO Holdings

  17,571      284,826   

RCS Capital

  7,300      77,672   

Resource America Class A

  6,711      61,070   
     

 

 

 
  5,419,983   
     

 

 

 

Diversified Telecommunication Services–0.61%

  

†8x8

  84,640      710,976   

Atlantic Tele-Network

  7,492      518,596   

†Cincinnati Bell

  168,526      594,897   

Cogent Communications Group

  41,604      1,469,869   

Consolidated Communications Holdings

  46,735      953,394   

†FairPoint Communications

  19,237      338,571   

†General Communication Class A

  32,619      514,075   

†Globalstar

  253,000      842,490   

†Hawaiian Telcom Holdco

  9,271      246,887   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Diversified Telecommunication Services (continued)

  

IDT Class B

  16,415    $ 291,366   

†InContact

  48,894      532,945   

Inteliquent

  25,889      407,493   

†Intelsat

  19,800      237,600   

†Iridium Communications

  65,550      636,491   

Lumos Networks

  13,157      200,776   

†magicJack VocalTec

  10,994      75,199   

†ORBCOMM

  39,294      234,585   

†Premiere Global Services

  39,536      377,964   

†Vonage Holdings

  160,053      785,860   
     

 

 

 
  9,970,034   
     

 

 

 

Electric Utilities–1.36%

Abengoa Yield

  26,029      879,260   

ALLETE

  39,383      2,077,847   

Cleco

  53,187      2,899,755   

El Paso Electric

  36,141      1,396,488   

Empire District Electric

  39,314      975,773   

IDACORP

  44,376      2,789,919   

MGE Energy

  31,026      1,375,072   

NRG Yield Class A

  21,400      1,085,622   

Otter Tail

  32,881      1,057,782   

PNM Resources

  70,636      2,062,571   

Portland General Electric

  69,014      2,559,729   

UIL Holdings

  49,940      2,567,915   

Unitil

  11,541      401,281   
     

 

 

 
  22,129,014   
     

 

 

 

Electrical Equipment–0.94%

AZZ

  23,127      1,077,487   

†Capstone Turbine

  284,287      184,787   

Encore Wire

  19,026      720,705   

EnerSys

  39,006      2,505,745   

†Enphase Energy

  18,600      245,334   

Franklin Electric

  42,540      1,622,476   

†FuelCell Energy

  193,034      241,293   

†Generac Holdings

  60,682      2,954,607   

General Cable

  44,800      771,904   

Global Power Equipment Group

  10,815      142,758   

†GrafTech International

  87,000      338,430   

LSI Industries

  13,077      106,578   

†Plug Power

  159,000      411,810   

†Polypore International

  39,900      2,350,110   

Powell Industries

  6,608      223,152   

†Power Solutions International

  3,200      205,728   

†PowerSecure International

  18,500      243,460   

Preformed Line Products

  1,286      54,179   

†Revolution Lighting Technologies

  30,400      33,744   

†Thermon Group Holdings

  29,403      707,730   

†Vicor

  11,771      178,919   
     

 

 

 
  15,320,936   
     

 

 

 
 

 

LVIP SSgA Small-Cap Index Fund–7


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Electronic Equipment, Instruments & Components–2.64%

  

†Agilysys

  10,614    $ 104,442   

†Anixter International

  24,101      1,834,809   

Badger Meter

  13,261      794,864   

Belden

  38,342      3,587,278   

†Benchmark Electronics

  48,566      1,167,041   

Checkpoint Systems

  39,172      423,841   

†Cognex

  76,330      3,785,205   

†Coherent

  22,232      1,444,191   

†Control4

  6,500      77,870   

CTS

  26,711      480,531   

†CUI Global

  14,900      87,314   

Daktronics

  33,261      359,551   

†DTS

  15,365      523,486   

Electro Rent

  16,047      181,973   

Electro Scientific Industries

  13,023      80,482   

†Fabrinet

  32,641      619,853   

†FARO Technologies

  14,299      888,397   

FEI

  37,211      2,840,688   

=Gerber Scientific

  6,600      0   

†GSI Group

  26,763      356,483   

†II-VI

  47,951      885,175   

†Imprivata

  6,500      91,000   

†Insight Enterprises

  37,003      1,055,326   

†InvenSense

  58,752      893,618   

†Itron

  35,200      1,285,152   

†KEMET

  26,326      108,990   

†Kimball Electronics

  20,026      283,168   

Littelfuse

  20,006      1,988,396   

†Maxwell Technologies

  24,876      200,501   

†Mercury Computer Systems

  28,051      436,193   

Mesa Laboratories

  2,530      182,666   

Methode Electronics

  33,866      1,593,057   

MTS Systems

  13,657      1,033,152   

†Multi-Fineline Electronix

  5,497      100,430   

†Newport

  36,649      698,530   

†OSI Systems

  17,868      1,326,878   

Park Electrochemical

  15,488      333,921   

PC Connection

  8,824      230,218   

†Plexus

  30,463      1,241,977   

†RealD

  34,440      440,488   

†Rofin-Sinar Technologies

  26,047      631,119   

†Rogers

  16,252      1,336,077   

†Sanmina

  73,295      1,773,006   

†ScanSource

  25,837      1,050,274   

†Speed Commerce

  43,000      27,464   

SYNNEX

  25,323      1,956,202   

†TTM Technologies

  40,422      364,202   

†Universal Display

  36,241      1,694,267   

†Viasystems Group

  1,851      32,374   

†Vishay Precision Group

  7,609      121,211   
     

 

 

 
  43,033,331   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Energy Equipment & Services–0.96%

  

†Basic Energy Services

  23,879    $ 165,481   

Bristow Group

  31,591      1,720,130   

†C&J Energy Services

  35,529      395,438   

CARBO Ceramics

  18,200      555,282   

†CHC Group

  25,200      33,516   

†Dawson Geophysical

  9,511      40,612   

†Era Group

  17,100      356,364   

Exterran Holdings

  52,100      1,748,997   

†Forum Energy Technologies

  53,846      1,055,382   

†Geospace Technologies

  8,853      146,163   

Gulf Island Fabrication

  15,379      228,532   

Gulfmark Offshore

  21,498      280,334   

†Helix Energy Solutions Group

  94,456      1,413,062   

†Hercules Offshore

  110,376      46,270   

†Hornbeck Offshore Services

  33,459      629,364   

†ION Geophysical

  93,938      203,845   

†Key Energy Services

  106,617      194,043   

†Matrix Service

  20,607      361,859   

†McDermott International

  218,100      837,504   

†Mitcham Industries

  7,277      33,474   

†Natural Gas Services Group

  7,585      145,784   

†Newpark Resources

  77,841      709,132   

Nordic American Offshore

  11,100      101,676   

North Atlantic Drill

  50,600      58,696   

†Nuverra Environmental Solutions

  13,492      48,032   

†Parker Drilling

  92,445      322,633   

†PHI

  10,182      306,275   

†Pioneer Energy Services

  43,983      238,388   

†RigNet

  9,674      276,580   

†SEACOR Holdings

  16,700      1,163,489   

†TerraForm Power Class A

  23,700      865,287   

Tesco

  27,946      317,746   

†TETRA Technologies

  79,142      489,098   

†Vantage Drilling

  144,726      47,398   

†Willbros Group

  28,802      95,335   
     

 

 

 
  15,631,201   
     

 

 

 

Food & Staples Retailing–0.96%

  

Andersons

  25,363      1,049,267   

Casey’s General Stores

  33,912      3,055,471   

†Chefs’ Warehouse Holdings

  15,895      356,525   

†Fairway Group Holdings

  10,100      68,377   

†Fresh Market

  38,200      1,552,448   

Ingles Markets Class A

  11,131      550,762   

†Natural Grocers by Vitamin Cottage

  7,253      200,255   

PriceSmart

  16,832      1,430,383   

†Roundy’s

  24,045      117,580   

†Smart & Final Stores

  10,200      179,520   

SpartanNash

  34,258      1,081,182   

†SUPERVALU

  180,047      2,093,947   

†United Natural Foods

  43,599      3,358,867   

Village Super Market Class A

  4,613      145,033   
 

 

LVIP SSgA Small-Cap Index Fund–8


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Food & Staples Retailing (continued)

  

Weis Markets

  9,200    $ 457,792   
     

 

 

 
  15,697,409   
     

 

 

 

Food Products–1.43%

Alico

  2,463      126,253   

B&G Foods Class A

  48,014      1,413,052   

†Boulder Brands

  56,713      540,475   

Calavo Growers

  13,454      691,805   

Cal-Maine Foods

  28,030      1,094,852   

†Darling International

  145,559      2,039,282   

Dean Foods

  83,700      1,383,561   

†Diamond Foods

  17,771      578,801   

†Farmer Bros

  5,201      128,725   

Fresh Del Monte Produce

  29,556      1,150,024   

†Inventure Foods

  13,960      156,212   

J&J Snack Foods

  13,387      1,428,393   

John B. Sanfilippo & Son

  7,302      314,716   

Lancaster Colony

  16,554      1,575,444   

†Lifeway Foods

  1,079      23,080   

Limoneira

  9,287      202,457   

†Omega Protein

  21,568      295,266   

†Post Holdings

  46,254      2,166,537   

Sanderson Farms

  20,490      1,632,029   

†Seaboard

  257      1,061,924   

†Seneca Foods Class A

  7,410      220,892   

Snyders-Lance

  42,715      1,365,171   

Tootsie Roll Industries

  18,135      615,148   

†TreeHouse Foods

  37,013      3,146,845   
     

 

 

 
  23,350,944   
     

 

 

 

Gas Utilities–1.06%

Chesapeake Utilities

  13,465      681,464   

Laclede Group

  38,267      1,960,036   

New Jersey Resources

  74,582      2,316,517   

Northwest Natural Gas

  24,419      1,170,891   

ONE Gas

  46,100      1,992,903   

Piedmont Natural Gas

  68,868      2,541,918   

South Jersey Industries

  29,352      1,593,227   

Southwest Gas

  41,195      2,396,313   

WGL Holdings

  45,824      2,584,474   
     

 

 

 
  17,237,743   
     

 

 

 

Health Care Equipment & Supplies–3.57%

Abaxis

  20,113      1,289,444   

†ABIOMED

  35,339      2,529,566   

†Accuray

  64,818      602,807   

Analogic

  11,537      1,048,713   

†AngioDynamics

  21,092      375,227   

†Anika Therapeutics

  13,495      555,589   

†Antares Pharma

  85,224      230,957   

†AtriCure

  23,203      475,429   

Atrion

  1,267      437,761   

Cantel Medical

  30,250      1,436,875   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Health Care Equipment & Supplies (continued)

  

†Cardiovascular Systems

  25,082    $ 979,201   

†Cerus

  79,383      331,027   

CONMED

  24,422      1,233,067   

CryoLife

  18,010      186,764   

†Cyberonics

  23,904      1,551,848   

†Cynosure Class A

  18,442      565,616   

†Derma Sciences

  18,164      153,849   

†DexCom

  65,777      4,100,538   

†Endologix

  58,132      992,313   

†Exactech

  8,883      227,671   

†GenMark Diagnostics

  39,200      508,816   

†Globus Medical

  58,874      1,485,980   

†Greatbatch

  22,325      1,291,501   

†Haemonetics

  46,134      2,072,339   

†HeartWare International

  15,180      1,332,349   

†ICU Medical

  11,067      1,030,780   

†Inogen

  4,500      143,955   

†Insulet

  49,385      1,646,990   

†Integra LifeSciences Holdings

  22,375      1,379,419   

†Intersect ENT

  6,400      165,312   

Invacare

  29,939      581,116   

†K2M Group Holdings

  8,400      185,220   

†LDR Holding

  15,500      567,920   

†Masimo

  40,158      1,324,411   

Meridian Bioscience

  35,075      669,231   

†Merit Medical Systems

  39,374      757,949   

†NanoString Technologies

  12,600      128,394   

†Natus Medical

  29,063      1,147,117   

†Neogen.

  32,712      1,528,632   

†NuVasive

  41,337      1,901,089   

†NxStage Medical

  55,654      962,814   

†Ocular Therapeutix

  6,500      272,903   

†OraSure Technologies

  47,106      308,073   

†Orthofix International

  14,003      502,568   

†Oxford Immunotec Global

  17,300      243,584   

†PhotoMedex

  7,198      14,468   

†Quidel

  26,325      710,249   

†Rockwell Medical Technologies

  39,735      434,304   

†RTI Biologics

  56,500      279,110   

†Sientra

  4,100      78,679   

†Spectranetics

  37,269      1,295,470   

†Staar Surgical

  30,099      223,636   

STERIS

  51,967      3,651,721   

†SurModics

  10,565      275,007   

†Symmetry Surgical

  7,915      58,017   

†Tandem Diabetes Care

  5,200      65,624   

†Thoratec

  47,700      1,998,153   

†Tornier

  29,465      772,572   

†TransEnterix

  29,600      86,728   

†TriVascular Technologies

  5,100      53,499   

†Unilife

  118,287      474,331   

Utah Medical Products

  2,266      135,643   
 

 

LVIP SSgA Small-Cap Index Fund–9


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Health Care Equipment & Supplies (continued)

  

†Vascular Solutions

  14,273    $ 432,757   

West Pharmaceutical Services

  62,200      3,745,062   

†Wright Medical Group

  44,860      1,157,388   

†Zeltiq Aesthetics

  25,556      787,891   
     

 

 

 
  58,173,033   
     

 

 

 

Health Care Providers & Services–2.63%

  

†AAC Holdings

  4,400      134,552   

†Acadia Healthcare

  37,777      2,704,833   

†Addus HomeCare

  4,700      108,194   

†Adeptus Health Class A

  5,500      276,210   

†Air Methods

  34,796      1,621,146   

†Alliance HealthCare Services

  4,300      95,374   

†Almost Family

  7,976      356,607   

†Amedisys

  23,016      616,368   

†AMN Healthcare Services

  38,574      889,902   

†Amsurg.

  37,442      2,303,432   

†Bio-Reference Labs

  22,470      791,843   

†BioScrip

  59,631      264,165   

†BioTelemetry

  19,100      169,035   

†Capital Senior Living

  23,931      620,770   

†Catalent

  43,800      1,364,370   

Chemed

  15,598      1,862,401   

†Civitas Solutions

  8,900      186,366   

†CorVel

  9,812      337,631   

†Cross Country Healthcare

  28,617      339,398   

Ensign Group

  20,445      958,053   

†ExamWorks Group

  31,104      1,294,548   

†Five Star Quality Care

  27,022      119,978   

†Genesis Healthcare

  13,045      92,880   

†Hanger

  32,132      729,075   

†HealthEquity

  9,700      242,403   

HealthSouth

  77,567      3,440,872   

†Healthways

  25,136      495,179   

†IPC Healthcare

  13,694      638,688   

Kindred Healthcare

  69,651      1,656,997   

Landauer

  7,171      251,989   

†LHC Group

  9,106      300,771   

†Magellan Health

  24,595      1,741,818   

†Molina Healthcare

  26,881      1,808,822   

National Healthcare

  8,475      539,942   

National Research Class A

  4,281      61,646   

†NeoStem

  23,200      58,928   

Owens & Minor

  55,954      1,893,483   

†PharMerica

  28,249      796,339   

†Providence Service

  9,433      501,081   

†RadNet.

  23,700      199,080   

Select Medical Holdings

  64,867      961,978   

†Surgical Care Affiliates

  11,600      398,228   

†T2 Biosystems

  5,900      91,568   

†Team Health Holdings

  61,759      3,613,519   

†Triple-S Management Class B

  23,738      471,911   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Health Care Providers & Services (continued)

  

U.S. Physical Therapy

  9,349    $ 444,078   

†Universal American

  36,111      385,665   

†WellCare Health Plans

  38,559      3,526,606   
     

 

 

 
  42,758,722   
     

 

 

 

Health Care Technology–0.50%

  

†Castlight Health Class B

  9,400      72,944   

Computer Programs & Systems

  10,449      566,963   

†HealthStream

  19,945      502,614   

†HMS Holdings

  78,620      1,214,679   

†MedAssets

  55,174      1,038,375   

†Medidata Solutions

  47,834      2,345,779   

†Merge Healthcare

  65,988      294,966   

†Omnicell.

