NPORT-EX 2 NPORT_LMHC_74027062_0921.htm
LVIP JPMorgan Retirement Income Fund
Schedule of Investments
September 30, 2021 (unaudited)
    Number of
Shares 		Value
(U.S. $)
INVESTMENT COMPANIES–59.94%
Equity Funds–18.76%
JPMorgan BetaBuilders Mid Cap Equity ETF
  53,555 $  4,697,309
✧JPMorgan Equity Index Fund
  509,890  33,402,896
✧JPMorgan Realty Income Fund
  195,257   3,114,352
✧JPMorgan Small Cap Equity Fund
  20,196   1,537,305
✧JPMorgan Small Cap Growth Fund
  23,998     704,592
✧JPMorgan Small Cap Value Fund
  18,651     628,524
      44,084,978
Fixed Income Funds–24.93%
JPMorgan BetaBuilders MSCI US REIT ETF
  14,353 1,380,256
✧JPMorgan Floating Rate Income Fund
  1,441,081 12,912,086
✧JPMorgan High Yield Fund
  2,052,474 15,003,588
JPMorgan High Yield Research Enhanced ETF
  224,098 11,668,783
✧JPMorgan Inflation Managed Bond Fund
  1,609,189 17,636,708
      58,601,421
International Equity Funds–10.06%
✧JPMorgan Emerging Markets Equity Fund
  183,291 7,621,258
✧JPMorgan International Equity Fund
  263,035 5,592,121
✧JPMorgan International Research Enhanced Equity Fund
  506,707 10,443,222
      23,656,601
Money Market Funds–6.19%
JPMorgan Prime Money Market Fund - IM Shares (seven-day effective yield 0.03%)
  12,702,029 12,708,380
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%)
  1,835,814 1,835,814
      14,544,194
Total Investment Companies

(Cost $117,893,725)
140,887,194
    
    Principal
Amount° 		Value
(U.S. $)
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.61%
Fannie Mae REMICs
Series 1991-141 PZ 8.00% 10/25/21
  65 $         65
Series 2009-100 PN 5.00% 11/25/39
  190,116     201,251
Series 2009-20 DT 4.50% 4/25/39
  673,604     764,461
Series 2011-112 PB 4.00% 11/25/41
  683,586     746,470
Series 2011-52 KB 5.50% 6/25/41
  581,997     665,418
Series 2011-55 BZ 3.50% 6/25/41
  419,846     452,392
•Series 2011-86 NF 0.64% (LIBOR01M + 0.55%) 9/25/41
  122,199     123,785
*•Series 2012-122 SD 6.01% (6.10% minus LIBOR01M) 11/25/42
  99,827 18,291
Series 2012-14 Z 4.00% 3/25/42
  502,680 547,348
Series 2012-54 WG 3.50% 1/25/41
  14,784 14,836
*Series 2012-98 MI 3.00% 8/25/31
  66,216 2,624
*Series 2013-55 AI 3.00% 6/25/33
  126,529 13,729
•Series 2013-57 FN 0.44% (LIBOR01M + 0.35%) 6/25/43
  53,498 53,877
*Series 2013-7 EI 3.00% 10/25/40
  39,149 1,425
Series 2014-19 Z 4.50% 4/25/44
  623,247 704,494
Series 2015-40 GZ 3.50% 5/25/45
  84,847 90,306
Series 2015-89 AZ 3.50% 12/25/45
  29,427 31,907
*•Series 2015-95 SH 5.91% (6.00% minus LIBOR01M) 1/25/46
  96,270 17,845
*Series 2016-50 IB 3.00% 2/25/46
  41,314 3,974
*•Series 2016-55 SK 5.91% (6.00% minus LIBOR01M) 8/25/46
  96,521 21,072
*•Series 2016-62 SA 5.91% (6.00% minus LIBOR01M) 9/25/46
  198,263 44,198
*•Series 2016-74 GS 5.91% (6.00% minus LIBOR01M) 10/25/46
  47,190 10,401
*Series 2017-12 JI 3.50% 5/25/40
  33,753 1,495
Series 2019-65 PA 2.50% 5/25/48
  477,520 493,641
LVIP JPMorgan Retirement Income Fund–1

