NPORT-EX 2 NPORT_LNGC_92847758_0921.htm
LVIP SSGA Global Tactical Allocation Managed Volatility Fund
Schedule of Investments
September 30, 2021 (unaudited)
    Number of
Shares 		Value
(U.S. $)
AFFILIATED INVESTMENTS–35.23%
INVESTMENT COMPANIES–35.23%
Equity Funds–16.19%
✧✧Lincoln Variable Insurance Products Trust-  
LVIP SSGA Large Cap 100 Fund
  6,373,667 $ 98,868,324
LVIP SSGA S&P 500 Index Fund
  147,821   4,064,644
LVIP SSGA Small-Cap Index Fund
  412,920  16,462,720
LVIP SSGA Small-Mid Cap 200 Fund
  998,151  16,662,139
      136,057,827
Fixed Income Fund–8.30%
✧✧Lincoln Variable Insurance Products Trust–

LVIP SSGA Bond Index Fund
  5,908,350 69,694,893
      69,694,893
International Equity Funds–10.74%
✧✧Lincoln Variable Insurance Products Trust-  
LVIP SSGA Developed International 150 Fund
  8,519,145 73,784,315
LVIP SSGA Emerging Markets 100 Fund
  1,346,156 12,415,591
LVIP SSGA International Index Fund
  361,963 4,036,615
      90,236,521
Total Affiliated Investments

(Cost $224,697,528)
    295,989,241
    
       
UNAFFILIATED INVESTMENTS–64.69%
INVESTMENT COMPANIES–64.69%
Equity Funds–23.04%
Communication Services Select Sector SPDR Fund
  204,579  16,388,824
Consumer Staples Select Sector SPDR® Fund
  117,032   8,056,483
Materials Select Sector SPDR® Fund
  101,438   8,024,760
SPDR® Portfolio S&P 600 Small Cap ETF
  1,249,069  53,210,339
    Number of
Shares 		Value
(U.S. $)
UNAFFILIATED INVESTMENTS (continued)
INVESTMENT COMPANIES (continued)
Equity Funds (continued)
SPDR® S&P 500 ETF Trust
  214,554 $ 92,073,704
Technology Select Sector SPDR® Fund
  105,845  15,804,775
      193,558,885
Fixed Income Funds–23.87%
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
  601,856  12,669,069
SPDR® Portfolio Aggregate Bond ETF
  1,790,174  53,436,694
SPDR® Portfolio Long Term Corporate Bond ETF
  897,746 28,153,315
SPDR® Portfolio Long Term Treasury ETF
  583,996 24,113,195
SPDR® Portfolio TIPS ETF
  2,643,663 82,217,919
      200,590,192
International Equity Funds–12.42%
SPDR® Portfolio Developed World ex-US ETF
  1,539,779 55,755,398
SPDR® Portfolio Emerging Markets ETF
  862,640 36,688,079
Vanguard FTSE European ETF
  181,096 11,881,708
      104,325,185
Money Market Fund–5.36%
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%)
  45,068,937 45,068,937
      45,068,937
Total Unaffiliated Investments

(Cost $458,959,596)
    543,543,199
    
TOTAL INVESTMENTS–99.92% (Cost $683,657,124)
839,532,440
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.08%
695,868
NET ASSETS APPLICABLE TO 64,605,253 SHARES OUTSTANDING–100.00%
$840,228,308
    
✧✧ Standard Class shares.
LVIP SSGA Global Tactical Allocation Managed Volatility Fund–1

 

LVIP SSGA Global Tactical Allocation Managed Volatility Fund
Schedule of Investments (continued)
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
Currency Contracts:
14 British Pound   $1,179,063   $1,203,687   12/13/21   $—   $(24,624)
13 Euro   1,885,000   1,923,368   12/13/21   —   (38,368)
12 Japanese Yen   1,347,150   1,361,432   12/13/21   —   (14,282)
    —   (77,274)
Equity Contracts:
34 E-mini MSCI Emerging Markets Index   2,117,520   2,218,526   12/17/21   —   (101,006)
22 E-mini Russell 2000 Index   2,420,880   2,498,094   12/17/21   —   (77,214)
39 E-mini S&P 500 Index   8,380,612   8,788,601   12/17/21   —   (407,989)
40 Euro STOXX 50 Index   1,875,600   1,921,119   12/17/21   —   (45,519)
12 FTSE 100 Index   1,143,700   1,127,547   12/17/21   16,153   —
5 Nikkei 225 Index (OSE)   1,323,510   1,338,805   12/9/21   —   (15,295)
    16,153   (647,023)
Total Futures Contracts   $16,153   $(724,297)
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:
ETF–Exchange-Traded Fund
FTSE–Financial Times Stock Exchange
MSCI–Morgan Stanley Capital International
OSE–Osaka Securities Exchange
S&P–Standard & Poor’s
SPDR–Standard & Poor’s Depositary Receipt
TIPS–Treasury Inflation-Protected Securities
See accompanying notes.
LVIP SSGA Global Tactical Allocation Managed Volatility Fund–2