  33,125      1,162,688   

Quality Systems

  45,528      727,537   

†Vocera Communications

  13,540      134,317   
     

 

 

 
  8,060,862   
     

 

 

 

Hotels, Restaurants & Leisure–3.28%

  

†Belmond

  87,322      1,072,314   

†Biglari Holdings

  1,590      658,419   

†BJ’s Restaurants

  19,574      987,508   

Bloomin’ Brands

  68,652      1,670,303   

Bob Evans Farms

  22,232      1,028,452   

†Boyd Gaming

  70,183      996,599   

†Bravo Brio Restaurant Group

  13,326      195,759   

†Buffalo Wild Wings

  16,668      3,020,908   

†Caesars Acquisition

  33,100      225,080   

†Caesars Entertainment

  41,000      431,730   

†Carrols Restaurant Group

  34,765      288,202   

Cheesecake Factory

  44,286      2,184,628   

Churchill Downs

  12,021      1,382,054   

†Chuy’s Holdings

  13,532      304,876   

ClubCorp Holdings

  19,900      385,264   

Cracker Barrel Old Country Store

  16,894      2,570,253   

†Dave & Buster’s Entertainment

  5,100      155,346   

†Del Frisco’s Restaurant Group

  22,787      459,158   

†Denny’s

  72,156      822,578   

†Diamond Resorts International

  29,300      979,499   

DineEquity

  14,832      1,587,172   

†El Pollo Loco Holdings

  6,100      156,221   

†Empire Resorts

  16,500      75,900   

†Famous Dave’s of America

  5,900      168,150   

†Fiesta Restaurant Group

  23,857      1,455,277   

†Habit Restaurants Class A

  4,400      141,416   

†Ignite Restaurant Group

  3,734      18,110   

International Speedway Class A

  23,318      760,400   

Interval Leisure Group

  32,536      852,769   

†Intrawest Resorts Holdings

  12,700      110,744   

†Isle of Capri Casinos

  21,773      305,911   

Jack in the Box

  35,215      3,377,823   

†Jamba

  15,291      224,931   
 

 

LVIP SSgA Small-Cap Index Fund–10


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Hotels, Restaurants & Leisure (continued)

  

†Krispy Kreme Doughnuts

  58,457    $ 1,168,555   

†La Quinta Holdings

  40,200      951,936   

†Life Time Fitness

  36,283      2,574,642   

Marcus

  17,634      375,428   

Marriott Vacations Worldwide

  23,872      1,934,826   

†Monarch Casino & Resort

  6,584      126,018   

†Morgans Hotel Group

  26,125      202,469   

Nathan’s Famous

  2,835      153,515   

†Noodles

  7,800      136,032   

Papa John’s International

  27,222      1,682,592   

†Papa Murphy’s Holdings

  8,200      148,748   

†Penn National Gaming

  72,300      1,132,218   

†Pinnacle Entertainment

  53,285      1,923,056   

†Popeyes Louisiana Kitchen

  21,229      1,269,919   

†Potbelly

  16,600      227,420   

†Red Robin Gourmet Burgers

  12,922      1,124,214   

†Ruby Tuesday

  53,395      320,904   

Ruth’s Hospitality Group

  29,208      463,823   

†Scientific Games Class A

  41,452      434,002   

†Shake Shack Class A

  5,000      250,250   

Sonic

  48,375      1,533,488   

Speedway Motorsports

  7,375      167,781   

Texas Roadhouse

  61,640      2,245,545   

Travelport Worldwide

  22,800      380,760   

Vail Resorts

  31,846      3,293,513   

†Zoe’s Kitchen

  4,200      139,818   
     

 

 

 
  53,415,226   
     

 

 

 

Household Durables–1.20%

†Beazer Homes USA

  25,566      453,030   

†Cavco Industries

  7,426      557,396   

CSS Industries

  9,455      285,068   

†Dixie Group

  10,800      97,740   

Ethan Allen Interiors

  20,832      575,796   

Flexsteel Industries

  2,528      79,101   

†Helen of Troy

  25,347      2,065,527   

†Hovnanian Enterprises Class A

  101,192      360,244   

†Installed Building Products

  4,918      107,016   

†iRobot

  26,732      872,265   

KB Home

  75,636      1,181,434   

La-Z-Boy

  47,033      1,322,098   

†LGI Homes

  9,600      159,936   

Libbey

  19,788      789,739   

Lifetime Brands

  6,178      94,400   

†M/I Homes

  23,074      550,084   

MDC Holdings

  35,434      1,009,869   

†Meritage Homes

  34,884      1,696,758   

NACCO Industries Class A

  2,792      147,948   

†New Home

  10,900      173,855   

Ryland Group

  41,636      2,029,339   

†Skullcandy

  20,219      228,475   

†Standard Pacific

  130,398      1,173,582   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Household Durables (continued)

  

†TRI Pointe Homes

  130,052    $ 2,006,702   

†UCP

  5,100      44,370   

†Universal Electronics

  14,511      819,001   

†WCI Communities

  12,200      292,190   

†William Lyon Homes Class A

  13,000      335,660   
     

 

 

 
  19,508,623   
     

 

 

 

Household Products–0.17%

†Central Garden & Pet Class A

  33,822      359,190   

†HRG Group

  68,456      854,331   

Oil-Dri Corp of America

  3,441      115,790   

Orchids Paper Products

  8,292      223,552   

WD-40

  13,539      1,198,743   
     

 

 

 
  2,751,606   
     

 

 

 

Independent Power & Renewable Electricity
Producers–0.37%

  

Atlantic Power

  87,333      245,406   

†Dynegy

  108,300      3,403,869   

Ormat Technologies

  27,256      1,036,273   

Pattern Energy Group

  39,600      1,121,472   

†Vivint Solar

  15,700      190,598   
     

 

 

 
  5,997,618   
     

 

 

 

Industrial Conglomerates–0.04%

  

Raven Industries

  28,951      592,337   
     

 

 

 
  592,337   
     

 

 

 

Insurance–2.48%

†Ambac Financial Group

  40,700      984,940   

American Equity Investment Life Holding

  66,055      1,924,182   

AMERISAFE

  17,199      795,454   

Amtrust Financial Services

  26,833      1,529,078   

Argo Group International Holdings

  25,827      1,295,224   

†Atlas Financial Holdings

  8,300      146,661   

Baldwin & Lyons Class B

  9,743      228,571   

†Citizens

  32,091      197,681   

CNO Financial Group

  180,712      3,111,861   

Crawford Class B

  17,053      147,338   

Donegal Group Class A

  5,144      80,864   

†eHealth

  14,419      135,250   

EMC Insurance Group

  2,600      87,880   

Employers Holdings

  28,927      780,740   

†Enstar Group

  7,711      1,093,882   

FBL Financial Group Class A

  8,674      537,875   

Federated National Holding

  11,700      358,020   

Fidelity & Guaranty Life

  8,100      171,720   

First American Financial

  94,076      3,356,632   

†Global Indemnity

  6,337      175,852   

†Greenlight Capital Re Class A

  25,857      822,253   

†Hallmark Financial Services

  8,751      92,761   

HCI Group

  8,707      399,390   

†Heritage Insurance Holdings

  9,300      204,693   
 

 

LVIP SSgA Small-Cap Index Fund–11


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Insurance (continued)

  

†Hilltop Holdings

  67,349    $ 1,309,265   

Horace Mann Educators

  36,631      1,252,780   

Independence Holding

  6,117      83,130   

@Infinity Property & Casualty

  10,489      860,622   

Kansas City Life Insurance

  2,714      124,654   

Kemper

  39,600      1,542,816   

Maiden Holdings

  39,495      585,711   

Meadowbrook Insurance Group

  46,248      393,108   

Montpelier Re Holdings

  32,876      1,263,753   

National General Holdings

  33,000      617,100   

National Interstate

  7,601      213,436   

National Western Life Insurance Class A

  1,816      461,809   

†Navigators Group

  8,816      686,237   

OneBeacon Insurance Group Class A

  20,187      307,044   

†Phoenix Companies

  5,106      255,249   

Primerica

  48,222      2,454,500   

RenaissanceRe Holdings

  1      63   

RLI

  38,134      1,998,603   

Safety Insurance Group

  10,799      645,240   

@Selective Insurance Group

  50,307      1,461,418   

State Auto Financial

  12,495      303,504   

State National

  24,100      239,795   

Stewart Information Services

  17,739      720,913   

Symetra Financial

  67,299      1,578,835   

†Third Point Reinsurance

  52,100      737,215   

United Fire Group

  19,321      613,828   

United Insurance Holdings

  12,000      270,000   

Universal Insurance Holdings

  28,603      731,951   
     

 

 

 
  40,371,381   
     

 

 

 

Internet & Catalog Retail–0.46%

  

†1-800-FLOWERS.com Class A

  19,282      228,106   

†Blue Nile

  9,397      299,200   

†FTD

  17,637      528,052   

HSN

  29,412      2,006,781   

†Lands End

  15,400      552,552   

NutriSystem

  22,126      442,077   

†Orbitz Worldwide

  48,211      562,140   

†Overstock.com

  7,697      186,421   

PetMed Express

  20,172      333,241   

†RetailMeNot

  28,900      520,489   

†Shutterfly

  34,272      1,550,465   

†Wayfair Class A

  9,600      308,352   
     

 

 

 
  7,517,876   
     

 

 

 

Internet Software & Services–2.08%

  

†Actua

  38,259      592,632   

†Angie’s List

  34,117      200,267   

†Bankrate

  61,282      694,938   

†Bazaarvoice

  44,580      251,877   

†Benefitfocus

  3,000      110,370   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Internet Software & Services (continued)

  

†Blucora

  39,368    $ 537,767   

†Borderfree

  8,700      52,287   

†Box Class A

  11,000      217,250   

†Brightcove

  32,686      239,588   

†Carbonite

  15,170      216,931   

†ChannelAdvisor

  15,000      145,350   

†comScore

  30,954      1,584,845   

†Constant Contact

  28,632      1,094,029   

†Cornerstone OnDemand

  47,410      1,369,675   

†Coupons.com

  8,700      102,138   

†Cvent

  16,900      473,876   

†Dealertrack Technologies

  47,512      1,830,162   

†Demandware

  26,730      1,627,857   

†Dice Holdings

  33,216      296,287   

EarthLink Holdings

  77,353      343,447   

†Endurance International Group Holdings

  28,200      537,492   

†Envestnet

  30,293      1,698,831   

†Global Eagle Entertainment

  31,700      421,927   

†Gogo

  50,500      962,530   

†GrubHub

  6,500      295,035   

†HubSpot

  4,400      175,560   

†Internap

  45,421      464,657   

†IntraLinks Holdings

  30,405      314,388   

@j2 Global

  41,887      2,751,138   

†Limelight Networks

  67,249      244,114   

†Liquidity Services

  16,626      164,265   

†LivePerson

  41,318      422,890   

†LogMeIn

  22,271      1,246,953   

Marchex Class B

  24,554      100,180   

†Marin Software

  19,100      120,139   

†Marketo

  23,700      607,194   

†Millennial Media

  54,576      79,135   

†Monster Worldwide

  88,473      560,919   

NIC

  58,947      1,041,593   

†Perficient

  28,925      598,458   

†Q2 Holdings

  11,600      245,224   

†QuinStreet

  29,711      176,780   

†RealNetworks

  13,048      87,813   

Reis

  5,300      135,892   

†Rightside Group

  9,023      91,583   

†Rocket Fuel

  13,300      122,360   

†Rubicon Project

  8,700      155,904   

†SciQuest

  21,945      371,529   

†Shutterstock

  13,852      951,217   

†SPS Commerce

  14,701      986,437   

†Stamps.com

  13,038      877,327   

†TechTarget

  10,197      117,571   

†Textura

  18,500      502,830   

†Travelzoo

  3,660      35,282   

†Tremor Video

  25,700      60,138   

†TrueCar

  10,500      187,425   
 

 

LVIP SSgA Small-Cap Index Fund–12


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Internet Software & Services (continued)

  

†Unwired Planet

  56,263    $     32,171   

†Web.com Group

  47,251      895,406   

†WebMD Health

  34,530      1,513,623   

†Wix.Com

  13,900      266,324   

†XO Group

  23,301      411,729   

†Xoom

  29,247      429,638   

†Yodlee

  9,300      125,178   

†YuMe

  23,900      124,041   

†Zix

  39,474      155,133   
     

 

 

 
    33,847,526   
     

 

 

 

IT Services–2.98%

  

†Acxiom

  68,872      1,273,443   

†Blackhawk Network Holdings Class A

  16,900      604,513   

†Blackhawk Network Holdings
Class B

  28,800      1,023,840   

†CACI International Class A

  20,861      1,875,821   

†Cardtronics

  39,740      1,494,224   

Cass Information Systems

  9,894      555,449   

†Ciber

  65,925      271,611   

Computer Task Group

  9,430      68,933   

Convergys

  90,022      2,058,803   

CSG Systems International

  28,288      859,672   

†Datalink

  17,567      211,507   

†EPAM Systems

  31,645      1,939,522   

†Euronet Worldwide

  45,048      2,646,570   

EVERTEC

  58,900      1,287,554   

†ExlService Holdings

  29,548      1,099,186   

Forrester Research

  8,233      302,810   

†Global Cash Access Holdings

  52,394      399,242   

Hackett Group

  26,091      233,254   

Heartland Payment Systems

  31,895      1,494,281   

†Higher One Holdings

  17,208      41,643   

†IGATE

  32,898      1,403,429   

†Lionbridge Technologies

  47,270      270,384   

†Luxoft Holding

  7,900      408,746   

Mantech International Class A

  19,817      672,589   

MAXIMUS

  59,464      3,969,817   

†Moduslink Global Solutions

  26,611      102,452   

†MoneyGram International

  24,587      212,432   

†NeuStar Class A

  50,500      1,243,310   

†PRGX Global

  28,962      116,427   

†Qorvo

  125,073      9,968,318   

Science Applications International

  35,300      1,812,655   

†ServiceSource International

  71,460      221,526   

†Sykes Enterprises

  35,877      891,543   

†Syntel

  27,728      1,434,369   

TeleTech Holdings

  12,960      329,832   

†Unisys

  46,154      1,071,234   

†Virtusa

  23,636      978,058   

†WEX

  34,098      3,660,761   
     

 

 

 
  48,509,760   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

Leisure Products–0.49%

  

Arctic Cat

  12,314    $     447,244   

†Black Diamond

  20,345      192,260   

Brunswick

  81,371      4,186,538   

Callaway Golf

  66,427      633,049   

Escalade

  7,200      125,136   

†JAKKS Pacific

  10,637      72,757   

Johnson Outdoors Class A

  3,886      128,665   

†LeapFrog Enterprises

  51,308      111,851   

†Malibu Boats Class A

  5,800      135,430   

Marine Products

  5,709      48,926   

†Nautilus

  27,600      421,452   

†Smith & Wesson Holding

  44,132      561,800   

Sturm Ruger

  17,614      874,183   
     

 

 

 
  7,939,291   
     

 

 

 

Life Sciences Tools & Services–0.54%

  

†Accelerate Diagnostics

  22,521      506,723   

†Affymetrix

  66,465      834,800   

†Albany Molecular Research

  19,400      341,440   

†Cambrex

  27,746      1,099,574   

†Enzo Biochem

  24,700      72,865   

†Fluidigm

  25,845      1,088,075   

†INC Research Holdings Class A

  7,100      232,383   

†Luminex

  30,307      484,912   

†Pacific Biosciences of California

  49,998      291,988   

†Parexel International

  50,059      3,453,570   

†Sequenom

  103,956      410,626   
     

 

 

 
    8,816,956   
     

 

 

 

Machinery–2.86%

  

†Accuride

  28,827      134,334   

Actuant Class A

  52,814      1,253,804   

Alamo Group

  5,435      343,112   

Albany International

  25,483      1,012,949   

Altra Holdings

  24,978      690,392   

American Railcar Industries

  7,546      375,263   

Astec Industries

  17,347      743,839   

Barnes Group

  48,139      1,949,148   

†Blount International

  41,249      531,287   

Briggs & Stratton

  42,514      873,238   

†Chart Industries

  27,574      967,158   

CIRCOR International

  16,127      882,147   

CLARCOR

  44,460      2,937,028   

Columbus McKinnon

  15,808      425,868   

†Commercial Vehicle Group

  25,826      166,319   

Douglas Dynamics

  17,949      409,955   

Dynamic Materials

  7,816      99,810   

†Energy Recovery

  30,070      77,881   

EnPro Industries

  20,309      1,339,379   

ESCO Technologies

  22,038      859,041   

†ExOne

  9,291      126,822   

Federal Signal

  57,207      903,299   
 

 

LVIP SSgA Small-Cap Index Fund–13


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Machinery (continued)

  

Foster (L.B.) Class A

  9,988    $ 474,230   

FreightCar America

  10,041      315,589   

Global Brass & Copper Holdings

  15,400      237,930   

Gorman-Rupp

  17,282      517,596   

Graham

  7,462      178,864   

Greenbrier Companies

  24,647      1,429,526   

Harsco

  72,600      1,253,076   

Hillenbrand

  55,836      1,723,657   

Hurco Companies

  4,207      138,536   

Hyster-Yale Materials Handling

  9,566      701,092   

John Bean Technologies

  26,492      946,294   

Kadant

  9,297      489,115   

Lindsay

  10,207      778,284   

†Lydall

  14,802      469,519   

†Manitex International

  12,400      120,652   

†Meritor

  87,912      1,108,570   

Miller Industries

  11,629      284,911   

Mueller Industries

  50,440      1,822,397   

Mueller Water Products Class A

  142,727      1,405,861   

NN

  14,656      367,572   

Omega Flex

  648      16,297   

†Proto Labs

  20,243      1,417,010   

RBC Bearings

  20,818      1,593,410   

†Rexnord

  66,764      1,781,931   

Standex International

  10,654      875,013   

Sun Hydraulics

  18,228      753,910   

Tennant

  16,781      1,096,974   

Titan International

  37,010      346,414   

†Trimas

  40,625      1,250,844   

Twin Disc

  5,164      91,248   

†Wabash National

  62,640      883,224   

Watts Water Technologies Class A

  25,528      1,404,806   

Woodward

  58,458      2,981,943   

†Xerium Technologies

  11,200      181,664   
     

 

 

 
    46,540,032   
     

 

 

 

Marine–0.16%

  

Baltic Trading

  35,600      53,044   

International Shipholding

  3,168      38,364   

Knightsbridge Tankers

  60,883      304,415   

Matson

  38,300      1,614,728   

Navios Maritime Holdings

  57,400      239,932   

Safe Bulkers

  28,200      101,238   

†Scorpio Bulkers

  93,500      221,595   
     

 

 

 
  2,573,316   
     

 

 

 

Media–1.42%

  

AH Belo Class A

  19,000      156,370   

AMC Entertainment Holdings

  19,400      688,506   

†Carmike Cinemas

  22,935      770,616   

†Central European Media Enterprises Class A

  49,011      130,369   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Media (continued)

  

†Crown Media Holdings Class A

  18,679    $ 74,716   

†Cumulus Media Class A

  138,424      341,907   

†Daily Journal

  1,150      210,680   

†Demand Media

  9,023      51,612   

†Dex Media

  11,000      46,090   

†Entercom Communications Class A

  25,921      314,940   

Entravision Communications Class A

  46,030      291,370   

†Eros International

  19,800      345,906   

†EVINE Live

  43,300      290,543   

†Global Sources

  10,283      60,258   

†Gray Television

  42,600      588,732   

Harte-Hanks

  46,142      359,908   

†Hemisphere Media Group

  9,200      116,380   

†Journal Communications Class A

  37,603      557,276   

†Lee Enterprises

  38,800      122,996   

†Loral Space & Communications

  11,961      818,611   

†Martha Stewart Living Omnimedia Class A

  17,996      116,974   

†McClatchy Class A

  37,072      68,212   

MDC Partners Class A

  39,235      1,112,312   

†Media General

  73,200      1,207,068   

Meredith

  31,934      1,780,959   

National CineMedia

  55,429      836,978   

New Media Investment Group

  36,900      883,017   

New York Times Class A

  123,211      1,695,383   

Nexstar Broadcasting Group Class A

  27,356      1,565,310   

†Radio One Class D

  11,900      36,652   

†ReachLocal

  6,392      18,601   

†Reading International Class A

  17,940      241,293   

†Rentrak

  8,553      475,205   

Saga Communications Class A

  2,612      116,338   

Salem Communications Class A

  5,612      34,570   

Scholastic

  24,691      1,010,850   

†Scripps (E.W.) Class A

  28,903      822,001   

†SFX Entertainment

  32,000      130,880   

Sinclair Broadcast Group Class A

  61,132      1,920,156   

†Sizmek

  15,184      110,236   

Time

  97,700      2,192,388   

†Townsquare Media

  9,400      120,790   

World Wrestling Entertainment Class A

  22,707      318,125   
     

 

 

 
    23,152,084   
     

 

 

 

Metals & Mining–1.00%

  

Advanced Drainage Systems

  11,300      338,322   

†AK Steel Holding

  163,356      730,201   

†AM Castle

  10,172      37,128   

Ampco-Pittsburgh

  5,257      91,787   

†Century Aluminum

  40,487      558,721   

†Coeur Mines

  88,386      416,298   

Commercial Metals

  105,000      1,699,950   

Globe Specialty Metals

  57,733      1,092,308   

Gold Resource

  39,956      127,460   
 

 

LVIP SSgA Small-Cap Index Fund–14


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Metals & Mining (continued)

  

†Handy & Harman

  2,948    $ 121,045   

Haynes International

  11,781      525,550   

Hecla Mining

  331,200      986,976   

†Horsehead Holding

  51,630      653,636   

Kaiser Aluminum

  16,222      1,247,310   

Materion.

