NPORT-EX 2 NPORT_LNBZ_79909155_0921.htm
LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments
September 30, 2021 (unaudited)
    Principal
Amount° 		Value
(U.S. $)
ΔCORPORATE BOND–0.03%
Saudi Arabia–0.03%
SA Global Sukuk 2.69% 6/17/31
  480,000 $    484,132
Total Corporate Bond

(Cost $479,967)
    484,132
NON-AGENCY COLLATERALIZED MORTGAGE
OBLIGATIONS–0.01%
ABN Amro Mortgage Series 2003-4 A4 5.50% 3/25/33
  14,567      14,564
♦CHL Mortgage Pass-Through Trust Series 2004-5 2A4 5.50% 5/25/34
  39,149      40,278
♦WaMu Mortgage Pass-Through Certificates Trust Series 2003-S11 3A5 5.95% 11/25/33
  61,795      62,507
Total Non-Agency Collateralized Mortgage Obligations

(Cost $118,793)
    117,349
NON-AGENCY COMMERCIAL MORTGAGE-BACKED
SECURITIES–0.24%
BAMLL Commercial Mortgage Securities Trust Series 2012-PARK A 2.96% 12/10/30
  1,014,000 1,044,657
BB-UBS Trust Series 2012-SHOW A 3.43% 11/5/36
  930,000 980,363
Goldman Sachs Mortgage Securities Trust Series 2012-ALOH A 3.55% 4/10/34
  883,000 882,476
•Irvine Core Office Trust Series 2013-IRV A2 3.28% 5/15/48
  798,000 821,171
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7 A4 2.92% 2/15/46
  357,000 362,801
Total Non-Agency Commercial Mortgage-Backed Securities

(Cost $4,042,511)
    4,091,468
ΔSOVEREIGN BONDS–43.03%
Australia–1.12%
Australia Government Bonds
0.75% 11/21/27
AUD 2,730,000 2,328,437
1.25% 2/21/22
AUD 5,255,000 4,568,989
1.25% 8/21/40
AUD 490,000 472,648
2.50% 9/20/30
AUD 4,245,000 4,880,537
3.00% 9/20/25
AUD 6,115,000 6,634,926
      18,885,537
    Principal
Amount° 		Value
(U.S. $)
ΔSOVEREIGN BONDS (continued)
Canada–1.73%
Canadian Government Real Return Bonds
4.25% 12/1/21
CAD 5,103,250 $  4,055,484
4.25% 12/1/26
CAD 6,269,052   6,305,579
Canadian When Issued Government Bond 0.25% 5/1/23
CAD 23,700,000  18,648,828
      29,009,891
Chile–0.11%
Chile Government International Bond 2.55% 7/27/33
  1,835,000   1,788,831
      1,788,831
Colombia–0.18%
Colombia Government International Bond
3.00% 1/30/30
  2,490,000 2,353,149
3.25% 4/22/32
  765,000 713,378
      3,066,527
Denmark–0.36%
Denmark Inflation Linked Government Bond
0.10% 11/15/23
DKK 27,344,068 4,446,137
0.10% 11/15/30
DKK 9,223,034 1,681,322
      6,127,459
France–8.55%
French Republic Government Bond O.A.T
0.10% 3/1/25
EUR 14,473,150 17,913,238
0.10% 3/1/26
EUR 1,630,944 2,089,323
0.10% 3/1/28
EUR 10,854,354 14,050,660
0.10% 7/25/31
EUR 4,191,072 5,738,075
0.25% 7/25/24
EUR 14,522,293 18,219,561
0.70% 7/25/30
EUR 24,625,748 35,200,423
1.85% 7/25/27
EUR 11,765,277 16,975,638
2.10% 7/25/23
EUR 16,440,717 20,534,343
3.40% 7/25/29
EUR 779,833 1,289,036
3.40% 7/25/29
EUR 7,071,362 11,688,717
      143,699,014
Germany–5.43%
Bundesrepublik Deutschland Bundesanleihe 0.01% 8/15/26
EUR 28,490,000 33,949,321
Deutsche Bundesrepublik Inflation Linked Bonds
0.10% 4/15/23
EUR 13,167,818 15,829,319
0.10% 4/15/26
EUR 13,964,195 18,011,690
0.50% 4/15/30
EUR 16,362,706 23,401,992
      91,192,322
Italy–5.36%
Italy Buoni Poliennali Del Tesoro
0.40% 4/11/24
EUR 11,199,772 13,562,759
0.45% 5/22/23
EUR 2,181,594 2,615,203
LVIP BlackRock Inflation Protected Bond Fund–1

