NPORT-EX 2 NPORT_LMKC_27897795_0322.htm
LVIP Franklin Templeton Global Equity Managed Volatility Fund
Schedule of Investments
March 31, 2022 (unaudited)
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK–94.17%
Argentina–0.07%
†MercadoLibre, Inc.
  654 $      777,920
      777,920
Australia–0.11%
†Atlassian Corp. PLC Class A
  3,986     1,171,206
      1,171,206
Belgium–0.66%
Anheuser-Busch InBev SA/NV
  119,279     7,131,461
      7,131,461
Canada–1.61%
Barrick Gold Corp.
  182,500 4,476,725
Canadian Natural Resources Ltd.
  23,494 1,454,762
†Descartes Systems Group, Inc.
  1,213 88,864
GFL Environmental, Inc.
  89,200 2,902,568
†Shopify, Inc. Class A
  1,364 922,466
Wheaton Precious Metals Corp.
  160,800 7,646,731
      17,492,116
China–0.14%
China Pacific Insurance Group Co. Ltd. Class H
  593,800 1,436,699
†JD.com, Inc. Class A
  167 4,745
Tencent Holdings Ltd.
  1,730 79,743
      1,521,187
France–3.11%
†Airbus SE
  16,430 1,982,582
Alstom SA
  63,256 1,480,119
BNP Paribas SA
  44,138 2,522,250
Capgemini SE
  9,558 2,120,948
Cie Generale des Etablissements Michelin SCA
  10,400 1,409,361
Danone SA
  31,300 1,729,104
Eiffage SA
  48,668 4,994,900
TotalEnergies SE
  210,000 10,625,899
Veolia Environnement SA
  217,916 6,987,144
      33,852,307
Germany–4.99%
adidas AG
  14,131 3,292,889
BASF SE
  26,710 1,524,086
Bayer AG
  88,007 6,019,597
†Continental AG
  74,124 5,313,665
Covestro AG
  42,663 2,148,311
Deutsche Telekom AG
  596,574 11,110,668
E.ON SE
  597,314 6,939,679
†Evotec SE
  1,921 57,808
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK (continued)
Germany (continued)
†Evotec SE ADR
  2,611 $       39,504
Fresenius Medical Care AG & Co. KGaA
  124,787     8,362,076
Fresenius SE & Co. KGaA
  20,666       758,782
HeidelbergCement AG
  27,900     1,581,210
Infineon Technologies AG
  154,030     5,210,835
RWE AG
  42,617     1,855,650
      54,214,760
Hong Kong–0.44%
AIA Group Ltd.
  462,200 4,826,236
      4,826,236
Ireland–3.58%
Accenture PLC Class A
  36,693 12,373,980
†AerCap Holdings NV
  24,541 1,233,921
CRH PLC
  165,255 6,591,218
Medtronic PLC
  168,464 18,691,081
      38,890,200
Israel–0.23%
†Check Point Software Technologies Ltd.
  13,753 1,901,490
†Tower Semiconductor Ltd.
  11,434 553,405
      2,454,895
Japan–4.21%
Hitachi Ltd.
  171,400 8,577,569
Honda Motor Co. Ltd.
  325,200 9,218,067
Keyence Corp.
  698 323,664
Komatsu Ltd.
  170,300 4,091,544
Mitsubishi Electric Corp.
  154,897 1,776,490
†Renesas Electronics Corp.
  166,524 1,929,508
Sony Group Corp.
  63,500 6,532,603
Sumitomo Metal Mining Co. Ltd.
  160,700 8,141,643
Sumitomo Mitsui Financial Group, Inc.
  165,200 5,218,396
      45,809,484
Netherlands–1.44%
†Adyen NV
  693 1,372,621
†Argenx SE
  866 270,638
ASM International NV
  508 184,979
ASML Holding NV
  2,599 1,735,950
Heineken NV
  13,676 1,307,833
ING Groep NV
  225,827 2,357,843
NN Group NV
  48,084 2,436,836
NXP Semiconductors NV
  32,500 6,015,100
      15,681,800
Republic of Korea–1.64%
Samsung Electronics Co. Ltd.
  189,223 10,827,902
LVIP Franklin Templeton Global Equity Managed Volatility Fund–1

