0001752724-22-128146.txt : 20220527 0001752724-22-128146.hdr.sgml : 20220527 20220527151054 ACCESSION NUMBER: 0001752724-22-128146 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220331 FILED AS OF DATE: 20220527 PERIOD START: 20221231 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: 22976408 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 S000040490 Calvert VP Volatility Managed Growth Portfolio C000125701 Class F NPORT-P 1 primary_doc.xml NPORT-P false 0000743773 XXXXXXXX S000040490 C000125701 Calvert Variable Products, Inc. 811-04000 0000743773 549300PDAQJMP5ONK782 1825 Connecticut Avenue NW, Suite 400 Washington 20009 202-238-2200 Calvert VP Volatility Managed Growth Portfolio S000040490 549300VVYIFJ3G4WJ881 2022-12-31 2022-03-31 N 132856626.27 2195844.20 130660782.07 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 3701977.22000000 UST Vanguard FTSE Developed Markets ETF 5493002789CX3L0CJP65 Vanguard FTSE Developed Markets ETF 921943858 398000.00000000 NS USD 19115940.00000000 14.63020479225 Long EC RF US N 1 N N N Vanguard FTSE Emerging Markets ETF I9EY4HOGV0KQ5WF8MP19 Vanguard FTSE Emerging Markets ETF 922042858 82000.00000000 NS USD 3782660.00000000 2.895023235031 Long EC RF US N 1 N N N iShares S&P 500 Growth ETF 549300RYFG0B8O3DPR13 iShares S&P 500 Growth ETF 464287309 276000.00000000 NS USD 21080880.00000000 16.13405313057 Long EC RF US N 1 N N iShares Core U.S. Aggregate Bond ETF 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 156000.00000000 NS USD 16707600.00000000 12.78700443645 Long EC RF US N 1 N N N CALVERT CASH RESERVES FUND N/A CALVERT CASH RESERVES FUND CALVERT CASH RESERVES FUND 000000000 8910408.17000000 NS USD 8909517.13000000 6.818815094208 Long EC RF US N 2 N N N State Street Global Advisors 5493008BJIBKQ5KTIF74 State Street Navigator Securities Lending Government Money Market Portfolio 857492706 2032900.00000000 NS USD 2032900.00000000 1.555860884799 Long STIV RF US N 1 N N iShares S&P 500 Value ETF 549300CBC7RH6BCDVO32 iShares S&P 500 Value ETF 464287408 111000.00000000 NS USD 17284920.00000000 13.22885086570 Long EC RF US N 1 N N Technology Select Sector SPDR Fund 549300BR5T0JNM2MW070 Technology Select Sector SPDR Fund 81369Y803 10000.00000000 NS USD 1589300.00000000 1.216355799208 Long EC RF US N 1 N N N iShares iBoxx $ Investment Grade Corporate Bond ETF 549300FYCXFXG8POR355 iShares iBoxx $ Investment Grade Corporate Bond ETF 464287242 8000.00000000 NS USD 967520.00000000 0.740482327345 Long EC RF US N 1 N N iShares Russell 2000 ETF 549300O80OAR5VTWR172 iShares Russell 2000 ETF 464287655 17000.00000000 NS USD 3489590.00000000 2.670724868408 Long EC RF US N 1 N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P MID 400 EMINI JUN22 000000000 -20.00000000 NC USD -258270.06000000 -0.19766456002 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-Mini Standard & Poor's MidCap 400 Index Future FAM2 INDEX 2022-06-17 -5120129.94000000 USD -258270.06000000 N N N Vanguard Real Estate ETF B1HNOZOSPCLXHIVBEI82 Vanguard Real Estate ETF 922908553 48000.00000000 NS USD 5201760.00000000 3.981118065873 Long EC RF US N 1 N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT JUN22 000000000 -78.00000000 NC USD -1102920.80000000 -0.84411005546 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-Mini Standard & Poor's 500 Index Future ESM2 INDEX 2022-06-17 -16567004.20000000 USD -1102920.80000000 N N N iShares Core S&P Mid-Cap ETF 549300ODQWH5PC0IUZ78 iShares Core S&P Mid-Cap ETF 464287507 9000.00000000 NS USD 2415060.00000000 1.848343444558 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 68000.00000000 NS USD 28231560.00000000 21.60675877852 Long EC RF US N 1 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 MSCI EAFE JUN22 000000000 -63.00000000 NC USD -349113.37000000 -0.26719063246 N/A DE US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short ICE US mini MSCI EAFE Index Futures MFSM2 INDEX 2022-06-17 -6405746.63000000 USD -349113.37000000 N N N 2022-04-25 Calvert Variable Products, Inc. James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8G1_88109410_0322.htm
Calvert
VP Volatility Managed Growth Portfolio
March 31, 2022
Schedule of Investments (Unaudited)
Exchange-Traded Funds — 91.7%
    
