0001752724-21-258601.txt : 20211124 0001752724-21-258601.hdr.sgml : 20211124 20211124170515 ACCESSION NUMBER: 0001752724-21-258601 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: 211447797 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 S000040492 Calvert VP Volatility Managed Moderate Portfolio C000125703 Class F NPORT-P 1 primary_doc.xml NPORT-P false 0000743773 XXXXXXXX S000040492 C000125703 Calvert Variable Products, Inc. 811-04000 0000743773 549300PDAQJMP5ONK782 1825 Connecticut Avenue NW Suite 400 Washington 20009 202-238-2200 Calvert VP Volatility Managed Moderate Portfolio S000040492 549300YQMVYZLKGWEZ10 2021-12-31 2021-09-30 N 110465456.95 2024355.91 108441101.04 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 918051.16000000 UST Vanguard FTSE Developed Markets ETF 5493002789CX3L0CJP65 Vanguard FTSE Developed Markets ETF 921943858 191000.00000000 NS USD 9643590.00000000 8.892928887214 Long EC RF US N 1 N N Vanguard FTSE Emerging Markets ETF I9EY4HOGV0KQ5WF8MP19 Vanguard FTSE Emerging Markets ETF 922042858 33800.00000000 NS USD 1690338.00000000 1.558761377179 Long EC RF US N 1 N N iShares S&P 500 Growth ETF 549300RYFG0B8O3DPR13 iShares S&P 500 Growth ETF 464287309 100000.00000000 NS USD 7391000.00000000 6.815681442844 Long EC RF US N 1 N N iShares Core U.S. Aggregate Bond ETF 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 222000.00000000 NS USD 25492260.00000000 23.50793173023 Long EC RF US N 1 N N N CALVERT CASH RESERVES FUND N/A CALVERT CASH RESERVES FUND CALVERT CASH RESERVES FUND 000000000 5658113.54000000 NS USD 5658679.35000000 5.218205362847 Long EC RF US N 2 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P500 EMINI FUT DEC21 000000000 32.00000000 NC USD -296787.45000000 -0.27368538972 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 7173187.45000000 USD -296787.45000000 N N N State Street Global Advisors 5493008BJIBKQ5KTIF74 State Street Navigator Securities Lending Government Money Market Portfolio 857492706 1860472.50000000 NS USD 1860472.50000000 1.715652535945 Long STIV RF US N 1 N N iShares S&P 500 Value ETF 549300CBC7RH6BCDVO32 iShares S&P 500 Value ETF 464287408 33000.00000000 NS USD 4798860.00000000 4.425314713680 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 2.017224077421 Long EC RF US N 1 N N NYSE Liffe N/A MSCI EAFE DEC21 000000000 22.00000000 NC USD -99805.72000000 -0.09203680066 N/A DE US N 1 NYSE Liffe N/A Long ICE US mini MSCI EAFE Index Futures MFSZ1 Index 2021-12-17 2593505.72000000 USD -99805.72000000 N N N Vanguard Real Estate ETF B1HNOZOSPCLXHIVBEI82 Vanguard Real Estate ETF 922908553 21000.00000000 NS USD 2137380.00000000 1.971005439359 Long EC RF US N 1 N N Vanguard Total Bond Market ETF CIJB0QNLPT2SSWMJ5W92 Vanguard Total Bond Market ETF 921937835 298000.00000000 NS USD 25464100.00000000 23.48196371651 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 4000.00000000 NS USD 1052280.00000000 0.970370081000 Long EC RF US N 1 N N N Vanguard S&P 500 ETF 549300D8V8ZP5GRJOC71 Vanguard S&P 500 ETF 922908363 57000.00000000 NS USD 22480800.00000000 20.73088504672 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 S+P MID 400 EMINI DEC21 000000000 6.00000000 NC USD -27495.30000000 -0.02535505425 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 1607415.30000000 USD -27495.30000000 N N N 2021-10-25 Calvert Variable Products, Inc. James Kirchner James Kirchner Treasurer XXXX NPORT-EX 2 NPORT_D8E1_97542036_0921.htm
Calvert
VP Volatility Managed Moderate Portfolio
September 30, 2021
Schedule of Investments (Unaudited)
Exchange-Traded Funds — 94.4%
    
Security Shares Value
Equity Funds — 47.4%  
iShares Core S&P Mid-Cap ETF       4,000 $  1,052,280
iShares Russell 2000 ETF(1)      10,000   2,187,500
iShares S&P 500 Growth ETF(1)     100,000   7,391,000
iShares S&P 500 Value ETF      33,000   4,798,860
Vanguard FTSE Developed Markets ETF(1)     191,000   9,643,590
Vanguard FTSE Emerging Markets ETF(1)      33,800   1,690,338
Vanguard REIT ETF(1)      21,000   2,137,380
Vanguard S&P 500 ETF      57,000  22,480,800
      $51,381,748
Fixed-Income Funds — 47.0%  
iShares Core U.S. Aggregate Bond ETF   222,000 $25,492,260
Vanguard Total Bond Market ETF   298,000 25,464,100
      $50,956,360
Total Exchange-Traded Funds
(identified cost $77,830,401) 		    $102,338,108
    
Short-Term Investments — 6.9%      
Affiliated Fund — 5.2%
Description Units Value
Calvert Cash Reserves Fund, LLC, 0.04%(2)   5,658,114 $  5,658,679
Total Affiliated Fund
(identified cost $5,658,142) 		    $  5,658,679
Securities Lending Collateral — 1.7%
Security Shares Value
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(3)   1,860,473 $  1,860,473
Total Securities Lending Collateral
(identified cost $1,860,473) 		    $  1,860,473
Total Short-Term Investments
(identified cost $7,518,615) 		    $  7,519,152
Total Investments — 101.3%
(identified cost $85,349,016) 		    $109,857,260
Other Assets, Less Liabilities — (1.3)%     $ (1,417,589)
Net Assets — 100.0%     $108,439,671
    
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 $2,905,875 and the total market value of the collateral received by the Fund was $2,994,433, comprised of cash of $1,860,473 and U.S. government and/or agencies securities of $1,133,960.
(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 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 32 Long 12/17/21 $6,876,400 $(296,787)
E-mini S&P MidCap 400 Index 6 Long 12/17/21 1,579,920 (27,495)
MSCI EAFE Index 22 Long 12/17/21 2,493,700 (99,806)
          $(424,088)
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 $5,658,679, which represents 5.2% 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 $7,832,540 $10,565,717 $(12,739,503) $(704) $629 $5,658,679 $4,112 5,658,114
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 $102,338,108 $ — $ — $102,338,108
Short-Term Investments:        
Affiliated Fund  — 5,658,679  — 5,658,679
Securities Lending Collateral 1,860,473  —  — 1,860,473
Total Investments $104,198,581 $5,658,679 $ — $109,857,260
Liability Description        
Futures Contracts $(424,088) $ — $ — $(424,088)
Total $(424,088) $ — $ — $(424,088)
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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