 

LVIP Franklin Templeton Global Equity Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK (continued)
Republic of Korea (continued)
Shinhan Financial Group Co. Ltd.
  205,626 $    6,984,850
      17,812,752
Singapore–0.55%
United Overseas Bank Ltd.
  255,100     5,968,830
      5,968,830
Spain–0.17%
CaixaBank SA
  558,129     1,893,107
      1,893,107
Switzerland–1.31%
†Adecco Group AG
  152,422 6,914,094
†Lonza Group AG
  693 502,150
Novartis AG ADR
  32,629 2,863,195
Roche Holding AG
  10,116 4,002,514
      14,281,953
Taiwan–0.68%
Catcher Technology Co. Ltd.
  166,000 832,795
Taiwan Semiconductor Manufacturing Co. Ltd. ADR
  63,200 6,589,232
      7,422,027
Thailand–0.05%
†Sea Ltd. ADR
  4,784 573,075
      573,075
United Kingdom–7.58%
AstraZeneca PLC
  58,995 7,823,498
AstraZeneca PLC ADR
  2,500 165,850
BAE Systems PLC
  1,147,057 10,772,526
BP PLC
  627,719 3,077,315
BP PLC ADR
  474,919 13,962,619
British American Tobacco PLC
  60,227 2,529,364
†Endava PLC
  1,223 162,696
GlaxoSmithKline PLC
  410,049 8,872,207
†Informa PLC
  431,944 3,384,285
†International Consolidated Airlines Group SA
  2,231,691 4,139,442
†Linde PLC
  35,562 11,359,228
Lloyds Banking Group PLC
  11,560,851 7,040,164
nVent Electric PLC
  60,500 2,104,190
Pentair PLC
  52,350 2,837,894
Reckitt Benckiser Group PLC
  24,684 1,883,041
Willis Towers Watson PLC
  10,057 2,375,665
      82,489,984
United States–61.58%
Abbott Laboratories
  61,452 7,273,459
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK (continued)
United States (continued)
AbbVie, Inc.
  94,870 $   15,379,376
Activision Blizzard, Inc.
  21,756     1,742,873
†Adobe, Inc.
  1,523       693,909
†Advanced Micro Devices, Inc.
  4,717       515,757
Air Products & Chemicals, Inc.
  30,725     7,678,485
†Airbnb, Inc. Class A
  2,737       470,107
Albemarle Corp.
  31,970     7,070,165
†Alphabet, Inc. Class C
  349 974,754
†Alphabet, Inc. Class A
  1,022 2,842,540
†Amazon.com, Inc.
  1,704 5,554,955
American Electric Power Co., Inc.
  49,100 4,898,707
American Express Co.
  82,000 15,334,000
Amphenol Corp. Class A
  6,940 522,929
Analog Devices, Inc.
  67,579 11,162,699
†ANSYS, Inc.
  2,079 660,394
Anthem, Inc.
  3,851 1,891,688
Apple, Inc.
  6,813 1,189,618
†Aspen Technology, Inc.
  1,196 197,783
†Avalara, Inc.
  3,749 373,063
†Axon Enterprise, Inc.
  2,773 381,925
Baker Hughes Co.
  8,120 295,649
Bank of America Corp.
  247,000 10,181,340
Becton Dickinson & Co.
  29,610 7,876,260
†Berkshire Hathaway, Inc. Class B
  22,100 7,799,311
†Bill.com Holdings, Inc.
  1,347 305,486
†Bio-Rad Laboratories, Inc. Class A
  693 390,318
Bio-Techne Corp.
  349 151,131
†Booking Holdings, Inc.
  4,134 9,708,492
Bruker Corp.
  1,205 77,482
†Cadence Design Systems, Inc.
  7,138 1,173,915
Carlisle Cos., Inc.
  13,730 3,376,482
†Catalent, Inc.
  6,586 730,387
†Charter Communications, Inc. Class A
  4,464 2,435,201
Chevron Corp.
  25,900 4,217,297
Cintas Corp.
  15,000 6,380,850
†Cloudflare, Inc. Class A
  344 41,177
CME Group, Inc.
  865 205,749
Cognizant Technology Solutions Corp. Class A
  2,656 238,164
Colgate-Palmolive Co.
  44,300 3,359,269
Comcast Corp. Class A
  242,510 11,354,318
Corteva, Inc.
  4,055 233,081
†CoStar Group, Inc.
  3,466 230,870
†Crowdstrike Holdings, Inc. Class A
  2,079 472,099
Crown Castle International Corp.
  698 128,851
 
