NPORT-EX 2 NPORT_D8A5_9543295217.htm
Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited)
Asset-Backed Securities — 0.4%
    
Security Principal
Amount
(000's omitted) 		Value
American Express Credit Account Master Trust, Series 2019-1, Class A, 2.87%, 10/15/24 $       300 $    307,993
Avis Budget Rental Car Funding AESOP, LLC, Series 2019-1A, Class A, 3.45%, 3/20/23(1)         300     306,775
Total Asset-Backed Securities
(identified cost $606,571) 		    $    614,768
    
Commercial Mortgage-Backed Securities — 2.2%
    
Security Principal
Amount
(000's omitted) 		Value
Citigroup Commercial Mortgage Trust:      
Series 2013-GC17, Class A4, 4.131%, 11/10/46 $       422 $    454,925
Series 2014-GC21, Class A5, 3.855%, 5/10/47   645     700,349
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45         625     644,295
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/48       1,275   1,367,057
Total Commercial Mortgage-Backed Securities
(identified cost $3,009,673) 		    $  3,166,626
    
Corporate Bonds — 27.7%
    
Security Principal
Amount
(000's omitted) 		Value
Basic Materials — 0.9%  
Barrick North America Finance, LLC, 5.75%, 5/1/43 $       100 $    132,079
Dow Chemical Co. (The), 4.375%, 11/15/42         100      113,732
DuPont de Nemours, Inc., 2.169%, 5/1/23         500      502,263
LYB International Finance BV, 5.25%, 7/15/43         100      121,935
Reliance Steel & Aluminum Co., 4.50%, 4/15/23         200      213,352
Sherwin-Williams Co. (The), 4.20%, 1/15/22         300     306,131
      $  1,389,492
Communications — 4.2%  
AT&T, Inc.:      
4.90%, 6/15/42 $ 200 $234,041
5.375%, 10/15/41   100 118,790
5.45%, 3/1/47   1,000 1,256,320
Charter Communications Operating, LLC / Charter Communications Operating Capital, 4.908%, 7/23/25   500 567,140
Comcast Corp.:      
4.00%, 3/1/48   50 55,975
4.15%, 10/15/28   100 114,516
Discovery Communications, LLC, 4.125%, 5/15/29   200 221,199
Motorola Solutions, Inc., 2.30%, 11/15/30   250 236,749
Security Principal
Amount
(000's omitted) 		Value
Communications (continued)  
NBCUniversal Media, LLC, 4.45%, 1/15/43 $       200 $    236,901
Rogers Communications, Inc., 3.625%, 12/15/25       1,000    1,092,027
T-Mobile USA, Inc., 3.50%, 4/15/25(1)         250      269,970
Verizon Communications, Inc.:      
1.68%, 10/30/30(1)         340      315,982
2.875%, 11/20/50   150      133,573
Walt Disney Co. (The), 5.40%, 10/1/43         100      133,228
WPP Finance 2010, 3.75%, 9/19/24       1,000   1,089,770
      $6,076,181
Consumer, Cyclical — 2.1%  
Cintas Corp. No. 2, 3.25%, 6/1/22 $ 350 $358,692
Ford Motor Credit Co., LLC, 5.875%, 8/2/21   200 202,940
General Motors Co., 5.00%, 4/1/35   1,000 1,153,632
Lowe's Cos., Inc., 3.875%, 9/15/23   100 107,301
McDonald's Corp., 3.60%, 7/1/30   300 327,607
Starbucks Corp., 3.75%, 12/1/47   250 256,619
VF Corp., 2.95%, 4/23/30   225 234,012
Wal-Mart Stores, Inc., 6.50%, 8/15/37   250 367,018
      $3,007,821
Consumer, Non-cyclical — 4.9%  
AbbVie, Inc.:      
2.90%, 11/6/22 $ 200 $207,470
3.20%, 11/21/29   300 319,367
Alcon Finance Corp., 3.00%, 9/23/29(1)   350 363,492
Anheuser-Busch InBev Finance, Inc.:      
4.00%, 1/17/43   100 106,489
4.625%, 2/1/44   1,000 1,143,898
Bunge, Ltd. Finance Corp., 1.63%, 8/17/25   250 250,315
CVS Health Corp., 4.30%, 3/25/28   282 320,423
CVS Pass-Through Trust, 6.036%, 12/10/28   65 76,350
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30   400 418,708
Equifax, Inc., 3.30%, 12/15/22   450 468,477
Gilead Sciences, Inc., 3.70%, 4/1/24   100 107,749
Kroger Co. (The):      
3.85%, 8/1/23   100 106,989
3.875%, 10/15/46   250 261,981
Laboratory Corporation of America Holdings, 4.00%, 11/1/23   100 107,502
Molson Coors Brewing Co., 5.00%, 5/1/42   100 115,643
Perrigo Finance Unlimited Co., 3.15%, 6/15/30   250 245,770
Pfizer, Inc., 4.40%, 5/15/44   1,000 1,190,434
STERIS Irish FinCo Unlimited Co., 3.75%, 3/15/51(2)   100 100,914
Sysco Corp., 5.95%, 4/1/30   250 312,726
Takeda Pharmaceutical Co., Ltd., 3.175%, 7/9/50   400 383,111
Tyson Foods, Inc., 3.95%, 8/15/24   100 109,285
Viatris, Inc., 2.30%, 6/22/27(1)   250 252,450
Zoetis, Inc., 4.70%, 2/1/43   100 120,833
      $7,090,376
 
