Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited)
Asset-Backed Securities — 6.3% |
Security | Principal Amount (000's omitted)* | Value | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 23 | $ 21,777 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 433 | 362,223 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 600 | 529,299 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 350 | 304,088 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 98 | 98,113 | |
Series 2022-A, Class B, 9.52%, 12/15/26(1) | 638 | 641,139 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 600 | 512,422 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 283 | 244,205 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 80 | 73,202 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 415 | 355,252 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 99 | 86,160 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 782 | 666,903 | |
Driven Brands Funding, LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 84 | 81,454 | |
Series 2019-1A, Class A2, 4.641%, 4/20/49(1) | 85 | 80,360 | |
Enterprise Fleet Financing, LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(1) | 715 | 709,409 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/25/49(1) | 345 | 331,786 | |
Series 2019-1A, Class B, 4.14%, 7/25/49(1) | 55 | 52,799 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 273 | 250,185 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(2) | 100 | 82,237 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 420 | 345,687 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 100 | 92,979 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 350 | 345,399 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 169 | 156,446 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 205 | 154,377 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 175 | 147,761 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 279 | 256,918 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 98 | 95,521 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 122 | 116,419 | |
LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.68%, 10/15/26(1) | 150 | 149,936 | |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 74 | 44,425 |
Security | Principal Amount (000's omitted)* | Value | |
Marlette Funding Trust, Series 2023-1A, Class A, 6.07%, 4/15/33(1) | 473 | $ 472,307 | |
Mill City Solar Loan, Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 151 | 99,493 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 166 | 150,026 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 394 | 340,950 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 46 | 38,602 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 46 | 39,050 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 83 | 66,897 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 98 | 76,538 | |
Series 2021-1A, Class C, 2.25%, 12/20/46(1) | 422 | 370,844 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 100 | 79,813 | |
Series 2022-2A, Class D, 8.29%, 1/21/53(1) | 100 | 83,784 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 381 | 319,358 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 512 | 461,941 | |
OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.13%, 5/14/35(1) | 495 | 475,497 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 65 | 62,029 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 99 | 97,855 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 361 | 329,857 | |
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 100 | 91,855 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 1,850 | 1,683,672 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 220 | 197,855 | |
