0001752724-21-258617.txt : 20211124 0001752724-21-258617.hdr.sgml : 20211124 20211124170523 ACCESSION NUMBER: 0001752724-21-258617 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210930 FILED AS OF DATE: 20211124 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: 211447807 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 2021-09-30 N 88975783.15 2038800.87 86936982.28 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 1045198.34000000 UST Vanguard FTSE Developed Markets ETF 5493002789CX3L0CJP65 Vanguard FTSE Developed Markets ETF 921943858 205000.00000000 NS USD 10350450.00000000 11.90569275416 Long EC RF US N 1 N N N Vanguard FTSE Emerging Markets ETF I9EY4HOGV0KQ5WF8MP19 Vanguard FTSE Emerging Markets ETF 922042858 32000.00000000 NS USD 1600320.00000000 1.840781630590 Long EC RF US N 1 N N N iShares S&P 500 Growth ETF 549300RYFG0B8O3DPR13 iShares S&P 500 Growth ETF 464287309 129000.00000000 NS USD 9534390.00000000 10.96701282923 Long EC RF US N 1 N N N iShares Core U.S. Aggregate Bond ETF 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 136000.00000000 NS USD 15616880.00000000 17.96344845476 Long EC RF US N 1 N N N CALVERT CASH RESERVES FUND N/A CALVERT CASH RESERVES FUND CALVERT CASH RESERVES FUND 000000000 5872814.25600000 NS USD 5873401.54000000 6.755929853975 Long EC RF US N 2 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT DEC21 000000000 35.00000000 NC USD -324611.27000000 -0.37338686193 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 7845673.77000000 USD -324611.27000000 N N N State Street Global Advisors 5493008BJIBKQ5KTIF74 State Street Navigator Securities Lending Government Money Market Portfolio 857492706 1894321.50000000 NS USD 1894321.50000000 2.178959345401 Long STIV RF US N 1 N N iShares S&P 500 Value ETF 549300CBC7RH6BCDVO32 iShares S&P 500 Value ETF 464287408 50000.00000000 NS USD 7271000.00000000 8.363529316651 Long EC RF US N 1 N N N iShares Russell 2000 ETF 549300O80OAR5VTWR172 iShares Russell 2000 ETF 464287655 10000.00000000 NS USD 2187500.00000000 2.516190397493 Long EC RF US N 1 N N NYSE Liffe N/A MSCI EAFE DEC21 000000000 26.00000000 NC USD -117941.76000000 -0.13566350810 N/A DE US N 1 NYSE Liffe N/A Long ICE US mini MSCI EAFE Index Futures MFSZ1 Index 2021-12-17 3065041.76000000 USD -117941.76000000 N N N Vanguard Real Estate ETF B1HNOZOSPCLXHIVBEI82 Vanguard Real Estate ETF 922908553 25000.00000000 NS USD 2544500.00000000 2.926832670364 Long EC RF US N 1 N N Vanguard Total Bond Market ETF CIJB0QNLPT2SSWMJ5W92 Vanguard Total Bond Market ETF 921937835 131000.00000000 NS USD 11193950.00000000 12.87593577143 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 5000.00000000 NS USD 1315350.00000000 1.512992475128 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 48000.00000000 NS USD 18931200.00000000 21.77577309852 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P MID 400 EMINI DEC21 000000000 8.00000000 NC USD -36660.40000000 -0.04216893551 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's MidCap 400 Index Future FAZ1 Index 2021-12-17 2143220.40000000 USD -36660.40000000 N N N 2021-10-25 Calvert Variable Products, Inc. James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8F1_35934231_0921.htm
Calvert
VP Volatility Managed Moderate Growth Portfolio
September 30, 2021
Schedule of Investments (Unaudited)
Exchange-Traded Funds — 92.7%
    
Security Shares Value
Equity Funds — 61.8%  
iShares Core S&P Mid-Cap ETF       5,000 $ 1,315,350
iShares Russell 2000 ETF(1)      10,000  2,187,500
iShares S&P 500 Growth ETF     129,000  9,534,390
iShares S&P 500 Value ETF      50,000  7,271,000
Vanguard FTSE Developed Markets ETF     205,000 10,350,450
Vanguard FTSE Emerging Markets ETF      32,000  1,600,320
Vanguard REIT ETF(1)      25,000  2,544,500
Vanguard S&P 500 ETF      48,000 18,931,200
      $53,734,710
Fixed-Income Funds — 30.9%  
iShares Core U.S. Aggregate Bond ETF   136,000 $15,616,880
Vanguard Total Bond Market ETF   131,000 11,193,950
      $26,810,830
Total Exchange-Traded Funds
(identified cost $57,053,074) 		    $80,545,540
    
Short-Term Investments — 8.9%      
Affiliated Fund — 6.7%
Description Units Value
Calvert Cash Reserves Fund, LLC, 0.04%(2)   5,872,814 $ 5,873,402
Total Affiliated Fund
(identified cost $5,872,822) 		    $ 5,873,402
Securities Lending Collateral — 2.2%
Security Shares Value
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(3)   1,894,322 $ 1,894,322
Total Securities Lending Collateral
(identified cost $1,894,322) 		    $ 1,894,322
Total Short-Term Investments
(identified cost $7,767,144) 		    $ 7,767,724
Total Investments — 101.6%
(identified cost $64,820,218) 		    $88,313,264
Other Assets, Less Liabilities — (1.6)%     $(1,387,620)
Net Assets — 100.0%     $86,925,644
    
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 September 30, 2021. The aggregate market value of securities on loan at September 30, 2021 was $2,008,746 and the total market value of the collateral received by the Fund was $2,085,384, comprised of cash of $1,894,322 and U.S. government and/or agencies securities of $191,062.
(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 September 30, 2021.
(3) Represents investment of cash collateral received in connection with securities lending.
 
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Calvert
VP Volatility Managed Moderate Growth Portfolio
September 30, 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 35 Long 12/17/21 $7,521,063 $(324,611)
E-mini S&P MidCap 400 Index 8 Long 12/17/21 2,106,560 (36,660)
MSCI EAFE Index 26 Long 12/17/21 2,947,100 (117,942)
          $(479,213)
During the fiscal year to date ended September 30, 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 September 30, 2021, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
At September 30, 2021, the value of the Fund's investment in affiliated funds was $5,873,402, which represents 6.7% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended September 30, 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 $13,771,797 $(13,187,064) $(529) $580 $5,873,402 $3,340 5,872,814
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 September 30, 2021, based on the inputs used to value them:
Asset Description Level 1 Level 2 Level 3 Total
Exchange-Traded Funds $80,545,540 $ — $ — $80,545,540
Short-Term Investments:        
Affiliated Fund  — 5,873,402  — 5,873,402
Securities Lending Collateral 1,894,322  —  — 1,894,322
Total Investments $82,439,862 $5,873,402 $ — $88,313,264
Liability Description        
Futures Contracts $(479,213) $ — $ — $(479,213)
Total $(479,213) $ — $ — $(479,213)
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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