0001752724-21-250585.txt : 20211123 0001752724-21-250585.hdr.sgml : 20211123 20211123084643 ACCESSION NUMBER: 0001752724-21-250585 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210930 FILED AS OF DATE: 20211123 PERIOD START: 20211231 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: 211434851 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 S000073099 Lincoln Nasdaq-100 Buffer Fund Sep C000229902 Service C000229903 Standard NPORT-P 1 primary_doc.xml NPORT-P false 0000914036 XXXXXXXX S000073099 C000229903 C000229902 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST 811-08090 0000914036 3EICVM5HD7FVBIM8WO57 1301 S. Harrison Street FORT WAYNE 46802 260-455-2000 Lincoln Nasdaq-100 Buffer Fund Sep S000073099 549300KKTW27E1GHJT95 2021-12-31 2021-09-30 N 2601114.08 389646.84 2211467.24 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 E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 2QQQ 220916P00373840 000000000 60.00000000 NC USD 244688.15000000 11.06451615353 N/A DE US N 2 E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 Put Purchased Invesco QQQ Trust Series 1 Invesco QQQ Trust Series 1 100.00000000 373.84000000 USD 2022-09-16 XXXX 38734.97000000 N N N E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 2QQQ 220916C00011210 000000000 30.00000000 NC USD 1034593.52000000 46.78312666300 N/A DE US N 2 E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 Call Purchased Invesco QQQ Trust Series 1 Invesco QQQ Trust Series 1 100.00000000 11.21000000 USD 2022-09-16 XXXX -46893.07000000 N N N State Street Global Advisors 549300BZ5TGIFZUZDZ37 State Street Institutional US Government Money Market Fund 857492706 51400.30000000 NS USD 51400.30000000 2.324262330017 Long STIV RF US N 1 N N N LVIP SSGA Nasdaq-100 Index Fund 5493002XTPO5R3VNLI81 LVIP SSGA Nasdaq-100 Index Fund 53500Q569 99647.77800000 NS USD 1070117.49000000 48.38947964700 Long EC RF US N 1 N N N E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 2QQQ 220916C00420110 000000000 -60.00000000 NC USD -50946.42000000 -2.30373839948 N/A DE US N 2 E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 Call Written Invesco QQQ Trust Series 1 Invesco QQQ Trust Series 1 100.00000000 420.11000000 USD 2022-09-16 XXXX 26840.00000000 N N N E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 2QQQ 220916P00328970 000000000 -60.00000000 NC USD -137739.16000000 -6.22840607849 N/A DE US N 2 E D & F Man Capital Markets Inc. 5493006BWPDUCYG6EQ34 Put Written Invesco QQQ Trust Series 1 Invesco QQQ Trust Series 1 100.00000000 328.97000000 USD 2022-09-16 XXXX -22332.93000000 N N N 2021-10-27 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST William Flory William Flory VP XXXX NPORT-EX 2 NPORT_LFC2_63278247_0921.htm
Lincoln Nasdaq-100 Buffer Fund Sep
Schedule of Investments
September 30, 2021 (unaudited)
    Number of
Shares 		Value
(U.S. $)
AFFILIATED INVESTMENT–48.39%
INVESTMENT COMPANY–48.39%
Equity Fund–48.39%
✧✧Lincoln Variable Insurance Products Trust–

LVIP SSGA Nasdaq-100 Index Fund
  99,648 $1,070,117
Total Affiliated Investment

(Cost $1,116,852)
    1,070,117
UNAFFILIATED INVESTMENTS–60.17%
INVESTMENT COMPANY–2.32%
Money Market Fund–2.32%
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%)
  51,400    51,400
Total Investment Company

(Cost $51,400)
    51,400
    
    Number of
Contracts 		Value
(U.S. $)
UNAFFILIATED INVESTMENTS (continued)OPTIONS PURCHASED–57.85%
CENTRALLY CLEARED–57.85%
Call Options–46.78%
NASDAQ 100 Strike price $11.21, expiration date 9/16/22, notional amount $33,630
  30 $1,034,594
Put Options–11.07%
NASDAQ 100 Strike price $373.84, expiration date 9/16/22, notional amount $2,243,040
  60   244,688
Total Options Purchased

(Cost $1,287,440)
    1,279,282
Total Unaffiliated Investments

(Cost $1,338,840)
    1,330,682
    
TOTAL INVESTMENTS–108.56% (Cost $2,455,692)
2,400,799
    
    Number of
Contracts 		Value
(U.S. $)
OPTIONS WRITTEN–(8.53)%
CENTRALLY CLEARED–(8.53)%
Call Options–(2.30)%
NASDAQ 100 Strike price $420.11, expiration date 9/16/22, notional amount $(2,520,660)
  (60) (50,946)
Put Options–(6.23)%
NASDAQ 100 Strike price $328.97, expiration date 9/16/22, notional amount $(1,973,820)
  (60) (137,739)
Total Options Written

(Premiums received $(193,193))
    (188,685)
LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.03%)
(647)
NET ASSETS APPLICABLE TO 226,266 SHARES OUTSTANDING–100.00%
$2,211,467
    
✧✧ Standard Class shares.
See accompanying notes.
Lincoln Nasdaq-100 Buffer Fund Sep–1

 

Lincoln Nasdaq-100 Buffer Fund Sep
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–Lincoln Nasdaq-100 Buffer Fund Sep (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 other open-end investment companies, primarily the LVIP SSGA Nasdaq-100 Index Fund (collectively, the “Underlying Funds”). 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 New York Stock Exchange (“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.   FLexible EXchange® Options (“FLEX Options”) are valued based on the transaction prices executed by the Funds’ sub-adviser, except on days in which the sub-adviser does not trade FLEX Options; on the days the sub-adviser does not trade FLEX Options, FLEX Options are valued using evaluated prices obtained from an approved pricing vendor.
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 Company
$1,070,117   $—   $—   $1,070,117
Unaffiliated Investment Company
51,400   —   —   51,400
Options Purchased
—   1,279,282   —   1,279,282
Total Investments
$1,121,517   $1,279,282   $—   $2,400,799
Derivatives:              
Liabilities:
             
Options Written
$—   $(188,685)   $—   $(188,685)
There were no Level 3 investments at the beginning or end of the period.
Lincoln Nasdaq-100 Buffer Fund Sep–2

 

Lincoln Nasdaq-100 Buffer Fund Sep
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 September 17, 2021* through September 30, 2021, were as follows:
  Value
9/17/21* 		  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 COMPANY-48.39%@                                    
Equity Fund-48.39%@                                    
✧✧LVIP SSGA Nasdaq-100 Index Fund
$—   $1,116,852   $—   $—   $(46,735)   $1,070,117   99,648   $—   $—  
    
* Date of commencement of operations.
@ As a percentage of Net Assets as of September 30, 2021.
✧✧ Standard Class shares.
Lincoln Nasdaq-100 Buffer Fund Sep–3