Series 2022-2, Class C, 9.36%, 10/9/29(1) | 125 | 125,077 | |
Series 2022-3, Class B, 8.533%, 1/8/30(1) | 390 | 393,943 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 153 | 147,616 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 63 | 63,249 | |
Series 2021-5, Class A, 1.53%, 8/15/29(1) | 122 | 120,393 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 75 | 72,247 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 270 | 225,412 | |
Prosper Marketplace Issuance Trust, Series 2019-4A, Class C, 4.95%, 2/17/26(1) | 6 | 6,143 | |
Retained Vantage Data Centers Issuer, LLC: | |||
Series 2023-1A, Class A2A, 5.00%, 9/15/48(1) | 675 | 609,836 | |
Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | CAD | 150 | 98,163 |
Series 2023-1A, Class B, 5.75%, 9/15/48(1) | 95 | 84,711 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 153 | 129,799 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 173 | 136,361 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 914 | 838,335 | |
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 5/15/31(1) | 111 | 111,040 |
1
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 162 | $ 161,672 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 506 | 459,965 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 189 | 171,561 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 817 | 809,652 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 200 | 191,818 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 247 | 224,424 | |
Sunnova Helios IX Issuer, LLC, Series 2022-B, Class A, 5.00%, 8/20/49(1) | 249 | 233,493 | |
Sunnova Helios V Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 283 | 238,365 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 474 | 443,688 | |
Sunnova Helios XII Issuer, LLC, Series 2023-B, Class A, 5.30%, 8/22/50(1) | 453 | 432,254 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 696 | 548,391 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 94 | 78,706 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 196 | 170,946 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 263 | 250,592 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 241 | 191,110 | |
Sunrun Jupiter Issuer, LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1) | 687 | 598,716 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 149 | 130,698 | |
Theorem Funding Trust: | |||
Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 92 | 89,954 | |
Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 112 | 112,241 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 389 | 346,110 | |
Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.75%, 2/20/28(1) | 36 | 36,001 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 288 | 279,544 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 735 | 615,693 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 224 | 196,320 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 357 | 280,304 | |
Willis Engine Structured Trust V, Series 2020-A, Class B, 4.212%, 3/15/45(1) | 203 | 163,637 | |
Total Asset-Backed Securities (identified cost $25,665,160) | $23,545,284 |
Collateralized Mortgage Obligations — 1.4% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 7.065%, (30-day average SOFR + 1.75%), 3/25/31(1)(3) | $ | 4 | $ 3,913 |
Series 2021-1A, Class M1B, 7.515%, (30-day average SOFR + 2.20%), 3/25/31(1)(3) | 155 | 156,071 | |
Series 2021-1A, Class M1C, 8.265%, (30-day average SOFR + 2.95%), 3/25/31(1)(3) | 150 | 152,882 | |
Series 2021-2A, Class M1A, 6.515%, (30-day average SOFR + 1.20%), 6/25/31(1)(3) | 163 | 162,929 | |