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS
(continued)
Freddie Mac REMICs
Series 2893 PE 5.00% 11/15/34
  119,270 $    133,596
Series 3843 PZ 5.00% 4/15/41
  1,008,966   1,158,818
Series 3893 PU 4.00% 7/15/41
  439,646     478,391
Series 3939 BZ 4.50% 6/15/41
  395,000     431,180
•Series 3984 DF 0.63% (LIBOR01M + 0.55%) 1/15/42
  101,306     103,210
Series 4065 DE 3.00% 6/15/32
  40,000      42,265
*Series 4109 AI 3.00% 7/15/31
  133,391       5,666
*Series 4161 IM 3.50% 2/15/43
  36,557 6,090
*Series 4181 DI 2.50% 3/15/33
  52,548 4,430
*•Series 4184 GS 6.04% (6.12% minus LIBOR01M) 3/15/43
  96,407 20,525
Series 4219 AB 3.50% 1/15/43
  140,783 144,802
•Series 4286 VF 0.53% (LIBOR01M + 0.45%) 12/15/43
  71,384 72,114
*Series 4342 CI 3.00% 11/15/33
  26,455 1,861
Series 4457 KZ 3.00% 4/15/45
  111,508 117,228
*•Series 4494 SA 6.10% (6.18% minus LIBOR01M) 7/15/45
  29,179 5,640
*Series 4543 HI 3.00% 4/15/44
  38,263 2,383
*•Series 4594 SG 5.92% (6.00% minus LIBOR01M) 6/15/46
  279,956 62,451
Series 4614 HB 2.50% 9/15/46
  101,000 99,740
*•Series 4618 SA 5.92% (6.00% minus LIBOR01M) 9/15/46
  62,223 13,233
Series 4623 LZ 2.50% 10/15/46
  98,366 100,095
Series 4623 MW 2.50% 10/15/46
  105,000 108,812
*Series 4625 BI 3.50% 6/15/46
  97,128 12,818
*•Series 4631 GS 5.92% (6.00% minus LIBOR01M) 11/15/46
  149,424 28,139
*•Series 4648 SA 5.92% (6.00% minus LIBOR01M) 1/15/47
  114,371 22,708
Series 4657 VZ 3.00% 2/15/47
  573,602 593,632
    Principal
Amount° 		Value
(U.S. $)
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS
(continued)
Freddie Mac REMICs (continued)
Series 4739 PA 3.00% 11/15/46
  369,689 $    388,111
*•Freddie Mac Strips
Series 267 S5 5.92% (6.00% minus LIBOR01M) 8/15/42
  83,169      13,766
Series 299 S1 5.92% (6.00% minus LIBOR01M) 1/15/43
  61,053      10,724
Series 326 S2 5.87% (5.95% minus LIBOR01M) 3/15/44
  47,800       8,557
♦Freddie Mac Structured Pass-Through Certificates Series T-58 2A 6.50% 9/25/43
  36,900      42,907
GNMA
Series 2012-136 MX 2.00% 11/20/42
  40,000 39,993
Series 2013-113 AZ 3.00% 8/20/43
  315,963 329,249
Series 2013-113 LY 3.00% 5/20/43
  29,000 30,571
*Series 2015-142 AI 4.00% 2/20/44
  10,631 294
Series 2015-64 GZ 2.00% 5/20/45
  116,897 111,152
*Series 2015-74 CI 3.00% 10/16/39
  72,296 3,614
*•Series 2016-108 SK 5.96% (6.05% minus LIBOR01M) 8/20/46
  138,742 27,777
Series 2016-111 PB 2.50% 8/20/46
  97,000 100,701
*Series 2016-116 GI 3.50% 11/20/44
  159,894 14,336
*Series 2016-118 DI 3.50% 3/20/43
  198,040 15,573
*•Series 2016-120 AS 6.01% (6.10% minus LIBOR01M) 9/20/46
  154,811 32,384
*•Series 2016-120 NS 6.01% (6.10% minus LIBOR01M) 9/20/46
  218,860 46,651
*•Series 2016-121 JS 6.01% (6.10% minus LIBOR01M) 9/20/46
  147,049 28,786
Series 2016-134 MW 3.00% 10/20/46
  9,653 10,123
Series 2016-156 PB 2.00% 11/20/46
  61,000 57,960
*Series 2016-160 GI 3.50% 11/20/46
  127,244 19,461
*Series 2016-163 MI 3.50% 11/20/46
  7,911 171
*Series 2016-163 XI 3.00% 10/20/46
  33,606 2,681
 
LVIP JPMorgan Retirement Income Fund–2

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS
(continued)
GNMA REMIC
Series 2010-29 AG 4.00% 10/20/39
  488,775 $    535,042
Series 2012-117 BC 1.25% 9/20/27
  160,119     161,617
Total Agency Collateralized Mortgage Obligations

(Cost $10,766,163)
10,827,333
AGENCY COMMERCIAL MORTGAGE-BACKED
SECURITIES–1.88%
Fannie Mae-Aces
Series 2017-M11 A2 2.98% 8/25/29
  275,000     301,183
•Series 2017-M8 A2 3.06% 5/25/27
  555,000     602,070
Freddie Mac Multifamily Structured Pass Through Certificates
♦Series K066 A2 3.12% 6/25/27
  340,000 373,287
♦Series K067 A2 3.19% 7/25/27
  637,000 702,372
♦Series K725 A2 3.00% 1/25/24
  185,000 193,870
♦•Series K731 AM 3.60% 2/25/25
  1,200,000 1,300,780
♦•Series KS03 A4 3.16% 5/25/25
  150,000 160,428
•FREMF Mortgage Trust
Series 2012-K18 B 4.32% 1/25/45
  85,000 85,787
Series 2012-K22 B 3.81% 8/25/45
  150,000 153,736
Series 2013-K29 C 3.60% 5/25/46
  295,000 304,710
Series 2013-K32 B 3.64% 10/25/46
  110,000 115,094
Series 2013-K33 B 3.61% 8/25/46
  120,000 125,850
Total Agency Commercial Mortgage-Backed Securities

