0001752724-24-123653.txt : 20240528 0001752724-24-123653.hdr.sgml : 20240528 20240528153552 ACCESSION NUMBER: 0001752724-24-123653 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240528 DATE AS OF CHANGE: 20240528 PERIOD START: 20241231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Calvert Variable Trust, Inc. CENTRAL INDEX KEY: 0000743773 ORGANIZATION NAME: 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: 24991259 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: Calvert Variable Products, Inc. DATE OF NAME CHANGE: 20100429 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 0000743773 S000040490 CVT 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 2024-12-31 2024-03-31 N 124956959.61 19620544.75 105336414.86 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 316353.66000000 UST S&P 500 SPX Vanguard FTSE Developed Markets ETF 5493002789CX3L0CJP65 Vanguard FTSE Developed Markets ETF 921943858 305000.00000000 NS USD 15301850.00000000 14.52664780772 Long EC RF US N 1 N N N Vanguard FTSE Emerging Markets ETF I9EY4HOGV0KQ5WF8MP19 Vanguard FTSE Emerging Markets ETF 922042858 69000.00000000 NS USD 2882130.00000000 2.736119321917 Long EC RF US N 1 N N N iShares S&P 500 Growth ETF 549300RYFG0B8O3DPR13 iShares S&P 500 Growth ETF 464287309 173000.00000000 NS USD 14608120.00000000 13.86806264425 Long EC RF US N 1 N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT JUN24 000000000 19.00000000 NC USD 75199.61000000 0.071389946297 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's 500 Index Futures ESM4 Index 2024-06-21 4967875.39000000 USD 75199.61000000 N N N iShares Core U.S. Aggregate Bond ETF 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 140000.00000000 NS USD 13711600.00000000 13.01696096095 Long EC RF US N 1 N N N State Street Global Advisors 5493008BJIBKQ5KTIF74 State Street Navigator Securities Lending Government Money Market Portfolio 857509301 19476121.25000000 NS USD 19476121.25000000 18.48944761969 Long STIV RF US N 1 N N iShares S&P 500 Value ETF 549300CBC7RH6BCDVO32 iShares S&P 500 Value ETF 464287408 75000.00000000 NS USD 14010750.00000000 13.30095581724 Long EC RF US N 1 N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P MID 400 EMINI JUN24 000000000 8.00000000 NC USD 66688.12000000 0.063309654205 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's MidCap 400 Index Futures FAM4 Index 2024-06-21 2395231.88000000 USD 66688.12000000 N N N iShares iBoxx $ Investment Grade Corporate Bond ETF 549300FYCXFXG8POR355 iShares iBoxx $ Investment Grade Corporate Bond ETF 464287242 19000.00000000 NS USD 2069480.00000000 1.964638727025 Long EC RF US N 1 N N iShares Russell 2000 ETF 549300O80OAR5VTWR172 iShares Russell 2000 ETF 464287655 30000.00000000 NS USD 6309000.00000000 5.989381742662 Long EC RF US N 1 N N Vanguard Real Estate ETF B1HNOZOSPCLXHIVBEI82 Vanguard Real Estate ETF 922908553 46000.00000000 NS USD 3978080.00000000 3.776547744943 Long EC RF US N 1 N N N Morgan Stanley & Co. LLC 549300BI6Y5SI6BYPB26 Morgan Stanley Institutional Liquidity Funds - Government Portfolio 61747C707 6808212.89000000 NS USD 6808212.89000000 6.463304166036 Long STIV RF US N 1 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 MSCI EAFE JUN24 000000000 25.00000000 NC USD 4839.50000000 0.004594327618 N/A DE US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long ICE U.S. mini MSCI EAFE Index Futures MFSM4 Index 2024-06-21 2941535.50000000 USD 4839.50000000 N N N iShares Core S&P Mid-Cap ETF 549300ODQWH5PC0IUZ78 iShares Core S&P Mid-Cap ETF 464287507 70000.00000000 NS USD 4251800.00000000 4.036400902433 Long EC RF US N 1 N N N Financial Select Sector SPDR Fund 549300Y12KQ6ZG08NY28 Financial Select Sector SPDR Fund 81369Y605 47000.00000000 NS USD 1979640.00000000 1.879350082904 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 39000.00000000 NS USD 18747300.00000000 17.79754895295 Long EC RF US N 1 N N N 2024-04-29 Calvert Variable Products, Inc. James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8G1_10785709_0324.htm
CVT
Volatility Managed Growth Portfolio (formerly, Calvert VP Volatility Managed Growth Portfolio)
March 31, 2024
Schedule of Investments (Unaudited)
Exchange-Traded Funds — 92.9%
    