Series 2021-3A, Class A2, 6.315%, (30-day average SOFR + 1.00%), 9/25/31(1)(3) | 215 | 213,261 | |
Series 2021-3A, Class M1B, 6.715%, (30-day average SOFR + 1.40%), 9/25/31(1)(3) | 170 | 167,977 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 402 | 353,166 | |
CHNGE Mortgage Trust: | |||
Series 2023-2, Class A3, 7.436% to 5/25/26, 6/25/58(1)(4) | 277 | 272,768 | |
Series 2023-4, Class A1, 7.573% to 8/25/26, 9/25/58(1)(4) | 354 | 355,601 | |
Eagle Re, Ltd., Series 2021-2, Class M1C, 8.765%, (30-day average SOFR + 3.45%), 4/25/34(1)(3) | 150 | 153,569 | |
Federal Home Loan Mortgage Corp., Series 5324, Class MZ, 6.00%, 7/25/53 | 36 | 32,947 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA3, Class B2, 13.579%, (30-day average SOFR + 8.264%), 7/25/49(1)(3) | 85 | 94,416 | |
Series 2019-DNA4, Class M2, 7.379%, (30-day average SOFR + 2.064%), 10/25/49(1)(3) | 7 | 7,019 | |
Series 2019-HQA4, Class B1, 8.379%, (30-day average SOFR + 3.064%), 11/25/49(1)(3) | 19 | 19,894 | |
Series 2020-DNA6, Class B1, 8.315%, (30-day average SOFR + 3.00%), 12/25/50(1)(3) | 25 | 25,125 | |
Series 2020-HQA2, Class B1, 9.529%, (30-day average SOFR + 4.214%), 3/25/50(1)(3) | 41 | 44,711 | |
Series 2021-DNA2, Class B1, 8.715%, (30-day average SOFR + 3.40%), 8/25/33(1)(3) | 55 | 56,526 | |
Series 2021-DNA3, Class M1, 6.065%, (30-day average SOFR + 0.75%), 10/25/33(1)(3) | 53 | 52,593 | |
Series 2022-DNA2, Class M1A, 6.615%, (30-day average SOFR + 1.30%), 2/25/42(1)(3) | 242 | 241,957 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 10.679%, (30-day average SOFR + 5.364%), 10/25/23(3) | 94 | 94,903 | |
Series 2014-C02, Class 2M2, 8.029%, (30-day average SOFR + 2.714%), 5/25/24(3) | 33 | 33,168 | |
Series 2014-C03, Class 2M2, 8.329%, (30-day average SOFR + 3.014%), 7/25/24(3) | 43 | 43,098 | |
Series 2018-R07, Class 1M2, 7.829%, (30-day average SOFR + 2.514%), 4/25/31(1)(3) | 8 | 8,514 | |
Series 2019-R01, Class 2B1, 9.779%, (30-day average SOFR + 4.464%), 7/25/31(1)(3) | 55 | 58,602 | |
Series 2019-R02, Class 1B1, 9.579%, (30-day average SOFR + 4.264%), 8/25/31(1)(3) | 54 | 56,673 |
2
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2019-R03, Class 1B1, 9.529%, (30-day average SOFR + 4.214%), 9/25/31(1)(3) | $ | 55 | $ 58,049 |
Series 2019-R05, Class 1B1, 9.529%, (30-day average SOFR + 4.214%), 7/25/39(1)(3) | 70 | 72,547 | |
Series 2019-R06, Class 2B1, 9.179%, (30-day average SOFR + 3.864%), 9/25/39(1)(3) | 308 | 316,227 | |
Series 2019-R07, Class 1B1, 8.829%, (30-day average SOFR + 3.514%), 10/25/39(1)(3) | 109 | 111,767 | |
Series 2020-R02, Class 2B1, 8.429%, (30-day average SOFR + 3.114%), 1/25/40(1)(3) | 405 | 409,381 | |
Series 2021-R01, Class 1B2, 11.315%, (30-day average SOFR + 6.00%), 10/25/41(1)(3) | 142 | 144,900 | |
Series 2021-R02, Class 2B1, 8.615%, (30-day average SOFR + 3.30%), 11/25/41(1)(3) | 12 | 12,340 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 163 | 159,348 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 171 | 167,104 | |
Series 2023-98, Class BW, 6.00%, 7/20/53 | 25 | 24,458 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 25 | 24,452 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 8.434%, (30-day average SOFR + 3.00%), 10/25/28(1)(3) | 154 | 155,496 | |
Series 2021-1, Class M2, 8.284%, (30-day average SOFR + 2.964%), 7/25/33(1)(3) | 150 | 150,431 | |
PNMAC GMSR Issuer Trust, Series 2022-FT1, Class A, 9.505%, (30-day average SOFR + 4.19%), 6/25/27(1)(3) | 523 | 523,843 | |
Total Collateralized Mortgage Obligations (identified cost $5,180,509) | $5,192,626 |
Commercial Mortgage-Backed Securities — 4.4% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(2) | $ | 695 | $ 434,951 |
