0001752724-21-250597.txt : 20211123 0001752724-21-250597.hdr.sgml : 20211123 20211123084653 ACCESSION NUMBER: 0001752724-21-250597 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: 211434867 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 S000036023 LVIP American Global Balanced Allocation Managed Risk Fund C000110362 Standard Class C000110363 Service Class NPORT-P 1 primary_doc.xml NPORT-P false 0000914036 XXXXXXXX S000036023 C000110363 C000110362 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST 811-08090 0000914036 3EICVM5HD7FVBIM8WO57 1301 S. Harrison Street FORT WAYNE 46802 260-455-2000 LVIP American Global Balanced Allocation Managed Risk Fund S000036023 RU0C3VX7ZK7Q21AHX956 2021-12-31 2021-09-30 N 2721412713.88 1019517436.65 1701895277.23 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 3903770.14000000 N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 AUDUSD CRNCY FUT DEC21 000000000 11.00000000 NC USD -18092.80000000 -0.00106309713 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Australian Dollar Currency Future ADZ1 Curncy 2021-12-13 813832.80000000 USD -18092.80000000 N N N Tokyo Stock Exchange N/A TOPIX INDX FUTR DEC21 000000000 13.00000000 NC -24545.76000000 -0.00144226030 N/A DE JP N 1 Tokyo Stock Exchange N/A Long TSE TOPIX (Tokyo Price Index) Future TPZ1 Index 2021-12-09 266696820.00000000 JPY -24545.76000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 EURO STOXX 50 DEC21 000000000 95.00000000 NC -114786.10000000 -0.00674460417 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex EURO STOXX 50 Future VGZ1 Index 2021-12-17 3944694.50000000 EUR -114786.10000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT DEC21 000000000 110.00000000 NC USD -1019312.27000000 -0.05989277270 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's 500 Index Future ESZ1 Index 2021-12-17 24656937.27000000 USD -1019312.27000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 SWEDISH KRONA FUT DEC21 000000000 1.00000000 NC USD -3600.80000000 -0.00021157588 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Swedish Krona Currency Future SEZ1 Curncy 2021-12-13 232140.80000000 USD -3600.80000000 N N N Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 OMXS30 IND FUTURE OCT21 000000000 13.00000000 NC -11397.13000000 -0.00066967281 N/A DE SE N 1 Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 Long OML Stockholm OMXS30 Index Future QCV1 Index 2021-10-15 3029000.00000000 SEK -11397.13000000 N N N American Mutual Fund QURFUUOMKQ61ME3JJZ05 American Mutual Fund 027681816 2939035.20400000 NS USD 146305172.46000000 8.596602529982 Long EC RF US N 1 N N N Intermediate Bond Fund of America R8LBW477MUD2IBLY9S75 Intermediate Bond Fund of America 458809811 10325579.47200000 NS USD 142492996.71000000 8.372606623711 Long EC RF US N 1 N N N American Funds Insurance Series - 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Financial Products Division N/A FTSE 100 IDX FUT DEC21 000000000 19.00000000 NC 12787.50000000 0.000751368205 N/A DE GB N 1 ICE Futures Europe - Financial Products Division N/A Long FTSE 100 Index Future Z Z1 Index 2021-12-17 1334474.50000000 GBP 12787.50000000 N N N 2021-10-27 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST William Flory William Flory VP XXXX NPORT-EX 2 NPORT_LNNC_10199787_0921.htm
LVIP American Global Balanced Allocation Managed Risk Fund
Schedule of Investments
September 30, 2021 (unaudited)
    Number of
Shares 		Value
(U.S. $)
AFFILIATED INVESTMENT–3.94%
INVESTMENT COMPANY–3.94%
Fixed Income Fund–3.94%
✢American Funds Insurance Series®–

Mortgage Fund
  6,267,022 $   66,994,461
Total Affiliated Investment

(Cost $65,931,717)
    66,994,461
    
       
UNAFFILIATED INVESTMENTS–95.98%
INVESTMENT COMPANIES–95.98%
Asset Allocation Fund–14.39%
✧American Funds®–

Capital Income Builder
  3,666,521   244,813,645
      244,813,645
Equity Funds–25.39%
✧American Funds®–