(Cost $4,153,466)
4,419,167
AGENCY MORTGAGE-BACKED SECURITIES–3.69%
Fannie Mae
2.53% 7/1/26
  130,338 137,400
2.60% 9/1/28
  289,707 309,719
2.64% 2/1/23
  450,000 459,195
3.16% 12/1/26
  477,394 520,214
•3.18% 9/1/27
  415,069 454,391
3.77% 12/1/25
  649,928 715,816
3.88% 12/1/28
  395,000 453,148
•Fannie Mae ARM
2.08% (LIBOR12M + 1.83%) 8/1/35
  627 630
    Principal
Amount° 		Value
(U.S. $)
AGENCY MORTGAGE-BACKED SECURITIES (continued)
•Fannie Mae ARM (continued)
2.87% (LIBOR12M + 1.60%) 7/1/45
  15,713 $     16,354
3.10% (LIBOR12M + 1.53%) 3/1/44
  54,200      56,283
Fannie Mae S.F. 15 yr 3.50% 2/1/35
  706,241     759,113
Fannie Mae S.F. 20 yr
3.00% 8/1/32
  385,430     411,380
3.50% 4/1/35
  301,881     326,770
Fannie Mae S.F. 30 yr
2.00% 8/1/50
  672,624 674,939
3.50% 7/1/42
  477,752 521,810
3.50% 7/1/46
  354,124 386,850
4.00% 7/1/45
  186,642 205,423
5.50% 11/1/34
  2,216 2,549
5.50% 4/1/37
  55,528 64,628
5.50% 8/1/37
  8,748 10,098
5.50% 3/1/38
  11,234 13,114
5.50% 6/1/39
  20,227 23,534
5.50% 7/1/40
  23,564 27,466
5.50% 5/1/44
  515,666 597,192
6.00% 9/1/36
  11,897 14,052
6.00% 12/1/36
  2,661 3,142
6.00% 6/1/37
  1,406 1,662
6.00% 9/1/38
  7,524 8,878
6.00% 11/1/38
  5,457 6,550
6.00% 10/1/39
  78,243 92,307
6.00% 11/1/40
  3,872 4,676
7.50% 6/1/31
  2,988 3,466
•Freddie Mac ARM
2.62% (LIBOR12M + 1.63%) 10/1/46
  34,763 36,099
2.96% (LIBOR12M + 1.63%) 10/1/45
  24,454 25,455
3.09% (LIBOR12M + 1.62%) 3/1/46
  28,133 29,300
Freddie Mac S.F. 30 yr
4.00% 4/1/45
  99,884 109,570
5.00% 6/1/36
  41,705 47,547
5.50% 3/1/34
  3,038 3,513
5.50% 12/1/34
  2,737 3,167
5.50% 12/1/35
  2,655 3,084
5.50% 8/1/40
  6,275 7,225
5.50% 6/1/41
  30,957 35,573
6.00% 2/1/36
  5,828 6,888
6.00% 3/1/36
  8,587 10,149
6.00% 8/1/38
  8,829 10,437
6.00% 5/1/40
  14,500 17,110
6.50% 4/1/39
  14,874 17,381
7.00% 11/1/33
  517 596
GNMA I S.F. 30 yr
5.50% 2/15/41
  16,786 19,388
7.00% 12/15/34
  25,969 30,118
 
LVIP JPMorgan Retirement Income Fund–3

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
AGENCY MORTGAGE-BACKED SECURITIES (continued)
GNMA II S.F. 30 yr
2.50% 1/20/51
  775,630 $    799,359
5.50% 5/20/37
  10,168      11,809
5.50% 4/20/40
  5,282       6,078
6.00% 2/20/39
  16,657      19,096
6.00% 10/20/39
  43,520      50,982
6.00% 2/20/40
  42,143      49,375
6.00% 4/20/46
  14,539      16,939
6.50% 10/20/39
  19,806 22,778
Total Agency Mortgage-Backed Securities

(Cost $8,444,351)
8,671,765
CORPORATE BONDS–13.29%
Aerospace & Defense–0.36%
Boeing
2.75% 2/1/26
  405,000 421,864
4.88% 5/1/25
  115,000 127,985
Lockheed Martin 1.85% 6/15/30
  80,000 79,604
Raytheon Technologies 4.15% 5/15/45
  175,000 205,881
      835,334
Agriculture–0.12%
Bunge Limited Finance 1.63% 8/17/25
  10,000 10,104
Reynolds American
4.45% 6/12/25
  70,000 77,169
5.85% 8/15/45
  170,000 203,976
      291,249
Airlines–0.02%
♦American Airlines Pass Through Trust 3.38% 11/1/28
  56,131 56,750
      56,750
Auto Manufacturers–0.46%
American Honda Finance 2.00% 3/24/28
  170,000 172,839
General Motors Financial 1.25% 1/8/26
  175,000 172,780
Hyundai Capital America 1.00% 9/17/24
  320,000 318,867
Nissan Motor Acceptance 2.00% 3/9/26
  165,000 165,386
Toyota Motor Credit 2.15% 2/13/30
  240,000 243,785
      1,073,657
Banks–2.41%
μBanco Santander 1.72% 9/14/27
  200,000 199,071
Bank of America
μ1.66% 3/11/27
  220,000 221,263
μ2.09% 6/14/29
  140,000 139,775
4.18% 11/25/27
  275,000 306,557
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Banks (continued)
Bank of America (continued)
μ4.44% 1/20/48
  240,000 $    296,239
Bank of Montreal 1.25% 9/15/26
  185,000     183,615
Bank of Nova Scotia 3.40% 2/11/24
  125,000     132,847
Citigroup
3.20% 10/21/26
  49,000      52,831
8.13% 7/15/39
  150,000     256,340
Cooperatieve Rabobank 3.75% 7/21/26
  250,000 275,526
Credit Suisse Group 4.28% 1/9/28
  250,000 277,870
Fifth Third Bancorp 3.65% 1/25/24
  50,000 53,348
Goldman Sachs Group
3.85% 1/26/27
  80,000 87,898
5.15% 5/22/45
  200,000 262,254
μHSBC Holdings 0.98% 5/24/25
  210,000 209,630
μMacquarie Group 2.69% 6/23/32
  275,000 274,589
Morgan Stanley
μ1.59% 5/4/27
  60,000 60,179
μ3.22% 4/22/42
  25,000 26,153
3.95% 4/23/27
  265,000 294,708
4.00% 7/23/25
  170,000 187,289
Northern Trust 1.95% 5/1/30
  60,000 60,182
Regions Financial 1.80% 8/12/28
  185,000 182,806
Societe Generale 2.63% 1/22/25
  200,000 207,664
Sumitomo Mitsui Financial Group 3.78% 3/9/26
  265,000 292,311
Toronto-Dominion Bank 2.00% 9/10/31
  320,000 314,489
μUBS Group 2.10% 2/11/32
  226,000 219,886
Wells Fargo & Co.
μ3.07% 4/30/41
  105,000 107,897
4.75% 12/7/46
  175,000 219,172
Westpac Banking 2.35% 2/19/25
  260,000 271,989
      5,674,378
Beverages–0.32%
Anheuser-Busch InBev Worldwide
4.70% 2/1/36
  260,000 314,194
4.95% 1/15/42
  105,000 129,716
Constellation Brands 3.60% 2/15/28
  165,000 181,294
Keurig Dr Pepper 3.35% 3/15/51
  125,000 129,757
      754,961
 
