0001752724-22-263113.txt : 20221123 0001752724-22-263113.hdr.sgml : 20221123 20221123100628 ACCESSION NUMBER: 0001752724-22-263113 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220930 FILED AS OF DATE: 20221123 DATE AS OF CHANGE: 20221123 PERIOD START: 20221231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LINCOLN VARIABLE INSURANCE PRODUCTS TRUST CENTRAL INDEX KEY: 0000914036 IRS NUMBER: 521835648 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-08090 FILM NUMBER: 221413317 BUSINESS ADDRESS: STREET 1: 1301 SOUTH HARRISON STREET CITY: FORT WAYNE STATE: IN ZIP: 46802 BUSINESS PHONE: 260-455-2000 MAIL ADDRESS: STREET 1: 1301 SOUTH HARRISON STREET CITY: FORT WAYNE STATE: IN ZIP: 46802 FORMER COMPANY: FORMER CONFORMED NAME: AGGRESSIVE GROWTH FUND / DATE OF NAME CHANGE: 20031001 FORMER COMPANY: FORMER CONFORMED NAME: LINCOLN VARIABLE INSURANCE PRODUCTS TRUST DATE OF NAME CHANGE: 20030910 FORMER COMPANY: FORMER CONFORMED NAME: LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC DATE OF NAME CHANGE: 19931025 0000914036 S000002808 LVIP Global Conservative Allocation Managed Risk Fund C000007712 Standard Class C000007713 Service Class NPORT-P 1 primary_doc.xml NPORT-P false 0000914036 XXXXXXXX S000002808 C000007712 C000007713 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST 811-08090 0000914036 3EICVM5HD7FVBIM8WO57 1301 S. Harrison Street FORT WAYNE 46802 260-455-2000 LVIP Global Conservative Allocation Managed Risk Fund S000002808 N5EM3SKP321WOI53FN55 2022-12-31 2022-09-30 N 1445307591.59 578263921.31 867043670.28 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 N 60% Bloomberg Barclays U.S. Aggregate Bond Index, 21% Russell 1000 Idx TR, 10% MSCI EAFE NR, 6% Russell Midcap Idx TR, 3% Russell 2000 TR Idx 60% LBUSTRUU, 21% RU10INTR, 10% M1EA, 6% RUMCINTR, 3% RU20INTR LVIP SSGA Developed International 150 Fund ZC1JP9GQKS75O7IOKT07 LVIP SSGA Developed International 150 Fund 534898648 1240430.95800000 NS USD 7673305.91000000 0.884996473997 Long EC RF US N 1 N N N LVIP T. Rowe Price Growth Stock Fund WRNAMU05RIX3QWP8GY77 LVIP T. Rowe Price Growth Stock Fund 474903507 926473.49600000 NS USD 32813838.28000000 3.784565807325 Long EC RF US N 1 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 SPI 200 FUTURES DEC22 000000000 -36.00000000 NC 268391.25000000 0.030954755706 N/A DE AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short SFE S&P ASX Share Price Index 200 Futures XPZ2 INDEX 2022-12-15 -6238990.80000000 AUD 268391.25000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPN YEN CURR FUT DEC22 000000000 -124.00000000 NC USD 51028.30000000 0.005885320630 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Japanese Yen Currency Futures JYZ2 CURNCY 2022-12-19 -10844453.30000000 USD 51028.30000000 N N N LVIP Western Asset Core Bond Fund 549300U47Z5JZVUKHE71 LVIP Western Asset Core Bond Fund 53500Q775 21927188.53500000 NS USD 182828898.00000000 21.08646937483 Long EC RF US N 1 N N N LVIP SSGA Bond Index Fund X5PPJVEZIDWEFRKRER10 LVIP SSGA Bond Index Fund 534898663 3439429.36300000 NS USD 33847424.36000000 3.903773883623 Long EC RF US N 1 N N N LVIP Loomis Sayles Global Growth Fund 549300E0BQH07C3TZN20 LVIP Loomis Sayles Global Growth Fund 53500Q726 697245.61700000 NS USD 7445188.70000000 0.858686702319 Long EC RF US N 1 N N N ICE Futures Europe - Financial Products Division N/A FTSE 100 IDX FUT DEC22 000000000 -119.00000000 NC 747809.89000000 0.086248238195 N/A DE GB N 1 ICE Futures Europe - Financial Products Division N/A Short ICF FTSE 100 Index Futures Z Z2 INDEX 2022-12-16 -8898005.50000000 GBP 747809.89000000 N N N LVIP SSGA International Index Fund 9JGZTL6DAJQG1H1UEI15 LVIP SSGA International Index Fund 534898655 2277415.72900000 NS USD 18207938.75000000 2.100002499772 Long EC RF US N 1 N N N LVIP T. Rowe Price Structured Mid-Cap Growth Fund IKC8MFICKNZ414MAGJ47 LVIP T. Rowe Price Structured Mid-Cap Growth Fund 535000103 665983.16100000 NS USD 