NPORT-EX 2 LMGCedgar.HTM
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Schedule of Investments
September 30, 2019 (unaudited)
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK–93.59%
Aerospace & Defense–0.42%
Huntington Ingalls Industries
  1,910 $    404,519
L3Harris Technologies
  7,050   1,470,912
Spirit AeroSystems Holdings Class A
  4,380     360,211
†Teledyne Technologies
  575     185,144
TransDigm Group
  650     338,436
      2,759,222
Airlines–0.18%
Delta Air Lines
  7,110 409,536
†United Airlines Holdings
  8,970 793,038
      1,202,574
Auto Components–0.45%
BorgWarner
  80,258 2,943,863
      2,943,863
Automobiles–0.17%
General Motors
  30,030 1,125,524
      1,125,524
Banks–7.65%
Bank of America
  114,840 3,349,883
CIT Group
  15,420 698,680
Citigroup
  44,690 3,087,185
Citizens Financial Group
  142,173 5,028,659
Comerica
  33,970 2,241,680
East West Bancorp
  3,500 155,015
Fifth Third Bancorp
  238,715 6,536,017
First Republic Bank
  41,333 3,996,901
Huntington Bancshares
  240,782 3,435,959
KeyCorp
  14,600 260,464
M&T Bank
  54,623 8,628,796
Popular
  33,340 1,803,027
Regions Financial
  63,010 996,818
Signature Bank
  4,950 590,139
SunTrust Banks
  109,296 7,519,565
†SVB Financial Group
  1,275 266,411
Zions Bancorp
  36,778 1,637,357
      50,232,556
Beverages–1.14%
Constellation Brands Class A
  18,699 3,875,929
Keurig Dr Pepper
  64,459 1,761,020
Molson Coors Brewing Class B
  32,525 1,870,187
      7,507,136
Biotechnology–0.91%
AbbVie
  10,860 822,319
†Alnylam Pharmaceuticals
  3,875 311,628
Amgen
  8,610 1,666,121
†Biogen
  1,810 421,404
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Biotechnology (continued)
†BioMarin Pharmaceutical
  200 $     13,480
†Bluebird Bio
  2,500     229,550
†Celgene
  1,520     150,936
Gilead Sciences
  19,560   1,239,713
†Incyte
  1,625     120,624
†Moderna
  29,300     466,456
†Neurocrine Biosciences
  3,200     288,352
†Sarepta Therapeutics
  3,000 225,960
      5,956,543
Building Products–0.69%
Armstrong World Industries
  8,090 782,303
Fortune Brands Home & Security
  60,064 3,285,501
Masco
  10,800 450,144
      4,517,948
Capital Markets–4.45%
Ameriprise Financial
  53,831 7,918,540
Cboe Global Markets
  1,400 160,874
E*TRADE Financial
  1,400 61,166
Invesco
  84,969 1,439,375
Legg Mason
  4,900 187,131
LPL Financial Holdings
  16,400 1,343,160
MarketAxess Holdings
  725 237,438
Morningstar
  4,750 694,165
MSCI
  6,315 1,375,091
Northern Trust
  48,481 4,524,247
Raymond James Financial
  53,240 4,390,170
T. Rowe Price Group
  60,678 6,932,461
      29,263,818
Chemicals–1.26%
Cabot
  8,790 398,363
CF Industries Holdings
  26,980 1,327,416
Eastman Chemical
  5,100 376,533
Huntsman
  52,560 1,222,546
Sherwin-Williams
  8,988 4,942,231
      8,267,089
Communications Equipment–0.31%
Cisco Systems
  21,890 1,081,585
†CommScope Holding
  81,715 960,968
      2,042,553
Construction & Engineering–0.52%
†AECOM
  36,470 1,369,813
EMCOR Group
  5,090 438,351
Jacobs Engineering Group
  11,040 1,010,160
†MasTec
  8,670 562,943
      3,381,267
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–1

 

LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Construction Materials–0.67%
Martin Marietta Materials
  16,134 $  4,422,329
      4,422,329
Consumer Finance–0.59%
Ally Financial
  47,831   1,586,076
American Express
  5,610     663,551
†Credit Acceptance
  1,730     798,066
Discover Financial Services
  10,430     845,769
      3,893,462
Containers & Packaging–2.18%
Ardagh Group S.A.
  29,400 460,992
Avery Dennison
  4,640 526,965
Ball
  59,950 4,364,960
†Berry Global Group
  20,420 801,893
†Crown Holdings
  11,350 749,781
Silgan Holdings
  146,387 4,396,734
WestRock
  83,023 3,026,188
      14,327,513
Distributors–0.41%
Genuine Parts
  27,298 2,718,608
      2,718,608
Diversified Consumer Services–0.03%
†frontdoor
  4,650 225,850
      225,850
Diversified Financial Services–0.13%
Voya Financial
  15,260 830,754
      830,754
Diversified Telecommunication Services–0.33%
Verizon Communications
  35,630 2,150,627
      2,150,627
Electric Utilities–3.62%
American Electric Power
  5,130 480,629
Edison International
  56,926 4,293,359
Entergy
  2,530 296,921
Evergy
  80,334 5,347,031
Exelon
  46,700 2,256,077
OGE Energy
  17,960 815,025
Southern
  1,810 111,804
Xcel Energy
  157,271 10,205,315
      23,806,161
Electrical Equipment–1.83%
Acuity Brands
  30,334 4,088,720
AMETEK
  50,515 4,638,287
GrafTech International
  30,900 395,520
Hubbell
  19,348 2,542,327
Regal Beloit
  4,600 335,110
      11,999,964
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Electronic Equipment, Instruments & Components–2.91%
Amphenol Class A
  46,237 $  4,461,871
†Arrow Electronics
  55,969   4,174,168
CDW
  47,001   5,792,403
†Keysight Technologies
  29,660   2,884,435
SYNNEX
  13,340   1,506,086
†Tech Data
  3,120     325,229
      19,144,192
Energy Equipment & Services–0.02%
Baker Hughes
  6,620 153,584
      153,584
Entertainment–0.31%
Activision Blizzard
  4,150 219,618
†Take-Two Interactive Software
  12,350 1,547,949
Viacom Class B
  3,100 74,493
†Zynga Class A
  32,300 187,986
      2,030,046
Equity Real Estate Investment Trusts–10.74%
American Campus Communities
  52,056 2,502,852
American Homes 4 Rent Class A
  116,426 3,014,269
American Tower
  3,600 796,068
AvalonBay Communities
  28,666 6,172,650
Boston Properties
  40,952 5,309,836
Brixmor Property Group
  199,031 4,038,339
Camden Property Trust
  1,100 122,111
CyrusOne
  1,400 110,740
Douglas Emmett
  1,760 75,381
Duke Realty
  14,700 499,359
EPR Properties
  1,600 122,976
Equinix
  2,845 1,640,996
Equity LifeStyle Properties
  3,505 468,268
Equity Residential
  5,200 448,552
Essex Property Trust
  14,367 4,692,981
Extra Space Storage
  6,390 746,480
Federal Realty Investment Trust
  35,036 4,769,801
Gaming and Leisure Properties
  14,800 565,952
Hudson Pacific Properties
  7,700 257,642
Invitation Homes
  27,980 828,488
JBG SMITH Properties
  47,651 1,868,396
Kimco Realty
  154,673 3,229,572
Liberty Property Trust
  16,400 841,812
Medical Properties Trust
  20,750 405,870
Mid-America Apartment Communities
  2,999 389,900
Outfront Media
  124,636 3,462,388
Paramount Group
  58,730 784,045
Rayonier
  107,838 3,041,032
 
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–2

 

LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Equity Real Estate Investment Trusts (continued)
Realty Income
  22,100 $  1,694,628
Regency Centers
  40,298   2,800,308
Retail Properties of America Class A
  16,000     197,120
SBA Communications
  3,520     848,848
SL Green Realty
  8,440     689,970
STORE Capital
  5,280     197,525
Sun Communities
  4,750     705,137
Ventas
  33,549 2,450,083
VICI Properties
  16,300 369,195
Vornado Realty Trust
  71,076 4,525,409
Weyerhaeuser
  96,440 2,671,388
WP Carey
  24,646 2,205,817
      70,562,184
Food & Staples Retailing–0.72%
Kroger
  94,725 2,442,010
†U.S. Foods Holding
  22,800 937,080
Walgreens Boots Alliance
  20,970 1,159,851
Walmart
  1,660 197,009
      4,735,950
Food Products–1.52%
Archer-Daniels-Midland
  11,250 462,038
Ingredion
  1,345 109,940
†Pilgrim's Pride
  52,720 1,689,412
†Post Holdings
  46,331 4,903,673
Tyson Foods Class A
  33,100 2,851,234
      10,016,297
Gas Utilities–0.69%
National Fuel Gas
  81,529 3,825,341
UGI
  13,470 677,137
      4,502,478
Health Care Equipment & Supplies–1.57%
Cooper
  100 29,700
DENTSPLY SIRONA
  7,000 373,170
Hill-Rom Holdings
  8,800 926,024
†Hologic
  19,110 964,864
†SmileDirectClub
  5,600 77,728
Teleflex
  800 271,800
Zimmer Biomet Holdings
  55,868 7,669,000
      10,312,286
Health Care Providers & Services–4.51%
AmerisourceBergen
  63,791 5,251,913
Anthem
  5,780 1,387,778
Cardinal Health
  9,600 453,024
†Centene
  20,550 888,993
†Cigna
  18,547 2,815,249
†Covetrus
  38,129 453,354
†DaVita
  21,420 1,222,439
†Henry Schein
  48,295 3,066,733
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Health Care Providers & Services (continued)
Humana
  7,481 $  1,912,667
†Laboratory Corp of America Holdings
  28,951   4,863,768
McKesson
  2,940     401,780
†Premier Class A
  18,400     532,128
UnitedHealth Group
  5,415   1,176,788
Universal Health Services Class B
  35,160   5,230,050
      29,656,664
Health Care Technology–0.06%
†Veeva Systems Class A
  2,700 412,263
      412,263
Hotels, Restaurants & Leisure–1.33%
†Chipotle Mexican Grill
  700 588,329
Hilton Worldwide Holdings
  44,339 4,128,405
Starbucks
  20,810 1,840,020
Wendy's
  18,990 379,420
Wyndham Destinations
  39,450 1,815,489
      8,751,663
Household Durables–1.43%
Garmin
  2,600 220,194
†Mohawk Industries
  31,833 3,949,520
Newell Brands
  119,837 2,243,349
†NVR
  75 278,801
PulteGroup
  65,140 2,380,867
Toll Brothers
  8,030 329,632
      9,402,363
Household Products–0.67%
Energizer Holdings
  61,818 2,694,028
Procter & Gamble
  13,460 1,674,155
      4,368,183
Independent Power and Renewable Electricity Producers–1.09%
AES
  132,980 2,172,893
NRG Energy
  58,310 2,309,076
Vistra Energy
  99,510 2,659,902
      7,141,871
Industrial Conglomerates–0.63%
Carlisle
  28,259 4,112,815
      4,112,815
Insurance–6.74%
†Alleghany
  4,258 3,396,862
Allstate
  19,090 2,074,701
American Financial Group
  4,470 482,090
American National Insurance
  300 37,119
Aon
  2,810 543,932
†Arch Capital Group
  2,820 118,384
Assurant
  590 74,234
 
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–3

 

LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Insurance (continued)
Assured Guaranty
  2,870 $    127,600
Everest Re Group
  1,675     445,701
Fidelity National Financial
  3,150     139,892
First American Financial
  11,400     672,714
Hanover Insurance Group
  4,260     577,400
Hartford Financial Services Group
  113,746   6,894,145
Loews
  162,015   8,340,532
Marsh & McLennan
  39,146 3,916,557
Mercury General
  13,680 764,438
MetLife
  8,800 415,008
Old Republic International
  2,600 61,282
Primerica
  5,660 720,122
Principal Financial Group
  68,419 3,909,462
Progressive
  51,937 4,012,133
Travelers
  13,620 2,025,158
Unum Group
  22,020 654,434
Willis Towers Watson
  2,595 500,757
WR Berkley
  47,013 3,395,749
      44,300,406
Interactive Media & Services–0.11%
†Twitter
  17,400 716,880
      716,880
Internet & Direct Marketing Retail–1.14%
eBay
  19,500 760,110
Expedia Group
  50,292 6,759,748
      7,519,858
IT Services–1.91%
†Akamai Technologies
  10,000 913,800
†Black Knight
  9,321 569,140
Booz Allen Hamilton Holding
  16,650 1,182,483
†CACI International Class A
  5,150 1,190,989
†Euronet Worldwide
  4,960 725,648
Fidelity National Information Services
  9,914 1,316,183
Global Payments
  2,997 476,523
Jack Henry & Associates
  27,386 3,997,535
Leidos Holdings
  18,840 1,617,979
Sabre
  26,223 587,264
      12,577,544
Leisure Products–0.01%
†Peloton Interactive Class A
  2,300 57,730
      57,730
Life Sciences Tools & Services–0.20%
Agilent Technologies
  7,900 605,377
†IQVIA Holdings
  4,840 722,999
      1,328,376
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Machinery–3.49%
Allison Transmission Holdings
  23,880 $  1,123,554
Crane
  7,870     634,558
Cummins
  4,570     743,402
Dover
  7,820     778,559
†Gardner Denver Holdings
  18,100     512,049
IDEX
  24,233   3,971,304
Ingersoll-Rand
  8,950   1,102,729
ITT
  25,540 1,562,793
Lincoln Electric Holdings
  25,316 2,196,416
†Middleby
  34,232 4,001,721
Snap-on
  28,130 4,403,470
Timken
  44,300 1,927,493
      22,958,048
Media–2.88%
†Altice USA Class A
  34,460 988,313
†AMC Networks Class A
  7,490 368,208
CBS Class B
  52,415 2,115,994
Comcast Class A
  62,040 2,796,763
†DISH Network Class A
  93,287 3,178,288
†Liberty Broadband Class C
  23,527 2,462,571
†Liberty Media-Liberty SiriusXM Class C
  87,341 3,664,828
Nexstar Media Group Class A
  7,720 789,833
Omnicom Group
  5,700 446,310
Sinclair Broadcast Group Class A
  48,610 2,077,592
      18,888,700
Metals & Mining–0.15%
Reliance Steel & Aluminum
  2,400 239,184
Steel Dynamics
  25,210 751,258
      990,442
Mortgage Real Estate Investment Trusts (REITs)–0.01%
MFA Financial
  5,200 38,272
      38,272
Multiline Retail–1.08%
Dollar General
  9,450 1,501,983
Kohl's
  70,771 3,514,488
Nordstrom
  61,586 2,073,600
      7,090,071
Multi-Utilities–4.21%
CenterPoint Energy
  6,870 207,337
CMS Energy
  147,029 9,402,505
Consolidated Edison
  6,400 604,608
Sempra Energy
  46,464 6,858,551
WEC Energy Group
  111,044 10,560,284
      27,633,285
 