LVIP JPMorgan Retirement Income Fund–4

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Biotechnology–0.13%
Biogen 2.25% 5/1/30
  165,000 $    164,114
Royalty Pharma 3.35% 9/2/51
  140,000     132,643
      296,757
Building Materials–0.13%
Eagle Materials 2.50% 7/1/31
  140,000     139,123
Martin Marietta Materials
3.45% 6/1/27
  75,000      81,673
3.50% 12/15/27
  75,000 82,496
      303,292
Chemicals–0.25%
Celanese US Holdings 3.50% 5/8/24
  5,000 5,329
DuPont de Nemours 5.32% 11/15/38
  125,000 161,084
International Flavors & Fragrances 1.83% 10/15/27
  35,000 35,051
Mosaic 4.25% 11/15/23
  70,000 74,642
Nutrien 3.38% 3/15/25
  145,000 155,318
Sherwin-Williams 2.30% 5/15/30
  165,000 166,553
      597,977
Commercial Services–0.36%
Element Fleet Management 3.85% 6/15/25
  145,000 156,127
Element Fleet Management 1.60% 4/6/24
  20,000 20,288
Global Payments 2.65% 2/15/25
  160,000 167,233
Moody's 3.25% 5/20/50
  60,000 61,448
Quanta Services 0.95% 10/1/24
  155,000 155,071
Triton Container International
0.80% 8/1/23
  110,000 109,912
2.05% 4/15/26
  170,000 170,551
      840,630
Computers–0.13%
Apple
3.45% 2/9/45
  130,000 143,949
3.85% 5/4/43
  135,000 157,726
      301,675
Diversified Financial Services–0.88%
AerCap Ireland Capital 3.15% 2/15/24
  180,000 187,696
Air Lease
1.88% 8/15/26
  250,000 249,127
2.88% 1/15/26
  76,000 79,412
3.25% 3/1/25
  185,000 195,321
Aviation Capital Group
1.95% 9/20/26
  140,000 138,516
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Diversified Financial Services (continued)
Aviation Capital Group (continued)
4.88% 10/1/25
  80,000 $     88,164
Avolon Holdings Funding
2.53% 11/18/27
  47,000      46,225
2.88% 2/15/25
  235,000     241,795
3.63% 5/1/22
  110,000     111,645
5.50% 1/15/26
  220,000     246,622
Capital One Financial 3.75% 3/9/27
  80,000 88,506
GE Capital International Funding Unlimited 4.42% 11/15/35
  200,000 240,010
ORIX
3.25% 12/4/24
  30,000 32,126
3.70% 7/18/27
  110,000 121,661
      2,066,826
Electric–1.05%
AEP Texas 3.45% 1/15/50
  170,000 175,453
Ameren 1.75% 3/15/28
  25,000 24,501
Avangrid 3.80% 6/1/29
  85,000 94,644
Berkshire Hathaway Energy 3.70% 7/15/30
  155,000 174,641
CenterPoint Energy
2.65% 6/1/31
  15,000 15,317
2.95% 3/1/30
  95,000 99,395
Duke Energy 2.55% 6/15/31
  55,000 55,727
Duke Energy Indiana 3.25% 10/1/49
  10,000 10,348
Duquesne Light Holdings
2.78% 1/7/32
  90,000 89,918
3.62% 8/1/27
  95,000 101,900
Emera US Finance 3.55% 6/15/26
  155,000 167,538
Entergy Louisiana
0.95% 10/1/24
  220,000 220,055
2.90% 3/15/51
  5,000 4,880
Entergy Texas 4.00% 3/30/29
  20,000 22,383
Evergy 2.90% 9/15/29
  160,000 167,915
Exelon 3.50% 6/1/22
  150,000 152,618
Fortis 3.06% 10/4/26
  50,000 53,647
ITC Holdings 2.95% 5/14/30
  80,000 83,956
Metropolitan Edison 4.00% 4/15/25
  125,000 131,767
NextEra Energy Capital Holdings 2.25% 6/1/30
  65,000 65,371
Pacific Gas and Electric 1.37% 3/10/23
  250,000 249,127
Pennsylvania Electric 3.60% 6/1/29
  85,000 91,315
Public Service Enterprise Group 1.60% 8/15/30
  60,000 56,773
Public Serviceof Oklahoma 3.15% 8/15/51
  35,000 34,847
 