14975963.34000000 1.727244411479 Long EC RF US N 1 N N N LVIP Delaware Mid Cap Value Fund B0CYLFJ4JI3NU5J64152 LVIP Delaware Mid Cap Value Fund 535000178 416331.16800000 NS USD 15098666.14000000 1.741396270746 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT DEC22 000000000 -608.00000000 NC USD 13360788.55000000 1.540959124433 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-Mini Standard & Poor's 500 Index Futures ESZ2 INDEX 2022-12-16 -122846388.55000000 USD 13360788.55000000 N N N LVIP Global Income Fund 0BLP1NWPPKDBOCRPMN44 LVIP Global Income Fund 534898598 938936.63000000 NS USD 8272031.71000000 0.954050181501 Long EC RF US N 1 N N N LVIP Delaware Bond Fund TX5WPE5J86ZXCTSWEQ14 LVIP Delaware Bond Fund 535000111 16414682.97300000 NS USD 189720905.80000000 21.88135526538 Long EC RF US N 1 N N N LVIP MFS Value Fund I8PWKL6YNV2I0SRW8B56 LVIP MFS Value Fund 474903408 282996.04800000 NS USD 12904336.79000000 1.488314514288 Long EC RF US N 1 N N N LVIP PIMCO Low Duration Bond Fund 549300G0ZUNHVUP0B510 LVIP PIMCO Low Duration Bond Fund 535000780 1036178.57100000 NS USD 9665473.71000000 1.114762040403 Long EC RF US N 1 N N N State Street Institutional US Government Money Market Fund 549300BZ5TGIFZUZDZ37 State Street Institutional US Government Money Market Fund 857492706 45949212.03000000 NS USD 45949212.03000000 5.299526841036 Long STIV RF US N 1 N N N LVIP JPMorgan High Yield Fund BLWDO4YKUZYDSHV3V628 LVIP JPMorgan High Yield Fund 534898549 2510517.10100000 NS USD 23485887.48000000 2.708731784226 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 AUDUSD CRNCY FUT DEC22 000000000 -64.00000000 NC USD 217970.80000000 0.025139541117 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Australian Dollar Currency Futures ADZ2 CURNCY 2022-12-19 -4323890.80000000 USD 217970.80000000 N N N LVIP SSGA Small-Cap Index Fund XOQF2PFRA3OF885Z6D59 LVIP SSGA Small-Cap Index Fund 474903101 733201.86100000 NS USD 19130702.96000000 2.206428997264 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 SWEDISH KRONA FUT DEC22 000000000 -13.00000000 NC USD 89519.56000000 0.010324688717 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Swedish Krona Currency Futures SEZ2 CURNCY 2022-12-19 -2442779.56000000 USD 89519.56000000 N N N LVIP SSGA Nasdaq-100 Index Fund 5493002XTPO5R3VNLI81 LVIP SSGA Nasdaq-100 Index Fund 53500Q569 233037.99000000 NS USD 1815832.02000000 0.209427977187 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 BP CURRENCY FUT DEC22 000000000 -142.00000000 NC USD 352834.77000000 0.040694002170 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME British Pound Currency Futures BPZ2 CURNCY 2022-12-19 -10275972.27000000 USD 352834.77000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 EURO STOXX 50 DEC22 000000000 -645.00000000 NC 2017102.85000000 0.232641436543 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex EURO STOXX 50 Futures VGZ2 INDEX 2022-12-16 -23439913.00000000 EUR 2017102.85000000 N N N LVIP BlackRock Inflation Protected Bond Fund MZ4W4ROOON3S99B8WI92 LVIP BlackRock Inflation Protected Bond Fund 534898523 4600653.69700000 NS USD 44400908.83000000 5.120954151670 Long EC RF US N 1 N N N Osaka Exchange 3538001249AILNPRUX57 TOPIX INDX FUTR DEC22 000000000 -79.00000000 NC 412256.89000000 0.047547419366 N/A DE JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short TSE TOPIX (Tokyo Price Index) Futures TPZ2 INDEX 2022-12-08 -1510105940.00000000 JPY 412256.89000000 N N N LVIP SSGA Mid-Cap Index Fund 549300YYWU78MNJNW746 LVIP SSGA Mid-Cap Index Fund 535000764 1482582.18700000 NS USD 15501879.35000000 1.787900642304 Long EC RF US N 1 N N N LVIP SSGA Large Cap 100 Fund ZGG96APH7D63U63FX232 LVIP SSGA Large Cap 100 Fund 534898622 2281308.17000000 NS USD 26093602.85000000 3.009491187632 Long EC RF US N 1 N N N LVIP SSGA Short-Term Bond Index Fund 549300QLF5V4S2G6WT32 LVIP SSGA Short-Term Bond Index Fund 53500Q692 622627.09100000 NS USD 6039482.78000000 0.696560391018 