American Mutual Fund
  2,938,481   146,277,578
✢American Funds Insurance Series®-  
Growth Fund
  1,410,750   167,484,252
Growth-Income Fund
  1,888,573 118,243,531
      432,005,361
Fixed Income Funds–38.16%
✧American Funds®-  
High-Income Trust
  3,236,584 34,145,958
Intermediate Bond Fund of America
  10,334,672 142,618,480
✢American Funds Insurance Series®-  
Bond Fund
  37,978,263 430,673,507
U.S. Government/AAA-Rated Securities Fund
  3,546,416 41,812,245
      649,250,190
Global Equity Funds–4.60%
✢American Funds Insurance Series®-  
Global Growth & Income Fund
  929,991 16,302,739
    Number of
Shares 		Value
(U.S. $)
UNAFFILIATED INVESTMENTS (continued)
INVESTMENT COMPANIES (continued)
Global Equity Funds (continued)
✢American Funds Insurance Series®- (continued)  
Global Small Capitalization Fund
  1,785,745 $   62,054,650
      78,357,389
Global Fixed Income Fund–1.94%
✢American Funds Insurance Series®–

Global Bond Fund
  2,739,872    33,070,250
      33,070,250
International Equity Funds–9.08%
✧American Funds®-  
New Perspective Fund
  738,237 49,439,727
New World Fund
  446,439 41,188,446
✢American Funds Insurance Series®–

International Fund
  2,646,032 63,928,134
      154,556,307
Money Market Fund–2.42%
State Street Institutional U.S. Government Money Market Fund - Premier Class (seven-day effective yield 0.03%)
  41,132,921 41,132,921
      41,132,921
Total Unaffiliated Investments

(Cost $1,331,226,655)
    1,633,186,063
    
TOTAL INVESTMENTS–99.92% (Cost $1,397,158,372)
1,700,180,524
RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.08%
1,427,325
NET ASSETS APPLICABLE TO 130,929,727 SHARES OUTSTANDING–100.00%
$1,701,607,849
    
✢ Class 1 shares.
✧ Class R-6 shares.
LVIP American Global Balanced Allocation Managed Risk Fund–1

 

LVIP American Global Balanced Allocation Managed Risk 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:
11 Australian Dollar   $795,740   $813,833   12/13/21   $—   $(18,093)
19 British Pound   1,600,156   1,634,015   12/13/21   —   (33,859)
28 Euro   4,060,000   4,147,522   12/13/21   —   (87,522)
19 Japanese Yen   2,132,988   2,155,328   12/13/21   —   (22,340)
1 Swedish Krona   228,540   232,141   12/13/21   —   (3,601)
    —   (165,415)
Equity Contracts:
63 E-mini MSCI Emerging Markets Index   3,923,640   4,067,152   12/17/21   —   (143,512)
8 E-mini Russell 2000 Index   880,320   894,789   12/17/21   —   (14,469)
110 E-mini S&P 500 Index   23,637,625   24,656,937   12/17/21   —   (1,019,312)
15 E-mini S&P MidCap 400 Index   3,949,800   4,027,491   12/17/21   —   (77,691)
95 Euro STOXX 50 Index   4,454,550   4,569,336   12/17/21   —   (114,786)
19 FTSE 100 Index   1,810,859   1,798,071   12/17/21   12,788   —
13 OMXS 30 Index   334,600   345,997   10/15/21   —   (11,397)
6 SPI 200 Index   790,871   802,262   12/16/21   —   (11,391)
13 TOPIX Index   2,371,760   2,396,306   12/9/21   —   (24,546)
    12,788   (1,417,104)
Total Futures Contracts   $12,788   $(1,582,519)
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:
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 American Global Balanced Allocation Managed Risk Fund–2

 

LVIP American Global Balanced Allocation Managed Risk Fund
Notes
September 30, 2021 (unaudited)
1. Significant Accounting Policies
Lincoln Variable Insurance Products Trust (“LVIP” or the “Trust”)–LVIP American Global Balanced Allocation Managed Risk 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 the American Funds Insurance Series® funds and American Funds® retail funds (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.   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 Company
$66,994,461   $—   $—   $66,994,461
Unaffiliated Investment Companies
1,633,186,063   —   —   1,633,186,063
Total Investments
$1,700,180,524   $—   $—   $1,700,180,524
Derivatives:              
Assets:
             
Futures Contract
$12,788   $—   $—   $12,788
Liabilities:
             
Futures Contracts
$(1,582,519)   $—   $—   $(1,582,519)
There were no Level 3 investments at the beginning or end of the period.
LVIP American Global Balanced Allocation Managed Risk Fund–3

 

LVIP American Global Balanced 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 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 ofShares
09/30/21 		  Dividends   Capital
Gain
Distributions 		 
INVESTMENT COMPANY-3.94%@                                    
Fixed Income Fund-3.94%@                                    
✢American Funds Insurance Series® – Mortgage Fund
$65,782,598   $9,279,823   $5,503,740   $(146,292)   $(2,417,928)   $66,994,461   6,267,022   $2,367,271   $2,247,990  
    
@ As a percentage of Net Assets as of September 30, 2021.
✢ Class 1 shares.
LVIP American Global Balanced Allocation Managed Risk Fund–4