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–4

 

LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Oil, Gas & Consumable Fuels–5.06%
Cabot Oil & Gas
  196,119 $  3,445,811
Chevron
  26,880   3,187,968
ConocoPhillips
  30,730   1,750,995
CVR Energy
  10,040     442,061
Devon Energy
  20,200     486,012
Diamondback Energy
  64,746   5,821,313
EQT
  123,460   1,313,614
Equitrans Midstream
  113,976 1,658,351
HollyFrontier
  11,720 628,661
Marathon Oil
  52,410 643,071
Marathon Petroleum
  6,190 376,042
PBF Energy Class A
  116,083 3,156,297
Peabody Energy
  16,230 238,906
Phillips 66
  10,310 1,055,744
Valero Energy
  13,470 1,148,183
Williams
  328,350 7,900,101
      33,253,130
Paper & Forest Products–0.09%
Domtar
  15,970 571,886
      571,886
Personal Products–0.31%
Coty Class A
  120,367 1,265,057
†Herbalife Nutrition
  19,660 744,328
      2,009,385
Pharmaceuticals–0.55%
Allergan
  3,250 546,943
Bristol-Myers Squibb
  7,310 370,690
†Elanco Animal Health
  8,100 215,379
Eli Lilly & Co.
  1,170 130,841
†Jazz Pharmaceuticals
  5,800 743,212
†Mylan
  26,870 531,489
†Nektar Therapeutics
  4,600 83,789
Perrigo
  5,600 312,984
Pfizer
  19,510 700,994
      3,636,321
Professional Services–0.50%
†CoStar Group
  1,650 978,780
ManpowerGroup
  19,120 1,610,669
Nielsen Holdings
  9,000 191,250
TransUnion
  6,200 502,794
      3,283,493
Real Estate Management & Development–1.07%
†CBRE Group Class A
  106,688 5,655,531
†Cushman & Wakefield
  73,483 1,361,640
      7,017,171
Road & Rail–0.18%
CSX
  12,600 872,802
Kansas City Southern
  1,200 159,612
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Road & Rail (continued)
Landstar System
  1,560 $    175,625
      1,208,039
Semiconductors & Semiconductor Equipment–1.43%
Analog Devices
  17,884   1,998,179
Applied Materials
  2,470     123,253
KLA
  3,000     478,350
Lam Research
  10,760   2,486,743
Marvell Technology Group
  47,540 1,187,074
†Micron Technology
  9,100 389,935
NXP Semiconductors
  14,380 1,569,146
†ON Semiconductor
  23,260 446,825
QUALCOMM
  8,510 649,143
Teradyne
  900 52,119
      9,380,767
Software–1.04%
†Datadog Class A
  3,400 115,294
†Fair Isaac
  1,400 424,928
Oracle
  22,970 1,264,039
†Synopsys
  33,016 4,531,446
VMware Class A
  3,380 507,203
      6,842,910
Specialty Retail–2.98%
†AutoZone
  6,803 7,378,670
Best Buy
  83,801 5,781,431
Gap
  137,250 2,382,660
†O'Reilly Automotive
  275 109,590
Tiffany & Co.
  42,076 3,897,500
      19,549,851
Technology Hardware, Storage & Peripherals–0.52%
†Dell Technologies Class C
  28,139 1,459,288
†NCR
  9,700 306,132
†Xerox Holdings
  54,500 1,630,095
      3,395,515
Textiles, Apparel & Luxury Goods–1.15%
†Deckers Outdoor
  1,940 285,878
†Lululemon Athletica
  4,350 837,506
PVH
  33,843 2,985,968
Ralph Lauren
  36,103 3,446,753
      7,556,105
Tobacco–0.13%
Altria Group
  21,050 860,945
      860,945
Trading Companies & Distributors–0.51%
†HD Supply Holdings
  25,300 991,128
MSC Industrial Direct Class A
  27,397 1,987,104
 