Long EC RF US N 1 N N N LVIP BlackRock Global Real Estate Fund ZJO68HZDT4S4CT0MS688 LVIP BlackRock Global Real Estate Fund 534898101 878197.63000000 NS USD 5756585.46000000 0.663932585787 Long EC RF US N 1 N N N LVIP Mondrian International Value Fund 75AN0H8T28E3LGUKRV37 LVIP Mondrian International Value Fund 535000152 1497758.11100000 NS USD 18527267.83000000 2.136832141801 Long EC RF US N 1 N N N LVIP SSGA S&P 500 Index Fund HZ6M8PNJZPCVFNAKW534 LVIP SSGA S&P 500 Index Fund 474903853 4095756.84500000 NS USD 84544612.79000000 9.750905944875 Long EC RF US N 1 N N N LVIP MFS International Growth Fund 9LBFO02LQR4KRKTDGJ66 LVIP MFS International Growth Fund 474903200 1515433.11600000 NS USD 23683188.74000000 2.731487415432 Long EC RF US N 1 N N N LVIP Channing Small Cap Value Fund 549300MF4V79FQEJZL75 LVIP Channing Small Cap Value Fund 53500L123 355334.78600000 NS USD 3167098.95000000 0.365275597822 Long EC RF US N 1 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 MSCI EMGMKT DEC22 000000000 -53.00000000 NC USD 283867.63000000 0.032739715394 N/A DE US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short ICE U.S. MSCI Emerging Markets EM Index Futures MESZ2 Index 2022-12-16 -2593342.63000000 USD 283867.63000000 N N N Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 OMXS30 IND FUTURE OCT22 000000000 -127.00000000 NC 122902.08000000 0.014174843114 N/A DE SE N 1 Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 Short OML Stockholm OMXS30 Index Futures QCV2 INDEX 2022-10-21 -24604924.25000000 SEK 122902.08000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 EURO FX CURR FUT DEC22 000000000 -186.00000000 NC USD 474533.70000000 0.054730080648 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Euro Foreign Exchange Currency Futures ECZ2 CURNCY 2022-12-19 -23402521.20000000 USD 474533.70000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 E-MINI RUSS 2000 DEC22 000000000 -214.00000000 NC USD 1957245.58000000 0.225737831563 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-mini Russell 2000 Index Futures RTYZ2 Index 2022-12-16 -19824105.58000000 USD 1957245.58000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P MID 400 EMINI DEC22 000000000 -174.00000000 NC USD 4630812.11000000 0.534092141922 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-Mini Standard & Poor's MidCap 400 Index Futures FAZ2 INDEX 2022-12-16 -43053492.11000000 USD 4630812.11000000 N N N 2022-10-24 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST William Flory William Flory VP XXXX NPORT-EX 2 NPORT_LNDC_34895578_0922.htm
LVIP Global Conservative Allocation Managed Risk Fund
Schedule of Investments
September 30, 2022 (unaudited)
    Number of
Shares 		Value
(U.S. $)
AFFILIATED INVESTMENTS–92.95%
INVESTMENT COMPANIES–92.95%
Equity Funds–26.08%
✧✧Lincoln Variable Insurance Products Trust-  
LVIP Channing Small Cap Value Fund
  355,325 $  3,167,013
LVIP Delaware Mid Cap Value Fund
  416,320  15,098,271
LVIP MFS Value Fund
  282,989  12,904,005
LVIP SSGA Large Cap 100 Fund
  2,281,248  26,092,908
LVIP SSGA Mid-Cap Index Fund
  1,482,543  15,501,470
LVIP SSGA Nasdaq-100 Index Fund
  233,032 1,815,782
LVIP SSGA S&P 500 Index Fund
  4,095,648 84,542,372
LVIP SSGA Small-Cap Index Fund
  733,182 19,130,189
LVIP T. Rowe Price Growth Stock Fund
  926,448 32,812,941
LVIP T. Rowe Price Structured Mid-Cap Growth Fund
  665,966 14,975,570
      226,040,521
Fixed Income Funds–56.53%
✧✧Lincoln Variable Insurance Products Trust-  
LVIP BlackRock Inflation Protected Bond Fund
  4,600,545 44,399,860
LVIP Delaware Bond Fund
  16,414,294 189,716,410
LVIP JPMorgan High Yield Fund
  2,510,457 23,485,328
LVIP PIMCO Low Duration Bond Fund
  1,036,156 9,665,258
LVIP SSGA Bond Index Fund
  3,439,348 33,846,625
LVIP SSGA Short-Term Bond Index Fund
  622,613 6,039,347
LVIP Western Asset Core Bond Fund
  21,926,663 182,824,518
      489,977,346
Global Equity Fund–0.66%
✧✧Lincoln Variable Insurance Products Trust–