LVIP JPMorgan Retirement Income Fund–5

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Electric (continued)
Puget Energy 2.38% 6/15/28
  30,000 $     30,007
Wisconsin Public Service 3.30% 9/1/49
  90,000      94,522
      2,468,565
Electronics–0.04%
Arrow Electronics 3.25% 9/8/24
  96,000     101,813
      101,813
Environmental Control–0.03%
Republic Services 1.45% 2/15/31
  85,000 79,651
      79,651
Food–0.17%
Kroger 4.45% 2/1/47
  170,000 203,237
Sysco 5.65% 4/1/25
  170,000 195,523
      398,760
Gas–0.22%
APT Pipelines 4.20% 3/23/25
  90,000 97,895
Atmos Energy 4.15% 1/15/43
  100,000 115,176
NiSource 3.95% 3/30/48
  150,000 169,739
Southern California Gas 4.30% 1/15/49
  85,000 105,062
SouthernGas Capital 3.15% 9/30/51
  25,000 25,041
      512,913
Health Care Products–0.04%
Abbott Laboratories 4.90% 11/30/46
  65,000 88,009
      88,009
Health Care Services–0.14%
HCA
3.50% 7/15/51
  205,000 203,213
4.75% 5/1/23
  85,000 90,315
Quest Diagnostics 2.95% 6/30/30
  40,000 42,240
      335,768
Insurance–0.50%
American Financial Group 3.50% 8/15/26
  95,000 103,675
American International Group
3.40% 6/30/30
  115,000 125,487
3.88% 1/15/35
  45,000 50,845
Athene Global Funding
2.75% 6/25/24
  75,000 78,706
3.00% 7/1/22
  105,000 107,103
Berkshire Hathaway Finance 4.30% 5/15/43
  175,000 212,686
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Insurance (continued)
F&G Global Funding 1.75% 6/30/26
  70,000 $     70,429
μManulife Financial 4.06% 2/24/32
  90,000      98,667
Principal Financial Group 2.13% 6/15/30
  185,000     183,248
μPrudential Financial 5.38% 5/15/45
  140,000     154,430
      1,185,276
Machinery Diversified–0.01%
Xylem 2.25% 1/30/31
  20,000      20,016
      20,016
Media–0.43%
Charter Communications Operating
3.70% 4/1/51
  35,000 34,077
3.75% 2/15/28
  165,000 180,700
4.80% 3/1/50
  150,000 168,331
Comcast
3.25% 11/1/39
  85,000 89,743
3.90% 3/1/38
  115,000 130,587
Discovery Communications
2.95% 3/20/23
  22,000 22,759
3.63% 5/15/30
  155,000 168,100
ViacomCBS
4.20% 6/1/29
  80,000 91,152
4.95% 1/15/31
  95,000 113,492
      998,941
Mining–0.18%
Glencore Funding
1.63% 9/1/25
  170,000 170,560
2.63% 9/23/31
  60,000 58,758
Newcrest Finance Pty 3.25% 5/13/30
  15,000 15,941
Teck Resources 3.90% 7/15/30
  170,000 184,584
      429,843
Miscellaneous Manufacturing–0.06%
General Electric 6.75% 3/15/32
  90,000 123,109
Parker-Hannifin 3.30% 11/21/24
  15,000 16,074
      139,183
Oil & Gas–0.71%
BP Capital Markets America 3.63% 4/6/30
  185,000 206,247
Cenovus Energy 4.40% 4/15/29
  85,000 95,308
CNOOC Petroleum North America 5.88% 3/10/35
  125,000 155,576
ConocoPhillips 2.40% 2/15/31
  85,000 86,438
 
LVIP JPMorgan Retirement Income Fund–6

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Oil & Gas (continued)
Diamondback Energy 0.90% 3/24/23
  250,000 $    249,924
Exxon Mobil 3.00% 8/16/39
  155,000     160,257
Lundin Energy Finance 2.00% 7/15/26
  200,000     201,207
Marathon Petroleum
3.63% 9/15/24
  29,000      31,118
4.70% 5/1/25
  86,000      95,997
Phillips 66 1.30% 2/15/26
  45,000      44,743
Pioneer Natural Resources 1.13% 1/15/26
  125,000 123,397
Shell International Finance 4.38% 5/11/45
  100,000 122,756
Suncor Energy 6.50% 6/15/38
  65,000 90,306
      1,663,274
Oil & Gas Services–0.19%
Baker Hughes 4.49% 5/1/30
  145,000 169,626
Halliburton 3.80% 11/15/25
  11,000 12,047
National Oilwell Varco 3.60% 12/1/29
  165,000 173,473
Schlumberger Holdings 4.30% 5/1/29
  85,000 96,184
      451,330
Pharmaceuticals–0.41%
AbbVie
3.80% 3/15/25
  85,000 92,298
4.25% 11/21/49
  120,000 142,134
Becton Dickinson and Co. 2.82% 5/20/30
  155,000 162,412
Bristol-Myers Squibb 4.13% 6/15/39
  155,000 186,155
Cigna 3.40% 3/15/51
  95,000 97,653
Shire Acquisitions Investments Ireland
2.88% 9/23/23
  110,000 114,675
3.20% 9/23/26
  85,000 91,687
Zoetis 2.00% 5/15/30
  70,000 69,351
      956,365
Pipelines–0.57%
Boardwalk Pipelines
3.40% 2/15/31
  15,000 15,763
4.95% 12/15/24
  75,000 82,986
Cameron LNG 3.30% 1/15/35
  15,000 16,021
Cheniere Corpus Christi Holdings 2.74% 12/31/39
  120,000 118,867
Enterprise Products Operating 5.10% 2/15/45
  185,000 230,188
Gray Oak Pipeline 2.60% 10/15/25
  265,000 271,647
Kinder Morgan 3.25% 8/1/50
  45,000 43,375
MPLX 4.13% 3/1/27
  135,000 150,736
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Pipelines (continued)
ONEOK
3.40% 9/1/29
  125,000 $    133,310
5.20% 7/15/48
  45,000      54,489
Sunoco Logistics Partners Operations
3.90% 7/15/26
  155,000     169,219
5.35% 5/15/45
  45,000      52,481
      1,339,082
Real Estate Investment Trusts–1.14%
Alexandria Real Estate Equities 1.88% 2/1/33
  205,000 192,898
American Campus Communities Operating Partnership 2.85% 2/1/30
  30,000 30,819
American Tower
3.80% 8/15/29
  65,000 72,078
4.40% 2/15/26
  100,000 111,709
Boston Properties
2.55% 4/1/32
  100,000 99,858
3.40% 6/21/29
  85,000 92,078
Brixmor Operating Partnership 2.50% 8/16/31
  80,000 78,822
Duke Realty 4.00% 9/15/28
  145,000 163,953
Equinix 3.20% 11/18/29
  90,000 95,484
ERP Operating 3.00% 7/1/29
  155,000 165,413
Extra Space Storage 2.35% 3/15/32
  140,000 136,766
Healthcare Trust of America Holdings
2.00% 3/15/31
  45,000 43,144
3.10% 2/15/30
  153,000 160,885
Healthpeak Properties 3.40% 2/1/25
  5,000 5,332
Host Hotels & Resorts
3.75% 10/15/23
  45,000 47,107
3.88% 4/1/24
  40,000 42,359
Kilroy Realty 2.65% 11/15/33
  140,000 138,069
Kimco Realty 2.25% 12/1/31
  165,000 161,188
Life Storage
2.40% 10/15/31
  60,000 59,418
4.00% 6/15/29
  10,000 11,202
Mid-America Apartments
1.70% 2/15/31
  25,000 23,722
3.95% 3/15/29
  40,000 45,022
National Retail Properties 3.50% 10/15/27
  125,000 135,596
Office Properties Income Trust
2.40% 2/1/27
  30,000 29,645
2.65% 6/15/26
  40,000 40,351
4.50% 2/1/25
  5,000 5,360
Realty Income 3.25% 1/15/31
  20,000 21,703
Scentre Group 3.63% 1/28/26
  160,000 173,548
SITE Centers 4.25% 2/1/26
  75,000 81,164
UDR
3.10% 11/1/34
  20,000 20,843
 