LVIP Franklin Templeton Global Equity Managed Volatility Fund–2

 

LVIP Franklin Templeton Global Equity Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK (continued)
United States (continued)
Crown Holdings, Inc.
  99,700 $   12,471,473
†CS Disco, Inc.
  349        11,856
CVS Health Corp.
  40,131     4,061,659
Danaher Corp.
  6,932     2,033,364
†Datadog, Inc. Class A
  5,134       777,647
†Deckers Outdoor Corp.
  12,500     3,422,125
†Dexcom, Inc.
  866       443,046
†Dollar Tree, Inc.
  53,400 8,552,010
Donaldson Co., Inc.
  32,607 1,693,282
Dover Corp.
  32,800 5,146,320
†Doximity, Inc. Class A
  968 50,423
DR Horton, Inc.
  22,144 1,649,949
DuPont de Nemours, Inc.
  95,000 6,990,100
†DXC Technology Co.
  252,300 8,232,549
eBay, Inc.
  23,964 1,372,179
Ecolab, Inc.
  22,100 3,901,976
†Edwards Lifesciences Corp.
  4,892 575,886
Entegris, Inc.
  3,494 458,622
EOG Resources, Inc.
  26,100 3,111,903
†EPAM Systems, Inc.
  673 199,619
Erie Indemnity Co. Class A
  11,500 2,025,495
Everest Re Group Ltd.
  7,250 2,185,005
Exxon Mobil Corp.
  26,000 2,147,340
FactSet Research Systems, Inc.
  279 121,128
Fastenal Co.
  2,267 134,660
First Horizon Corp.
  13,809 324,373
†Fiserv, Inc.
  16,040 1,626,456
FMC Corp.
  826 108,677
†Fortinet, Inc.
  1,048 358,144
Freeport-McMoRan, Inc.
  95,000 4,725,300
General Dynamics Corp.
  56,400 13,602,552
General Electric Co.
  19,207 1,757,440
†General Motors Co.
  42,930 1,877,758
Global Payments, Inc.
  17,450 2,387,858
†GLOBALFOUNDRIES, Inc.
  4,119 257,108
Hartford Financial Services Group, Inc.
  22,989 1,650,840
HCA Healthcare, Inc.
  48,800 12,230,256
HEICO Corp.
  696 106,864
Honeywell International, Inc.
  36,950 7,189,731
†HubSpot, Inc.
  2,946 1,399,173
Humana, Inc.
  4,222 1,837,288
†Hyatt Hotels Corp. Class A
  60,400 5,765,180
†ICON PLC
  21,100 5,131,942
†IDEXX Laboratories, Inc.
  2,460 1,345,768
†Illumina, Inc.
  348 121,591
†Inspire Medical Systems, Inc.
  2,773 711,801
†Insulet Corp.
  1,126 299,955
Intel Corp.
  2,620 129,847
†Intellia Therapeutics, Inc.
  1,316 95,634
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK (continued)
United States (continued)
Intuit, Inc.
  3,490 $    1,678,132
†Intuitive Surgical, Inc.
  3,293       993,432
JB Hunt Transport Services, Inc.
  9,900     1,987,821
Johnson & Johnson
  34,400     6,096,712
Johnson Controls International PLC
  113,021     7,410,787
JPMorgan Chase & Co.
  74,100    10,101,312
Keurig Dr Pepper, Inc.
  153,000     5,798,700
†Keysight Technologies, Inc.
  1,026 162,077
KLA Corp.
  1,733 634,382
Kraft Heinz Co.
  48,311 1,902,970
Lam Research Corp.
  1,733 931,678
†Liberty Broadband Corp. Class A
  385 50,458
Lowe's Cos., Inc.
  34,200 6,914,898
Marathon Petroleum Corp.
  160,900 13,756,950
Marvell Technology, Inc.
  2,902 208,102
Mastercard, Inc. Class A
  5,591 1,998,112
†Match Group, Inc.
  1,397 151,910
McCormick & Co., Inc.
  52,400 5,229,520
McDonald's Corp.
  23,200 5,736,896
Merck & Co., Inc.
  28,142 2,309,051
†Meta Platforms, Inc. Class A
  1,719 382,237
MGM Resorts International
  119,600 5,016,024
Micron Technology, Inc.
  35,400 2,757,306
Microsoft Corp.
  112,409 34,656,819
†MongoDB, Inc.
  2,382 1,056,631
Monolithic Power Systems, Inc.
  1,747 848,483
Moody's Corp.
  1,189 401,180
MSCI, Inc.
  1,733 871,491
Nasdaq, Inc.
  20,650 3,679,830
NextEra Energy, Inc.
  12,132 1,027,702
NIKE, Inc. Class B
  50,100 6,741,456
Norfolk Southern Corp.
  17,000 4,848,740
NVIDIA Corp.
  13,636 3,720,719
†Okta, Inc.
  674 101,747
†Palo Alto Networks, Inc.
  850 529,133
†Paycom Software, Inc.
  430 148,943
PepsiCo, Inc.
  34,000 5,690,920
Pfizer, Inc.
  60,125 3,112,671
†Procore Technologies, Inc.
  3,813 221,001
Procter & Gamble Co.
  36,000 5,500,800
Quanta Services, Inc.
  1,733 228,080
Raytheon Technologies Corp.
  88,864 8,803,756
†Repligen Corp.
  3,494 657,186
Roper Technologies, Inc.
  30,164 14,244,346
Ross Stores, Inc.
  47,400 4,287,804
†salesforce.com, Inc.
  4,679 993,445
 