LVIP BlackRock Global Real Estate Fund
  878,173 5,756,426
      5,756,426
    Number of
Shares 		Value
(U.S. $)
AFFILIATED INVESTMENTS (continued)
INVESTMENT COMPANIES (continued)
Global Fixed Income Fund–0.96%
✧✧Lincoln Variable Insurance Products Trust–

LVIP Global Income Fund
  938,914 $  8,271,832
      8,271,832
International Equity Funds–8.72%
✧✧Lincoln Variable Insurance Products Trust-  
LVIP Loomis Sayles Global Growth Fund
  697,227   7,444,989
LVIP MFS International Growth Fund
  1,515,394  23,682,584
LVIP Mondrian International Value Fund
  1,497,719 18,526,782
LVIP SSGA Developed International 150 Fund
  1,240,399 7,673,106
LVIP SSGA International Index Fund
  2,277,356 18,207,461
      75,534,922
Total Affiliated Investments

(Cost $810,088,077)
    805,581,047
    
       
UNAFFILIATED INVESTMENT–5.30%
INVESTMENT COMPANY–5.30%
Money Market Fund–5.30%
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 2.94%)
  45,949,212  45,949,212
Total Unaffiliated Investment

(Cost $45,949,212)
    45,949,212
    
TOTAL INVESTMENTS–98.25% (Cost $856,037,289)
851,530,259
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–1.75%
15,169,831
NET ASSETS APPLICABLE TO 77,104,483 SHARES OUTSTANDING–100.00%
$866,700,090
    
✧✧ Standard Class shares.
LVIP Global Conservative Allocation Managed Risk Fund–1

 

LVIP Global Conservative Allocation Managed Risk Fund
Schedule of Investments (continued)
The following futures contracts were outstanding at September 30, 2022:
Futures Contracts
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost (Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Appreciation1 		  Value/
Unrealized
Depreciation1
Currency Contracts:
(64) Australian Dollar   $(4,105,920)   $(4,323,891)   12/19/22   $217,971   $—
(142) British Pound   (9,923,138)   (10,275,973)   12/19/22   352,835   —
(186) Euro   (22,927,987)   (23,402,521)   12/19/22   474,534   —
(124) Japanese Yen   (10,793,425)   (10,844,453)   12/19/22   51,028   —
(13) Swedish Krona   (2,353,260)   (2,442,780)   12/19/22   89,520   —
    1,185,888   —
Equity Contracts:
(53) E-mini MSCI Emerging Markets Index   (2,309,475)   (2,593,343)   12/16/22   283,868   —
(214) E-mini Russell 2000 Index   (17,866,860)   (19,824,106)   12/16/22   1,957,245   —
(608) E-mini S&P 500 Index   (109,485,600)   (122,846,389)   12/16/22   13,360,789   —
(174) E-mini S&P MidCap 400 Index   (38,422,680)   (43,053,492)   12/16/22   4,630,812   —
(645) Euro STOXX 50 Index   (20,955,186)   (22,972,289)   12/16/22   2,017,103   —
(119) FTSE 100 Index   (9,187,258)   (9,935,067)   12/16/22   747,810   —
(127) OMXS 30 Index   (2,094,227)   (2,217,129)   10/21/22   122,902   —
(36) SPI 200 Index   (3,722,379)   (3,990,770)   12/15/22   268,391   —
(79) TOPIX Index   (10,021,696)   (10,433,953)   12/8/22   412,257   —
    23,801,177   —
Total Futures Contracts   $24,987,065   $—
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, 2022.
    