1

 

Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Security Principal
Amount
(000's omitted) 		Value
Energy — 3.5%  
BP Capital Markets America, Inc., 3.633%, 4/6/30 $       200 $    219,476
CNOOC Curtis Funding No. 1 Pty., Ltd., 4.50%, 10/3/23(1)         100      108,344
Colonial Pipeline Co., 6.58%, 8/28/32(1)         100      123,640
HollyFrontier Corp., 5.875%, 4/1/26       1,000    1,134,204
Shell International Finance BV:      
2.25%, 1/6/23         200      206,844
4.125%, 5/11/35   1,350    1,537,438
4.55%, 8/12/43   100      119,107
Texas Eastern Transmission, L.P., 2.80%, 10/15/22(1)   400 410,172
TransCanada PipeLines, Ltd., 4.875%, 1/15/26   1,000 1,150,311
TransContinental Gas Pipe Line Co., LLC, 4.45%, 8/1/42   100 109,460
      $5,118,996
Financial — 6.2%  
American International Group, Inc., 4.875%, 6/1/22 $ 250 $262,579
Bank of America Corp.:      
2.592% to 4/29/30, 4/29/31(3)   500 499,558
4.125%, 1/22/24   300 328,073
Berkshire Hathaway Finance Corp., 4.30%, 5/15/43   1,000 1,181,006
Boston Properties, L.P., 3.85%, 2/1/23   100 105,122
Capital One Bank, 3.375%, 2/15/23   200 210,174
Citigroup, Inc.:      
4.075% to 4/23/28, 4/23/29(3)   500 556,594
5.50%, 9/13/25   80 92,819
Discover Financial Services, 3.85%, 11/21/22   200 210,266
ERP Operating, L.P., 4.625%, 12/15/21   100 101,868
Excalibur One 77B, LLC, 1.492%, 1/1/25   15 14,927
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24   500 545,003
HSBC Holdings PLC, 2.848% to 6/4/30, 6/4/31(3)   400 400,519
JPMorgan Chase & Co.:      
3.109% to 4/22/50, 4/22/51(3)   300 294,365
3.375%, 5/1/23   700 741,136
MetLife, Inc., 4.875%, 11/13/43   100 125,808
Morgan Stanley:      
4.10%, 5/22/23(4)   500 534,830
5.00%, 11/24/25(4)   150 172,573
PNC Bank N.A., 2.70%, 10/22/29   250 255,910
Prudential Financial, Inc., 5.10%, 8/15/43   1,000 1,140,459
Simon Property Group, L.P., 2.65%, 7/15/30   150 150,536
US Bancorp, 3.10%, 4/27/26   250 268,613
Wells Fargo & Co.:      
2.625%, 7/22/22   400 411,788
3.196% to 6/17/26, 6/17/27(3)   250 268,148
Westpac Banking Corp., 3.35%, 3/8/27   200 219,713
      $9,092,387
Industrial — 2.3%  
BNSF Funding Trust I, 6.613% to 1/15/26, 12/15/55(3) $ 540 $620,086
Carrier Global Corp., 3.577%, 4/5/50   375 368,907
Security Principal
Amount
(000's omitted) 		Value
Industrial (continued)  
Cummins, Inc., 4.875%, 10/1/43 $       100 $    126,222
Deere & Co., 6.55%, 10/1/28         250      319,497
General Electric Co., 3.45%, 5/1/27         250      271,707
Lennox International, Inc., 1.70%, 8/1/27         300      295,376
Parker-Hannifin Corp., 3.25%, 3/1/27         200      218,046
Raytheon Technologies, Corp., 4.50%, 6/1/42         100      119,506
Roper Technologies, Inc., 2.95%, 9/15/29         250      260,632
The Boeing Co.:      
3.20%, 3/1/29   150 152,061
4.875%, 5/1/25   100 111,426
5.15%, 5/1/30   100 115,299
United Parcel Service, Inc., 6.20%, 1/15/38   250 351,753
      $3,330,518
Technology — 2.2%  
Apple, Inc., 3.85%, 5/4/43 $ 1,100 $1,246,013
Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.875%, 1/15/27   500 543,224
Broadcom, Inc., 3.419%, 4/15/33(1)   200 201,555
Dell International, LLC / EMC Corp., 5.30%, 10/1/29(1)   250 292,640
International Business Machines Corp., 3.625%, 2/12/24   100 109,051
Lam Research Corp., 3.75%, 3/15/26   325 360,467
NetApp, Inc., 3.25%, 12/15/22   100 103,759
Oracle Corp., 3.60%, 4/1/50   400 388,119
      $3,244,828
Utilities — 1.4%  
DTE Electric Co., 2.25%, 3/1/30 $ 300 $299,555
Duke Energy Corp., 3.15%, 8/15/27   500 533,371
PacifiCorp, 4.10%, 2/1/42   100 111,284
Public Service Electric & Gas Co., 3.95%, 5/1/42   1,000 1,116,350
      $2,060,560
Total Corporate Bonds
(identified cost $37,256,270) 		    $40,411,159
    