LVIP JPMorgan Retirement Income Fund–7

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Real Estate Investment Trusts (continued)
UDR (continued)
3.20% 1/15/30
  22,000 $     23,557
3.50% 7/1/27
  28,000      30,625
VEREIT Operating Partnership 4.60% 2/6/24
  35,000      37,771
Welltower 4.25% 4/15/28
  90,000     102,162
      2,679,651
Retail–0.32%
7-Eleven 1.30% 2/10/28
  100,000 96,133
Alimentation Couche-Tard 3.55% 7/26/27
  85,000 93,605
AutoZone 1.65% 1/15/31
  105,000 99,736
Kohl S Corporation 3.38% 5/1/31
  85,000 87,472
Lowe's Companies 2.80% 9/15/41
  130,000 126,459
McDonald's 4.70% 12/9/35
  135,000 166,679
O'Reilly Automotive 1.75% 3/15/31
  75,000 71,849
      741,933
Semiconductors–0.22%
Broadcom 3.88% 1/15/27
  260,000 285,719
Microchip Technology 0.97% 2/15/24
  103,000 103,065
QUALCOMM 4.65% 5/20/35
  105,000 130,762
      519,546
Software–0.32%
Fidelity National Information Services 3.10% 3/1/41
  60,000 60,771
Fiserv 2.65% 6/1/30
  160,000 163,720
Microsoft 3.50% 2/12/35
  180,000 207,264
Oracle
1.65% 3/25/26
  70,000 70,995
4.50% 7/8/44
  185,000 212,610
VMware 1.80% 8/15/28
  45,000 44,332
      759,692
Telecommunications–0.60%
AT&T
3.10% 2/1/43
  55,000 52,731
3.30% 2/1/52
  140,000 135,556
3.50% 9/15/53
  310,000 306,813
Telefonica Emisiones 5.21% 3/8/47
  150,000 187,207
T-Mobile USA 2.05% 2/15/28
  210,000 211,680
Verizon Communications
2.10% 3/22/28
  155,000 157,339
2.99% 10/30/56
  167,000 154,202
4.27% 1/15/36
  85,000 99,851
    Principal
Amount° 		Value
(U.S. $)
CORPORATE BONDS (continued)
Telecommunications (continued)
Vodafone Group 5.00% 5/30/38
  83,000 $    103,953
      1,409,332
Transportation–0.30%
Burlington Northern Santa Fe 4.70% 9/1/45
  135,000     174,540
CSX 4.30% 3/1/48
  140,000     169,819
JB Hunt Transport Services 3.88% 3/1/26
  85,000      94,108
Norfolk Southern
2.90% 8/25/51
  120,000 116,659
4.05% 8/15/52
  130,000 152,647
      707,773
Trucking & Leasing–0.07%
Penske Truck Leasing 4.20% 4/1/27
  140,000 157,832
      157,832
Total Corporate Bonds

(Cost $30,099,709)
31,238,034
NON-AGENCY ASSET-BACKED SECURITIES–1.52%
AmeriCredit Automobile Receivables Trust Series 2017-2 C 2.97% 3/20/23
  68,453 68,545
CarMax Auto Owner Trust Series 2018-2 A3 2.98% 1/17/23
  15,252 15,271
Carvana Auto Receivables Trust Series 2021-P3 A3 0.70% 11/10/26
  475,000 474,619
•Discover Card Execution Note Trust Series 2017-A1 A1 0.57% (LIBOR01M + 0.49%) 7/15/24
  185,000 185,261
Exeter Automobile Receivables Trust Series 2020-1A C 2.49% 1/15/25
  460,000 465,849
GLS Auto Receivables Issuer Trust
Series 2020-1A A 2.17% 2/15/24
  56,636 56,850
Series 2021-3A B 0.78% 11/17/25
  195,000 194,754
HERO Funding Trust
Series 2016-2A A 3.75% 9/20/41
  47,160 49,036
Series 2016-3A A1 3.08% 9/20/42
  51,361 52,719
Marlette Funding Trust Series 2021-1A A 0.60% 6/16/31
  69,300 69,337
NMEF Funding Series 2021-A A2 0.81% 12/15/27
  565,000 565,045
 
LVIP JPMorgan Retirement Income Fund–8

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
NON-AGENCY ASSET-BACKED SECURITIES (continued)
Octane Receivables Trust Series 2021-1A A 0.93% 3/22/27
  148,482 $    148,546
Santander Drive Auto Receivables Trust Series 2020-4 C 1.01% 1/15/26
  420,000     422,714
Tesla Auto Lease Trust Series 2021-B A4 0.63% 9/22/25
  175,000     174,496
•Towd Point Mortgage Trust
Series 2015-6 A1B 2.75% 4/25/55
  6,877       6,892
Series 2016-1 A1B 2.75% 2/25/55
  809         808
Series 2016-2 A1 3.00% 8/25/55
  10,370      10,428
Series 2016-3 A1 2.25% 4/25/56
  6,738       6,753
Westgate Resorts
Series 2018-1A A 3.38% 12/20/31
  65,744 66,327
Series 2018-1A B 3.58% 12/20/31
  85,036 85,973
Westlake Automobile Receivables Trust Series 2020-3A B 0.78% 11/17/25
  465,000 467,077
Total Non-Agency Asset-Backed Securities