  18,984      729,555   

†Molycorp

  108,200      41,689   

Noranda Aluminum Holding

  40,745      121,013   

Olympic Steel

  5,606      75,457   

†RTI International Metals

  25,740      924,323   

†Ryerson Holding

  13,725      87,428   

Schnitzer Steel Industries Class A

  25,201      399,688   

†Stillwater Mining

  106,915      1,381,342   

SunCoke Energy

  55,147      823,896   

†Universal Stainless & Alloy

  4,193      109,940   

US Silica Holdings

  47,983      1,708,675   

Walter Energy

  47,600      29,512   

Worthington Industries

  46,208      1,229,595   
     

 

 

 
    16,288,805   
     

 

 

 

Multiline Retail–0.16%

  

Bon-Ton Stores

  8,513      59,250   

†Burlington Stores

  25,600      1,521,152   

Fred’s Class A

  30,277      517,434   

†Tuesday Morning

  35,283      568,056   
     

 

 

 
  2,665,892   
     

 

 

 

Multi-Utilities–0.37%

  

Avista.

  53,526      1,829,519   

Black Hills

  39,543      1,994,549   

NorthWestern

  41,506      2,232,608   
     

 

 

 
  6,056,676   
     

 

 

 

Oil, Gas & Consumable Fuels–2.24%

  

†Abraxas Petroleum

  71,212      231,439   

Adams Resources & Energy

  1,206      81,055   

Alon USA Energy

  22,092      366,064   

†Alpha Natural Resources

  156,100      156,084   

†American Eagle Energy

  22,000      3,960   

†Amyris

  20,329      48,790   

†Approach Resources

  31,346      206,570   

†Arch Coal

  148,445      148,430   

Ardmore Shipping

  13,100      131,917   

†Bill Barrett

  38,690      321,127   

†Bonanza Creek Energy

  35,668      879,573   

†Callon Petroleum

  45,416      339,258   

†Carrizo Oil & Gas

  44,989      2,233,704   

†Clayton Williams Energy

  4,848      245,454   

†Clean Energy Fuels

  57,195      305,135   

†Cloud Peak Energy

  58,217      338,823   

Comstock Resources

  34,394      122,787   

†Contango Oil & Gas

  14,481      318,582   

Delek U.S. Holdings

  52,688      2,094,348   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

DHT Holdings

  75,600    $ 527,688   

†Diamondback Energy

  38,903      2,989,307   

†Dorian LPG

  5,300      69,059   

†Eclipse Resources

  22,400      125,888   

†Emerald Oil

  43,186      31,958   

Energy XXI Bermuda

  68,557      249,547   

Evolution Petroleum

  10,647      63,350   

EXCO Resources

  109,950      201,209   

†FMSA Holdings

  19,000      137,560   

†Frontline

  62,083      139,066   

†FX Energy

  31,200      39,000   

GasLog

  38,607      749,748   

†Gastar Exploration

  48,116      126,064   

†Glori Energy

  8,500      18,105   

†Goodrich Petroleum

  28,740      102,027   

Green Plains Renewable Energy

  34,043      971,928   

†Halcon Resources

  203,598      313,541   

Hallador Energy

  10,532      123,119   

†Harvest Natural Resources

  30,500      13,633   

†Independence Contract Drilling

  10,500      73,185   

†Isramco

  651      81,896   

†Jones Energy Class A

  7,200      64,656   

†Magnum Hunter Resources

  187,451      500,494   

†Matador Resources

  65,495        1,435,650   

†Midstates Petroleum

  32,989      28,041   

†Miller Energy Resources

  20,565      12,855   

Navios Maritime Acquisition

  59,500      210,630   

Nordic American Tankers

  83,298      992,079   

†Northern Oil & Gas

  44,937      346,464   

†Pacific Ethanol

  14,700      158,613   

Panhandle Oil & Gas Class A

  12,494      247,256   

†Parsley Energy Class A

  42,000      671,160   

†PDC Energy

  34,950      1,888,698   

†Penn Virginia

  53,079      343,952   

†PetroQuest Energy

  50,819      116,884   

†Renewable Energy Group

  24,964      230,168   

†Resolute Energy

  64,527      36,355   

†Rex American Resources

  4,950      301,010   

†Rex Energy

  38,927      144,808   

†Ring Energy

  13,500      143,370   

†Rosetta Resources

  55,571      945,818   

†RSP Permian

  21,700      546,623   

†Sanchez Energy

  47,038      611,964   

Scorpio Tankers

  146,509      1,380,115   

SemGroup Class A

  37,505      3,050,657   

Ship Finance International

  55,642      823,502   

†Solazyme

  55,040      157,414   

†Stone Energy

  51,071      749,722   

†Swift Energy

  32,599      70,414   

†Synergy Resources

  73,813      874,684   

Teekay Tankers Class A

  76,841      441,067   

†Transatlantic Petroleum

  16,400      87,576   
 

 

LVIP SSgA Small-Cap Index Fund–15


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Oil, Gas & Consumable Fuels (continued)

  

†Triangle Petroleum

  56,696    $ 285,181   

†Vaalco Energy

  49,400      121,030   

†Vertex Energy

  16,300      60,310   

W&T Offshore

  25,736      131,511   

†Warren Resources

  65,016      57,864   

Western Refining

  43,341      2,140,612   

†Westmoreland Coal

  14,557      389,545   
     

 

 

 
    36,518,730   
     

 

 

 

Paper & Forest Products–0.75%

  

†Boise Cascade

  35,346      1,324,061   

†Clearwater Paper

  16,751      1,093,840   

Deltic Timber

  10,255      679,394   

Glatfelter

  39,017      1,074,138   

KapStone Paper & Packaging

  74,764      2,455,250   

†Louisiana-Pacific

  125,078      2,065,038   

Neenah Paper

  14,995      937,787   

†Resolute Forest Products

  60,471      1,043,125   

Schweitzer-Mauduit International

  27,367      1,262,166   

Wausau Paper

  36,529      348,121   
     

 

 

 
  12,282,920   
     

 

 

 

Personal Products–0.16%

  

†Elizabeth Arden

  22,300      347,880   

Female Health

  10,133      28,676   

†IGI Laboratories

  20,800      169,728   

Inter Parfums

  16,393      534,740   

†Medifast

  10,787      323,286   

Nature’s Sunshine Products

  5,554      72,868   

†Nutraceutical International

  4,606      90,738   

†Revlon Class A

  10,254      422,465   

†Synutra International

  8,658      55,411   

†USANA Health Sciences

  5,339      593,270   
     

 

 

 
  2,639,062   
     

 

 

 

Pharmaceuticals–2.05%

  

†AcelRx Pharmaceuticals

  13,400      51,724   

†Achaogen

  8,900      86,864   

†Aerie Pharmaceuticals

  10,800      338,472   

†Akorn

  54,986      2,612,385   

†Alimera Sciences

  21,000      105,210   

†Amphastar Pharmaceuticals

  9,600      143,616   

†Ampio Pharmaceuticals

  42,764      322,013   

†ANI Pharmaceuticals

  5,000      312,750   

†Aratana Therapeutics

  24,400      390,644   

†Bellicum Pharmaceuticals

  7,400      171,458   

†BioDelivery Sciences International

  33,609      352,895   

†Bio-Path Holdings

  53,100      95,580   

†Calithera Biosciences

  6,100      100,162   

†Cempra

  25,096      861,044   

†Corcept Therapeutics

  53,911      301,902   

†Depomed

  52,057      1,166,597   

†Dicerna Pharmaceuticals

  4,800      115,344   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Pharmaceuticals (continued)

  

†Diplomat Pharmacy

  11,700    $ 404,586   

†Endocyte

  21,599      135,210   

†Esperion Therapeutics

  4,900      453,740   

†FibroGen

  7,100      222,798   

†Flexion Therapeutics

  5,200      117,104   

†Horizon Pharma

  58,455      1,518,076   

†Immune Design

  6,500      137,215   

†Impax Laboratories

  61,902      2,901,347   

†Intra-Cellular Therapies

  16,500      394,020   

†Kite Pharma

  7,700      444,136   

†Lannett

  22,980      1,555,976   

Liberator Medical Holdings

  15,800      55,300   

†Medicines

  57,833      1,620,481   

†Mirati Therapeutics

  5,500      161,260   

†Nektar Therapeutics

  113,288      1,246,168   

†Nevro

  6,100      292,373   

†Omeros

  34,166      752,677   

†Otonomy

  6,800      240,448   

†Pacira Pharmaceuticals

  31,375      2,787,669   

†Pain Therapeutics

  27,500      51,975   

†Pernix Therapeutics Holdings

  24,062      257,223   

Phibro Animal Health Class A

  13,900      492,199   

†POZEN

  17,689      136,559   

†PRA Health Sciences

  14,900      429,716   

†Prestige Brands Holdings

  46,055      1,975,299   

†Radius Health

  6,800      279,888   

†Relypsa

  15,600      562,692   

†Repros Therapeutics

  17,431      149,732   

†Revance Therapeutics

  4,900      101,577   

†Sagent Pharmaceuticals

  20,475      476,044   

†SciClone Pharmaceuticals

  46,674      413,532   

†Sucampo Pharmaceuticals Class A

  16,810      261,564   

†Supernus Pharmaceuticals

  29,385      355,265   

†Tetraphase Pharmaceuticals

  23,700      868,368   

†TherapeuticsMD

  110,700      669,735   

Theravance

  73,600      1,156,992   

†Theravance Biopharma

  22,800      395,580   

†Tokai Pharmaceuticals

  2,100      23,730   

†Vitae Pharmaceuticals

  8,600      100,706   

†Vital Therapies

  6,300      157,563   

†VIVUS

  69,061      169,890   

†XenoPort

  48,601      346,039   

†Zafgen

  6,800      269,348   

†Zogenix

  67,371      92,298   

†ZS Pharma

  5,000      210,400   
     

 

 

 
    33,373,158   
     

 

 

 

Professional Services–1.38%

  

Acacia Research

  40,076      428,813   

†Advisory Board

  37,224      1,983,295   

Barrett Business Services

  5,232      224,139   

†CBIZ

  38,146      355,902   
 

 

LVIP SSgA Small-Cap Index Fund–16


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Professional Services (continued)

  

CDI

  7,887    $ 110,812   

Corporate Executive Board

  29,902      2,387,974   

†CRA International

  6,351      197,643   

Exponent

  11,865      1,054,799   

†Franklin Covey

  8,762      168,756   

†FTI Consulting

  36,606      1,371,261   

†GP Strategies

  11,700      432,900   

Heidrick & Struggles International

  13,764      338,319   

†Hill International

  25,600      91,904   

†Huron Consulting Group

  21,078      1,394,310   

†ICF International

  18,251      745,553   

Information Services Group

  37,600      150,024   

Insperity

  18,601      972,646   

Kelly Services Class A

  20,677      360,607   

Kforce

  21,938      489,437   

Korn/Ferry International

  44,545      1,464,194   

†Mistras Group

  14,147      272,471   

†Navigant Consulting

  47,136      610,883   

†On Assignment

  45,182      1,733,633   

†Paylocity Holding

  6,100      174,704   

†Pendrell

  141,559      184,027   

Resources Connection

  32,809      574,158   

†RPX

  48,774      701,858   

†TriNet Group

  14,800      521,404   

†TrueBlue

  38,487      937,158   

VSE

  3,983      326,128   

†WageWorks

  31,230      1,665,496   
     

 

 

 
    22,425,208   
     

 

 

 

Real Estate Investment Trusts–8.67%

  

Acadia Realty Trust

  60,315      2,103,787   

AG Mortgage Investment Trust

  22,184      417,947   

Agree Realty

  16,466      542,884   

Alexander’s

  1,876      856,544   

†Altisource Portfolio Solutions

  10,600      136,422   

American Assets Trust

  32,073      1,388,119   

American Capital Mortgage Investment

  46,711      838,930   

†American Residential Properties

  30,200      543,298   

Anworth Mortgage Asset

  106,931      544,279   

Apollo Commercial Real Estate Finance

  51,195      879,530   

Apollo Residential Mortgage

  25,181      401,637   

Ares Commercial Real Estate

  28,089      310,383   

Armada Hoffler Properties

  22,500      239,850   

Armour Residential REIT

  322,629      1,022,734   

Ashford Hospitality Prime

  24,479      410,513   

Ashford Hospitality Trust

  72,698      699,355   

Associated Estates Realty

  51,671      1,275,240   

Aviv REIT

  16,200      591,300   

Campus Crest Communities

  61,176      438,020   

Capstead Mortgage

  86,508      1,018,199   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Real Estate Investment Trusts (continued)

  

CareTrust REIT

  20,781    $ 281,790   

CatchMark Timber Trust

  13,100      153,532   

Cedar Realty Trust

  73,061      547,227   

Chambers Street Properties

  211,000        1,662,680   

Chatham Lodging Trust

  31,631      930,268   

Chesapeake Lodging Trust

  48,815      1,651,411   

Colony Financial

  94,879      2,459,264   

Coresite Realty

  17,368      845,474   

Cousins Properties

  195,046      2,067,488   

CubeSmart

  142,586      3,443,452   

CyrusOne

  29,906      930,675   

CYS Investments

  145,167      1,293,438   

DCT Industrial Trust

  72,665      2,518,569   

DiamondRock Hospitality

  172,974      2,444,123   

DuPont Fabros Technology

  56,645      1,851,159   

Dynex Capital

  45,630      386,486   

†Easterly Government Properties

  12,100      194,205   

EastGroup Properties

  27,869      1,676,042   

Education Realty Trust

  41,486      1,467,775   

Empire State Realty Trust

  81,900      1,540,539   

EPR Properties

  50,340      3,021,910   

Equity One

  54,905      1,465,414   

Excel Trust

  55,925      784,069   

FelCor Lodging Trust

  111,666      1,283,042   

First Industrial Realty Trust

  97,606      2,091,697   

First Potomac Realty Trust

  49,518      588,769   

Franklin Street Properties

  81,304      1,042,317   

GEO Group

  63,984      2,798,660   

Getty Realty

  21,100      384,020   

Gladstone Commercial

  19,805      368,571   

Government Properties Income Trust

  61,003      1,393,919   

Hatteras Financial

  86,100      1,563,576   

Healthcare Realty Trust

  84,892      2,358,300   

Hersha Hospitality Trust

  180,364      1,166,955   

Highwoods Properties

  79,206      3,626,051   

Hudson Pacific Properties

  58,151      1,930,032   

†InfraREIT

  20,200      577,518   

Inland Real Estate

  79,596      850,881   

Invesco Mortgage Capital

  109,461      1,699,929   

Investors Real Estate Trust

  102,662      769,965   

†iStar Financial

  76,870      999,310   

Kite Realty Group Trust

  26,854      756,477   

LaSalle Hotel Properties

  98,111      3,812,593   

Lexington Realty Trust

  182,486      1,793,837   

LTC Properties

  31,173      1,433,958   

Mack-Cali Realty

  79,200      1,526,976   

Medical Properties Trust

  183,272      2,701,429   

Monmouth Real Estate Investment

  45,689      507,605   

National Health Investors

  33,134      2,352,845   

New Residential Investment

  125,100      1,880,253   

New York Mortgage Trust

  88,132      683,904   

New York REIT

  144,800      1,517,504   
 

 

LVIP SSgA Small-Cap Index Fund–17


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Real Estate Investment Trusts (continued)

  

One Liberty Properties

  10,738    $ 262,222   

Owens Realty Mortgage

  7,800      116,844   

Parkway Properties

  70,610      1,225,084   

Pebblebrook Hotel Trust

  62,910      2,929,719   

Pennsylvania Real Estate Investment Trust

  61,499      1,428,622   

PennyMac Mortgage Investment Trust

  66,221      1,409,845   

Physicians Realty Trust

  63,900      1,125,279   

Potlatch

  36,292      1,453,132   

PS Business Parks

  17,362      1,441,740   

QTS Realty Trust

  12,000      436,920   

RAIT Financial Trust

  70,832      485,908   

Ramco-Gershenson Properties Trust

  69,205      1,287,213   

Redwood Trust

  74,146      1,324,989   

Resource Capital

  120,329      546,294   

Retail Opportunity Investments

  80,667      1,476,206   

Rexford Industrial Realty

  52,400      828,444   

RLJ Lodging Trust

  115,061      3,602,560   

Rouse Properties

  34,360      651,466   

Ryman Hospitality Properties

  38,403      2,339,127   

Sabra Health Care REIT

  52,555      1,742,198   

Saul Centers

  9,166      524,295   

Select Income REIT

  33,663      841,238   

Silver Bay Realty Trust

  35,852      579,368   

Sovran Self Storage

  31,188      2,929,801   

STAG Industrial

  50,934      1,197,968   

Starwood Waypoint Residential Trust

  35,500      917,675   

STORE Capital

  29,300      684,155   

†Strategic Hotels & Resorts

  235,553      2,927,924   

Summit Hotel Properties

  77,173      1,085,824   

Sun Communities

  42,339      2,824,858   

Sunstone Hotel Investors

  180,974      3,016,837   

Terreno Realty

  34,814      793,759   

Trade Street Residential

  9,780      70,025   

UMH Properties

  17,967      180,928   

Universal Health Realty Income Trust

  11,273      634,106   

Urstadt Biddle Properties Class A

  25,117      579,198   

Washington Real Estate Investment Trust

  59,375      1,640,531   

Western Asset Mortgage Capital

  32,984      497,399   

Whitestone REIT

  21,971      348,899   
     

 