Sovereign Government Bonds — 0.7%
    
Security Principal
Amount
(000's omitted) 		Value
Mexico Government International Bond, 5.55%, 1/21/45(5) $       500 $    578,665
Province of Ontario Canada, 2.45%, 6/29/22         400     410,888
Province of Quebec Canada, 2.625%, 2/13/23          75      78,289
Total Sovereign Government Bonds
(identified cost $972,366) 		    $  1,067,842
    
 
2

 

Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Taxable Municipal Obligations — 0.8%
    
Security Principal
Amount
(000's omitted) 		Value
General Obligations — 0.8%  
New York, NY, 3.60%, 8/1/28 $     1,000 $  1,074,530
Total Taxable Municipal Obligations
(identified cost $992,584) 		    $  1,074,530
    
U.S. Government Agencies and Instrumentalities — 3.9%
    
Security Principal
Amount
(000's omitted) 		Value
Federal Home Loan Mortgage Corp.:      
0.25%, 8/24/23 $     1,000 $  1,000,467
6.75%, 3/15/31       1,300   1,886,044
Federal National Mortgage Association:      
0.50%, 4/14/25       1,000     992,529
0.75%, 10/8/27         350     337,235
0.875%, 8/5/30         850     786,624
2.00%, 1/5/22         400     405,966
2.125%, 4/24/26         300     317,374
Total U.S. Government Agencies and Instrumentalities
(identified cost $5,535,143) 		    $5,726,239
    