LVIP Franklin Templeton Global Equity Managed Volatility Fund–3

 

LVIP Franklin Templeton Global Equity Managed Volatility Fund
Schedule of Investments (continued)
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK (continued)
United States (continued)
SBA Communications Corp.
  1,747 $      601,143
†SentinelOne, Inc. Class A
  794        30,760
†ServiceNow, Inc.
  3,813     2,123,422
Sherwin-Williams Co.
  7,950     1,984,479
†SiTime Corp.
  1,747       432,942
†Skechers USA, Inc. Class A
  100,400     4,092,304
†Snowflake, Inc. Class A
  1,717       393,416
Southern Co.
  53,800 3,901,038
†Southwest Airlines Co.
  198,400 9,086,720
Starbucks Corp.
  13,800 1,255,386
Steris PLC
  3,455 835,315
Stryker Corp.
  45,647 12,203,725
†SVB Financial Group
  928 519,170
†Synopsys, Inc.
  4,259 1,419,397
Target Corp.
  36,015 7,643,103
Teradyne, Inc.
  4,506 532,744
†Tesla, Inc.
  2,256 2,431,066
Texas Instruments, Inc.
  56,350 10,339,098
Thermo Fisher Scientific, Inc.
  3,403 2,009,982
†Thoughtworks Holding, Inc.
  1,913 39,810
TJX Cos., Inc.
  80,500 4,876,690
†T-Mobile U.S., Inc.
  76,500 9,818,775
Tradeweb Markets, Inc. Class A
  8,665 761,394
†Trimble, Inc.
  698 50,354
†Twilio, Inc. Class A
  1,349 222,329
†Tyler Technologies, Inc.
  1,048 466,245
United Parcel Service, Inc. Class B
  34,825 7,468,569
UnitedHealth Group, Inc.
  42,717 21,784,388
†Veeva Systems, Inc. Class A
  3,258 692,195
Visa, Inc. Class A
  63,729 14,133,180
Voya Financial, Inc.
  35,903 2,382,164
Walmart, Inc.
  31,400 4,676,088
†Walt Disney Co.
  70,913 9,726,427
Wells Fargo & Co.
  318,984 15,457,965
West Pharmaceutical Services, Inc.
  19,900 8,173,129
†Western Digital Corp.
  37,020 1,838,043
Westinghouse Air Brake Technologies Corp.
  92,800 8,924,576
Williams Cos., Inc.
  72,253 2,413,973
†Workday, Inc. Class A
  3,583 857,985
WW Grainger, Inc.
  7,100 3,662,109
†Zebra Technologies Corp. Class A
  685 283,385
Zimmer Biomet Holdings, Inc.
  64,300 8,223,970
    Number of
Shares 		Value
(U.S. $)
ΔCOMMON STOCK (continued)
United States (continued)
Zoetis, Inc.
  3,119 $      588,212
†ZoomInfo Technologies, Inc.
  12,132       724,766
†Zscaler, Inc.
  668       161,175
      669,808,973
Uruguay–0.02%
†Globant SA
  873       228,787
      228,787
Total Common Stock