 

 
    141,125,454   
     

 

 

 

Real Estate Management & Development–0.53%

  

Alexander & Baldwin

  43,400      1,874,012   

Altisource Residential

  51,500      1,074,290   

†AV Homes

  8,780      140,129   

Consolidated-Tomoka Land

  4,399      262,444   

†Forestar Group

  32,877      518,470   

†FRP Holdings

  5,972      217,381   

Gramercy Property Trust

  41,928      1,176,912   

Kennedy-Wilson Holdings

  63,953      1,671,731   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Real Estate Management & Development (continued)

  

RE/MAX Holdings

  11,100    $ 368,631   

†St. Joe

  52,200      968,832   

†Tejon Ranch

  10,465      276,799   
     

 

 

 
  8,549,631   
     

 

 

 

Road & Rail–0.66%

  

ArcBest

  23,542      892,006   

Celadon Group

  17,246      469,436   

†General Finance

  6,300      50,841   

Heartland Express

  48,909      1,162,078   

Knight Transportation

  53,182      1,715,119   

Marten Transport

  19,478      451,890   

†P.A.M. Transportation Services

  2,100      120,267   

†Patriot Transportation Holding

  1,990      49,690   

†Quality Distribution

  19,881      205,371   

†Roadrunner Transportation Systems

  25,803      652,042   

†Saia

  22,263      986,251   

†Swift Transportation

  75,368      1,961,075   

Universal Truckload Services

  3,287      82,767   

†USA Truck

  8,100      224,289   

Werner Enterprises

  40,056      1,258,159   

†YRC Worldwide

  25,400      456,184   
     

 

 

 
    10,737,465   
     

 

 

 

Semiconductors & Semiconductor Equipment–3.29%

  

†Advanced Energy Industries

  37,379      959,145   

†Alpha & Omega Semiconductor

  19,771      176,160   

†Ambarella

  25,692      1,945,141   

†Amkor Technology

  69,765      616,374   

†Applied Micro Circuits

  59,890      305,439   

†Audience

  16,706      75,845   

†Axcelis Technologies

  93,334      222,135   

Brooks Automation

  61,390      713,966   

†Cabot Microelectronics

  21,771      1,087,897   

†Cascade Microtech

  9,200      124,936   

†Cavium

  46,473      3,291,218   

†CEVA

  19,023      405,570   

†Cirrus Logic

  55,188      1,835,553   

Cohu

  21,843      238,962   

†Cypress Semiconductor

  271,095      3,825,150   

†Diodes

  33,065      944,336   

†DSP Group

  17,252      206,679   

†Entegris

  123,950      1,696,875   

†Entropic Communications

  58,414      172,905   

†Exar

  31,384      315,409   

†Fairchild Semiconductor
International

  102,600      1,865,268   

†FormFactor

  48,314      428,545   

†Inphi

  29,294      522,312   

†Integrated Device Technology

  118,119      2,364,742   

Integrated Silicon Solution

  25,748      460,632   

Intersil Class A

  114,495      1,639,568   

IXYS

  23,122      284,863   
 

 

LVIP SSgA Small-Cap Index Fund–18


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Semiconductors & Semiconductor Equipment (continued)

  

†Kopin.

  64,942    $ 228,596   

†Lattice Semiconductor

  108,126      685,519   

†M/A-COM Technology Solutions Holdings

  11,007      410,121   

†MaxLinear Class A

  27,521      223,746   

Micrel

  39,283      592,388   

†Microsemi

  83,714      2,963,476   

MKS Instruments

  47,624      1,610,167   

Monolithic Power Systems

  34,353      1,808,685   

†Nanometrics

  22,922      385,548   

NVE.

  3,528      243,150   

†OmniVision Technologies

  50,166      1,322,877   

†PDF Solutions

  25,878      463,734   

Pericom Semiconductor

  20,862      322,735   

†Photronics

  62,260      529,210   

†PMC - Sierra

  154,800      1,436,544   

Power Integrations

  27,156      1,414,284   

†QuickLogic

  39,900      77,007   

†Rambus

  102,086      1,283,731   

†Rubicon Technology

  19,297      76,030   

†Rudolph Technologies

  28,138      310,081   

†Semtech

  59,984      1,598,274   

†Silicon Laboratories

  38,600      1,959,722   

†Synaptics

  31,852      2,589,727   

Tessera Technologies

  47,435      1,910,682   

†Ultra Clean Holdings

  28,866      206,392   

†Ultratech

  26,455      458,730   

†Veeco Instruments

  36,107      1,103,069   

†Vitesse Semiconductor

  58,800      312,228   

†Xcerra

  43,741      388,857   
     

 

 

 
    53,640,935   
     

 

 

 

Software–4.42%

  

†A10 Networks

  13,600      58,888   

†ACI Worldwide

  100,851      2,184,433   

Advent Software

  45,621      2,012,342   

†Amber Road

  11,100      102,675   

American Software Class A

  25,261      258,167   

†Aspen Technology

  81,075      3,120,577   

†AVG Technologies

  31,996      692,713   

†Barracuda Networks

  7,500      288,525   

Blackbaud

  41,033      1,944,144   

†Bottomline Technologies

  35,771      979,052   

†BroadSoft

  23,414      783,432   

†Callidus Software

  40,157      509,191   

†Cinedigm Class A

  55,400      89,748   

†CommVault Systems

  41,802      1,826,747   

†Comverse

  16,341      321,918   

†Covisint

  33,785      68,584   

†Cyan

  36,900      147,231   

Digimarc

  3,858      84,683   

Ebix

  25,978      789,212   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Software (continued)

  

†Ellie Mae

  25,192    $ 1,393,370   

†EnerNOC

  20,785      236,949   

Epiq Systems

  24,159      433,171   

†ePlus

  4,979      432,824   

†Everyday Health

  9,400      120,884   

Fair Isaac

  28,439        2,523,108   

†Five9

  12,000      66,720   

†Fleetmatics Group

  33,339      1,495,254   

†Gigamon

  22,800      484,272   

†Globant

  7,400      155,844   

†Glu Mobile

  74,232      371,902   

†Guidance Software

  9,449      51,119   

†Guidewire Software

  59,778      3,144,921   

†Imperva

  20,061      856,605   

†Infoblox

  48,492      1,157,504   

†Interactive Intelligence Group

  15,520      639,114   

†Jive Software

  25,355      130,071   

†Kofax

  70,400      770,880   

†Manhattan Associates

  66,680      3,374,675   

†Mavenir Systems

  7,600      134,824   

Mentor Graphics

  85,890      2,063,937   

†MicroStrategy

  8,084      1,367,732   

†MobileIron

  12,300      113,898   

†Model N

  14,400      172,224   

Monotype Imaging Holdings

  35,531      1,159,732   

†Netscout Systems

  32,656      1,431,966   

†New Relic

  5,000      173,500   

†OPOWER

  9,700      98,261   

†Park City Group

  12,800      176,384   

†Paycom Software

  6,800      218,008   

Pegasystems

  32,802      713,444   

†Progress Software

  46,100      1,252,537   

†Proofpoint

  32,820      1,943,600   

†PROS Holdings

  22,037      544,534   

QAD Class A

  4,773      115,507   

†Qlik Technologies

  79,180      2,464,873   

†Qualys

  17,125      795,970   

†Rally Software Development

  18,000      282,420   

†RealPage

  47,111      948,816   

†Rosetta Stone

  22,571      171,765   

†Sapiens International

  23,890      195,898   

†Seachange International

  21,379      167,825   

†Silver Spring Networks

  25,300      226,182   

SS&C Technologies Holdings

  59,817      3,726,599   

†Synchronoss Technologies

  31,544      1,497,078   

†Take-Two Interactive Software

  74,141      1,887,259   

†Tangoe

  33,351      460,244   

†TeleCommunication Systems Class A

  50,000      191,500   

†Telenav

  25,300      200,376   

†TiVo

  83,699      888,046   

†Tyler Technologies

  29,036      3,499,709   

†Ultimate Software Group

  24,868      4,226,441   
 

 

LVIP SSgA Small-Cap Index Fund–19


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Software (continued)

  

†Varonis Systems

  3,800    $ 97,508   

†VASCO Data Security International

  24,959      537,617   

†Verint Systems

  52,670      3,261,853   

†VirnetX Holding

  29,605      180,294   

†Vringo

  43,000      27,967   

†Zendesk

  8,200      186,058   
     

 

 

 
    71,903,835   
     

 

 

 

Specialty Retail–3.22%

  

†Aeropostale

  56,182      194,952   

American Eagle Outfitters

  171,400      2,927,512   

†America’s Car-Mart

  6,185      335,536   

†ANN

  41,732      1,712,264   

†Asbury Automotive Group

  24,144      2,006,366   

†Barnes & Noble

  33,072      785,460   

bebe stores

  22,415      81,366   

Big 5 Sporting Goods

  14,893      197,630   

†Boot Barn Holdings

  6,700      160,264   

Brown Shoe

  39,225      1,286,580   

Buckle

  25,308      1,292,986   

†Build-A-Bear Workshop

  14,600      286,890   

Cato Class A

  22,482      890,287   

Children’s Place Retail Stores

  19,901      1,277,445   

†Christopher & Banks

  23,300      129,548   

†Citi Trends

  13,276      358,452   

†Conn’s

  25,502      772,201   

†Container Store Group

  15,800      300,990   

Destination Maternity

  11,333      170,675   

†Destination XL Group

  25,722      127,067   

†Express

  76,075      1,257,520   

Finish Line Class A

  43,608      1,069,268   

†Five Below

  48,518      1,725,785   

†Francesca’s Holdings

  34,662      616,984   

†Freshpet

  9,100      176,813   

†Gaiam Class A

  4,300      31,347   

†Genesco

  21,432      1,526,601   

Group 1 Automotive

  21,535      1,859,117   

Guess

  56,000      1,041,040   

Haverty Furniture

  15,814      393,452   

†hhgregg

  10,548      64,659   

†Hibbett Sports

  23,283      1,142,264   

†Kirkland’s

  13,075      310,531   

Lithia Motors Class A

  20,237      2,011,760   

†Lumber Liquidators Holdings

  25,016      769,992   

†MarineMax

  20,040      531,260   

†Mattress Firm Holding

  13,619      948,427   

Men’s Wearhouse

  42,542      2,220,692   

Monro Muffler Brake

  28,049      1,824,587   

†New York

  18,830      47,075   

†Office Depot

  469,177      4,316,428   

Outerwall

  17,044      1,126,949   

†Pacific Sunwear of California

  42,000      115,920   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Specialty Retail (continued)

  

†Pep Boys-Manny Moe & Jack

  52,464    $ 504,704   

Pier 1 Imports

  85,425      1,194,242   

Rent-A-Center

  47,310      1,298,186   

†Restoration Hardware Holdings

  27,567      2,734,371   

†Sears Hometown and Outlet Stores

  5,500      42,460   

†Select Comfort

  48,411      1,668,727   

Shoe Carnival

  12,521      368,618   

Sonic Automotive Class A

  33,031      822,472   

Stage Stores

  29,395      673,733   

Stein Mart

  24,246      301,863   

†Systemax

  5,558      67,919   

†Tile Shop Holdings

  20,300      245,833   

†Tilly’s Class A

  5,063      79,236   

†Vitamin Shoppe

  27,707      1,141,251   

†West Marine

  9,450      87,602   

Winmark

  1,509      132,143   

†Zumiez

  17,023      685,176   
     

 

 

 
    52,471,478   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.41%

  

†Cray

  36,669      1,029,666   

†Dot Hill Systems

  43,400      230,020   

†Eastman Kodak

  12,800      243,072   

†Electronics for Imaging

  41,467      1,731,247   

†Immersion

  17,427      159,980   

†Intevac

  17,300      106,222   

†Nimble Storage

  6,700      149,477   

†QLogic

  78,441      1,156,220   

†Quantum

  200,628      321,005   

†Silicon Graphics International

  24,767      215,225   

†Super Micro Computer

  31,815      1,056,576   

†Violin Memory

  58,000      218,660   
     

 

 

 
  6,617,370   
     

 

 

 

Textiles, Apparel & Luxury Goods–1.05%

  

Columbia Sportswear

  24,520      1,493,268   

†Crocs

  69,100      816,071   

Culp

  7,341      196,372   

†G-III Apparel Group

  17,098      1,926,090   

†Iconix Brand Group

  42,951      1,446,160   

†Madden (Steven)

  51,734      1,965,892   

Movado Group

  14,680      418,674   

Oxford Industries

  11,876      896,044   

†Perry Ellis International

  10,714      248,136   

†Quiksilver

  91,745      169,728   

†Sequential Brands Group

  12,200      130,540   

†Skechers U.S.A. Class A

  34,613      2,489,021   

†Tumi Holdings

  45,846      1,121,393   

†Unifi

  12,374      446,578   

†Vera Bradley

  16,479      267,454   

†Vince Holding

  7,100      131,705   
 

 

LVIP SSgA Small-Cap Index Fund–20


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Textiles, Apparel & Luxury Goods (continued)

  

Wolverine World Wide

  89,508    $ 2,994,043   
     

 

 

 
    17,157,169   
     

 

 

 

Thrifts & Mortgage Finance–1.66%

  

†Anchor BanCorp Wisconsin

  5,000      173,650   

†Ashford

  642      76,244   

Astoria Financial

  71,353      924,021   

Bank Mutual

  42,625      312,015   

BankFinancial

  13,649      179,348   

†BBX Capital Class A

  5,500      102,300   

†Beneficial Bancorp

  30,256      341,591   

Berkshire Hills Bancorp

  23,265      644,441   

†BofI Holding

  13,540      1,259,762   

Brookline Bancorp

  65,419      657,461   

Capitol Federal Financial

  127,500      1,593,750   

Charter Financial

  14,593      167,819   

Clifton Bancorp

  19,162      270,376   

Dime Community Bancshares

  24,751      398,491   

†Essent Group

  41,400      989,874   

EverBank Financial

  81,365      1,467,011   

Federal Agricultural Mortgage
Class C

  8,874      250,158   

First Defiance Financial

  9,643      316,483   

First Financial Northwest

  8,909      110,026   

†Flagstar Bancorp

  20,300      294,553   

Fox Chase Bancorp

  7,723      129,978   

Home Loan Servicing Solutions

  63,826      1,055,682   

†HomeStreet

  21,529      394,411   

†Kearny Financial

  9,068      123,143   

†Ladder Capital Class A

  10,800      199,908   

Meta Financial Group

  6,800      270,164   

†MGIC Investment

  298,550      2,875,037   

†NMI Holdings Class A

  36,600      274,134   

Northfield Bancorp

  44,556      660,320   

Northwest Bancshares

  85,666      1,015,142   

OceanFirst Financial

  7,880      136,088   

Oritani Financial

  42,511      618,535   

†PennyMac Financial Services Class A

  8,200      139,154   

Provident Financial Services

  54,531      1,017,003   

Radian Group

  168,454      2,828,343   

†Stonegate Mortgage

  9,300      100,626   

Territorial Bancorp

  6,742      160,190   

Trustco Bank

  88,003      605,461   

United Community Financial

  45,200      246,792   

United Financial Bancorp

  42,554      528,946   

†Walker & Dunlop

  13,463      238,699   

Washington Federal

  90,000      1,962,450   

Waterstone Financial

  24,864      319,254   

WSFS Financial

  8,297      627,502   
     

 

 

 
  27,056,336   
     

 

 

 

Tobacco–0.16%

  

†22nd Century Group

  55,300      47,558   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Tobacco (continued)

  

†Alliance One International

  48,310    $ 53,141   

Universal

  21,042      992,341   

Vector Group

  67,296      1,478,493   
     

 

 

 
  2,571,533   
     

 

 

 

Trading Companies & Distributors–0.83%

  

Aceto

  27,057      595,254   

Aircastle

  57,844      1,299,176   

Applied Industrial Technologies

  37,230      1,688,008   

†Beacon Roofing Supply

  45,190      1,414,447   

†CAI International

  13,507      331,867   

†DXP Enterprises

  12,112      534,018   

H&E Equipment Services

  28,781      719,237   

Houston Wire & Cable

  11,627      113,131   

Kaman Class A

  24,752      1,050,227   

†Rush Enterprises Class A

  27,719      758,392   

†Stock Building Supply Holdings

  14,700      265,482   

TAL International Group

  30,486      1,241,695   

Textainer Group Holdings

  16,720      501,433   

†Titan Machinery

  14,270      190,505   

Watsco

  22,773      2,862,566   
     

 

 

 
  13,565,438   
     

 

 

 

Transportation Infrastructure–0.05%

  

†Wesco Aircraft Holdings

  49,520      758,646   
     

 

 

 
  758,646   
     

 

 

 

Water Utilities–0.24%

  

American States Water

  34,754      1,386,337   

Artesian Resources Class A

  4,044      86,501   

California Water Service Group

  43,142      1,057,410   

Connecticut Water Service

  9,225      335,144   

Middlesex Water

  13,731      312,518   

SJW

  14,815      457,932   

York Water

  9,003      218,593   
     

 

 

 
  3,854,435   
     

 

 

 

Wireless Telecommunication Services–0.12%

  

†Boingo Wireless

  21,997      165,857   

†GTT Communications

  15,700      296,416   

=Leap Wireless International

  38,182      96,219   

NTELOS Holdings

  8,357      40,114   

†RingCentral Class A

  20,300      311,199   

Shenandoah Telecommunications

  22,425      698,763   

Spok Holdings

  19,077      365,706   
     

 

 

 
  1,974,274   
     

 

 

 

Total Common Stock
(Cost $1,221,353,977)

    1,590,530,661   
     

 

 

 
 

 

LVIP SSgA Small-Cap Index Fund–21


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

 

Number of

Shares

 

Value

(U.S. $)

 

RIGHTS–0.00%

  

=Forest Laboratories

  3,000    $ 0   

=Furiex Pharmaceuticals

  5,671      46,219   

=Trius Therapeutics

  28,563      0   
     

 

 

 

Total Rights
(Cost $0)

  46,219   
     

 

 

 

WARRANTS–0.00%

  

@Greenhunter Energy, exercise price $27.50, expiration date 12/31/15

  90      0   

@Magnum Hunter Resources, exercise price $8.50, expiration date 4/15/16

  11,015      0   

Tejon Ranch, exercise price $40.00, expiration date 8/31/16

  1,546      1,237   
     

 

 

 

Total Warrants
(Cost $9,275)

  1,237   
     

 

 

 

MONEY MARKET FUND–2.38%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  38,695,164      38,695,164   
     

 

 

 

Total Money Market Fund
(Cost $38,695,164)

    38,695,164   
     

 

 

 
  Principal
Amount°
 

Value

(U.S. $)

 

SHORT-TERM INVESTMENTS–0.10%

  

¥U.S. Treasury Obligations–0.10%

  

U.S. Treasury Bills

0.01% 5/7/15

  300,000    $ 299,995   

0.015% 6/4/15

  1,400,000      1,399,975   
     

 

 

 
  1,699,970   
     

 

 

 

Total Short-Term Investments
(Cost $1,699,997)

    1,699,970   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.14% (Cost $1,261,758,413)

  1,630,973,251   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.14%)

  (2,279,447
  

 

 

 

NET ASSETS APPLICABLE TO 57,896,529 SHARES OUTSTANDING–100.00%

$ 1,628,693,804   
  

 

 

 

 

 

Non-income producing for the period.

