0001752724-21-117729.txt : 20210528 0001752724-21-117729.hdr.sgml : 20210528 20210528093309 ACCESSION NUMBER: 0001752724-21-117729 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210331 FILED AS OF DATE: 20210528 PERIOD START: 20211231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Calvert Variable Products, Inc. CENTRAL INDEX KEY: 0000743773 IRS NUMBER: 000000000 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04000 FILM NUMBER: 21976684 BUSINESS ADDRESS: STREET 1: 1825 CONNECTICUT AVENUE NW STREET 2: SUITE 400 CITY: WASHINGTON STATE: DC ZIP: 20009 BUSINESS PHONE: 8002256265 MAIL ADDRESS: STREET 1: 1825 CONNECTICUT AVENUE NW STREET 2: SUITE 400 CITY: WASHINGTON STATE: DC ZIP: 20009 FORMER COMPANY: FORMER CONFORMED NAME: SUMMIT MUTUAL FUNDS, INC. DATE OF NAME CHANGE: 20090122 FORMER COMPANY: FORMER CONFORMED NAME: SUMMIT MUTUAL FUNDS INC DATE OF NAME CHANGE: 20000323 FORMER COMPANY: FORMER CONFORMED NAME: CARILLON FUND INC DATE OF NAME CHANGE: 19920703 0000743773 S000040491 Calvert VP Volatility Managed Moderate Growth Portfolio C000125702 Class F NPORT-P 1 primary_doc.xml NPORT-P false 0000743773 XXXXXXXX S000040491 C000125702 Calvert Variable Products, Inc. 811-04000 0000743773 549300PDAQJMP5ONK782 1825 Connecticut Avenue NW Suite 400 Washington 20009 202-238-2200 Calvert VP Volatility Managed Moderate Growth Portfolio S000040491 549300W9I8QNJ7SKGV57 2021-12-31 2021-03-31 N 91036503.68 3443964.09 87592539.59 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 284584.10000000 UST Vanguard FTSE Developed Markets ETF 5493002789CX3L0CJP65 Vanguard FTSE Developed Markets ETF 921943858 213000.00000000 NS USD 10460430.00000000 11.94214718395 Long EC RF US N 1 N N N Vanguard FTSE Emerging Markets ETF I9EY4HOGV0KQ5WF8MP19 Vanguard FTSE Emerging Markets ETF 922042858 29000.00000000 NS USD 1509450.00000000 1.723263199200 Long EC RF US N 1 N N N iShares S&P 500 Growth ETF 549300RYFG0B8O3DPR13 iShares S&P 500 Growth ETF 464287309 122000.00000000 NS USD 7943420.00000000 9.068603373279 Long EC RF US N 1 N N iShares Core U.S. Aggregate Bond ETF 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 150000.00000000 NS USD 17074500.00000000 19.49309847610 Long EC RF US N 1 N N N CALVERT CASH RESERVES FUND CALVERT CASH RESERVES FUND N/A CALVERT CASH RESERVES FUND CALVERT CASH RESERVES FUND 000000000 4502573.94800000 NS USD 4503024.21000000 5.140876416048 Long EC RF US N 2 N N N State Street Global Advisors 5493008BJIBKQ5KTIF74 State Street Navigator Securities Lending Government Money Market Portfolio 857492706 3314470.00000000 NS USD 3314470.00000000 3.783963811888 Long STIV RF US N 1 N N iShares S&P 500 Value ETF 549300CBC7RH6BCDVO32 iShares S&P 500 Value ETF 464287408 43000.00000000 NS USD 6073320.00000000 6.933604195548 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT JUN21 XCME 20210618 000000000 -14.00000000 NC USD -27930.70000000 -0.03188707637 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short E-mini S&P 500 Index ESM1 Index 2021-06-18 -2749249.30000000 USD -27930.70000000 N N N iShares Russell 2000 ETF 549300O80OAR5VTWR172 iShares Russell 2000 ETF 464287655 14000.00000000 NS USD 3093160.00000000 3.531305308052 Long EC RF US N 1 N N Vanguard Real Estate ETF B1HNOZOSPCLXHIVBEI82 Vanguard Real Estate ETF 922908553 29000.00000000 NS USD 2663940.00000000 3.041286406889 Long EC RF US N 1 N N Vanguard Total Bond Market ETF CIJB0QNLPT2SSWMJ5W92 Vanguard Total Bond Market ETF 921937835 124000.00000000 NS USD 10505280.00000000 11.99335017476 Long EC RF US N 1 N N N iShares Core S&P Mid-Cap ETF 549300ODQWH5PC0IUZ78 iShares Core S&P Mid-Cap ETF 464287507 9000.00000000 NS USD 2342520.00000000 2.674337347638 Long EC RF US N 1 N N N NYSE Liffe N/A MSCI EAFE JUN21 XNLI 20210618 000000000 -10.00000000 NC USD 3341.13000000 0.003814400193 N/A DE US N 1 NYSE Liffe N/A Short MSCI EAFE Index MFSM1 Index 2021-06-18 -1099341.13000000 USD 3341.13000000 N N N Financial Select Sector SPDR Fund 549300Y12KQ6ZG08NY28 Financial Select Sector SPDR Fund 81369Y605 25000.00000000 NS USD 851250.00000000 0.971829340700 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 56000.00000000 NS USD 20400800.00000000 23.29056800441 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P MID 400 EMINI JUN21 XCME 20210618 000000000 -3.00000000 NC USD 10517.65000000 0.012007472382 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short E-mini S&P MidCap 400 Index FAM1 Index 2021-06-18 -792107.65000000 USD 10517.65000000 N N N 2021-04-27 Calvert Variable Products, Inc. James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8F1_8387665051.htm
Calvert
VP Volatility Managed Moderate Growth Portfolio
March 31, 2021
Schedule of Investments (Unaudited)
Exchange-Traded Funds — 94.7%
    