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(2) | 325 | 107,519 | |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(2) | 485 | 107,365 | |
BPR Trust, Series 2022-SSP, Class A, 8.332%, (1 mo. SOFR + 3.00%), 5/15/39(1)(3) | 295 | 294,815 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 6.367%, (1 mo. SOFR + 1.034%), 10/15/36(1)(3) | 590 | 588,359 | |
Series 2019-XL, Class B, 6.527%, (1 mo. SOFR + 1.194%), 10/15/36(1)(3) | 280 | 278,850 | |
Series 2021-VOLT, Class B, 6.397%, (1 mo. SOFR + 1.064%), 9/15/36(1)(3) | 666 | 644,719 | |
Series 2021-VOLT, Class C, 6.547%, (1 mo. SOFR + 1.214%), 9/15/36(1)(3) | 204 | 196,259 | |
Series 2021-VOLT, Class D, 7.097%, (1 mo. SOFR + 1.764%), 9/15/36(1)(3) | 702 | 671,443 |
Security | Principal Amount (000's omitted) | Value | |
CSMC: | |||
Series 2021-4SZN, Class A, 9.30%, (1 mo. SOFR + 3.967%), 11/15/23(1)(3) | $ | 105 | $ 101,845 |
Series 2021-BPNY, Class A, 9.162%, (1 mo. SOFR + 3.829%), 8/15/26(1)(3) | 100 | 87,857 | |
Series 2022-NWPT, Class A, 8.475%, (1 mo. SOFR + 3.143%), 9/9/24(1)(3) | 290 | 293,082 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 6.527%, (1 mo. SOFR + 1.194%), 7/15/38(1)(3) | 415 | 412,239 | |
Series 2021-ESH, Class C, 7.147%, (1 mo. SOFR + 1.814%), 7/15/38(1)(3) | 570 | 562,600 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 1,440 | 1,242,621 | |
Series KG03, Class A2, 1.297%, 6/25/30(2) | 305 | 238,479 | |
Series KG08, Class A2, 4.134%, 5/25/33(2) | 339 | 310,207 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 278 | 219,197 | |
Series KW06, Class A2, 3.80%, 6/25/28(2) | 530 | 498,245 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(2) | 192 | 176,641 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.029%, 9/25/27(2) | 512 | 472,237 | |
Series 2018-M13, Class A2, 3.866%, 9/25/30(2) | 1,317 | 1,216,815 | |
Series 2019-M1, Class A2, 3.665%, 9/25/28(2) | 400 | 374,053 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 484 | 421,577 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 963 | 828,021 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 605 | 486,548 | |
Series 2023-M1S, Class A2, 4.656%, 4/25/33(2) | 848 | 802,012 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.679%, (30-day average SOFR + 3.364%), 10/25/49(1)(3) | 456 | 445,441 | |
Series 2020-01, Class M10, 9.179%, (30-day average SOFR + 3.864%), 3/25/50(1)(3) | 524 | 512,301 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 6.529%, (1 mo. SOFR + 1.197%), 5/15/38(1)(3) | 989 | 982,362 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 300 | 43,942 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(2) | 100 | 6,804 | |
Med Trust: | |||
Series 2021-MDLN, Class D, 7.447%, (1 mo. SOFR + 2.114%), 11/15/38(1)(3) | 294 | 282,099 | |
Series 2021-MDLN, Class E, 8.597%, (1 mo. SOFR + 3.264%), 11/15/38(1)(3) | 219 | 208,717 | |
Morgan Stanley Capital I Trust: | |||
Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36(1)(3)(5) | 424 | 408,322 | |
Series 2019-BPR, Class B, 8.022%, (1 mo. SOFR + 2.692%), 5/15/36(1)(3)(5) | 187 | 178,838 | |
Series 2019-BPR, Class C, 8.972%, (1 mo. SOFR + 3.642%), 5/15/36(1)(3)(5) | 100 | 94,660 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 7.095%, (1 mo. SOFR + 1.764%), 1/18/37(1)(3) | 389 | 380,939 |
3
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
VMC Finance, LLC: (continued) | |||
Series 2021-HT1, Class B, 9.945%, (1 mo. SOFR + 4.614%), 1/18/37(1)(3) | $ | 753 | $ 714,241 |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(2) | 450 | 245,469 | |
Total Commercial Mortgage-Backed Securities (identified cost $19,002,262) | $ 16,572,691 |
Common Stocks — 57.7% |