 

LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
ΔSOVEREIGN BONDS (continued)
Italy (continued)
Italy Buoni Poliennali Del Tesoro Inflation Linked Bonds
0.10% 5/15/23
EUR 4,238,728 $  5,098,068
0.15% 5/15/51
EUR 46,150      53,817
0.40% 5/15/30
EUR 9,497,409  12,177,365
0.65% 5/15/26
EUR 3,325,885   4,237,300
1.25% 9/15/32
EUR 373,944     524,228
1.30% 5/15/28
EUR 12,021,916  16,183,897
2.35% 9/15/24
EUR 12,167,528 15,978,375
2.60% 9/15/23
EUR 3,652,340 4,662,218
3.10% 9/15/26
EUR 10,419,496 14,977,526
      90,070,756
Japan–4.81%
Japanese Government CPI Linked Bonds
0.01% 3/10/31
JPY 255,517,860 2,344,763
0.10% 9/10/23
JPY 678,434,800 6,187,262
0.10% 3/10/24
JPY 458,964,000 4,193,132
0.10% 9/10/24
JPY 873,196,200 8,008,973
0.10% 3/10/25
JPY 1,436,993,800 13,134,946
0.10% 3/10/26
JPY 999,081,156 9,168,081
0.10% 3/10/27
JPY 1,094,914,807 10,105,544
0.10% 3/10/28
JPY 2,778,943,356 25,640,837
0.10% 3/10/29
JPY 226,017,753 2,090,504
      80,874,042
Mexico–0.11%
Mexico Government International Bond
1.45% 10/25/33
EUR 1,300,000 1,421,376
2.13% 10/25/51
EUR 449,000 430,382
      1,851,758
New Zealand–1.06%
New Zealand Government Bonds 1.75% 5/15/41
NZD 1,782,000 1,068,714
New Zealand Government Inflation Linked Bond
2.00% 9/20/25
NZD 13,674,000 11,664,248
2.50% 9/20/40
NZD 2,012,000 1,946,383
3.00% 9/20/30
NZD 3,195,000 3,112,484
      17,791,829
Panama–0.07%
Panama Government International Bond 4.50% 4/1/56
  1,135,000 1,234,823
      1,234,823
Romania–0.11%
Romanian Government International Bond 3.62% 5/26/30
EUR 1,440,000 1,876,594
      1,876,594
    Principal
Amount° 		Value
(U.S. $)
ΔSOVEREIGN BONDS (continued)
Spain–2.85%
Spain Government Bond
1.00% 10/31/50
EUR 1,105,000 $  1,175,136
3.45% 7/30/66
EUR 1,015,000   1,802,838
Spain Government Inflation Linked Bonds
0.15% 11/30/23
EUR 1,066,115   1,308,673
0.65% 11/30/27
EUR 9,530,219  12,777,536
0.70% 11/30/33
EUR 467,410     667,217
1.00% 11/30/30
EUR 11,081,226 15,820,550
1.80% 11/30/24
EUR 10,969,285 14,425,428
      47,977,378
Sweden–0.96%
Sweden Inflation Linked Bonds
0.13% 6/1/26
SEK 12,325,000 1,691,122
0.13% 12/1/27
SEK 4,090,000 567,150
0.13% 6/1/30
SEK 8,700,000 1,180,796
0.25% 6/1/22
SEK 22,950,000 2,928,112
1.00% 6/1/25
SEK 31,395,000 4,353,883
3.50% 12/1/28
SEK 25,000,000 5,364,576
      16,085,639
United Kingdom–10.22%
United Kingdom Gilt Inflation Linked Bonds
0.13% 3/22/24
GBP 20,657,864 30,696,344
0.13% 3/22/26
GBP 16,399,660 25,777,588
0.13% 8/10/28
GBP 14,422,940 24,194,295
0.13% 3/22/29
GBP 9,977,118 16,907,131
0.13% 8/10/31
GBP 3,927,837 7,032,500
1.25% 11/22/27
GBP 16,636,546 29,198,246
1.88% 11/22/22
GBP 17,822,760 26,072,279
2.50% 7/17/24
GBP 1,115,000 5,479,601
4.13% 7/22/30
GBP 1,255,000 6,418,556
      171,776,540
Total Sovereign Bonds