Security Shares Value
Equity Funds — 77.9%  
Financial Select Sector SPDR Fund       47,000 $  1,979,640
iShares Core S&P Mid-Cap ETF       70,000    4,251,800
iShares Russell 2000 ETF(1)       30,000    6,309,000
iShares S&P 500 Growth ETF(1)      173,000   14,608,120
iShares S&P 500 Value ETF(1)       75,000   14,010,750
Vanguard FTSE Developed Markets ETF      305,000   15,301,850
Vanguard FTSE Emerging Markets ETF       69,000    2,882,130
Vanguard Real Estate ETF       46,000    3,978,080
Vanguard S&P 500 ETF   39,000 18,747,300
      $82,068,670
Fixed-Income Funds — 15.0%  
iShares Core U.S. Aggregate Bond ETF   140,000 $13,711,600
iShares iBoxx $ Investment Grade Corporate Bond ETF(1)   19,000 2,069,480
      $15,781,080
Total Exchange-Traded Funds
(identified cost $60,741,671) 		    $97,849,750
    
Short-Term Investments — 25.0%      
Affiliated Fund — 6.5%
Security Shares Value
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(2)    6,808,213 $  6,808,213
Total Affiliated Fund
(identified cost $6,808,213) 		    $  6,808,213
Securities Lending Collateral — 18.5%
Security Shares Value
State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(3)   19,476,121 $ 19,476,121
Total Securities Lending Collateral
(identified cost $19,476,121) 		    $ 19,476,121
Total Short-Term Investments
(identified cost $26,284,334) 		    $ 26,284,334
Total Investments — 117.9%
(identified cost $87,026,005) 		    $124,134,084
Other Assets, Less Liabilities — (17.9)%     $(18,816,188)
Net Assets — 100.0%     $105,317,896
    
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, 2024. The aggregate market value of securities on loan at March 31, 2024 was $25,333,296 and the total market value of the collateral received by the Fund was $26,296,009, comprised of cash of $19,476,121 and U.S. government and/or agencies securities of $6,819,888.
(2) May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2024.
(3) Represents investment of cash collateral received in connection with securities lending.
 
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CVT
Volatility Managed Growth Portfolio (formerly, Calvert VP Volatility Managed Growth Portfolio)
March 31, 2024
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 19 Long 6/21/24 $5,043,075 $75,200
E-mini S&P MidCap 400 Index 8 Long 6/21/24 2,461,920 66,688
MSCI EAFE Index 25 Long 6/21/24 2,946,375 4,839
          $146,727
During the fiscal year to date ended March 31, 2024, 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, 2024, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At March 31, 2024, the value of the Fund's investment in funds that may be deemed to be affiliated was $6,808,213, which represents 6.5% of the Fund's net assets. Transactions in such investments for the fiscal year to date ended March 31, 2024 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 		Shares,
end of
period
Short-Term Investments            
Liquidity Fund, Institutional Class(1) $5,500,900 $6,489,726 $(5,182,413) $ — $ — $6,808,213 $70,400 6,808,213
    
(1) Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio.
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, 2024, based on the inputs used to value them:
Asset Description  Level 1  Level 2  Level 3  Total 
Exchange-Traded Funds $97,849,750 $ — $ — $97,849,750
Short-Term Investments:        
Affiliated Fund 6,808,213  —  — 6,808,213
Securities Lending Collateral 19,476,121  —  — 19,476,121
Total Investments $124,134,084 $ — $ — $124,134,084
Futures Contracts $146,727 $ — $ — $146,727
Total $124,280,811 $ — $ — $124,280,811
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CVT
Volatility Managed Growth Portfolio (formerly, Calvert VP Volatility Managed Growth Portfolio)
March 31, 2024
Schedule of Investments (Unaudited) — continued
Name Change
Effective May 1, 2024, the name of the Fund was changed from Calvert VP Volatility Managed Growth Portfolio.
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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