Security | Shares | Value | |
Aerospace & Defense — 0.5% | |||
HEICO Corp. | 11,300 | $ 1,829,809 | |
$ 1,829,809 | |||
Automobile Components — 0.3% | |||
Aptiv PLC(6) | 12,900 | $ 1,271,811 | |
$ 1,271,811 | |||
Beverages — 2.4% | |||
Coca-Cola Co. (The) | 79,500 | $ 4,450,410 | |
PepsiCo, Inc. | 26,000 | 4,405,440 | |
$8,855,850 | |||
Biotechnology — 1.3% | |||
AbbVie, Inc. | 32,600 | $4,859,356 | |
$4,859,356 | |||
Broadline Retail — 2.5% | |||
Amazon.com, Inc.(6) | 75,080 | $9,544,170 | |
$9,544,170 | |||
Capital Markets — 3.5% | |||
Intercontinental Exchange, Inc. | 34,800 | $3,828,696 | |
S&P Global, Inc. | 9,600 | 3,507,936 | |
Stifel Financial Corp. | 36,600 | 2,248,704 | |
Tradeweb Markets, Inc., Class A | 44,703 | 3,585,181 | |
$13,170,517 | |||
Chemicals — 1.0% | |||
Linde PLC | 9,600 | $3,574,560 | |
$3,574,560 | |||
Commercial Services & Supplies — 0.6% | |||
Waste Management, Inc. | 15,416 | $2,350,015 | |
$2,350,015 |
Security | Shares | Value | |
Consumer Staples Distribution & Retail — 1.3% | |||
Walmart, Inc. | 30,800 | $ 4,925,844 | |
$ 4,925,844 | |||
Containers & Packaging — 0.6% | |||
AptarGroup, Inc. | 17,387 | $ 2,174,070 | |
$ 2,174,070 | |||
Electric Utilities — 0.6% | |||
NextEra Energy, Inc. | 38,500 | $ 2,205,665 | |
$ 2,205,665 | |||
Electrical Equipment — 0.9% | |||
AMETEK, Inc. | 22,200 | $3,280,272 | |
$3,280,272 | |||
Energy Equipment & Services — 1.2% | |||
Baker Hughes Co. | 132,500 | $4,679,900 | |
$4,679,900 | |||
Financial Services — 2.0% | |||
Shift4 Payments, Inc., Class A(6) | 37,000 | $2,048,690 | |
Visa, Inc., Class A | 24,500 | 5,635,245 | |
$7,683,935 | |||
Ground Transportation — 0.7% | |||
Union Pacific Corp. | 13,600 | $2,769,368 | |
$2,769,368 | |||
Health Care Equipment & Supplies — 1.6% | |||
Intuitive Surgical, Inc.(6) | 9,900 | $2,893,671 | |
Stryker Corp. | 11,800 | 3,224,586 | |
$6,118,257 | |||
Hotels, Restaurants & Leisure — 1.0% | |||
Domino's Pizza, Inc. | 3,700 | $1,401,523 | |
Marriott International, Inc., Class A | 12,500 | 2,457,000 | |
$3,858,523 | |||
Insurance — 1.9% | |||
Allstate Corp. (The) | 28,400 | $3,164,044 | |
W.R. Berkley Corp. | 60,400 | 3,834,796 | |
$6,998,840 | |||
Interactive Media & Services — 4.5% | |||
Alphabet, Inc., Class A(6) | 38,800 | $5,077,368 | |
Alphabet, Inc., Class C(6) | 88,900 | 11,721,465 | |
$16,798,833 |
4
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
IT Services — 0.7% | |||
Gartner, Inc.(6) | 7,500 | $ 2,577,075 | |
$ 2,577,075 | |||
Life Sciences Tools & Services — 1.7% | |||
Danaher Corp. | 13,000 | $ 3,225,300 | |
Thermo Fisher Scientific, Inc. | 6,418 | 3,248,599 | |
$ 6,473,899 | |||
Machinery — 0.7% | |||
Parker-Hannifin Corp. | 6,300 | $ 2,453,976 | |
$2,453,976 | |||
Media — 0.9% | |||
Comcast Corp., Class A | 77,300 | $3,427,482 | |
$3,427,482 | |||
Multi-Utilities — 0.5% | |||
Sempra | 27,800 | $1,891,234 | |
$1,891,234 | |||
Pharmaceuticals — 2.4% | |||
Bristol-Myers Squibb Co. | 42,500 | $2,466,700 | |
Eli Lilly & Co. | 12,200 | 6,552,986 | |
$9,019,686 | |||
Professional Services — 2.6% | |||
Automatic Data Processing, Inc. | 16,600 | $3,993,628 | |
Booz Allen Hamilton Holding Corp. | 21,900 | 2,393,013 | |
TransUnion | 49,500 | 3,553,605 | |
$9,940,246 | |||
Real Estate Management & Development — 0.9% | |||
FirstService Corp. | 22,000 | $3,201,880 | |
$3,201,880 | |||
Semiconductors & Semiconductor Equipment — 3.6% | |||
Analog Devices, Inc. | 22,500 | $3,939,525 | |
Lam Research Corp. | 4,500 | 2,820,465 | |
NVIDIA Corp. | 15,300 | 6,655,347 | |
$13,415,337 | |||
Software — 7.9% | |||
ANSYS, Inc.(6) | 11,700 | $3,481,335 | |
Fair Isaac Corp.(6) | 4,000 | 3,474,120 | |