Summary of Abbreviations:
FTSE–Financial Times Stock Exchange
MSCI–Morgan Stanley Capital International
OMXS–Stockholm Stock Exchange
S&P–Standard & Poor’s
SPI–Swiss Performance Index
TOPIX–Tokyo Stock Price Index
See accompanying notes.
LVIP Global Conservative Allocation Managed Risk Fund–2

 

LVIP Global Conservative Allocation Managed Risk Fund
Notes
September 30, 2022 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP Global Conservative Allocation Managed Risk 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 – The Fund operates under a fund of funds structure and invests substantially all of its assets in open-end investment companies and mutual funds that are advised by Lincoln Investment Advisors Corporation (“LIAC”) or other unaffiliated managers (collectively, the “Underlying Funds”). The Fund values Underlying Funds that are open-end funds at their closing net asset value (“NAV”). Securities of each open-end Underlying Fund are valued under the valuation policy of such Underlying Fund. For information regarding the determination of the Underlying Funds’ NAVs, see the Underlying Funds’ prospectuses and statements of additional information. Financial statements for the Underlying Funds can be found at www.sec.gov.   Investments in government money market funds have a stable NAV.   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, 2022:
  Level 1   Level 2   Level 3   Total
Investments:              
Assets:
             
Affiliated Investment Companies
$805,581,047   $—   $—   $805,581,047
Unaffiliated Investment Company
45,949,212   —   —   45,949,212
Total Investments
$851,530,259   $—   $—   $851,530,259
Derivatives:              
Assets:
             
Futures Contracts
$24,987,065   $—   $—   $24,987,065
There were no Level 3 investments at the beginning or end of the period.
LVIP Global Conservative Allocation Managed Risk Fund–3

 