(Cost $665,848,811)
1,024,303,060
PREFERRED STOCK–0.11%
Germany–0.11%
Volkswagen AG 3.27%
  7,090 1,218,426
Total Preferred Stock

(Cost $1,218,126)
1,218,426
    
    Principal
Amount° 		 
CORPORATE BONDS–0.04%
United States–0.04%
Bausch Health Americas, Inc.
8.50% 1/31/27
  148,000       147,596
9.25% 4/1/26
  247,000       252,968
Bausch Health Cos., Inc. 9.00% 12/15/25
  15,000        15,541
Total Corporate Bonds

(Cost $417,158)
416,105
    
    Number of
Shares 		 
MONEY MARKET FUND–5.37%
State Street Institutional U.S. Government Money Market Fund Premier Class (seven-day effective yield 0.25%)
  58,384,065    58,384,065
Total Money Market Fund

(Cost $58,384,065)
58,384,065
    
    Principal
Amount° 		 
SHORT-TERM INVESTMENT–0.03%
U.S. TREASURY OBLIGATIONS–0.03%
≠U.S. Treasury Bills 0.00% 8/4/22
  300,000       299,169
      299,169
Total Short-Term Investment

(Cost $299,432)
299,169
    
 
LVIP Franklin Templeton Global Equity Managed Volatility Fund–4

 

LVIP Franklin Templeton Global Equity Managed Volatility Fund
Schedule of Investments (continued)
TOTAL INVESTMENTS–99.72% (Cost $726,167,592)
$1,084,620,825
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.28%
3,029,220
NET ASSETS APPLICABLE TO 24,787,777 SHARES OUTSTANDING–100.00%
$1,087,650,045
    
Δ Securities have been classified by country of origin.
† Non-income producing.
° Principal amount shown is stated in U.S. dollars.
≠ The rate shown is the effective yield at the time of purchase.
    