 

@

Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $6,090,260, which represents 0.37% of the Fund’s net assets.

 

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $154,246, which represents 0.01% of the Fund’s net assets.

 

The rate shown is the effective yield at the time of purchase.

 

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

 

¥

Fully or partially pledged as collateral for futures contracts.

 

LVIP SSgA Small-Cap Index Fund–22


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

The following futures contract was outstanding at March 31, 2015:

Futures Contract

 

Contract to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
  Unrealized
Appreciation
(Depreciation)
 

309 E-mini Russell 2000 Index

$ 37,924,534    $ 38,591,010      6/22/15    $ 666,476   

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

REIT–Real Estate Investment Trust

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Level 3   Total  

Common Stock

Aerospace & Defense

$ 26,152,375    $    $    $ 26,152,375   

Air Freight & Logistics

  8,191,193                8,191,193   

Airlines

  9,040,281                9,040,281   

Auto Components

  19,357,616                19,357,616   

Automobiles

  541,556                541,556   

Banks

  120,347,691                120,347,691   

Beverages

  2,826,604                2,826,604   

Biotechnology

  97,694,913           11,808      97,706,721   

Building Products

  13,412,965                13,412,965   

Capital Markets

  24,889,117                24,889,117   

Chemicals

  33,578,364                33,578,364   

Commercial Services & Supplies

  36,214,666                36,214,666   

Communications Equipment

  24,656,138                24,656,138   

Construction & Engineering

  11,229,861                11,229,861   

Construction Materials

  1,617,966                1,617,966   

Consumer Finance

  10,482,786                10,482,786   

Containers & Packaging

  7,689,044                7,689,044   

Distributors

  4,343,564                4,343,564   

Diversified Consumer Services

  15,700,859                15,700,859   

Diversified Financial Services

  5,419,983                5,419,983   

Diversified Telecommunication Services

  9,970,034                9,970,034   

Electric Utilities

  22,129,014                22,129,014   

Electrical Equipment

  15,320,936                15,320,936   

Electronic Equipment, Instruments & Components

  43,033,331                43,033,331   

Energy Equipment & Services

  15,631,201                15,631,201   

Food & Staples Retailing

  15,697,409                15,697,409   

Food Products

  23,350,944                23,350,944   

Gas Utilities

  17,237,743                17,237,743   

Health Care Equipment & Supplies

  58,173,033                58,173,033   

Health Care Providers & Services

  42,758,722                42,758,722   

Health Care Technology

  8,060,862                8,060,862   

Hotels, Restaurants & Leisure

  53,415,226                53,415,226   

Household Durables

  19,508,623                19,508,623   

Household Products

  2,751,606                2,751,606   

Independent Power & Renewable Electricity Producers

  5,997,618                5,997,618   

Industrial Conglomerates

  592,337                592,337   

Insurance

  40,371,381                40,371,381   

Internet & Catalog Retail

  7,517,876                7,517,876   

Internet Software & Services

  33,847,526                33,847,526   

IT Services

  48,509,760                48,509,760   

 

LVIP SSgA Small-Cap Index Fund–23


LVIP SSgA Small-Cap Index Fund

Schedule of Investments (continued)

 

  Level 1   Level 2   Level 3   Total  

Leisure Products

$ 7,939,291    $    $    $ 7,939,291   

Life Sciences Tools & Services

  8,816,956                8,816,956   

Machinery

  46,540,032                46,540,032   

Marine

  2,573,316                2,573,316   

Media

  23,152,084                23,152,084   

Metals & Mining

  16,288,805                16,288,805   

Multiline Retail

  2,665,892                2,665,892   

Multi-Utilities

  6,056,676                6,056,676   

Oil, Gas & Consumable Fuels

  36,518,730                36,518,730   

Paper & Forest Products

  12,282,920                12,282,920   

Personal Products

  2,639,062                2,639,062   

Pharmaceuticals

  33,373,158                33,373,158   

Professional Services

  22,425,208                22,425,208   

Real Estate Investment Trusts

  141,125,454                141,125,454   

Real Estate Management & Development

  8,549,631                8,549,631   

Road & Rail

  10,737,465                10,737,465   

Semiconductors & Semiconductor Equipment

  53,640,935                53,640,935   

Software

  71,903,835                71,903,835   

Specialty Retail

  52,471,478                52,471,478   

Technology Hardware, Storage & Peripherals

  6,617,370                6,617,370   

Textiles, Apparel & Luxury Goods

  17,157,169                17,157,169   

Thrifts & Mortgage Finance

  27,056,336                27,056,336   

Tobacco

  2,571,533                2,571,533   

Trading Companies & Distributors

  13,565,438                13,565,438   

Transportation Infrastructure

  758,646                758,646   

Water Utilities

  3,854,435                3,854,435   

Wireless Telecommunication Services

  1,878,055           96,219      1,974,274   

Rights

            46,219      46,219   

Warrants

  1,237                1,237   

Money Market Fund

  38,695,164                38,695,164   

Short-Term Investments

       1,699,970           1,699,970   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

$ 1,629,119,035    $ 1,699,970    $ 154,246    $ 1,630,973,251   
  

 

 

    

 

 

    

 

 

    

 

 

 

Futures Contract

$ 666,476    $    $    $ 666,476   
  

 

 

    

 

 

    

 

 

    

 

 

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments of Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP SSgA Small-Cap Index Fund–24


LVIP SSgA Small-Cap RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

AFFILIATED INVESTMENT COMPANY–93.19%

  

Equity Fund–93.19%

*Lincoln Variable Insurance Products Trust–LVIP SSgA Small-Cap Index Fund

  4,267,936    $   120,138,126   
     

 

 

 

Total Affiliated Investment Company
(Cost $111,501,777)

   

  120,138,126   
     

 

 

 
  Number
of Shares
 

Value

(U.S. $)

 

UNAFFILIATED INVESTMENT COMPANY–6.66%

  

Money Market Fund–6.66%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  8,583,299    $   8,583,299   
     

 

 

 

Total Unaffiliated Investment Company
(Cost $8,583,299)

   

  8,583,299   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.85% (Cost $120,085,076)

  128,721,425   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.15%

  192,905   
  

 

 

 

NET ASSETS APPLICABLE TO 10,994,969 SHARES OUTSTANDING–100.00%

$ 128,914,330   
  

 

 

 

 

 

* Standard Class shares.

« Includes $337,324 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

(42)  E-mini Russell 2000 Index

$(5,133,596) $(5,245,380) 6/22/15 $(111,784)

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 128,721,425   
  

 

 

 

Futures Contracts

$ (111,784
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP SSgA Small-Cap Managed Volatility Fund.

 

LVIP SSgA Small-Cap RPM Fund–1


LVIP T. Rowe Price Growth Stock Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
  Value
(U.S. $)
 

COMMON STOCK–97.65%

Aerospace & Defense–3.17%

Boeing

  69,300    $ 10,400,544   

Precision Castparts

  40,900      8,589,000   
     

 

 

 
  18,989,544   
     

 

 

 

Air Freight & Logistics–0.71%

FedEx

  25,800      4,268,610   
     

 

 

 
  4,268,610   
     

 

 

 

Airlines–2.72%

American Airlines Group

  213,400      11,263,252   

†United Continental Holdings

  74,800      5,030,300   
     

 

 

 
  16,293,552   
     

 

 

 

Auto Components–0.93%

BorgWarner

  42,800      2,588,544   

Delphi Automotive

  37,300      2,974,302   
     

 

 

 
  5,562,846   
     

 

 

 

Automobiles–0.97%

†Tesla Motors

  30,800      5,814,116   
     

 

 

 
  5,814,116   
     

 

 

 

Biotechnology–11.16%

†Alexion Pharmaceuticals

  51,800      8,976,940   

†Biogen

  28,800      12,160,512   

†BioMarin Pharmaceutical

  31,000      3,863,220   

†Celgene

  79,600      9,176,288   

†Gilead Sciences

  126,500      12,413,445   

†Incyte

  47,400      4,344,684   

†Pharmacyclics

  28,700      7,345,765   

†Regeneron Pharmaceuticals

  10,200      4,605,096   

†Vertex Pharmaceuticals

  33,800      3,987,386   
     

 

 

 
  66,873,336   
     

 

 

 

Capital Markets–2.77%

BlackRock

  7,500      2,743,800   

Morgan Stanley

  188,400      6,723,996   

State Street

  52,800      3,882,384   

TD AmeriTrade Holding

  87,700      3,267,702   
     

 

 

 
  16,617,882   
     

 

 

 

Chemicals–1.90%

Ashland

  22,200      2,826,282   

duPont (E.I.) deNemours

  45,700      3,266,179   

Sherwin-Williams

  18,500      5,263,250   
     

 

 

 
  11,355,711   
     

 

 

 

Communications Equipment–0.25%

  

†Palo Alto Networks

  10,300      1,504,624   
     

 

 

 
  1,504,624   
     

 

 

 

Construction Materials–0.31%

Martin Marietta Materials

  13,500      1,887,300   
     

 

 

 
  1,887,300   
     

 

 

 
  Number of
Shares
  Value
(U.S. $)
 

COMMON STOCK (continued)

Diversified Financial Services–0.70%

  

Intercontinental Exchange

  18,100    $ 4,222,187   
     

 

 

 
  4,222,187   
     

 

 

 

Electronic Equipment, Instruments & Components–0.91%

  

†Mobileye

  59,000      2,479,770   

Tyco International

  68,600      2,953,916   
     

 

 

 
  5,433,686   
     

 

 

 

Food & Staples Retailing–2.38%

Costco Wholesale

  18,700      2,832,957   

CVS Health

  62,700      6,471,267   

Walgreens Boots Alliance

  58,300      4,936,844   
     

 

 

 
  14,241,068   
     

 

 

 

Health Care Equipment & Supplies–1.20%

  

†Intuitive Surgical

  14,200      7,171,426   
     

 

 

 
  7,171,426   
     

 

 

 

Health Care Providers & Services–4.53%

  

Anthem

  21,200      3,273,492   

Humana

  30,300      5,394,006   

McKesson

  58,700      13,277,940   

UnitedHealth Group

  44,100      5,216,589   
     

 

 

 
  27,162,027   
     

 

 

 

Hotels, Restaurants & Leisure–3.86%

  

†Chipotle Mexican Grill

  2,000      1,301,080   

Las Vegas Sands

  56,500      3,109,760   

†MGM Resorts International

  268,410      5,644,662   

Starbucks

  62,200      5,890,340   

Wynn Macau

  1,006,400      2,174,954   

Wynn Resorts

  39,590      4,983,589   
     

 

 

 
  23,104,385   
     

 

 

 

Industrial Conglomerates–3.22%

  

Danaher

  149,240      12,670,476   

Roper Industries

  38,600      6,639,200   
     

 

 

 
  19,309,676   
     

 

 

 

Internet & Catalog Retail–9.13%

  

†Amazon.com

  64,900      24,149,290   

†Ctrip.com International ADR

  11,800      691,716   

@=Flipkart Limited Series A

  274      31,174   

@=Flipkart Limited Series C

  482      55,310   

@=Flipkart Limited Series E

  894      103,464   

†@=Flipkart Limited Series G

  4,035      483,232   

@=Flipkart Limited Ordinary Shares

  800      91,018   

†Netflix

  10,900      4,541,921   

†Priceline Group

  15,500      18,044,325   

†Vipshop Holdings ADR

  221,600      6,523,904   
     

 

 

 
  54,715,354   
     

 

 

 

Internet Software & Services–13.57%

  

†Alibaba Group Holding ADR

  103,488      8,614,341   
 

 

LVIP T. Rowe Price Growth Stock Fund–1


LVIP T. Rowe Price Growth Stock Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Internet Software & Services (continued)

  

†Baidu ADR

  45,600    $ 9,503,040   

†@=Dropbox Class A

  34,588      660,672   

†Facebook Class A

  174,800      14,371,182   

†Google Class A

  28,500      15,808,950   

†Google Class C

  29,900      16,385,200   

†LinkedIn Class A

  18,800      4,697,368   

NAVER

  2,251      1,358,673   

†Pandora Media

  51,000      826,710   

Tencent Holdings

  258,300      4,905,096   

†Twitter

  83,200      4,166,656   
     

 

 

 
  81,297,888   
     

 

 

 

IT Services–5.39%

†Fiserv

  30,000      2,382,000   

MasterCard Class A

  147,600      12,751,164   

Visa Class A

  262,000      17,137,420   
     

 

 

 
  32,270,584   
     

 

 

 

Machinery–1.36%

Flowserve

  59,500      3,361,155   

Wabtec

  50,500      4,798,005   
     

 

 

 
  8,159,160   
     

 

 

 

Media–1.44%

Disney (Walt)

  82,100      8,611,469   
     

 

 

 
  8,611,469   
     

 

 

 

Oil, Gas & Consumable Fuels–2.27%

  

†Concho Resources

  7,100      823,032   

†Continental Resources

  41,800      1,825,406   

EOG Resources

  11,900      1,091,111   

EQT

  42,400      3,513,688   

Pioneer Natural Resources

  22,400      3,662,624   

Range Resources

  51,388      2,674,231   
     

 

 

 
  13,590,092   
     

 

 

 

Personal Products–0.39%

Estee Lauder Class A

  28,400      2,361,744   
     

 

 

 
  2,361,744   
     

 

 

 

Pharmaceuticals–4.45%

†Actavis

  46,312      13,783,291   

†Valeant Pharmaceuticals International

  64,800      12,870,576   
     

 

 

 
  26,653,867   
     

 

 

 

Real Estate Investment Trusts–2.53%

  

American Tower

  91,000      8,567,650   

Crown Castle International

  80,200      6,619,708   
     

 

 

 
  15,187,358   
     

 

 

 

Road & Rail–0.41%

Hunt (J.B.) Transport Services

  29,000      2,476,455   
     

 

 

 
  2,476,455   
     

 

 

 
 

Number of

Shares

 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Semiconductors & Semiconductor Equipment–0.39%

  

ASML Holding

  23,000    $ 2,323,690   
     

 

 

 
  2,323,690   
     

 

 

 

Software–3.50%

†NetSuite

  28,900      2,680,764   

†Red Hat

  53,400      4,045,050   

†salesforce.com

  127,600      8,524,956   

†ServiceNow

  39,200      3,088,176   

†Workday Class A

  30,900      2,608,269   
     

 

 

 
  20,947,215   
     

 

 

 

Specialty Retail–5.94%

†AutoZone

  10,100      6,889,816   

†CarMax

  76,200      5,258,562   

Home Depot

  53,800      6,112,218   

Lowe’s

  108,500      8,071,315   

Ross Stores

  31,600      3,329,376   

Tractor Supply

  69,500      5,911,670   
     

 

 

 
  35,572,957   
     

 

 

 

Technology Hardware, Storage & Peripherals–3.34%

  

Apple

  143,900      17,905,477   

SanDisk

  32,700      2,080,374   
     

 

 

 
  19,985,851   
     

 

 

 

Textiles, Apparel & Luxury Goods–1.85%

  

Hanesbrands

  172,900      5,793,879   

NIKE Class B

  36,800      3,692,144   

†Under Armour Class A

  20,100      1,623,075   
     

 

 

 
  11,109,098   
     

 

 

 

Total Common Stock
(Cost $413,172,421)

  585,074,758   
     

 

 

 

PREFERRED STOCK–0.10%

  

†@=Airbnb

  14,304      582,359   

†@=Livingsocial Series F

  14,245      3,704   
     

 

 

 

Total Preferred Stock
(Cost $691,903)

  586,063   
     

 

 

 

MONEY MARKET FUND–2.39%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  14,308,527      14,308,527   
     

 

 

 

Total Money Market Fund
(Cost $14,308,527)

  14,308,527   
     

 

 

 

 

 

 

LVIP T. Rowe Price Growth Stock Fund–2


LVIP T. Rowe Price Growth Stock Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–100.14% (Cost $428,172,851)

$   599,969,348   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.14%)

  (834,074
  

 

 

 

NET ASSETS APPLICABLE TO 18,216,774 SHARES OUTSTANDING–100.00%

$ 599,135,274   
  

 

 

 

 

Non-income producing for the period.

 

@ Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $2,010,933, which represents 0.34% of the Fund’s net assets.

 

= Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $2,010,932, which represents 0.34% of the Fund’s net assets.