LVIP Global Conservative Allocation Managed Risk Fund
Notes (continued)
3. Transactions with Affiliates
Affiliated investments, for purposes of the Investment Company Act of 1940, are investments that have a common investment adviser, LIAC (LVIP Funds), or investments in issuers whereby the Fund held 5% or more of the issuers' outstanding securities (non-LVIP Funds). Affiliated investments of the Fund and the corresponding investment activity for the period ended September 30, 2022, were as follows:
  Value
12/31/21 		  Purchases   Sales   Net
Realized
Gain (Loss) 		  Net Change
in
Unrealized
Appreciation
(Depreciation) 		  Value
09/30/22 		  Number of
Shares
09/30/22 		  Dividends   Capital
Gain
Distributions 		 
INVESTMENT COMPANIES-92.95%@                                    
Equity Funds-26.08%@                                    
✧✧‡LVIP Channing Small Cap Value Fund
$—   $3,842,324   $303,602   $14,529   $(386,238)   $3,167,013   355,325   $—   $—  
✧✧LVIP Delaware Mid Cap Value Fund
19,912,632   2,093,029   2,887,910   44,939   (4,064,419)   15,098,271   416,320   495,868   —  
✧✧LVIP MFS Value Fund
18,867,939   1,077,544   3,514,251   548,330   (4,075,557)   12,904,005   282,989   610,630   —  
✧✧LVIP SSGA Large Cap 100 Fund
42,601,097   2,190,031   10,862,326   199,663   (8,035,557)   26,092,908   2,281,248   379,793   —  
✧✧LVIP SSGA Mid-Cap Index Fund
22,411,186   2,840,666   3,253,025   422,238   (6,919,595)   15,501,470   1,482,543   1,919,494   —  
✧✧LVIP SSGA Nasdaq-100 Index Fund
2,800,830   341,405   397,187   (31,332)   (897,934)   1,815,782   233,032   33,109   —  
✧✧LVIP SSGA S&P 500 Index Fund
127,493,642   10,683,241   16,623,025   9,015,993   (46,027,479)   84,542,372   4,095,648   8,644,655   —  
✧✧LVIP SSGA Small-Cap Index Fund
32,361,500   5,387,584   8,554,713   281,345   (10,345,527)   19,130,189   733,182   2,349,893   —  
✧✧LVIP T. Rowe Price Growth Stock Fund
44,523,540   21,568,592   7,515,723   (1,439,425)   (24,324,043)   32,812,941   926,448   6,352,926   —  
✧✧LVIP T. Rowe Price Structured Mid-Cap Growth Fund
14,722,538   10,479,744   3,755,985   (729,371)   (5,741,356)   14,975,570   665,966   2,011,751   —  
Fixed Income Funds-56.53%@                                    
✧✧LVIP BlackRock Inflation Protected Bond Fund
61,409,017   798,759   14,494,636   (333,890)   (2,979,390)   44,399,860   4,600,545   —   —  
✧✧LVIP Delaware Bond Fund
244,192,051   10,073,186   28,068,397   (3,831,846)   (32,648,584)   189,716,410   16,414,294   54,595   —  
✧✧LVIP JPMorgan High Yield Fund
35,981,430   87,209   8,324,096   (487,945)   (3,771,270)   23,485,328   2,510,457   —   —  
✧✧LVIP PIMCO Low Duration Bond Fund
4,803,622   6,111,654   953,651   (39,427)   (256,940)   9,665,258   1,036,156   —   —  
✧✧LVIP SSGA Bond Index Fund
44,941,497   1,115,391   5,949,648   (307,249)   (5,953,366)   33,846,625   3,439,348   7,768   —  
✧✧LVIP SSGA Short-Term Bond Index Fund
7,599,728   250,731   1,453,629   (19,972)   (337,511)   6,039,347   622,613   31,855   —  
✧✧LVIP Western Asset Core Bond Fund
243,968,070   8,232,786   26,701,394   (3,784,594)   (38,890,350)   182,824,518   21,926,663   —   —  
Global Equity Fund-0.66%@                                    
✧✧LVIP BlackRock Global Real Estate Fund
11,435,103   685,671   2,942,682   (335,317)   (3,086,349)   5,756,426   878,173   171,227   —  
Global Fixed Income Fund-0.96%@                                    
✧✧LVIP Global Income Fund
11,223,132   375,977   1,299,583   (218,120)   (1,809,574)   8,271,832   938,914   —   —  
International Equity Funds-8.72%@                                    
✧✧LVIP Loomis Sayles Global Growth Fund
10,580,023   2,371,931   1,723,489   (2,778)   (3,780,698)   7,444,989   697,227   527,934   —  
✧✧LVIP MFS International Growth Fund
31,272,237   5,746,374   3,347,529   (657,298)   (9,331,200)   23,682,584   1,515,394   1,863,057   —  
✧✧LVIP Mondrian International Value Fund
24,639,329   2,445,212   2,533,146   (280,439)   (5,744,174)   18,526,782   1,497,719   188,931   —  
✧✧LVIP SSGA Developed International 150 Fund
11,130,160   991,817   2,026,200   95,132   (2,517,803)   7,673,106   1,240,399   329,652   —  
✧✧×LVIP SSGA Emerging Markets Equity Index Fund
10,133,573   8,899   10,263,346   2,284,114   (2,163,240)   —   —   —   —  
LVIP Global Conservative Allocation Managed Risk Fund–4

 

LVIP Global Conservative Allocation Managed Risk Fund
Notes (continued)
 3. Transactions with Affiliates (continued)
  Value
12/31/21 		  Purchases   Sales   Net
Realized
Gain (Loss) 		  Net Change
in
Unrealized
Appreciation
(Depreciation) 		  Value
09/30/22 		  Number of
Shares
09/30/22 		  Dividends   Capital
Gain
Distributions 		 
✧✧LVIP SSGA International Index Fund
$35,427,574   $2,027,359   $10,543,631   $1,823,608   $(10,527,449)   $18,207,461   2,277,356   $275,262   $—  
Total
$1,114,431,450   $101,827,116   $178,292,804   $2,230,888   $(234,615,603)   $805,581,047       $26,248,400   $—  
    
@ As a percentage of Net Assets as of September 30, 2022.
✧✧ Standard Class shares.
‡ Issuer was not an investment of the Fund at December 31, 2021.
× Issuer is no longer an affiliate of the Fund at September 30, 2022.
LVIP Global Conservative Allocation Managed Risk Fund–5