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–5

 

LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
COMMON STOCK (continued)
Trading Companies & Distributors (continued)
†United Rentals
  3,130 $    390,123
      3,368,355
Total Common Stock

(Cost $483,707,601)
614,911,685
    
       
MONEY MARKET FUND–6.28%
State Street Institutional U.S. Government Money Market Fund -Premier Class (seven-day effective yield 1.88%)
  41,220,169  41,220,169
Total Money Market Fund

(Cost $41,220,169)
41,220,169
    
TOTAL INVESTMENTS–99.87% (Cost $524,927,770)
656,131,854
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.13%
871,558
NET ASSETS APPLICABLE TO 39,777,878 SHARES OUTSTANDING–100.00%
$657,003,412
    
† Non-income producing.
    
The following futures contracts were outstanding at September 30, 2019:
Futures Contracts
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost (Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Appreciation1 		  Value/
Unrealized
Depreciation1
Equity Contracts:
98 E-mini S&P 500 Index   $14,594,650   $14,734,908   12/20/19   $—   $(140,258)
61 E-mini S&P MidCap 400 Index   11,821,800   12,017,072   12/20/19   —   (195,272)
Total Futures Contracts   $—   $(335,530)
The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
    
1 Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through September 30, 2019.
    
Summary of Abbreviations:
IT–Information Technology
S&P–Standard & Poor’s
See accompanying notes.
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–6

 

LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Notes
September 30, 2019 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund (the “Fund”) is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The following accounting policies are in accordance with U.S. GAAP and are consistently followed by the Fund.
Security Valuation–Equity securities, except those traded on The Nasdaq Stock Market LLC (“Nasdaq”), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sale price. If on a particular day an equity security does not trade, then the mean between the bid and ask prices is used, which approximates fair value.   Securities listed on a foreign exchange are valued at the last quoted sales price on the valuation date.   Open-end investment companies are valued at their published net asset value (“NAV”).   Investments in government money market funds have a stable NAV.   Other securities and assets for which market quotations are not reliable or readily available are generally valued at fair value as determined in good faith under policies adopted by the Fund’s Board of Trustees. In determining whether market quotations are reliable or readily available, various factors are taken into consideration, such as market closures or suspension of trading in a security.   The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (“international fair value pricing”).   Futures contracts are valued at the daily quoted settlement prices.
2. Investments
U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. Each investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three level hierarchy of inputs is summarized below.
Level 1– inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts)
Level 2– other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing)
Level 3– inputs are significant unobservable inputs (including the Fund's own assumptions used to determine the fair value of investments) (e.g., indicative quotes from brokers, fair valued securities)
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of September 30, 2019:
  Level 1   Level 2   Level 3   Total
Investments:              
Assets:
             
Common Stock
$614,911,685   $—   $—   $614,911,685
Money Market Fund
41,220,169   —   —   41,220,169
Total Investments
$656,131,854   $—   $—   $656,131,854
Derivatives:              
    
Liabilities:
             
Futures Contracts
$(335,530)   $—   $—   $(335,530)
There were no Level 3 investments at the beginning or end of the period.
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–7

 

LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund
Notes (continued)
3. Recent Accounting Pronouncements
In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU No. 2018-13, which changes certain fair value measurement disclosure requirements. The ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The early adoption of the removal or modification of disclosures and delay of adoption of the additional disclosures is permitted. As of December 31, 2018, the Trust has adopted the removal of applicable disclosures and management is evaluating the implications of the additional changes on the financial statements.
LVIP JPMorgan Select Mid Cap Value Managed Volatility Fund–8