ADR–American Depositary Receipt

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Level 3   Total  

Common Stock

Aerospace & Defense

$ 18,989,544    $    $    $ 18,989,544   

Air Freight & Logistics

  4,268,610                4,268,610   

Airlines

  16,293,552                16,293,552   

Auto Components

  5,562,846                5,562,846   

Automobiles

  5,814,116                5,814,116   

Biotechnology

  66,873,336                66,873,336   

Capital Markets

  16,617,882                16,617,882   

Chemicals

  11,355,711                11,355,711   

Communications Equipment

  1,504,624                1,504,624   

Construction Materials

  1,887,300                1,887,300   

Diversified Financial Services

  4,222,187                4,222,187   

Electronic Equipment, Instruments & Components

  5,433,686                5,433,686   

Food & Staples Retailing

  14,241,068                14,241,068   

Health Care Equipment & Supplies

  7,171,426                7,171,426   

Health Care Providers & Services

  27,162,027                27,162,027   

Hotels, Restaurants & Leisure

  20,929,431      2,174,954           23,104,385   

Industrial Conglomerates

  19,309,676                19,309,676   

Internet & Catalog Retail

  53,951,156           764,198      54,715,354   

Internet Software & Services

  74,373,447      6,263,769      660,672      81,297,888   

IT Services

  32,270,584                32,270,584   

Machinery

  8,159,160                8,159,160   

Media

  8,611,469                8,611,469   

Oil, Gas & Consumable Fuels

  13,590,092                13,590,092   

Personal Products

  2,361,744                2,361,744   

Pharmaceuticals

  26,653,867                26,653,867   

Real Estate Investment Trusts

  15,187,358                15,187,358   

Road & Rail

  2,476,455                2,476,455   

Semiconductors & Semiconductor Equipment

  2,323,690                2,323,690   

Software

  20,947,215                20,947,215   

Specialty Retail

  35,572,957                35,572,957   

Technology Hardware, Storage & Peripherals

  19,985,851                19,985,851   

Textiles, Apparel & Luxury Goods

  11,109,098                11,109,098   

Preferred Stock

            586,063      586,063   

Money Market Fund

  14,308,527                14,308,527   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

$ 589,519,692    $ 8,438,723    $ 2,010,933    $ 599,969,348   
  

 

 

    

 

 

    

 

 

    

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015, a portion of the Fund’s common stock investments were categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the

 

LVIP T. Rowe Price Growth Stock Fund–3


LVIP T. Rowe Price Growth Stock Fund

Schedule of Investments (continued)

 

(continued)

Fund utilizing international fair value pricing. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP T. Rowe Price Growth Stock Fund–4


LVIP T. Rowe Price Structured Mid-Cap Growth Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–99.50%

  

Aerospace & Defense–1.24%

  

†DigitalGlobe

  32,700    $ 1,114,089   

Textron

  71,200      3,156,296   

TransDigm Group

  13,200      2,887,104   
     

 

 

 
  7,157,489   
     

 

 

 

Air Freight & Logistics–0.48%

  

Expeditors International of Washington

  35,500      1,710,390   

Robinson (C.H.) Worldwide

  14,100      1,032,402   
     

 

 

 
  2,742,792   
     

 

 

 

Airlines–2.38%

  

Alaska Air Group

  31,000      2,051,580   

Copa Holdings Class A

  22,500      2,271,825   

Southwest Airlines

  92,600      4,102,180   

†Spirit Airlines

  24,300      1,879,848   

†United Continental Holdings

  50,900      3,423,025   
     

 

 

 
  13,728,458   
     

 

 

 

Auto Components–0.89%

  

BorgWarner

  41,700      2,522,016   

Delphi Automotive

  17,400      1,387,476   

Gentex

  61,400      1,123,620   

Remy International

  3,372      74,892   
     

 

 

 
  5,108,004   
     

 

 

 

Automobiles–0.55%

Harley-Davidson

  18,900      1,147,986   

†Tesla Motors

  10,600      2,000,962   
     

 

 

 
  3,148,948   
     

 

 

 

Banks–0.60%

BankUnited

  51,100      1,673,014   

†SVB Financial Group

  13,800      1,753,152   
     

 

 

 
  3,426,166   
     

 

 

 

Beverages–0.69%

Brown-Forman Class B

  30,262      2,734,172   

Dr Pepper Snapple Group

  15,900      1,247,832   
     

 

 

 
  3,982,004   
     

 

 

 

Biotechnology–4.51%

†ACADIA Pharmaceuticals

  42,600      1,388,334   

†Alkermes

  49,200      2,999,724   

†Alnylam Pharmaceuticals

  9,700      1,012,874   

†BioMarin Pharmaceutical

  20,100      2,504,862   

†Bluebird Bio

  5,000      603,850   

†Clovis Oncology

  7,600      564,148   

†Dyax

  18,300      306,617   

†Incyte

  36,400      3,336,424   

†Intercept Pharmaceuticals

  5,200      1,466,504   

†Ironwood Pharmaceuticals

  26,600      425,600   

†Myriad Genetics

  28,300      1,001,820   

†Neurocrine Biosciences

  13,800      547,998   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Biotechnology (continued)

  

†Puma Biotechnology

  8,200    $ 1,936,102   

†Receptos

  3,700      610,093   

†Seattle Genetics

  23,600      834,260   

†Synageva BioPharma

  10,600      1,033,818   

†United Therapeutics

  8,400      1,448,454   

†Vertex Pharmaceuticals

  33,600      3,963,792   
     

 

 

 
  25,985,274   
     

 

 

 

Building Products–0.59%

  

†Armstrong World Industries

  18,100      1,040,207   

Fortune Brands Home & Security

  49,400      2,345,512   
     

 

 

 
  3,385,719   
     

 

 

 

Capital Markets–2.40%

  

Artisan Partners Asset Management

  24,900      1,131,954   

†E*TRADE Financial

  99,000      2,826,945   

Financial Engines

  21,300      890,979   

Invesco

  28,300      1,123,227   

Lazard Class A

  51,500      2,708,385   

LPL Financial Holdings

  36,300      1,592,118   

Northern Trust

  12,600      877,590   

TD AmeriTrade Holding

  70,800      2,638,008   
     

 

 

 
  13,789,206   
     

 

 

 

Chemicals–3.97%

  

Airgas

  26,400      2,801,304   

Ashland

  14,100      1,795,071   

Celanese Class A

  53,300      2,977,338   

CF Industries Holdings

  4,900      1,390,032   

FMC

  18,800      1,076,300   

NewMarket

  3,700      1,767,860   

RPM International

  41,200      1,977,188   

Sherwin-Williams

  19,300      5,490,850   

Sociedad Quimica y Minera de Chile ADR

  37,700      688,025   

Valspar

  34,200      2,873,826   
     

 

 

 
  22,837,794   
     

 

 

 

Commercial Services & Supplies–1.17%

  

†Clean Harbors

  16,500      936,870   

†Copart

  24,100      905,437   

KAR Auction Services

  37,600      1,426,168   

Ritchie Bros Auctioneers

  54,800      1,366,712   

†Stericycle

  7,200      1,011,096   

Waste Connections

  22,250      1,071,115   
     

 

 

 
  6,717,398   
     

 

 

 

Communications Equipment–0.71%

  

†F5 Networks

  11,700      1,344,798   

Motorola Solutions

  16,400      1,093,388   

†Palo Alto Networks

  11,200      1,636,096   
     

 

 

 
  4,074,282   
     

 

 

 
 

 

LVIP T. Rowe Price Structured Mid-Cap Growth Fund–1


LVIP T. Rowe Price Structured Mid-Cap Growth Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Construction & Engineering–0.32%      

†Jacobs Engineering Group

  23,200    $ 1,047,712   

†Quanta Services

  28,100      801,693   
     

 

 

 
  1,849,405   
     

 

 

 

Construction Materials–0.68%

  

Eagle Materials

  14,000      1,169,840   

Vulcan Materials

  32,800      2,765,040   
     

 

 

 
  3,934,880   
     

 

 

 

Containers & Packaging–0.57%

  

Ball

  46,300      3,270,632   
     

 

 

 
  3,270,632   
     

 

 

 

Diversified Consumer Services–0.14%

  

Sotheby’s

  19,600      828,296   
     

 

 

 
  828,296   
     

 

 

 

Diversified Financial Services–2.31%

  

CBOE Holdings

  45,700      2,623,409   

†FNFV Group

  18,864      265,982   

Intercontinental Exchange

  13,400      3,125,818   

McGraw-Hill Financial

  29,800      3,081,320   

Moody’s

  26,500      2,750,700   

MSCI Class A

  23,500      1,440,785   
     

 

 

 
  13,288,014   
     

 

 

 

Electrical Equipment–1.68%

AMETEK

  32,625      1,714,117   

†Generac Holdings

  20,700      1,007,883   

Hubbell Class B

  19,900      2,181,438   

†Sensata Technologies Holding

  83,200      4,779,840   
     

 

 

 
  9,683,278   
     

 

 

 

Electronic Equipment, Instruments & Components–1.65%

  

Amphenol Class A

  52,200      3,076,146   

†Cognex

  29,000      1,438,110   

FEI

  14,500      1,106,930   

†IPG Photonics

  17,100      1,585,170   

†Keysight Technologies

  23,150      860,023   

†Trimble Navigation

  57,800      1,456,560   
     

 

 

 
  9,522,939   
     

 

 

 

Energy Equipment & Services–0.55%

  

†Cameron International

  17,400      785,088   

Core Laboratories

  5,800      606,042   

Frank’s International

  43,000      804,100   

Oceaneering International

  17,600      949,168   
     

 

 

 
  3,144,398   
     

 

 

 

Food & Staples Retailing–1.44%

  

†Fresh Market

  24,700      1,003,808   

PriceSmart

  10,400      883,792   

†Rite Aid

  320,400      2,784,276   

†Sprouts Farmers Market

  56,900      2,004,587   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Food & Staples Retailing (continued)

  

Whole Foods Market

  31,500    $ 1,640,520   
     

 

 

 
  8,316,983   
     

 

 

 

Food Products–2.37%

Flowers Foods

  90,950      2,068,203   

†Hain Celestial Group

  18,000      1,152,900   

Hershey

  19,500      1,967,745   

Keurig Green Mountain

  9,400      1,050,262   

McCormick

  37,900      2,922,469   

Mead Johnson Nutrition

  30,800      3,096,324   

Smucker (J.M.)

  11,900      1,377,187   
     

 

 

 
  13,635,090   
     

 

 

 

Health Care Equipment & Supplies–2.62%

  

†Align Technology

  25,400      1,366,139   

DENTSPLY International

  20,200      1,027,978   

†IDEXX Laboratories

  18,300      2,826,984   

†Intuitive Surgical

  6,600      3,333,198   

†Sirona Dental Systems

  22,300      2,006,777   

Teleflex

  17,300      2,090,359   

†Thoratec

  32,200      1,348,858   

West Pharmaceutical Services

  18,000      1,083,780   
     

 

 

 
  15,084,073   
     

 

 

 

Health Care Providers & Services–3.66%

  

AmerisourceBergen

  38,100      4,330,827   

†Catamaran

  20,490      1,219,975   

Cigna

  11,200      1,449,728   

†DaVita HealthCare Partners

  23,400      1,901,952   

†Envision Healthcare Holdings

  37,700      1,445,795   

†Henry Schein

  16,300      2,275,806   

Humana

  14,300      2,545,686   

†MEDNAX

  27,300      1,979,523   

†Team Health Holdings

  19,600      1,146,796   

Universal Health Services Class B

  11,300      1,330,123   

†WellCare Health Plans

  15,500      1,417,630   
     

 

 

 
  21,043,841   
     

 

 

 

Health Care Technology–0.92%

  

†athenahealth

  6,100      728,279   

†Cerner

  26,900      1,970,694   

†Medidata Solutions

  18,400      902,336   

†Veeva Systems Class A

  65,300      1,667,109   
     

 

 

 
  5,268,418   
     

 

 

 

Hotels, Restaurants & Leisure–4.09%

  

Bloomin’ Brands

  58,400      1,420,872   

Brinker International

  29,100      1,791,396   

†Chipotle Mexican Grill

  5,000      3,252,700   

Choice Hotels International

  30,900      1,979,763   

Extended Stay America

  43,100      841,743   

Marriott International Class A

  33,657      2,703,330   

†MGM Resorts International

  93,600      1,968,408   
 

 

LVIP T. Rowe Price Structured Mid-Cap Growth Fund–2


LVIP T. Rowe Price Structured Mid-Cap Growth Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Hotels, Restaurants & Leisure (continued)

  

†Norwegian Cruise Line Holdings

  8,400    $ 453,684   

†Panera Bread Class A

  7,000      1,119,965   

Papa John’s International

  22,700      1,403,087   

Royal Caribbean Cruises

  14,800      1,211,380   

Starwood Hotels & Resorts Worldwide

  35,900      2,997,650   

Wynn Resorts

  19,200      2,416,896   
     

 

 

 
  23,560,874   
     

 

 

 

Household Durables–0.59%

Newell Rubbermaid

  43,100      1,683,917   

†Toll Brothers

  43,900      1,727,026   
     

 

 

 
  3,410,943   
     

 

 

 

Household Products–0.61%

Church & Dwight

  26,200      2,238,004   

Clorox

  11,600      1,280,524   
     

 

 

 
  3,518,528   
     

 

 

 

Industrial Conglomerates–0.69%

  

Roper Industries

  23,200      3,990,400   
     

 

 

 
  3,990,400   
     

 

 

 

Insurance–0.98%

FNF Group

  79,000      2,904,040   

HCC Insurance Holdings

  18,000      1,020,060   

Progressive

  63,000      1,713,600   
     

 

 

 
  5,637,700   
     

 

 

 

Internet & Catalog Retail–2.33%

  

†Ctrip.com International ADR

  21,200      1,242,744   

†HomeAway

  29,600      893,032   

†Liberty Interactive Class A

  48,600      1,418,634   

†Liberty Ventures Class A

  6,909      290,247   

†Netflix

  10,400      4,333,576   

†TripAdvisor

  12,700      1,056,259   

†Vipshop Holdings ADR

  89,800      2,643,712   

†Wayfair Class A

  29,330      942,080   

†zulily Class A

  45,700      593,643   
     

 

 

 
  13,413,927   
     

 

 

 

Internet Software & Services–4.10%

  

†Akamai Technologies

  27,500      1,953,737   

†CoStar Group

  11,500      2,275,045   

†Coupons.com

  57,566      675,825   

†Dealertrack Technologies

  21,800      839,736   

†@=Dropbox

  7,607      145,303   

†@=Dropbox Class A

  27,601      527,212   

Equinix

  8,291      1,930,559   

†LendingClub

  22,900      449,985   

†LinkedIn Class A

  17,000      4,247,620   

MercadoLibre

  10,900      1,335,468   

†Pandora Media

  40,100      650,021   

†Rackspace Hosting

  29,600      1,527,064   

†Twitter

  77,000      3,856,160   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Internet Software & Services (continued)

  

†VeriSign

  47,700    $ 3,194,469   
     

 

 

 
  23,608,204   
     

 

 

 

IT Services–4.35%

†Alliance Data Systems

  5,500      1,629,375   

†CoreLogic

  69,100      2,437,157   

†EPAM Systems

  18,600      1,139,994   

Fidelity National Information Services

  62,200      4,233,332   

†Fiserv

  43,000      3,414,200   

†@=Flipkart Limited Series G

  5,529      662,153   

†Gartner

  37,600      3,152,760   

†Genpact

  37,200      864,900   

Global Payments

  22,900      2,099,472   

Paychex

  22,200      1,101,453   

†Vantiv Class A

  83,200      3,136,640   

†WEX

  10,900      1,170,224   
     

 

 

 
  25,041,660   
     

 

 

 

Leisure Products–0.59%

Mattel

  43,500      993,975   

Polaris Industries

  17,000      2,398,700   
     

 

 

 
  3,392,675   
     

 

 

 

Life Sciences Tools & Services–1.28%

  

Agilent Technologies

  61,400      2,551,170   

†Bruker

  47,400      875,478   

†Mettler-Toledo International

  8,600      2,826,390   

†Quintiles Transnational Holdings

  17,000      1,138,490   
     

 

 

 
  7,391,528   
     

 

 

 

Machinery–5.17%

CLARCOR

  14,200      938,052   

†Colfax

  33,500      1,598,955   

Donaldson

  56,400      2,126,844   

Flowserve

  45,900      2,592,891   

Graco

  32,900      2,374,064   

IDEX

  18,625      1,412,334   

†Middleby

  11,400      1,170,210   

Nordson

  13,800      1,081,092   

PACCAR

  24,900      1,572,186   

Pall

  30,800      3,092,012   

†Rexnord

  66,500      1,774,885   

Snap-on

  13,900      2,044,134   

Terex

  36,900      981,171   

Valmont Industries

  9,300      1,142,784   

†WABCO Holdings

  12,100      1,486,848   

Wabtec

  28,700      2,726,787   

Xylem

  47,600      1,666,952   
     

 

 

 
  29,782,201   
     

 

 

 

Media–1.23%

†Charter Communications Class A

  9,100      1,757,301   

†Discovery Communications Class C

  36,800      1,084,680   
 

 

LVIP T. Rowe Price Structured Mid-Cap Growth Fund–3


LVIP T. Rowe Price Structured Mid-Cap Growth Fund

Schedule of Investments (continued)

 

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Media (continued)

Interpublic Group

  80,600    $ 1,782,872   

†Markit

  52,700      1,417,630   

Omnicom Group

  13,600      1,060,528   
     

 

 

 
  7,103,011   
     

 

 

 

Metals & Mining–0.75%

Carpenter Technology

  16,800      653,184   

Compass Minerals International

  12,100      1,127,841   

Eldorado Gold

  125,100      574,209   

Silver Wheaton

  52,900      1,006,158   

†Stillwater Mining

  73,700      952,204   
     

 

 

 
  4,313,596   
     

 

 

 

Multiline Retail–1.30%

†Burlington Stores

  19,200      1,140,864   

Dollar General

  40,900      3,083,042   

†Dollar Tree

  40,400      3,278,258   
     

 

 

 
  7,502,164   
     

 

 

 

Multi-Utilities–0.31%

NiSource

  40,600      1,792,896   
     

 

 

 
  1,792,896   
     

 

 

 

Oil, Gas & Consumable Fuels–3.66%

  

†Antero Resources

  15,000      529,800   

Cabot Oil & Gas

  40,400      1,193,012   

Cimarex Energy

  14,700      1,691,823   

†Concho Resources

  19,800      2,295,216   

†Continental Resources

  16,000      698,720   

†Diamondback Energy

  27,800      2,136,152   

EQT

  40,800      3,381,096   

Pioneer Natural Resources

  15,100      2,469,001   

Range Resources

  62,400      3,247,296   

†Rice Energy

  35,500      772,480   

SM Energy

  14,500      749,360   

Tesoro

  15,100      1,378,479   

†WPX Energy

  46,400      507,152   
     

 