Security Shares Value
Equity Exchange-Traded Funds — 63.2%  
Financial Select Sector SPDR Fund      25,000 $   851,250
iShares Core S&P Mid-Cap ETF       9,000  2,342,520
iShares Russell 2000 ETF(1)      14,000  3,093,160
iShares S&P 500 Growth ETF(1)     122,000  7,943,420
iShares S&P 500 Value ETF      43,000  6,073,320
Vanguard FTSE Developed Markets ETF     213,000 10,460,430
Vanguard FTSE Emerging Markets ETF      29,000  1,509,450
Vanguard REIT ETF(1)      29,000  2,663,940
Vanguard S&P 500 ETF   56,000 20,400,800
      $55,338,290
Fixed-Income Exchange-Traded Funds — 31.5%  
iShares Core U.S. Aggregate Bond ETF   150,000 $17,074,500
Vanguard Total Bond Market ETF   124,000 10,505,280
      $27,579,780
Total Exchange-Traded Funds
(identified cost $60,228,033) 		    $82,918,070
    
Short-Term Investments — 8.9%      
Other — 5.1%
Description Units Value
Calvert Cash Reserves Fund, LLC, 0.07%(2)   4,502,574 $ 4,503,024
Total Other
(identified cost $4,503,024) 		    $ 4,503,024
Securities Lending Collateral — 3.8%
Security Shares Value
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(3)   3,314,470 $ 3,314,470
Total Securities Lending Collateral
(identified cost $3,314,470) 		    $ 3,314,470
Total Short-Term Investments
(identified cost $7,817,494) 		    $ 7,817,494
Total Investments — 103.6%
(identified cost $68,045,527) 		    $90,735,564
Other Assets, Less Liabilities — (3.6)%     $(3,137,934)
Net Assets — 100.0%     $87,597,630
    
The percentage shown for each investment category in the Schedule of Investments is based on net assets.  
(1) 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 $3,505,793 and the total market value of the collateral received by the Fund was $3,535,547, comprised of cash of $3,314,470 and U.S. government and/or agencies securities of $221,077.
(2) 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.
(3) Represents investment of cash collateral received in connection with securities lending.
 
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Calvert
VP Volatility Managed Moderate Growth Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Futures Contracts
Description Number of
Contracts 		Position Expiration
Date 		Notional
Amount 		Value/
Unrealized
Appreciation
(Depreciation)
Equity Futures          
E-mini S&P 500 Index (14) Short 6/18/21 $(2,777,180) $(27,931)
E-mini S&P MidCap 400 Index (3) Short 6/18/21 (781,590) 10,518
MSCI EAFE Index (10) Short 6/18/21 (1,096,000) 3,341
          $(14,072)
During the fiscal year to date ended March 31, 2021, the Fund used futures contracts to hedge against changes in market volatility and declines in the value of the Fund’s investments and to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At March 31, 2021, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
At March 31, 2021, the value of the Fund's investment in affiliated funds was $4,503,024, which represents 5.1% of the Fund's net assets. Transactions in affiliated 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 		Dividend
income 		Units,
end of
period
Short-Term Investments                
Calvert Cash Reserves Fund, LLC $5,288,618 $2,775,243 $(3,560,837) $ — $ — $4,503,024 $1,436 4,502,574
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
Exchange-Traded Funds $82,918,070 $ — $ — $82,918,070
Short-Term Investments:        
Other  — 4,503,024  — 4,503,024
Securities Lending Collateral 3,314,470  —  — 3,314,470
Total Investments $86,232,540 $4,503,024 $ — $90,735,564
Futures Contracts $13,859 $ — $ — $13,859
Total $86,246,399 $4,503,024 $ — $90,749,423
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Calvert
VP Volatility Managed Moderate Growth Portfolio
March 31, 2021
Schedule of Investments (Unaudited) — continued
Liability Description Level 1 Level 2 Level 3 Total
Futures Contracts $(27,931) $ — $ — $(27,931)
Total $(27,931) $ — $ — $(27,931)
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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