U.S. Government Agency Mortgage-Backed Securities — 26.4%
    
Security Principal
Amount
(000's omitted) 		Value
Federal Home Loan Mortgage Corp.:      
2.00%, with various maturities to 2050 $     3,572 $  3,607,812
2.50%, with various maturities to 2050   2,641   2,742,677
3.00%, with maturity at 1/1/43   541     574,607
3.50%, with various maturities to 2048   871     937,008
4.00%, with various maturities to 2048   608     658,015
4.50%, with various maturities to 2044   947   1,060,082
5.00%, with various maturities to 2040   687     782,417
6.00%, with various maturities to 2040   56      65,677
6.50%, with maturity at 10/1/37   14 15,900
Federal National Mortgage Association:      
1.50%, with maturity at 9/1/35   850 854,647
2.00%, with various maturities to 2051   4,600 4,665,128
2.253%, (12 mo. USD LIBOR + 1.723%), with maturity at 9/1/38(6)   150 156,492
2.50%, with various maturities to 2050   3,584 3,709,736
3.00%, with various maturities to 2049   4,668 4,944,877
3.50%, with various maturities to 2049   4,375 4,711,032
Security Principal
Amount
(000's omitted) 		Value
Federal National Mortgage Association: (continued)      
4.00%, with various maturities to 2047 $ 2,334 $  2,555,014
4.50%, with various maturities to 2044   1,439   1,610,838
5.00%, with various maturities to 2034   77      87,359
5.50%, with various maturities to 2038   309     356,292
6.00%, with various maturities to 2038   291     344,190
6.50%, with various maturities to 2036   64      74,607
Government National Mortgage Association:      
2.50%, with various maturities to 2051       2,221   2,294,616
4.00%, with various maturities to 2042   832 913,477
4.50%, with maturity at 7/20/33   79 87,308
5.00%, with various maturities to 2039   346 394,084
5.50%, with maturity at 7/20/34   42 47,597
6.00%, with various maturities to 2038   231 270,576
Total U.S. Government Agency Mortgage-Backed Securities
(identified cost $37,589,332) 		  $38,522,065
    
U.S. Treasury Obligations — 36.1%
    
Security Principal
Amount
(000's omitted) 		Value
U.S. Treasury Bonds:      
1.125%, 8/15/40 $       750 $    610,137
1.375%, 8/15/50   1,000     780,625
1.875%, 2/15/51   150     133,148
2.25%, 8/15/49   650     628,786
2.50%, 2/15/45   1,000   1,021,289
3.00%, 5/15/47   1,000   1,119,727
3.125%, 11/15/41   1,000   1,139,609
3.125%, 8/15/44   1,600   1,821,437
3.125%, 5/15/48   750 860,391
3.75%, 11/15/43   1,045 1,307,515
3.875%, 8/15/40   500 630,645
4.375%, 5/15/41   700 943,359
6.25%, 8/15/23   1,000 1,143,242
8.00%, 11/15/21   1,000 1,049,362
8.125%, 5/15/21   1,000 1,009,800
U.S. Treasury Notes:      
0.125%, 2/28/23   950 949,480
0.125%, 8/15/23   1,500 1,496,748
0.375%, 4/30/25   800 790,141
0.375%, 11/30/25   2,000 1,956,641
0.375%, 1/31/26   1,500 1,462,969
0.375%, 7/31/27   300 283,447
0.50%, 8/31/27   750 713,042
0.625%, 5/15/30   300 273,070
 
3

 

Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Security Principal
Amount
(000's omitted) 		Value
U.S. Treasury Notes: (continued)      
0.625%, 8/15/30 $ 1,000 $    906,406
0.875%, 11/15/30(5)   250     231,250
1.125%, 2/29/28   500     491,328
1.50%, 2/15/30   1,400   1,383,102
1.625%, 11/15/22   2,500   2,560,352
1.75%, 5/15/22   1,600   1,629,625
1.875%, 7/31/22   1,250   1,279,492
1.875%, 7/31/26   1,100   1,149,221
2.00%, 2/15/22   2,000 2,033,927
2.00%, 2/15/25   1,500 1,580,303
2.125%, 9/30/24   2,750 2,905,493
2.25%, 11/15/24   2,000 2,123,008
2.25%, 3/31/26   1,000 1,064,824
2.25%, 2/15/27   2,100 2,230,963
2.25%, 11/15/27   1,750 1,852,915
2.625%, 6/30/23   600 632,801
2.625%, 2/15/29   1,000 1,081,895
2.75%, 11/15/23   1,000 1,065,215
2.75%, 2/15/24   3,000 3,209,238
3.125%, 11/15/28   950 1,062,645
Total U.S. Treasury Obligations
(identified cost $50,283,214) 		    $52,598,613
    