 

 
  21,049,587   
     

 

 

 

Pharmaceuticals–2.47%

†Akorn

  28,100      1,335,031   

†Catalent

  118,962      3,705,666   

†Endo International

  35,000      3,139,500   

†Jazz Pharmaceuticals

  9,100      1,572,389   

†Pacira Pharmaceuticals

  12,200      1,083,970   

Zoetis

  73,000      3,379,170   
     

 

 

 
  14,215,726   
     

 

 

 

Professional Services–3.29%

Corporate Executive Board

  13,700      1,094,082   

Equifax

  32,000      2,976,000   

†IHS Class A

  30,900      3,515,184   

ManpowerGroup

  26,100      2,248,515   

Nielsen

  32,400      1,444,068   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Professional Services (continued)

  

Robert Half International

  27,300    $ 1,652,196   

Towers Watson Class A

  8,800      1,163,228   

†Verisk Analytics Class A

  55,300      3,948,420   

†@=Wework

  5,617      93,530   

†@=Wework Series D1

  27,915      464,817   

†@=Wework Series D2

  21,933      365,210   
     

 

 

 
  18,965,250   
     

 

 

 

Real Estate Investment Trusts–1.12%

  

Crown Castle International

  63,500      5,241,290   

Federal Realty Investment Trust

  8,000      1,177,680   
     

 

 

 
  6,418,970   
     

 

 

 

Real Estate Management & Development–0.59%

  

Jones Lang LaSalle

  12,200      2,078,880   

†Zillow Group

  13,300      1,333,990   
     

 

 

 
  3,412,870   
     

 

 

 

Road & Rail–1.40%

†Genesee & Wyoming

  16,300      1,571,972   

†Hertz Global Holdings

  31,900      691,592   

Hunt (J.B.) Transport Services

  27,100      2,314,205   

Kansas City Southern

  23,900      2,439,712   

Landstar System

  16,100      1,067,430   
     

 

 

 
  8,084,911   
     

 

 

 

Semiconductors & Semiconductor Equipment–3.03%

  

Altera

  100,700      4,321,037   

ARM Holdings ADR

  61,600      3,036,880   

KLA-Tencor

  27,400      1,597,146   

Linear Technology

  42,200      1,974,960   

Microchip Technology

  28,600      1,398,540   

Skyworks Solutions

  31,700      3,115,793   

Xilinx

  47,100      1,992,330   
     

 

 

 
  17,436,686   
     

 

 

 

Software–5.09%

†ANSYS

  12,800      1,128,832   

†@=Atlassian Class A

  20,989      335,824   

†@=Atlassian Series 1

  6,969      111,504   

†@=Atlassian Series 2

  18,662      298,592   

†@=Atlassian Series A

  13,800      220,800   

†Autodesk

  18,300      1,073,112   

†Check Point Software Technologies

  13,400      1,098,398   

FactSet Research Systems

  7,750      1,233,800   

†Fortinet

  32,900      1,149,855   

†Guidewire Software

  32,700      1,720,347   

†Inovalon Holdings Class A

  6,400      193,344   

Intuit

  33,900      3,286,944   

†Mobileye

  38,600      1,622,358   

†NetSuite

  20,500      1,901,580   

†Red Hat

  61,100      4,628,325   

†ServiceNow

  47,300      3,726,294   
 

 

LVIPT. Rowe Price Structured Mid-Cap Growth Fund–4


LVIP T. Rowe Price Structured Mid-Cap Growth Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Software (continued)

Solera Holdings

  18,600    $ 960,876   

†Splunk

  20,300      1,201,760   

†Tableau Software Class A

  15,000      1,387,800   

†Workday Class A

  23,605      1,992,498   
     

 

 

 
  29,272,843   
     

 

 

 

Specialty Retail–6.83%

†AutoZone

  7,700      5,252,632   

†CarMax

  82,100      5,665,721   

Dick’s Sporting Goods

  24,400      1,390,556   

†Five Below

  37,400      1,330,318   

L Brands

  36,700      3,460,443   

†Lumber Liquidators Holdings

  10,800      332,424   

†Michaels

  60,600      1,639,836   

†O’Reilly Automotive

  18,400      3,978,816   

†Restoration Hardware Holdings

  15,400      1,527,526   

Ross Stores

  47,000      4,951,920   

Tiffany

  33,000      2,904,330   

Tractor Supply

  40,900      3,478,954   

†Ulta Salon Cosmetics & Fragrance

  9,600      1,448,160   

Williams-Sonoma

  24,600      1,960,866   
     

 

 

 
  39,322,502   
     

 

 

 

Technology Hardware, Storage & Peripherals–0.44%

  

SanDisk

  29,100      1,851,342   

†Stratasys

  12,900      680,862   
     

 

 

 
  2,532,204   
     

 

 

 

Textiles, Apparel & Luxury Goods–2.18%

  

Coach

  28,600      1,184,898   

†Fossil Group

  13,300      1,096,585   

Hanesbrands

  170,300      5,706,753   

†Kate Spade

  58,700      1,959,993   

†lululemon athletica

  21,500      1,376,430   

Wolverine World Wide

  37,100      1,240,995   
     

 

 

 
  12,565,654   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Trading Companies & Distributors–0.75%

  

Fastenal

  34,100    $ 1,412,933   

Grainger (W.W.)

  12,400      2,924,044   
     

 

 

 
  4,336,977   
     

 

 

 

Wireless Telecommunication Services–1.19%

  

†SBA Communications Class A

  46,700      5,468,570   

†T-Mobile US

  42,700      1,353,163   
     

 

 

 
  6,821,733   
     

 

 

 

Total Common Stock
(Cost $361,613,863)

  572,850,001   
     

 

 

 

PREFERRED STOCK–0.32%

  

†@=Airbnb

  18,795      765,201   

†@=Dropbox Series A

  9,449      180,487   

†@=Dropbox Series A-1

  46,402      886,334   
     

 

 

 

Total Preferred Stock
(Cost $1,270,602)

  1,832,022   
     

 

 

 

MONEY MARKET FUND–0.36%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  2,048,487      2,048,487   
     

 

 

 

Total Money Market Fund
(Cost $2,048,487)

  2,048,487   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.18% (Cost $364,932,952)

  576,730,510   

LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.18%)

  (1,033,404
  

 

 

 

NET ASSETS APPLICABLE TO 24,693,988 SHARES OUTSTANDING–100.00%

$ 575,697,106   
  

 

 

 

 

Non-income producing for the period.

 

@ Illiquid security. At March 31, 2015, the aggregate value of illiquid securities was $5,056,967, which represents 0.88% of the Fund’s net assets.

 

= Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $5,056,967, which represents 0.88% of the Fund’s net assets.

ADR–American Depositary Receipt

 

LVIP T. Rowe Price Structured Mid-Cap Growth Fund–5


LVIP T. Rowe Price Structured Mid-Cap Growth Fund

Schedule of Investments (continued)

 

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 3   Total  

Common Stock

Aerospace & Defense

$ 7,157,489    $    $ 7,157,489   

Air Freight & Logistics

  2,742,792           2,742,792   

Airlines

  13,728,458           13,728,458   

Auto Components

  5,108,004           5,108,004   

Automobiles

  3,148,948           3,148,948   

Banks

  3,426,166           3,426,166   

Beverages

  3,982,004           3,982,004   

Biotechnology

  25,985,274           25,985,274   

Building Products

  3,385,719           3,385,719   

Capital Markets

  13,789,206           13,789,206   

Chemicals

  22,837,794           22,837,794   

Commercial Services & Supplies

  6,717,398           6,717,398   

Communications Equipment

  4,074,282           4,074,282   

Construction & Engineering

  1,849,405           1,849,405   

Construction Materials

  3,934,880           3,934,880   

Containers & Packaging

  3,270,632           3,270,632   

Diversified Consumer Services

  828,296           828,296   

Diversified Financial Services

  13,288,014           13,288,014   

Electrical Equipment

  9,683,278           9,683,278   

Electronic Equipment, Instruments & Components

  9,522,939           9,522,939   

Energy Equipment & Services

  3,144,398           3,144,398   

Food & Staples Retailing

  8,316,983           8,316,983   

Food Products

  13,635,090           13,635,090   

Health Care Equipment & Supplies

  15,084,073           15,084,073   

Health Care Providers & Services

  21,043,841           21,043,841   

Health Care Technology

  5,268,418           5,268,418   

Hotels, Restaurants & Leisure

  23,560,874           23,560,874   

Household Durables

  3,410,943           3,410,943   

Household Products

  3,518,528           3,518,528   

Industrial Conglomerates

  3,990,400           3,990,400   

Insurance

  5,637,700           5,637,700   

Internet & Catalog Retail

  13,413,927           13,413,927   

Internet Software & Services

  22,935,689      672,515      23,608,204   

IT Services

  24,379,507      662,153      25,041,660   

Leisure Products

  3,392,675           3,392,675   

Life Sciences Tools & Services

  7,391,528           7,391,528   

Machinery

  29,782,201           29,782,201   

Media

  7,103,011           7,103,011   

Metals & Mining

  4,313,596           4,313,596   

Multiline Retail

  7,502,164           7,502,164   

Multi-Utilities

  1,792,896           1,792,896   

Oil, Gas & Consumable Fuels

  21,049,587           21,049,587   

Pharmaceuticals

  14,215,726           14,215,726   

Professional Services

  18,041,693      923,557      18,965,250   

Real Estate Investment Trusts

  6,418,970           6,418,970   

Real Estate Management & Development

  3,412,870           3,412,870   

Road & Rail

  8,084,911           8,084,911   

Semiconductors & Semiconductor Equipment

  17,436,686           17,436,686   

Software

  28,306,123      966,720      29,272,843   

Specialty Retail

  39,322,502           39,322,502   

Technology Hardware, Storage & Peripherals

  2,532,204           2,532,204   

Textiles, Apparel & Luxury Goods

  12,565,654           12,565,654   

Trading Companies & Distributors

  4,336,977           4,336,977   

Wireless Telecommunication Services

  6,821,733           6,821,733   

 

LVIP T. Rowe Price Structured Mid-Cap Growth Fund–6


LVIP T. Rowe Price Structured Mid-Cap Growth Fund

Schedule of Investments (continued)

 

  Level 1   Level 3   Total  
Preferred Stock $    $ 1,832,022    $ 1,832,022   
Money Market Fund   2,048,487           2,048,487   
 

 

 

   

 

 

   

 

 

 
Total $ 571,673,543    $ 5,056,967    $ 576,730,510   
 

 

 

   

 

 

   

 

 

 

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers betwween Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

 

LVIP T. Rowe Price Structured Mid-Cap Growth Fund–7


LVIP Templeton Growth RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK–90.45%

  

Brazil–0.06%

Petroleo Brasileiro ADR

  77,178    $ 470,014   
     

 

 

 
  470,014   
     

 

 

 

Canada–0.51%

Talisman Energy

  532,660      4,083,313   
     

 

 

 
  4,083,313   
     

 

 

 

France–7.53%

AXA

  294,106      7,403,784   

BNP Paribas

  179,550      10,926,936   

Cie de Saint-Gobain

  154,240      6,773,523   

Cie Generale des Etablissements Michelin

  65,780      6,542,706   

Credit Agricole

  440,310      6,471,541   

Sanofi

  92,166      9,103,920   

Technip

  70,330      4,254,898   

TOTAL

  170,520      8,477,616   
     

 

 

 
  59,954,924   
     

 

 

 

Germany–6.41%

Bayer

  64,570      9,662,495   

Deutsche Boerse

  68,110      5,559,420   

Deutsche Lufthansa

  347,430      4,865,855   

HeidelbergCement

  75,270      5,953,633   

Infineon Technologies ADR

  411,748      4,934,800   

Merck

  63,760      7,137,208   

METRO

  111,350      3,774,336   

Muenchener Rueckversicherungs

  11,130      2,392,084   

†QIAGEN

  88,954      2,232,663   

Siemens ADR

  41,850      4,528,170   
     

 

 

 
  51,040,664   
     

 

 

 

nHong Kong–6.25%

AIA Group

  839,800      5,272,672   

China Life Insurance

  2,135,000      9,384,942   

China Shenhua Energy

  1,105,000      2,818,523   

China Telecom

  12,606,000      8,059,167   

=CSR

  2,984,500      3,942,043   

Kunlun Energy

  2,812,000      2,731,177   

†Michael Kors Holdings

  111,590      7,337,043   

Noble Group

  4,335,000      2,903,638   

Sinopharm Group

  1,051,600      4,281,966   

Weichai Power

  782,000      3,015,018   
     

 

 

 
  49,746,189   
     

 

 

 

Ireland–1.03%

CRH

  314,119      8,216,631   
     

 

 

 
  8,216,631   
     

 

 

 

Israel–1.55%

Teva Pharmaceutical Industries ADR

  198,275      12,352,533   
     

 

 

 
  12,352,533   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Italy–1.96%

Eni

  343,275    $ 5,942,558   

†Saipem

  231,077      2,350,949   

UniCredit

  1,079,701      7,323,129   
     

 

 

 
  15,616,636   
     

 

 

 

Japan–4.66%

ITOCHU

  205,980      2,228,719   

Konica Minolta Holdings

  499,900      5,065,312   

Nissan Motor

  955,400      9,715,326   

Suntory Beverage & Food

  197,000      8,433,961   

Toshiba

  910,000      3,812,322   

Toyota Motor ADR

  55,741      7,797,608   
     

 

 

 
  37,053,248   
     

 

 

 

Netherlands–3.53%

Akzo Nobel

  116,350      8,798,815   

†ING Groep CVA

  502,212      7,357,758   

†NN Group

  103,200      2,926,241   

Royal Dutch Shell Class A

  38,050      1,131,458   

Royal Dutch Shell Class B

  106,430      3,315,217   

TNT Express

  714,790      4,541,049   
     

 

 

 
  28,070,538   
     

 

 

 

Norway–0.90%

Telenor

  356,310      7,191,366   
     

 

 

 
  7,191,366   
     

 

 

 

Portugal–0.45%

Galp Energia

  329,170      3,560,410   
     

 

 

 
  3,560,410   
     

 

 

 

Republic of Korea–3.13%

Hyundai Mobis

  15,430      3,419,434   

KB Financial Group

  35,093      1,239,322   

POSCO ADR

  83,745      4,577,502   

Samsung Electronics

  12,084      15,677,316   
     

 

 

 
  24,913,574   
     

 

 

 

Russia–0.39%

MMC Norilsk Nickel OJSC ADR

  171,593      3,058,736   
     

 

 

 
  3,058,736   
     

 

 

 

Singapore–1.03%

DBS Group Holdings

  267,105      3,960,450   

Singapore Telecommunications

  1,331,860      4,249,862   
     

 

 

 
  8,210,312   
     

 

 

 

Spain–0.79%

Telefonica

  440,654      6,271,456   
     

 

 

 
  6,271,456   
     

 

 

 

Sweden–0.54%

Getinge Class B

  173,390      4,284,283   
     

 

 

 
  4,284,283   
     

 

 

 
 

 

LVIP Templeton Growth RPM Fund–1


LVIP Templeton Growth RPM Fund

Schedule of Investments (continued)

 

  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

Switzerland–4.17%

†ABB

  317,230    $ 6,729,720   

ACE

  16,150      1,800,563   

Credit Suisse Group

  312,344      8,403,287   

Novartis

  27,010      2,665,900   

Roche Holding

  38,740      10,645,446   

Swiss Re

  30,470      2,939,074   
     

 

 

 
  33,183,990   
     

 

 

 

Taiwan–0.29%

Taiwan Semiconductor Manufacturing ADR

  97,374      2,286,341   
     

 

 

 
  2,286,341   
     

 

 

 

Thailand–0.58%

Bangkok Bank NVDR

  810,000      4,587,930   
     

 

 

 
  4,587,930   
     

 

 

 

United Kingdom–12.07%

Aviva

  885,400      7,085,514   

BAE Systems

  641,730      4,972,960   

Barclays

  1,635,210      5,902,136   

BP ADR

  232,353      9,087,326   

GlaxoSmithKline

  370,310      8,524,227   

HSBC Holdings

  1,002,450      8,578,743   

Kingfisher

  815,318      4,599,929   

†Lloyds Banking Group

  4,341,190      5,031,867   

Marks & Spencer Group

  781,810      6,183,024   

Petrofac

  341,080      4,801,615   

Rexam

  363,483      3,115,069   

Serco Group

  328,970      672,921   

Sky PLC

  596,340      8,773,051   

Standard Chartered

  238,220      3,858,251   

Tesco

  1,839,230      6,565,013   

Vodafone Group ADR

  254,800      8,326,864   
     

 

 

 
  96,078,510   
     

 

 

 

United States–32.62%

†Actavis

  61,650      18,348,273   

Allegheny Technologies

  211,880      6,358,519   

American International Group

  159,280      8,726,951   

Amgen

  82,560      13,197,216   

Applied Materials

  253,710      5,723,698   

Baker Hughes

  84,180      5,352,164   

Bank of New York Mellon

  81,040      3,261,050   

Capital One Financial

  95,330      7,513,911   

Chesapeake Energy

  267,710      3,790,774   

Chevron

  23,190      2,434,486   

Cisco Systems

  248,480      6,839,412   

Citigroup

  214,220      11,036,614   

Comcast Class A

  190,355      10,672,253   

CVS Health

  77,900      8,040,059   

Foot Locker

  122,960      7,746,480   

General Motors

  149,100      5,591,250   
  Number of
Shares
 

Value

(U.S. $)

 

DCOMMON STOCK (continued)

  

United States (continued)

†Gilead Sciences

  113,910    $ 11,177,988   

Halliburton

  176,060      7,725,513   

†Isis Pharmaceuticals

  37,250      2,371,707   

JPMorgan Chase

  188,310      11,407,820   

†Knowles

  324,550      6,254,079   

Macy’s

  141,700      9,197,747   

Medtronic

  91,920      7,168,841   

Merck

  96,800      5,564,064   

Microsoft

  305,130      12,405,060   

Morgan Stanley

  199,260      7,111,589   

†News Class A

  354,450      5,674,745   

Noble

  248,130      3,543,296   

Pfizer

  245,510      8,541,293   

Stanley Black & Decker

  63,810      6,084,922   

Symantec

  67,430      1,575,502   

Target

  58,120      4,769,908   

Twenty-First Century Fox Class A

  192,420      6,511,493   

United Parcel Service Class B

  29,510      2,860,699   

Voya Financial

  173,520      7,480,447   

Walgreens Boots Alliance

  88,610      7,503,495   
     

 

 

 
  259,563,318   
     

 

 

 

Total Common Stock
(Cost $612,957,552)

  719,794,916   
     

 

 

 

DRIGHTS–0.03%

Spain–0.01%

†Telefonica, exercise price EUR 10.84,expiration date 4/12/15

  440,654      71,085   
     

 

 

 
  71,085   
     

 

 

 

United Kingdom–0.02%

†Serco Group, exercise price GBP 1.01, expiration date 04/16/15

  328,970      200,071   
     

 

 

 
  200,071   
     

 

 

 

Total Rights
(Cost $434,775)

  271,156   
     

 

 

 

MONEY MARKET FUND–8.72%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  69,349,668      69,349,668   
     

 

 

 

Total Money Market Fund
(Cost $69,349,668)

  69,349,668   
     

 

 

 
 

 

LVIP Templeton Growth RPM Fund–2


LVIP Templeton Growth RPM Fund

Schedule of Investments (continued)

 

TOTAL VALUE OF SECURITIES–99.20% (Cost $682,741,995)

$ 789,415,740   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.80%

  6,344,881   
  

 

 

 

NET ASSETS APPLICABLE TO 24,006,679 SHARES OUTSTANDING–100.00%

$ 795,760,621   
  

 

 

 

 

D Securities have been classified by country of origin.