The following foreign currency exchange contracts and futures contracts were outstanding at March 31, 2022:
Foreign Currency Exchange Contracts
Counterparty   Contracts to
Receive (Deliver) 		  In Exchange For   Settlement Date   Unrealized
Appreciation 		  Unrealized
Depreciation
BOA   CHF 116,175   USD (127,912)   7/20/22   $—   $(1,507)
BOA   CHF 20,267   USD (22,035)   7/20/22   16   —
BOA   EUR (165,394)   USD 184,704   7/25/22   786   —
BOA   EUR 216,673   USD (243,602)   7/25/22   —   (2,664)
BOA   EUR 437,737   USD (482,967)   7/25/22   3,794   —
BOA   EUR (105,379)   USD 116,720   7/25/22   —   (459)
BOA   GBP (1,135,547)   USD 1,557,567   4/14/22   66,010   —
BOA   GBP 84,103   USD (112,232)   4/14/22   —   (1,761)
HSBC   CHF (1,677,657)   USD 1,841,646   7/20/22   16,270   —
HSBC   CHF 404,289   USD (445,116)   7/20/22   —   (5,230)
HSBC   CHF 536,546   USD (581,841)   7/20/22   1,948   —
HSBC   EUR (7,782,125)   USD 8,864,518   7/25/22   210,855   —
HSBC   EUR 430,169   USD (484,401)   7/25/22   —   (6,055)
HSBC   EUR 335,596   USD (368,323)   7/25/22   4,858   —
HSBC   EUR (47,888)   USD 52,890   7/25/22   —   (361)
HSBC   GBP (1,045,923)   USD 1,436,321   4/14/22   62,487   —
HSBC   GBP 50,036   USD (66,425)   4/14/22   —   (703)
HSBC   GBP 73,695   USD (96,379)   4/14/22   421   —
HSBC   JPY (211,955,926)   USD 1,856,435   5/18/22   113,411   —
HSBC   JPY 9,640,014   USD (83,990)   5/18/22   —   (4,716)
HSBC   JPY (7,225,945)   USD 58,756   5/18/22   —   (667)
HSBC   KRW (711,136,575)   USD 601,874   5/16/22   16,936   —
HSBC   KRW 70,058,925   USD (57,981)   5/16/22   —   (355)
HSBC   KRW 27,377,700   USD (22,465)   5/16/22   55   —
HSBC   KRW (818,886,985)   USD 691,336   6/17/22   17,683   —
HSBC   KRW 34,368,685   USD (28,438)   6/17/22   —   (165)
HSBC   KRW 27,377,700   USD (22,253)   6/17/22   269   —
HSBC   TWD (23,738,000)   USD 835,257   6/30/22   2,564   —
UBS   CHF 590,955   USD (645,702)   7/20/22   —   (2,712)
UBS   CHF 9,424   USD (10,193)   7/20/22   61   —
UBS   EUR (7,665,552)   USD 8,734,063   7/25/22   210,028   —
UBS   EUR 236,800   USD (265,494)   7/25/22   —   (2,174)
UBS   EUR 216,254   USD (238,246)   7/25/22   2,227   —
UBS   EUR (594,936)   USD 657,746   7/25/22   —   (3,819)
UBS   GBP (70,580)   USD 95,387   4/14/22   2,679   —
UBS   GBP 159,000   USD (211,745)   4/14/22   —   (2,896)
UBS   GBP 23,284   USD (30,318)   4/14/22   266   —
UBS   JPY (21,009,522)   USD 183,834   5/18/22   11,060   —
UBS   JPY 25,056,914   USD (217,447)   5/18/22   —   (11,390)
UBS   JPY (1,850,659)   USD 15,022   5/18/22   —   (197)
Total Foreign Currency Exchange Contracts   $744,684   $(47,831)
LVIP Franklin Templeton Global Equity Managed Volatility Fund–5

 

LVIP Franklin Templeton Global Equity Managed Volatility Fund
Schedule of Investments (continued)
Futures Contracts
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost (Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Appreciation1 		  Value/
Unrealized
Depreciation1
Currency Contracts:
15 British Pound   $1,231,031   $1,233,902   6/13/22   $—   $(2,871)
15 Euro   2,081,062   2,071,546   6/13/22   9,516   —
14 Japanese Yen   1,441,563   1,439,494   6/13/22   2,069   —
    11,585   (2,871)
Equity Contracts:
4 E-mini MSCI Emerging Markets Index   225,100   224,187   6/17/22   913   —
4 E-mini Russell 2000 Index   413,280   417,704   6/17/22   —   (4,424)
35 E-mini S&P 500 Index   7,928,813   7,934,637   6/17/22   —   (5,824)
9 E-mini S&P MidCap 400 Index   2,420,280   2,429,597   6/17/22   —   (9,317)
45 Euro STOXX 50 Index   1,903,136   1,896,927   6/17/22   6,209   —
13 FTSE 100 Index   1,278,418   1,269,518   6/17/22   8,900   —
7 Nikkei 225 Index (OSE)   1,600,214   1,602,050   6/9/22   —   (1,836)
    16,022   (21,401)
Total Futures Contracts   $27,607   $(24,272)
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 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 March 31, 2022.
    