Security Shares Value
Equity Funds — 78.2%  
iShares Core S&P Mid-Cap ETF       9,000 $  2,415,060
iShares Russell 2000 ETF(1)      17,000   3,489,590
iShares S&P 500 Growth ETF(1)     276,000  21,080,880
iShares S&P 500 Value ETF(1)     111,000  17,284,920
Technology Select Sector SPDR Fund      10,000   1,589,300
Vanguard FTSE Developed Markets ETF     398,000  19,115,940
Vanguard FTSE Emerging Markets ETF      82,000   3,782,660
Vanguard Real Estate ETF(1)      48,000   5,201,760
Vanguard S&P 500 ETF   68,000 28,231,560
      $102,191,670
Fixed-Income Funds — 13.5%  
iShares Core U.S. Aggregate Bond ETF   156,000 $16,707,600
iShares iBoxx $ Investment Grade Corporate Bond ETF(1)   8,000 967,520
      $17,675,120
Total Exchange-Traded Funds
(identified cost $74,853,914) 		    $119,866,790
    
Short-Term Investments — 8.4%      
Affiliated Fund — 6.8%
Description Units Value
Calvert Cash Reserves Fund, LLC, 0.14%(2)   8,910,408 $  8,909,517
Total Affiliated Fund
(identified cost $8,909,648) 		    $  8,909,517
Securities Lending Collateral — 1.6%
Security Shares Value
State Street Navigator Securities Lending Government Money Market Portfolio, 0.29%(3)   2,032,900 $  2,032,900
Total Securities Lending Collateral
(identified cost $2,032,900) 		    $  2,032,900
Total Short-Term Investments
(identified cost $10,942,548) 		    $ 10,942,417
Total Investments — 100.1%
(identified cost $85,796,462) 		    $130,809,207
Other Assets, Less Liabilities — (0.1)%     $   (151,821)
Net Assets — 100.0%     $130,657,386
    
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, 2022. The aggregate market value of securities on loan at March 31, 2022 was $9,131,425 and the total market value of the collateral received by the Fund was $9,464,604, comprised of cash of $2,032,900 and U.S. government and/or agencies securities of $7,431,704.
(2) Affiliated investment company, 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, 2022.
(3) Represents investment of cash collateral received in connection with securities lending.
 
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Calvert
VP Volatility Managed Growth Portfolio
March 31, 2022
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 (78) Short 6/17/22 $(17,669,925) $(1,102,921)
E-mini S&P MidCap 400 Index (20) Short 6/17/22 (5,378,400) (258,270)
MSCI EAFE Index (63) Short 6/17/22 (6,754,860) (349,113)
          $(1,710,304)
During the fiscal year to date ended March 31, 2022, 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, 2022, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At March 31, 2022, the value of the Fund's investment in affiliated funds was $8,909,517, which represents 6.8% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended March 31, 2022 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 $10,804,372 $8,285,288 $(10,179,262) $(716) $(165) $8,909,517 $2,034 8,910,408
Fair Value Measurements
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, 2022, based on the inputs used to value them:
Asset Description  Level 1  Level 2  Level 3  Total 
Exchange-Traded Funds $119,866,790 $ — $ — $119,866,790
Short-Term Investments:        
Affiliated Fund  — 8,909,517  — 8,909,517
Securities Lending Collateral 2,032,900  —  — 2,032,900
Total Investments $121,899,690 $8,909,517 $ — $130,809,207
Liability Description         
Futures Contracts $(1,710,304) $ — $ — $(1,710,304)
Total $(1,710,304) $ — $ — $(1,710,304)
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Calvert
VP Volatility Managed Growth Portfolio
March 31, 2022
Schedule of Investments (Unaudited) — continued
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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