(Cost $3,583,820)
3,587,300
NON-AGENCY COLLATERALIZED MORTGAGE
OBLIGATIONS–0.25%
•JP Morgan Mortgage Trust
Series 2014-2 B1 3.42% 6/25/29
  30,232 31,601
Series 2014-2 B2 3.42% 6/25/29
  30,232 31,326
Series 2015-4 B1 3.58% 6/25/45
  67,201 69,453
Series 2015-4 B2 3.58% 6/25/45
  67,201 69,132
Series 2015-6 B1 3.53% 10/25/45
  63,330 65,155
Series 2015-6 B2 3.53% 10/25/45
  63,330 64,911
Series 2016-4 B1 3.82% 10/25/46
  81,460 83,910
Series 2016-4 B2 3.82% 10/25/46
  87,362 89,696
•JPMorgan Mortgage Trust Series 2014-IVR6 2A4 2.00% 7/25/44
  48,688 48,662
•New Residential Mortgage Loan Trust Series 2016-4A A1 3.75% 11/25/56
  34,364 36,879
Total Non-Agency Collateralized Mortgage Obligations

(Cost $567,624)
590,725
    Principal
Amount° 		Value
(U.S. $)
NON-AGENCY COMMERCIAL MORTGAGE-BACKED
SECURITIES–3.27%
•20 Times Square Trust

Series 2018-20TS A 3.20% 5/15/35
  388,000 $    396,248
CD Mortgage Trust
Series 2016-CD2 A3 3.25% 11/10/49
  200,000     211,984
•Series 2016-CD2 A4 3.53% 11/10/49
  105,000     114,892
CFCRE Commercial Mortgage Trust

Series 2016-C7 A3 3.84% 12/10/54
  90,000      99,194
Citigroup Commercial Mortgage Trust
Series 2014-GC25 A4 3.64% 10/10/47
  195,000     209,669
Series 2015-GC27 A5 3.14% 2/10/48
  215,000     228,232
Series 2016-P3 A4 3.33% 4/15/49
  145,000 156,206
Series 2016-P5 A4 2.94% 10/10/49
  130,000 138,405
COMM Mortgage Trust
Series 2013-CR6 AM 3.15% 3/10/46
  180,000 184,043
Series 2013-WWP A2 3.42% 3/10/31
  100,000 103,431
Series 2014-CR19 A5 3.80% 8/10/47
  100,000 107,586
Series 2014-CR20 AM 3.94% 11/10/47
  340,000 362,240
Series 2015-3BP A 3.18% 2/10/35
  400,000 422,515
Series 2015-CR23 A4 3.50% 5/10/48
  135,000 145,798
DB-JPM Mortgage Trust
Series 2016-C1 A4 3.28% 5/10/49
  250,000 267,492
Series 2016-C3 A5 2.89% 8/10/49
  160,000 169,901
GS Mortgage Securities Trust
Series 2015-GC32 A4 3.76% 7/10/48
  105,000 114,515
Series 2017-GS5 A4 3.67% 3/10/50
  210,000 231,712
Houston Galleria Mall Trust

Series 2015-HGLR A1A2 3.09% 3/5/37
  160,000 165,462
JPM-BB Commercial Mortgage Securities Trust
Series 2015-C32 A5 3.60% 11/15/48
  225,000 241,483
Series 2015-C33 A4 3.77% 12/15/48
  340,000 373,570
JPM-DB Commercial Mortgage Securities Trust

Series 2016-C2 A4 3.14% 6/15/49
  275,000 292,300
 
LVIP JPMorgan Retirement Income Fund–9

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
    Principal
Amount° 		Value
(U.S. $)
NON-AGENCY COMMERCIAL MORTGAGE-BACKED
SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2013-LC11 B 3.50% 4/15/46
  130,000 $    132,196
Series 2015-JP1 A5 3.91% 1/15/49
  130,000     143,360
Series 2016-JP2 A4 2.82% 8/15/49
  310,000     328,154
Series 2016-JP2 AS 3.06% 8/15/49
  210,000     218,433
•Series 2016-JP3 B 3.40% 8/15/49
  60,000      62,769
Series 2016-WIKI A 2.80% 10/5/31
  75,000      75,008
Series 2016-WIKI B 3.20% 10/5/31
  115,000     114,944
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C17 A5 3.74% 8/15/47
  135,000 144,441
Series 2015-C23 A4 3.72% 7/15/50
  440,000 476,457
Series 2015-C26 A5 3.53% 10/15/48
  140,000 152,015
Series 2016-C29 A4 3.33% 5/15/49
  130,000 139,097
Wells Fargo Commercial Mortgage Trust
Series 2015-NXS3 A4 3.62% 9/15/57
  250,000 271,991
Series 2016-BNK1 A3 2.65% 8/15/49
  205,000 215,553
*•Series 2017-RB1 XA 1.40% 3/15/50
  1,370,022 76,136
WF -RBS Commercial Mortgage Trust
Series 2012-C10 A3 2.88% 12/15/45
  130,000 132,534
Series 2013-C12 A4 3.20% 3/15/48
  251,308 258,233
Total Non-Agency Commercial Mortgage-Backed Securities