(Cost $697,424,892)
    723,308,940
U.S. TREASURY OBLIGATIONS–53.01%
U.S. Treasury Inflation Indexed Bonds
∞0.13% 7/15/22
  30,437 31,170
0.13% 7/15/24
  34,917,885 37,277,570
0.13% 10/15/24
  25,512,322 27,292,205
0.13% 4/15/25
  25,398,986 27,247,358
0.13% 10/15/25
  28,435,290 30,767,502
0.13% 4/15/26
  21,667,901 23,455,785
0.13% 7/15/26
  22,313,806 24,340,934
0.13% 1/15/30
  40,872,328 44,900,488
0.13% 7/15/30
  22,516,713 24,830,540
0.13% 1/15/31
  46,435,923 50,961,611
0.13% 7/15/31
  25,989,048 28,616,717
0.13% 2/15/51
  1,305,295 1,429,638
0.25% 1/15/25
  42,797,588 45,978,987
0.25% 7/15/29
  38,469,316 42,795,611
∞0.38% 7/15/23
  1 1
0.38% 7/15/25
  34,536,655 37,684,977
 
LVIP BlackRock Inflation Protected Bond Fund–2

 

LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Inflation Indexed Bonds (continued)
0.38% 1/15/27
  42,798,258 $ 47,249,166
0.38% 7/15/27
  35,305,810  39,273,577
0.50% 4/15/24
  44,005,505  46,994,785
0.50% 1/15/28
  48,736,877  54,561,822
0.63% 1/15/24
  34,908,026  37,243,863
0.63% 1/15/26
  47,601,743  52,538,564
0.75% 7/15/28
  46,949,359  53,753,959
0.88% 1/15/29
  45,075,831 52,078,432
1.75% 1/15/28
  13,921,807 16,750,943
2.00% 1/15/26
  5,728,000 6,679,683
2.38% 1/15/25
  13,703,565 15,730,016
2.38% 1/15/27
  615,856 749,191
2.50% 1/15/29
  5,878,850 7,529,367
3.63% 4/15/28
  1,240,415 1,658,305
3.88% 4/15/29
  7,629,538 10,641,517
Total U.S. Treasury Obligations

(Cost $836,256,235)
    891,044,284
    
    Number of
Shares 		Value
(U.S. $)
MONEY MARKET FUND–3.31%
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%)
  55,682,513 $ 55,682,513
Total Money Market Fund

(Cost $55,682,513)
55,682,513
    
 
TOTAL INVESTMENTS–99.63% (Cost $1,594,004,911)
1,674,728,686
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.37%
6,247,323
NET ASSETS APPLICABLE TO 155,804,530 SHARES OUTSTANDING –100.00%
$1,680,976,009
    
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.
Δ Securities have been classified by country of origin.
♦ 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.
• Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps and/or floors. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above.
∞ Fully or partially pledged as collateral for futures contracts.
LVIP BlackRock Inflation Protected Bond Fund–3

 

LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
The following foreign currency exchange contracts, futures contracts and swap contracts were outstanding at September 30, 2021:
Foreign Currency Exchange Contracts
Counterparty   Contracts to
Receive (Deliver) 		  In Exchange For   Settlement Date   Unrealized
Appreciation 		  Unrealized
Depreciation
BNP   AUD (26,479,000)   USD 19,446,813   10/5/21   $303,429   $—
BNP   SEK (140,633,000)   USD 16,298,786   10/5/21   233,864   —
CITI   EUR (779,000)   USD 922,360   10/5/21   19,912   —
CITI   GBP (121,043,000)   USD 166,791,286   10/5/21   3,697,320   —
JPMC   EUR (1,837,845)   USD 2,131,147   11/3/21   912   —
JPMC   GBP (1,258,653)   USD 1,697,158   11/3/21   1,183   —
JPMC   JPY (56,674,665)   USD 508,052   11/4/21   —   (1,297)
JPMC   NZD 502,842   USD (346,833)   11/3/21   235   —
MSC   CAD (43,000)   USD 33,914   10/5/21   —   (34)
MSC   CNY (26,469,600)   USD 4,035,000   12/15/21   —   (44,024)
MSC   DKK (38,938,000)   USD 6,190,564   10/5/21   124,891   —
MSC   EUR (330,254,663)   USD 390,579,913   10/5/21   7,989,825   —
MSC   EUR 167,462,663   USD (195,017,072)   10/5/21   —   (1,016,617)
MSC   EUR (142,443,663)   USD 165,659,117   11/3/21   553,569   —
MSC   JPY (116,743,000)   USD 1,058,149   10/5/21   9,161   —
MSC   NZD (26,395,000)   USD 18,597,310   10/5/21   376,017   —
RBC   EUR (2,166,000)   USD 2,573,178   10/5/21   63,932   —
SCB   CAD (36,967,000)   USD 29,371,197   10/5/21   185,517   —
SCB   GBP (4,026,000)   USD 5,538,326   10/5/21   113,672   —
UBS   EUR (1,809,334)   USD 2,137,163   10/5/21   41,105   —
UBS   GBP (977,254)   USD 1,345,030   10/5/21   28,273   —
UBS   JPY (8,848,058,000)   USD 80,551,494   10/5/21   1,047,688   —
Total Foreign Currency Exchange Contracts   $14,790,505   $(1,061,972)
Futures Contracts
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost (Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Appreciation1 		  Value/
Unrealized
Depreciation1
Interest Rate Contracts:
(217) Euro-BOBL   $(33,916,265)   $(33,893,449)   12/8/21   $—   $(22,816)
(24) Euro-Bund   (4,721,064)   (4,800,274)   12/8/21   79,210   —
(33) Euro-Buxl   (7,772,783)   (8,055,617)   12/8/21   282,834   —
112 Long Gilt   18,886,239   19,223,055   12/29/21   —   (336,816)
(164) U.S. Treasury 10 yr Notes   (21,583,937)   (21,849,934)   12/21/21   265,997   —
(353) U.S. Treasury 10 yr Ultra Notes   (51,273,250)   (52,246,441)   12/21/21   973,191   —
274 U.S. Treasury 2 yr Notes   60,294,985   60,354,311   12/31/21   —   (59,326)
209 U.S. Treasury 5 yr Notes   25,653,117   25,719,658   12/31/21   —   (66,541)
(40) U.S. Treasury Ultra Bonds   (7,642,500)   (7,848,699)   12/21/21   206,199   —
Total Futures Contracts   $1,807,431   $(485,499)
LVIP BlackRock Inflation Protected Bond Fund–4

 

LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
Swap Contracts
Inflation Swap Contracts
  Notional
Amount2 		  Fixed
Interest
Rate Paid
(Received) 		  Termination
Date 		  Value   Unrealized
Appreciation
(Depreciation)1 		 
Centrally Cleared:
Receive amounts based on Inflation EU-CPI-U Index and pay fixed rate coupon at maturity EUR 5,800,000   1.65%   8/15/31   $(15,218)   $(15,218)  
Receive amounts based on Inflation EU-CPI-U Index and pay fixed rate coupon at maturity EUR 32,800,000   1.63%   8/15/26   671,780   671,780  
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity 34,000,000   2.50%   8/27/31   524,876   524,876  
Receive amounts based on Inflation EU-CPI-U Index and pay fixed rate coupon at maturity EUR 11,030,000   1.78%   9/15/26   107,962   107,962  
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity 11,390,000   2.54%   9/9/31   89,633   89,633  
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity 40,000,000   2.95%   9/13/23   54,154   54,154  
Receive amounts based on Inflation UK-RPI-U Index and pay fixed rate coupon at maturity GBP 4,225,000   4.01%   9/15/31   0   0  
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity 7,425,000   2.71%   10/4/26   0   0  
Receive amounts based on Inflation USA-CPI-U Index and pay fixed rate coupon at maturity 14,000,000   2.73%   10/4/26   0   0  
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity EUR 1,370,000   (1.86%)   8/15/51   (83,548)   (83,548)  
Pay amounts based on Inflation UK-RPI-U Index and receive fixed rate coupon at maturity GBP 3,300,000   (3.73%)   8/15/41   (144,120)   (144,120)  
Pay amounts based on Inflation UK-RPI-U Index and receive fixed rate coupon at maturity GBP 6,500,000   (3.88%)   8/15/31   (215,050)   (215,050)  
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity EUR 11,600,000   (1.65%)   8/15/31   (346,397)   (346,397)  
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity EUR 5,800,000   (1.65%)   8/15/31   (173,199)   (173,199)  
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity EUR 32,800,000   (1.66%)   8/15/31   (931,756)   (931,756)  
Pay amounts based on Inflation USA-CPI-U Index and receive fixed rate coupon at maturity 34,000,000   (2.65%)   8/27/26   (299,173)   (299,173)  
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity EUR 11,030,000   (1.76%)   9/15/31   (142,462)   (142,462)  
LVIP BlackRock Inflation Protected Bond Fund–5