 

LVIP SSGA Global Tactical Allocation Managed Volatility Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP SSGA Global Tactical Allocation Managed Volatility Fund (the “Fund”) is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Fund follows the accounting and reporting guidelines for investment companies. The following accounting policies are in accordance with U.S. GAAP and are consistently followed by the Fund.
Security Valuation –The Fund operates under a fund of funds structure and invests substantially all of its assets in open-end investment companies, including Exchange-Traded Funds (“ETFs”), and mutual funds that are advised by Lincoln Investment Advisors Corporation (“LIAC”) or other unaffiliated managers (collectively, the “Underlying 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 (“NYSE”) on the valuation date. ETFs traded on Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If on a particular day an ETF does not trade, then the mean between the bid and ask prices is used, which approximates fair value. The Fund values Underlying Funds that are open-end funds at their published net asset value (“NAV”), computed as of the close of regular trading on the NYSE on days when the NYSE is open. 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, 2021:
  Level 1   Level 2   Level 3   Total
Investments:              
Assets:
             
Affiliated Investment Companies
$295,989,241   $—   $—   $295,989,241
Unaffiliated Investment Companies
543,543,199   —   —   543,543,199
Total Investments
$839,532,440   $—   $—   $839,532,440
Derivatives:              
Assets:
             
Futures Contract
$16,153   $—   $—   $16,153
Liabilities:
             
Futures Contracts
$(724,297)   $—   $—   $(724,297)
There were no Level 3 investments at the beginning or end of the period.
LVIP SSGA Global Tactical Allocation Managed Volatility Fund–3

 

LVIP SSGA Global Tactical Allocation Managed Volatility 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 or ETFs). Affiliated investments of the Fund and the corresponding investment activity for the period ended September 30, 2021, were as follows:
  Value
12/31/20 		  Purchases   Sales   Net
Realized
Gain (Loss) 		  Net Change
in
Unrealized
Appreciation
(Depreciation) 		  Value
09/30/21 		  Number of
Shares
09/30/21 		  Dividends   Capital
Gain
Distributions 		 
INVESTMENT COMPANIES-35.23%@                                    
Equity Funds-16.19%@                                    
✧✧LVIP SSGA Large Cap 100 Fund
$97,787,828   $5,002,248   $22,418,202   $2,961,057   $15,535,393   $98,868,324   6,373,667   $42,248   $—  
✧✧LVIP SSGA S&P 500 Index Fund
4,107,067   57,586   703,573   478,934   124,630   4,064,644   147,821   57,586   —  
✧✧LVIP SSGA Small-Cap Index Fund
16,158,271   445,993   1,960,000   611,265   1,207,191   16,462,720   412,920   185,993   —  
✧✧LVIP SSGA Small-Mid Cap 200 Fund
16,359,656   280,000   4,070,000   1,020,186   3,072,297   16,662,139   998,151   —   —  
Fixed Income Fund-8.30%@                                    
✧✧LVIP SSGA Bond Index Fund
66,608,507   18,636,199   14,050,000   356,307   (1,856,120)   69,694,893   5,908,350   216,199   —  
International Equity Funds-10.74%@                                    
✧✧LVIP SSGA Developed International 150 Fund
73,794,801   3,070,410   12,800,000   751,972   8,967,132   73,784,315   8,519,145   180,410   —  
✧✧LVIP SSGA Emerging Markets 100 Fund
21,016,914   7,120,660   18,060,000   1,448,106   889,911   12,415,591   1,346,156   140,660   —  
✧✧LVIP SSGA International Index Fund
20,686,934   7,297   17,460,000   2,055,693   (1,253,309)   4,036,615   361,963   7,297   —  
Total
$316,519,978   $34,620,393   $91,521,775   $9,683,520   $26,687,125   $295,989,241       $830,393   $—  
    
@ As a percentage of Net Assets as of September 30, 2021.
✧✧ Standard Class shares.
LVIP SSGA Global Tactical Allocation Managed Volatility Fund–4