Fortinet, Inc.(6) | 30,700 | 1,801,476 | |
Microsoft Corp. | 57,193 | 18,058,690 | |
VMware, Inc., Class A(6) | 17,900 | 2,979,992 | |
$29,795,613 |
Security | Shares | Value | |
Specialty Retail — 0.9% | |||
TJX Cos., Inc. (The) | 36,200 | $ 3,217,456 | |
$ 3,217,456 | |||
Technology Hardware, Storage & Peripherals — 4.6% | |||
Apple, Inc. | 102,088 | $ 17,478,486 | |
$ 17,478,486 | |||
Textiles, Apparel & Luxury Goods — 1.2% | |||
lululemon Athletica, Inc.(6) | 5,800 | $ 2,236,538 | |
NIKE, Inc., Class B | 22,700 | 2,170,574 | |
$4,407,112 | |||
Wireless Telecommunication Services — 0.7% | |||
T-Mobile US, Inc.(6) | 19,130 | $2,679,157 | |
$2,679,157 | |||
Total Common Stocks (identified cost $152,392,295) | $216,928,234 |
Corporate Bonds — 16.4% |
Security | Principal Amount* (000’s omitted) | Value | |
Basic Materials — 0.3% | |||
Celanese U.S. Holdings, LLC: | |||
6.35%, 11/15/28 | 303 | $ 299,348 | |
6.55%, 11/15/30 | 285 | 279,053 | |
6.70%, 11/15/33 | 196 | 190,933 | |
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | 306 | 258,348 | |
$ 1,027,682 | |||
Communications — 0.6% | |||
AT&T, Inc.: | |||
3.55%, 9/15/55 | 454 | $278,205 | |
3.65%, 6/1/51 | 631 | 407,160 | |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 124 | 112,745 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 1,078 | 754,585 | |
Nokia Oyj, 4.375%, 6/12/27 | 127 | 117,713 | |
Rogers Communications, Inc., 4.55%, 3/15/52 | 544 | 397,222 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 185 | 124,754 | |
SES S.A., 5.30%, 4/4/43(1) | 109 | 73,501 | |
Sprint, LLC, 7.125%, 6/15/24 | 141 | 141,980 | |
$2,407,865 | |||
Consumer, Cyclical — 1.1% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 476 | $465,967 | |
Aptiv PLC/Aptiv Corp., 3.25%, 3/1/32 | 146 | 119,751 |
5
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | |
Consumer, Cyclical (continued) | |||
Bath & Body Works, Inc.: | |||
6.875%, 11/1/35 | 39 | $ 34,875 | |
7.60%, 7/15/37 | 165 | 145,000 | |
Brunswick Corp., 5.10%, 4/1/52 | 133 | 91,719 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd.: | |||
4.50%, 10/20/25(1) | 225 | 218,630 | |
4.75%, 10/20/28(1) | 460 | 437,328 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 746 | 453,637 | |
Ford Motor Co., 4.75%, 1/15/43 | 45 | 32,894 | |
Ford Motor Credit Co., LLC, 7.35%, 11/4/27 | 356 | 363,891 | |
General Motors Financial Co., Inc.: | |||
4.30%, 4/6/29 | 239 | 214,534 | |
5.80%, 6/23/28 | 45 | 43,987 | |
5.85%, 4/6/30(7) | 693 | 664,248 | |
Hyundai Capital America, 5.70%, 6/26/30(1) | 100 | 96,269 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 373 | 314,775 | |
4.375%, 1/15/31(1)(7) | 60 | 49,698 | |
Macy's Retail Holdings, LLC: | |||
4.30%, 2/15/43 | 30 | 16,794 | |
5.875%, 4/1/29(1)(7) | 66 | 57,852 | |
WarnerMedia Holdings, Inc.: | |||
5.05%, 3/15/42 | 336 | 260,045 | |
5.391%, 3/15/62 | 175 | 129,369 | |
$4,211,263 | |||
Consumer, Non-cyclical — 0.9% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | 200 | $182,036 | |
4.25%, 11/1/29(1) | 384 | 340,311 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 214 | 164,649 | |
3.375%, 2/15/30 | 199 | 166,206 | |
4.25%, 12/15/27(7) | 257 | 237,151 | |
4.625%, 12/15/29 | 36 | 32,465 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 221 | 193,396 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 255 | 189,915 | |
Conservation Fund (The), 3.474%, 12/15/29 | 285 | 240,839 | |
CVS Health Corp.: | |||
5.25%, 1/30/31 | 415 | 398,959 | |
5.875%, 6/1/53 | 171 | 158,267 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 254 | 251,399 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 678 | 376,568 | |