 

n Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China.

 

Non-income producing for the period.

 

« Includes $4,727,347 cash pledged as collateral and $712,390 foreign currencies due to broker for futures contracts as of March 31, 2015.

 

= Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2015, the aggregate value of fair valued securities was $3,942,043, which represents 0.50% of the Fund’s net assets.

The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2015:

Foreign Currency Exchange Contracts

Counterparty

Contracts to
Receive (Deliver)
  In Exchange For   Settlement Date Unrealized
Appreciation
(Depreciation)
 

BNYM

  GBP      (10,091   USD      14,910    4/1/15 $ (58

BNYM

  THB      149,297,881      USD      (4,592,721 4/3/15   (6,895
                 

 

 

 
$ (6,953
                 

 

 

 

Futures Contracts

Contracts to Buy (Sell)    Notional
Cost (Proceeds)
    Notional
Value
    Expiration
Date
     Unrealized
Appreciation
(Depreciation)
 
  (91)      British Pound Currency    $ (8,474,536   $ (8,438,544     6/18/15       $ 35,992   
  (186)      E-mini S&P 500 Index      (19,038,935     (19,165,440     6/22/15         (126,505
  (103)      Euro Currency      (14,023,817     (13,845,775     6/18/15         178,042   
  (359)      Euro STOXX 50 Index      (13,898,497     (14,018,802     6/22/15         (120,305
  (83)      FTSE 100 Index      (8,358,154     (8,282,151     6/22/15         76,003   
  (96)      Japanese Yen Currency      (10,096,512     (10,015,200     6/18/15         81,312   
  (62)      Nikkei 225 Index (OSE)      (9,980,266     (9,928,890     6/12/15         51,376   
    

 

 

        

 

 

 
$ (83,870,717 $ 175,915   
    

 

 

        

 

 

 

The use of foreign currency exchange contracts and futures contracts involves elements of market risk and risks in excess of the amount disclosed in the financial statements. The foreign currency exchange contracts and futures contracts presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

ADR–American Depositary Receipt

BNYM–Bank of New York Mellon

EUR–Euro

GBP–British Pound Sterling

NVDR–Non-Voting Depositary Receipt

OSE–Osaka Securities Exchange

THB–Thailand Baht

USD–United States Dollar

 

LVIP Templeton Growth RPM Fund–3


LVIP Templeton Growth RPM Fund

Schedule of Investments (continued)

 

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1   Level 2   Level 3   Total  

Common Stock

Brazil

$ 470,014    $    $    $ 470,014   

Canada

  4,083,313                4,083,313   

France

       59,954,924           59,954,924   

Germany

  9,462,970      41,577,694           51,040,664   

Hong Kong

  7,337,043      38,467,103      3,942,043      49,746,189   

Ireland

       8,216,631           8,216,631   

Israel

  12,352,533                12,352,533   

Italy

       15,616,636           15,616,636   

Japan

  7,797,608      29,255,640           37,053,248   

Netherlands

       28,070,538           28,070,538   

Norway

       7,191,366           7,191,366   

Portugal

       3,560,410           3,560,410   

Republic of Korea

  4,577,502      20,336,072           24,913,574   

Russia

       3,058,736           3,058,736   

Singapore

       8,210,312           8,210,312   

Spain

       6,271,456           6,271,456   

Sweden

       4,284,283           4,284,283   

Switzerland

  1,800,563      31,383,427           33,183,990   

Taiwan

  2,286,341                2,286,341   

Thailand

       4,587,930           4,587,930   

United Kingdom

  18,087,111      77,991,399           96,078,510   

United States

  259,563,318                259,563,318   

Rights

  271,156                271,156   

Money Market Fund

  69,349,668                69,349,668   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

$ 397,439,140    $ 388,034,557    $ 3,942,043    $ 789,415,740   
  

 

 

    

 

 

    

 

 

    

 

 

 

Foreign Currency Exchange Contracts

$    $ (6,953 $    $ (6,953
  

 

 

    

 

 

    

 

 

    

 

 

 

Futures Contracts

$ 175,915    $    $    $ 175,915   
  

 

 

    

 

 

    

 

 

    

 

 

 

As a result of utilizing international fair value pricing at March 31, 2015 a majority of the Fund’s common stock investments were categorized as Level 2.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the period. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP Templeton Growth Managed Volatility Fund.

 

LVIP Templeton Growth RPM Fund–4


LVIP UBS Large Cap Growth RPM Fund

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK–93.10%

Airlines–1.32%

†Spirit Airlines

  98,400    $ 7,612,224   
     

 

 

 
  7,612,224   
     

 

 

 

Auto Components–1.08%

BorgWarner

  103,300      6,247,584   
     

 

 

 
  6,247,584   
     

 

 

 

Banks–0.55%

†Signature Bank

  24,500      3,174,710   
     

 

 

 
  3,174,710   
     

 

 

 

Biotechnology–7.25%

Amgen

  18,900      3,021,165   

†Celgene

  102,900      11,862,312   

†Gilead Sciences

  122,900      12,060,177   

†Regeneron Pharmaceuticals

  19,000      8,578,120   

†Vertex Pharmaceuticals

  54,000      6,370,380   
     

 

 

 
  41,892,154   
     

 

 

 

Capital Markets–1.27%

†Affiliated Managers Group

  34,200      7,345,476   
     

 

 

 
  7,345,476   
     

 

 

 

Chemicals–3.47%

Ecolab

  92,800      10,614,464   

Sherwin-Williams

  33,200      9,445,400   
     

 

 

 
  20,059,864   
     

 

 

 

Communications Equipment–0.92%

  

Cisco Systems

  192,600      5,301,315   
     

 

 

 
  5,301,315   
     

 

 

 

Consumer Finance–0.26%

†Synchrony Financial

  50,300      1,526,605   
     

 

 

 
  1,526,605   
     

 

 

 

Diversified Financial Services–2.56%

  

Intercontinental Exchange

  38,200      8,910,914   

McGraw-Hill Financial

  56,730      5,865,882   
     

 

 

 
  14,776,796   
     

 

 

 

Electrical Equipment–1.26%

  

AMETEK

  138,900      7,297,806   
     

 

 

 
  7,297,806   
     

 

 

 

Energy Equipment & Services–0.95%

  

Schlumberger

  66,000      5,507,040   
     

 

 

 
  5,507,040   
     

 

 

 

Food Products–1.40%

†Hain Celestial Group

  126,000      8,070,300   
     

 

 

 
  8,070,300   
     

 

 

 

Health Care Equipment & Supplies–2.88%

  

†Intuitive Surgical

  15,090      7,620,903   
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Health Care Equipment & Supplies (continued)

  

Zimmer Holdings

  76,600    $ 9,002,032   
     

 

 

 
  16,622,935   
     

 

 

 

Health Care Providers & Services–2.55%

  

†Catamaran

  59,900      3,566,446   

†Express Scripts Holding

  128,500      11,149,945   
     

 

 

 
  14,716,391   
     

 

 

 

Hotels, Restaurants & Leisure–4.76%

  

Las Vegas Sands

  213,500      11,751,040   

Starbucks

  166,400      15,758,080   
     

 

 

 
  27,509,120   
     

 

 

 

Industrial Conglomerates–1.45%

  

Danaher

  98,600      8,371,140   
     

 

 

 
  8,371,140   
     

 

 

 

Internet & Catalog Retail–5.04%

  

†Amazon.com

  44,800      16,670,080   

†Priceline Group

  10,680      12,433,122   
     

 

 

 
  29,103,202   
     

 

 

 

Internet Software & Services–11.10%

  

†Facebook Class A

  279,570      22,984,848   

†Google Class A

  30,000      16,641,000   

†Google Class C

  17,400      9,535,200   

†LinkedIn Class A

  31,900      7,970,534   

†Yelp

  147,300      6,974,655   
     

 

 

 
  64,106,237   
     

 

 

 

IT Services–4.10%

  

MasterCard Class A

  97,800      8,448,942   

Visa Class A

  232,800      15,227,448   
     

 

 

 
  23,676,390   
     

 

 

 

Life Sciences Tools & Services–1.90%

  

Thermo Fisher Scientific

  81,900      11,002,446   
     

 

 

 
  11,002,446   
     

 

 

 

Machinery–1.36%

  

Cummins

  56,500      7,833,160   
     

 

 

 
  7,833,160   
     

 

 

 

Media–2.34%

  

Comcast Class A

  98,500      5,562,295   

Viacom Class B

  116,100      7,929,630   
     

 

 

 
  13,491,925   
     

 

 

 

Personal Products–1.76%

  

Estee Lauder Class A

  122,000      10,145,520   
     

 

 

 
  10,145,520   
     

 

 

 

Pharmaceuticals–2.03%

  

†Actavis

  23,200      6,904,784   
 

 

LVIP UBS Large Cap Growth RPM Fund––1


LVIP UBS Large Cap Growth RPM Fund

Schedule of Investments (continued)

 

     Number of
Shares
    

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Pharmaceuticals (continued)

  

†Catalent

     155,700       $ 4,850,055   
     

 

 

 
  11,754,839   
     

 

 

 

Real Estate Investment Trusts–0.46%

  

Crown Castle International

  31,900      2,633,026   
     

 

 

 
  2,633,026   
     

 

 

 

Road & Rail–1.39%

Canadian Pacific Railway

  44,100      8,057,070   
     

 

 

 
  8,057,070   
     

 

 

 

Semiconductors & Semiconductor Equipment–1.71%

   

Altera

  230,000      9,869,300   
     

 

 

 
  9,869,300   
     

 

 

 

Software–6.21%

†salesforce.com

  238,600      15,940,866   

†ServiceNow

  117,800      9,280,284   

†VMware Class A

  86,100      7,061,061   

†Workday Class A

  42,800      3,612,748   
     

 

 

 
  35,894,959   
     

 

 

 

Specialty Retail–5.52%

Home Depot

  159,400      18,109,434   

TJX

  196,520      13,766,226   
     

 

 

 
  31,875,660   
     

 

 

 

Technology Hardware, Storage & Peripherals–6.86%

   

Apple

  318,300      39,606,069   
     

 

 

 
  39,606,069   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

COMMON STOCK (continued)

  

Textiles, Apparel & Luxury Goods–5.39%

  

†Michael Kors Holdings

  116,400    $ 7,653,300   

NIKE Class B

  175,100      17,567,783   

Ralph Lauren

  44,800      5,891,200   
     

 

 

 
  31,112,283   
     

 

 

 

Trading Companies & Distributors–2.00%

  

†United Rentals

  126,600      11,540,856   
     

 

 

 
  11,540,856   
     

 

 

 

Total Common Stock
(Cost $405,791,862)

  537,734,402   
     

 

 

 

EXCHANGE-TRADED FUND–1.04%

  

iShares Russell 1000 Growth Index Fund

  60,745      6,008,895   
     

 

 

 

Total Exchange-Traded Fund
(Cost $5,578,898)

  6,008,895   
     

 

 

 

MONEY MARKET FUND–4.74%

  

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  27,387,555      27,387,555   
     

 

 

 

Total Money Market Fund
(Cost $27,387,555)

  27,387,555   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–98.88% (Cost $438,758,315)

  571,130,852   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.12%

  6,486,496   
  

 

 

 

NET ASSETS APPLICABLE TO 18,415,196 SHARES OUTSTANDING–100.00%

$ 577,617,348   
  

 

 

 

 

Non-income producing for the period.

 

« Includes $6,021,624 cash pledged as collateral for futures contracts as of March 31, 2015.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

   Notional
Cost (Proceeds)
   Notional
Value
   Expiration
Date
   Unrealized
Appreciation
(Depreciation)

(920) E-mini S&P 500 Index

   $(93,687,976)    $(94,796,800)    6/22/15    $(1,108,824)

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

 

LVIP UBS Large Cap Growth RPM Fund––2


LVIP UBS Large Cap Growth RPM Fund

Schedule of Investments (continued)

 

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

     Level 1  

Common Stock

   $ 537,734,402   

Exchange-Traded Fund

     6,008,895   

Money Market Fund

     27,387,555   
  

 

 

 

Total

$ 571,130,852   
  

 

 

 

Futures Contracts

$ (1,108,824
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a material impact to the Fund. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP UBS Large Cap Growth Managed Volatility Fund.

 

LVIP UBS Large Cap Growth RPM Fund—3


LVIP VIP Contrafund® RPM Portfolio

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

INVESTMENT COMPANIES–99.53%

  

Equity Fund–93.41%

XFidelity® - VIP Contrafund® Portfolio

  9,435,758    $ 331,761,261   
     

 

 

 
  331,761,261   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

Money Market Fund–6.12%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  21,741,024    $ 21,741,024   
     

 

 

 
  21,741,024   
     

 

 

 

Total Investment Companies
(Cost $349,029,877)

  353,502,285   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–99.53% (Cost $349,029,877)

  353,502,285   

«RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.47%

  1,665,368   
  

 

 

 

NET ASSETS APPLICABLE TO 29,867,709 SHARES OUTSTANDING–100.00%

$ 355,167,653   
  

 

 

 

 

 

« Includes $2,584,197 cash pledged as collateral for futures contracts as of March 31, 2015.

 

X Initial Class.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell)

Notional
Cost (Proceeds)
  Notional
Value
  Expiration
Date
Unrealized
Appreciation
(Depreciation)
 

(143) E-mini S&P 500 Index

  $(14,637,461)    $ (14,734,720 6/22/15 $ (97,259

The use of futures contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 353,502,285   
  

 

 

 

Futures Contracts

$ (97,259
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP VIP Contrafund® Managed Volatility Portfolio.

 

LVIP VIP Contrafund® RPM Portfolio–1


LVIP VIP Mid Cap RPM Portfolio

Schedule of Investments (unaudited)

March 31, 2015

 

  Number of
Shares
 

Value

(U.S. $)

 

INVESTMENT COMPANIES–100.76%

  

Equity Fund–92.49%

XFidelity® Variable Life Insurance Products–Fidelity VIP Mid Cap Portfolio

  723,092    $   25,366,081   
     

 

 

 
  25,366,081   
     

 

 

 
  Number of
Shares
 

Value

(U.S. $)

 

INVESTMENT COMPANIES (continued)

  

Money Market Fund–8.27%

Dreyfus Treasury & Agency Cash Management Fund - Institutional Shares

  2,269,020    $   2,269,020   
     

 

 

 
  2,269,020   
     

 

 

 

Total Investment Companies
(Cost $28,178,802)

  27,635,101   
     

 

 

 
 

 

TOTAL VALUE OF SECURITIES–100.76% (Cost $28,178,802)

  27,635,101   

«LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.76%)

  (207,284
  

 

 

 

NET ASSETS APPLICABLE TO 2,566,728 SHARES OUTSTANDING–100.00%.

  $27,427,817   
  

 

 

 

 

 

« Includes $70,255 cash pledged as collateral for futures contracts as of March 31, 2015.

X Initial Class.

The following futures contracts were outstanding at March 31, 2015:

Futures Contracts

 

Contracts to Buy (Sell) Notional
Cost (Proceeds)
Notional
Value
Expiration
Date
Unrealized
Appreciation
(Depreciation)

(11)  E-mini S&P 500 Index

$(1,121,925) $(1,133,440) 6/22/15 $(11,515)

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional value presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of March 31, 2015:

 

  Level 1  

Investment Companies

$ 27,635,101   
  

 

 

 

Futures Contracts

$ (11,515
  

 

 

 

There were no Level 3 investments at the beginning or end of the period.

During the period ended March 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments. The Fund’s policy is to recognize transfers between levels as of the beginning of the reporting period in which the transfer occurred.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Notes 1 and 3 of the “Notes to Financial Statements” as disclosed in the Fund’s most recent annual report.

Effective May 1, 2015, the Fund’s name changed to LVIP VIP Mid Cap Managed Volatility Portfolio.

 

 

LVIP VIP Mid Cap RPM Portfolio–1


Item 2. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.CERT.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)                        Lincoln Variable Insurance Products  Trust                        
By (Signature and Title)*       /s/ Daniel R. Hayes                                                         
      Daniel R. Hayes, President
      (principal executive officer)
Date     May 18, 2015                                                                                                      

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*       /s/ Daniel R. Hayes                                                         
      Daniel R. Hayes, President
      (principal executive officer)
Date     May 18, 2015                                                                                                      
By (Signature and Title)*       /s/ William P. Flory, Jr.                                                   
      William P. Flory, Jr., Chief Accounting Officer
      (principal financial officer)
Date     May 18, 2015                                                                                                      

 

* 

Print the name and title of each signing officer under his or her signature.