 

LVIP BlackRock Inflation Protected Bond Fund
Schedule of Investments (continued)
Swap Contracts
Inflation Swap Contracts (continued)
  Notional
Amount2 		  Fixed
Interest
Rate Paid
(Received) 		  Termination
Date 		  Value   Unrealized
Appreciation
(Depreciation)1 		 
Centrally Cleared:(continued)
Pay amounts based on Inflation USA-CPI-U Index and receive fixed rate coupon at maturity 11,390,000   (2.69%)   9/9/26   $(51,109)   $(51,109)  
Pay amounts based on Inflation EU-CPI-U Index and receive fixed rate coupon at maturity EUR 1,450,000   (1.96%)   9/15/51   (53,320)   (53,320)  
Pay amounts based on Inflation UK-RPI-U Index and receive fixed rate coupon at maturity GBP 4,225,000   (4.23%)   9/15/26   0   0  
Pay amounts based on Inflation USA-CPI-U Index and receive fixed rate coupon at maturity 7,425,000   (2.57%)   10/4/31   0   0  
Total Inflation Swap Contracts   $(1,006,947)   $(1,006,947)  
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 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 and centrally cleared swap contracts from the date the contracts were opened through September 30, 2021.
2 Notional amount shown is stated in U.S. dollars unless noted that the swap is denominated in another currency.
    
Summary of Abbreviations:
AUD–Australian Dollar
BAMLL–Bank of America Merrill Lynch Large Loan
BB-UBS–Barclays Bank United Bank of Switzerland
BNP–BNP Paribas
BOBL–Bundesobligationen
CAD–Canadian Dollar
CITI–Citigroup Global Markets
CNY–Chinese Yuan
CPI–Consumer Price Index
CPI-U–Consumer Price Index for All Urban Consumers
DKK–Danish Krone
EUR–Euro
GBP–British Pound Sterling
JPMC–JPMorgan Chase
JPY–Japanese Yen
MSC–Morgan Stanley & Co.
NZD–New Zealand Dollar
RBC–Royal Bank of Canada
RPI-U–Retail Price Index for All Urban Consumers
SCB–Standard Chartered Bank
SEK–Swedish Krona
USD–United States Dollar
yr–Year
See accompanying notes.
LVIP BlackRock Inflation Protected Bond Fund–6

 

LVIP BlackRock Inflation Protected Bond Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP BlackRock Inflation Protected Bond 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–Securities listed on a foreign exchange are valued at the last quoted sale 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.   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.   U.S. government and agency securities are valued at the evaluated bid price, which approximates fair value.   Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations.   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.   Futures contracts are valued at the daily quoted settlement prices.   Other debt securities and inflation swap contracts are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.
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 BlackRock Inflation Protected Bond Fund–7

 

LVIP BlackRock Inflation Protected Bond Fund
Notes (continued)
 2. Investments (continued)
The following table summarizes the valuation of the Fund's investments by fair value hierarchy levels as of September 30, 2021:
  Level 1   Level 2   Level 3   Total
Investments:              
Assets:
             
Corporate Bond
$—   $484,132   $—   $484,132
Non-Agency Collateralized Mortgage Obligations
—   117,349   —   117,349
Non-Agency Commercial Mortgage-Backed Securities
—   4,091,468   —   4,091,468
Sovereign Bonds
—   723,308,940   —   723,308,940
U.S. Treasury Obligations
—   891,044,284   —   891,044,284
Money Market Fund
55,682,513   —   —   55,682,513
Total Investments
$55,682,513   $1,619,046,173   $—   $1,674,728,686
Derivatives:              
    
Assets:
             
Foreign Currency Exchange Contracts
$—   $14,790,505   $—   $14,790,505
Futures Contracts
$1,807,431   $—   $—   $1,807,431
Swap Contracts
$—   $1,448,405   $—   $1,448,405
Liabilities:
             
Foreign Currency Exchange Contracts
$—   $(1,061,972)   $—   $(1,061,972)
Futures Contracts
$(485,499)   $—   $—   $(485,499)
Swap Contracts
$—   $(2,455,352)   $—   $(2,455,352)
There were no Level 3 investments at the beginning or end of the period.
LVIP BlackRock Inflation Protected Bond Fund–8