Ford Foundation (The), 2.415%, 6/1/50 | 435 | 253,762 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 323 | 231,874 | |
3.00%, 10/15/30(1) | 77 | 58,921 | |
5.20%, 4/1/29(1) | 45 | 41,152 | |
$3,517,870 |
Security | Principal Amount* (000’s omitted) | Value | |
Energy — 0.2% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 76 | $ 62,059 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 369 | 315,737 | |
5.00%, 1/31/28(1) | 460 | 417,986 | |
$ 795,782 | |||
Financial — 9.4% | |||
ABN AMRO Bank NV, 6.339% to 9/18/26, 9/18/27(1)(8) | 300 | $ 299,378 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 225 | 187,145 | |
AIB Group PLC, 6.608% to 9/13/28, 9/13/29(1)(8) | 225 | 224,211 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 60 | 55,863 | |
Ally Financial, Inc.: | |||
6.992% to 6/13/28, 6/13/29(8) | 42 | 41,124 | |
8.00%, 11/1/31(7) | 475 | 479,987 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 84 | 62,989 | |
American National Group, LLC, 6.144%, 6/13/32(1) | 70 | 63,411 | |
Ameriprise Financial, Inc., 5.15%, 5/15/33 | 307 | 290,315 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 335 | 287,151 | |
ASR Nederland N.V., 7.00% to 9/7/33, 12/7/43(8)(9) | EUR | 100 | 108,860 |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(8) | 458 | 425,388 | |
Aviation Capital Group, LLC: | |||
6.25%, 4/15/28(1) | 336 | 328,891 | |
6.375%, 7/15/30(1) | 395 | 382,846 | |
Banco Santander S.A.: | |||
5.294%, 8/18/27 | 600 | 580,453 | |
6.921%, 8/8/33 | 600 | 574,120 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(8) | 603 | 534,516 | |
1.898% to 7/23/30, 7/23/31(8) | 227 | 172,582 | |
1.922% to 10/24/30, 10/24/31(8) | 288 | 217,388 | |
2.087% to 6/14/28, 6/14/29(8) | 379 | 317,410 | |
2.299% to 7/21/31, 7/21/32(8) | 379 | 287,364 | |
2.456% to 10/22/24, 10/22/25(8) | 475 | 456,321 | |
2.551% to 2/4/27, 2/4/28(8) | 522 | 465,681 | |
3.846% to 3/8/32, 3/8/37(8) | 622 | 506,377 | |
4.571% to 4/27/32, 4/27/33(8) | 271 | 240,737 | |
5.819% to 9/15/28, 9/15/29(8) | 357 | 352,767 | |
5.872% to 9/15/33, 9/15/34(8) | 678 | 660,171 | |
6.204% to 11/10/27, 11/10/28(8) | 110 | 110,538 | |
Bank of Nova Scotia (The), 4.90% to 6/4/25(8)(10) | 79 | 72,452 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 262 | 240,526 | |
5.125% to 1/18/28, 1/18/33(1)(8) | 500 | 430,905 | |
BNP Paribas S.A.: | |||
7.75% to 8/16/29(1)(8)(10) | 220 | 209,388 | |
9.25% to 11/17/27(1)(7)(8)(10) | 400 | 410,232 |
6
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
Boston Properties, L.P., 2.45%, 10/1/33(7) | 311 | $ 212,544 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(8) | 261 | 201,107 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 24 | 16,831 | |
CaixaBank S.A., 6.208% to 1/18/28, 1/18/29(1)(8) | 685 | 670,667 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(8) | 256 | 214,294 | |
4.20%, 10/29/25 | 190 | 181,214 | |
CBRE Services, Inc., 5.95%, 8/15/34 | 80 | 75,553 | |
Charles Schwab Corp. (The): | |||
5.875%, 8/24/26 | 53 | 52,846 | |
6.136% to 8/24/33, 8/24/34(8) | 315 | 306,591 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 477 | 362,175 | |
4.10%, 6/15/51 | 455 | 263,765 | |
Citigroup, Inc., 4.00% to 12/10/25(8)(10) | 310 | 271,948 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 426 | 299,252 | |
Danske Bank A/S, 5.375%, 1/12/24(1) | 200 | 199,216 | |
Discover Bank, 5.974%, 8/9/28 | 270 | 247,310 | |
EPR Properties: | |||
3.75%, 8/15/29 | 516 | 414,996 | |
4.50%, 6/1/27 | 376 | 336,849 | |
4.95%, 4/15/28 | 263 | 233,281 | |
Extra Space Storage, L.P.: | |||
2.40%, 10/15/31 | 382 | 292,707 | |
2.55%, 6/1/31 | 293 | 228,382 | |
5.50%, 7/1/30 | 347 | 335,822 | |