Short-Term Investments — 1.0%      
Other — 0.9%
Description Units Value
Calvert Cash Reserves Fund, LLC, 0.07%(7)   1,288,338 $  1,288,467
Total Other
(identified cost $1,288,467) 		    $  1,288,467
Securities Lending Collateral — 0.1%
Security Shares Value
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(8)     232,138 $    232,138
Total Securities Lending Collateral
(identified cost $232,138) 		    $    232,138
Total Short-Term Investments
(identified cost $1,520,605) 		    $  1,520,605
Total Investments — 99.2%
(identified cost $137,765,758) 		    $144,702,447
Other Assets, Less Liabilities — 0.8%     $  1,170,382
Net Assets — 100.0%     $145,872,829
    
The percentage shown for each investment category in the Schedule of Investments is based on net assets.
(1) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At March 31, 2021, the aggregate value of these securities is $2,645,020 or 1.8% of the Fund's net assets.
(2) When-issued security.
(3) Security converts to variable rate after the indicated fixed-rate coupon period.
(4) Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021.
(5) All or a portion of this security was on loan at March 31, 2021. The aggregate market value of securities on loan at March 31, 2021 was $799,503 and the total market value of the collateral received by the Fund was $820,849, comprised of cash of $232,138 and U.S. government and/or agencies securities of $588,711.
(6) Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at March 31, 2021.
(7) Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of
March 31, 2021.
 
4

 

Calvert
VP Investment Grade Bond Index Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
(8) Represents investment of cash collateral received in connection with securities lending.
    
Abbreviations: 
LIBOR – London Interbank Offered Rate
    
Currency Abbreviations: 
USD – United States Dollar
 
The Fund did not have any open derivative instruments at March 31, 2021.
The Fund invested in issuers that may be deemed to be affiliated with Morgan Stanley. At March 31, 2021, the value of the Fund's investment in affiliated issuers and funds was $1,995,870, which represents 1.4% of the Fund's net assets. Transactions in affiliated issuers and funds by the Fund for the fiscal year to date ended March 31, 2021 were as follows:
Name Value,
beginning
of period 		Purchases Sales
proceeds 		Net
realized
gain
(loss) 		Change in
unrealized
appreciation
(depreciation) 		Value,
end of
period 		Interest/
Dividend
income 		Principal
amount/Units,
end of period
Corporate Bonds                
Morgan Stanley, 4.10%, 5/22/23(1) $ — $ — $ — $ — $(3,415) $  534,830 $1,708 $    500,000
Morgan Stanley, 5.00%, 11/24/25(1)  —  —  —  — (2,680)   172,573   625      150,000
Short-Term Investments                
Calvert Cash Reserves Fund, LLC 1,886,432 7,588,704 (8,186,669)  —  — 1,288,467   430 1,288,338
Totals       $ — $(6,095) $1,995,870 $2,763  
    
(1) May be deemed to be an affiliated issuer as of March 1, 2021.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund's holdings as of March 31, 2021, based on the inputs used to value them:
Asset Description Level 1 Level 2 Level 3 Total
Asset-Backed Securities $ — $614,768 $ — $614,768
Commercial Mortgage-Backed Securities  — 3,166,626  — 3,166,626
Corporate Bonds  — 40,411,159  — 40,411,159
Sovereign Government Bonds  — 1,067,842  — 1,067,842
Taxable Municipal Obligations  — 1,074,530  — 1,074,530
U.S. Government Agencies and Instrumentalities  — 5,726,239  — 5,726,239
U.S. Government Agency Mortgage-Backed Securities  — 38,522,065  — 38,522,065
U.S. Treasury Obligations  — 52,598,613  — 52,598,613
Short-Term Investments:        
Other  — 1,288,467  — 1,288,467
Securities Lending Collateral 232,138  —  — 232,138
Total Investments $232,138 $144,470,309 $ — $144,702,447
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
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