Summary of Abbreviations:
ADR–American Depositary Receipt
BOA–Bank of America
FTSE–Financial Times Stock Exchange
HSBC–Hong Kong and Shanghai Banking Corporation
MSCI–Morgan Stanley Capital International
OSE–Osaka Securities Exchange
S&P–Standard & Poor’s
CHF–Swiss Franc
EUR–Euro
GBP–British Pound Sterling
JPY–Japanese Yen
KRW–South Korean Won
TWD–Taiwan New Dollar
USD–United States Dollar
See accompanying notes.
LVIP Franklin Templeton Global Equity Managed Volatility Fund–6

 

LVIP Franklin Templeton Global Equity Managed Volatility Fund
Notes
March 31, 2022 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Franklin Templeton Global Equity Managed Volatility Fund (the “Fund”) is considered an investment company under U.S. generally accepted accounting principles (“U.S. GAAP”) and follows the accounting and reporting guidelines for investment companies. The following accounting policies are consistently followed by the Fund in the preparation of its financial statements in conformity with U.S. GAAP including, but not limited to, Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC"), Topic 946, "Financial Services- Investment Companies".
Security Valuation–Domestic 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 exchange on which they are traded 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 official close price on the foreign stock exchange on which the security is primarily traded, if available. Foreign equity securities for which an official close price is not available are valued at the last quoted sales price on the valuation date.   Open-end investment companies are valued at their closing net asset value (“NAV”).   Investments in government money market funds have a stable NAV.   Foreign currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are used when the settlement date of the contract is an interim date for which quotations are not available.   Valuations for fixed income securities, including short-term debt securities, are typically the prices supplied by third party pricing services. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics, including but not limited to, benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value.   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)
LVIP Franklin Templeton Global Equity Managed Volatility Fund–7

 

LVIP Franklin Templeton Global Equity Managed Volatility Fund
Notes (continued)
 2. Investments (continued)
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of March 31, 2022:
  Level 1   Level 2   Level 3   Total
Investments:              
Assets:
             
Common Stock              
Argentina
$777,920   $—   $—   $777,920
Australia
1,171,206   —   —   1,171,206
Belgium
—   7,131,461   —   7,131,461
Canada
17,492,116   —   —   17,492,116
China
—   1,521,187   —   1,521,187
France
—   33,852,307   —   33,852,307
Germany
39,504   54,175,256   —   54,214,760
Hong Kong
—   4,826,236   —   4,826,236
Ireland
32,298,982   6,591,218   —   38,890,200
Israel
2,454,895   —   —   2,454,895
Japan
—   45,809,484   —   45,809,484
Netherlands
8,021,688   7,660,112   —   15,681,800
Republic of Korea
—   17,812,752   —   17,812,752
Singapore
—   5,968,830   —   5,968,830
Spain
—   1,893,107   —   1,893,107
Switzerland
2,863,195   11,418,758   —   14,281,953
Taiwan
6,589,232   832,795   —   7,422,027
Thailand
573,075   —   —   573,075
United Kingdom
32,645,221   49,844,763   —   82,489,984
United States
669,808,973   —   —   669,808,973
Uruguay
228,787   —   —   228,787
Preferred Stock
—   1,218,426   —   1,218,426
Corporate Bonds
—   416,105   —   416,105
Money Market Fund
58,384,065   —   —   58,384,065
Short-Term Investment
—   299,169   —   299,169
Total Investments
$833,348,859   $251,271,966   $—   $1,084,620,825
Derivatives:              
    
Assets:
             
Foreign Currency Exchange Contracts
$—   $744,684   $—   $744,684
Futures Contracts
$27,607   $—   $—   $27,607
Liabilities:
             
Foreign Currency Exchange Contracts
$—   $(47,831)   $—   $(47,831)
Futures Contracts
$(24,272)   $—   $—   $(24,272)
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, 2022, a portion of the Fund’s common stock investments was categorized as Level 2.
LVIP Franklin Templeton Global Equity Managed Volatility Fund–8