(Cost $7,413,217)
7,678,199
    Principal
Amount° 		Value
(U.S. $)
U.S. TREASURY OBLIGATIONS–9.22%
U.S. Treasury Bonds
1.13% 5/15/40
  550,000 $    475,385
1.63% 11/15/50
  615,000     552,515
2.00% 2/15/50
  495,000     486,299
2.25% 8/15/46
  1,075,000   1,110,231
2.50% 5/15/46
  1,115,000   1,206,508
2.75% 11/15/42
  785,000     882,726
2.88% 8/15/45
  1,240,000   1,429,778
3.88% 8/15/40
  285,000 373,706
≠^U.S. Treasury Coupon Strip 0.00% 2/15/33
  1,545,000 1,261,380
U.S. Treasury Notes
∞1.38% 1/31/22
  1,032,300 1,036,840
1.50% 3/31/23
  2,100,000 2,141,262
1.63% 11/15/22
  2,000,000 2,033,750
1.63% 5/15/26
  1,315,000 1,356,197
1.75% 3/31/22
  1,500,000 1,512,656
2.00% 11/15/21
  440,000 441,045
2.00% 8/15/25
  1,175,000 1,230,354
2.75% 5/31/23
  52,000 54,184
2.88% 11/30/23
  1,655,000 1,745,831
2.88% 5/31/25
  148,000 159,603
2.88% 5/15/28
  750,000 827,197
3.13% 11/15/28
  1,200,000 1,348,219
Total U.S. Treasury Obligations

(Cost $20,899,354)
21,665,666
    
 
TOTAL INVESTMENTS–97.67% (Cost $203,821,429)
229,565,383
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–2.33%
5,485,778
NET ASSETS APPLICABLE TO 17,346,116 SHARES OUTSTANDING–100.00%
$235,051,161
    
✧ Class R-6 shares.
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.
• 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.
LVIP JPMorgan Retirement Income Fund–10

 

LVIP JPMorgan Retirement Income Fund
Schedule of Investments (continued)
* Interest only security. An interest only security is the interest only portion of a fixed income security which is sold separately from the principal portion of the security.
♦ 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.
μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2021. Rate will reset at a future date.
≠ The rate shown is the effective yield at the time of purchase.
^ Zero coupon security.
∞ Fully or partially pledged as collateral for futures contracts.
    
The following futures contracts were outstanding at September 30, 2021:
Futures Contracts
Contracts to Buy (Sell)   Notional
Amount 		  Notional
Cost (Proceeds) 		  Expiration
Date 		  Value/
Unrealized
Appreciation1 		  Value/
Unrealized
Depreciation1
Interest Rate Contract:
20 U.S. Treasury 10 yr Notes   $2,632,187   $2,660,276   12/21/21   $—   $(28,089)
Equity Contracts:
61 E-mini MSCI EAFE Index   6,914,350   7,225,911   12/17/21   —   (311,561)
11 E-mini S&P 500 Index   2,363,763   2,363,460   12/17/21   303   —
26 Euro STOXX 50 Index   1,219,140   1,252,104   12/17/21   —   (32,964)
6 FTSE 100 Index   571,850   569,102   12/17/21   2,748   —
    3,051   (344,525)
Total Futures Contracts   $3,051   $(372,614)
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, 2021.
    
Summary of Abbreviations:
ARM–Adjustable Rate Mortgage
BB–Barclays Bank
DB–Deutsche Bank
EAFE–Europe Australasia Far East
ETF–Exchange-Traded Fund
FREMF–Freddie Mac Multifamily
FTSE–Financial Times Stock Exchange
GNMA–Government National Mortgage Association
GS–Goldman Sachs
HSBC–Hong Kong and Shanghai Banking Corporation
JPM–JPMorgan
JPM-DB–JPMorgan Deutsche Bank
LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month
LIBOR12M–Intercontinental Exchange London Interbank Offered Rate USD 12 Month
LNG–Liquefied Natural Gas
MSCI–Morgan Stanley Capital International
RBS–Royal Bank of Scotland
REIT–Real Estate Investment Trust
REMICs–Real Estate Mortgage Investment Conduits
S&P–Standard & Poor’s
S.F.–Single Family
USD–United States Dollar
WF–Wells Fargo
yr–Year
See accompanying notes.
LVIP JPMorgan Retirement Income Fund–11

 

LVIP JPMorgan Retirement Income Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP JPMorgan Retirement Income 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–The Fund operates under a fund of funds structure and invests a substantial portion of its assets in open-end investment companies, including exchange-traded funds (“ETFs”), advised by J.P. Morgan or other unaffiliated managers (collectively, the “Underlying Funds”). The Underlying Funds invest in U.S. and foreign stocks, bonds and money market instruments. In addition to investment company investments, the Fund may also invest in individual securities. Equity securities and Exchange-Traded Funds (“ETFs”), 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 and ETFs traded on the 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 or ETF 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.   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.   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. 
 Financial statements for the Underlying Funds can be found at www.sec.gov.
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 JPMorgan Retirement Income Fund–12

 

LVIP JPMorgan Retirement Income 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:
             
Investment Companies
$139,051,380   $—   $—   $139,051,380
Agency Collateralized Mortgage Obligations
—   10,827,333   —   10,827,333
Agency Commercial Mortgage-Backed Securities
—   4,419,167   —   4,419,167
Agency Mortgage-Backed Securities
—   8,671,765   —   8,671,765
Corporate Bonds
—   31,238,034   —   31,238,034
Non-Agency Asset-Backed Securities
—   3,587,300   —   3,587,300
Non-Agency Collateralized Mortgage Obligations
—   590,725   —   590,725
Non-Agency Commercial Mortgage-Backed Securities
—   7,678,199   —   7,678,199
U.S. Treasury Obligations
—   21,665,666   —   21,665,666
Money Market Fund
1,835,814   —   —   1,835,814
Total Investments
$140,887,194   $88,678,189   $—   $229,565,383
Derivatives:              
    
Assets:
             
Futures Contracts
$3,051   $—   $—   $3,051
Liabilities:
             
Futures Contracts
$(372,614)   $—   $—   $(372,614)
There were no Level 3 investments at the beginning or end of the period.
LVIP JPMorgan Retirement Income Fund–13