F&G Annuities & Life, Inc., 7.40%, 1/13/28(7) | 924 | 923,128 | |
Fifth Third Bancorp, 6.339% to 7/27/28, 7/27/29(8) | 345 | 340,998 | |
GA Global Funding Trust, 2.25%, 1/6/27(1) | 677 | 593,765 | |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 777 | 554,591 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1)(7) | 871 | 775,110 | |
3.75%, 9/15/30(1)(7) | 158 | 121,108 | |
6.00%, 4/15/25(1)(7) | 283 | 275,681 | |
HSBC Holdings PLC: | |||
6.161% to 3/9/28, 3/9/29(8) | 447 | 442,745 | |
7.39% to 11/3/27, 11/3/28(8) | 663 | 686,153 | |
Intesa Sanpaolo SpA: | |||
7.00%, 11/21/25(1) | 200 | 202,517 | |
8.248% to 11/21/32, 11/21/33(1)(8) | 488 | 492,242 | |
Iron Mountain, Inc., 4.50%, 2/15/31(1) | 297 | 244,609 | |
Jefferies Financial Group, Inc., 5.875%, 7/21/28 | 496 | 485,703 | |
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(8) | 618 | 541,620 | |
2.545% to 11/8/31, 11/8/32(8) | 144 | 111,497 | |
4.005% to 4/23/28, 4/23/29(8) | 318 | 293,230 | |
KeyBank N.A., 5.85%, 11/15/27 | 500 | 475,790 | |
KeyCorp, 4.789% to 6/1/32, 6/1/33(8) | 250 | 208,536 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 301 | 191,909 |
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 109 | $ 63,935 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(8) | 289 | 238,068 | |
Macquarie Bank, Ltd., 6.798%, 1/18/33(1) | 498 | 489,160 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(8) | 301 | 298,778 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 134 | 133,880 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 594 | 509,209 | |
7.125%, 3/15/26(7) | 58 | 56,863 | |
PennyMac Financial Services, Inc., 4.25%, 2/15/29(1)(7) | 53 | 42,931 | |
PNC Financial Services Group, Inc. (The), Series W, 6.25% to 3/15/30(8)(10) | 149 | 128,097 | |
Radian Group, Inc., 4.875%, 3/15/27 | 393 | 367,628 | |
Rocket Mortgage, LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/1/31(1) | 557 | 444,868 | |
SITE Centers Corp., 3.625%, 2/1/25 | 259 | 246,697 | |
Societe Generale S.A.: | |||
6.221% to 6/15/32, 6/15/33(1)(8) | 255 | 231,245 | |
9.375% to 11/22/27(1)(8)(10) | 207 | 203,350 | |
Standard Chartered PLC, 1.822% to 11/23/24, 11/23/25(1)(8) | 236 | 223,088 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 266 | 225,066 | |
Sun Communities Operating, L.P.: | |||
2.70%, 7/15/31 | 102 | 78,603 | |
4.20%, 4/15/32 | 300 | 256,178 | |
Swedbank AB: | |||
5.337%, 9/20/27(1) | 203 | 196,885 | |
6.136%, 9/12/26(1) | 437 | 435,459 | |
Synchrony Bank, 5.40%, 8/22/25 | 362 | 349,042 | |
Synchrony Financial, 4.50%, 7/23/25 | 450 | 428,648 | |
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(8) | 250 | 201,966 | |
5.625%, 2/15/28 | 744 | 674,577 | |
Synovus Financial Corp., 5.90% to 2/7/24, 2/7/29(8) | 35 | 32,579 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(8) | 240 | 199,312 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(8) | 887 | 884,653 | |
Truist Financial Corp.: | |||
5.10% to 3/1/30(8)(10) | 409 | 351,724 | |
5.867% to 6/8/33, 6/8/34(8) | 985 | 927,799 | |
6.047% to 6/8/26, 6/8/27(8) | 445 | 440,314 | |
U.S. Bancorp: | |||
5.775% to 6/12/28, 6/12/29(8) | 878 | 855,115 | |
5.836% to 6/10/33, 6/12/34(8) | 450 | 424,767 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(8) | 359 | 265,827 | |
4.375% to 2/10/31(1)(8)(10) | 219 | 157,444 | |
UniCredit SpA: | |||
2.569% to 9/22/25, 9/22/26(1)(8) | 430 | 394,112 | |
5.459% to 6/30/30, 6/30/35(1)(8) | 200 | 167,799 | |
5.861% to 6/19/27, 6/19/32(1)(8) | 200 | 182,137 |
7
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(8) | 223 | $ 165,219 | |
$ 35,428,791 | |||
Government - Multinational — 1.7% | |||
Asian Development Bank, 3.125%, 9/26/28 | 540 | $ 501,797 | |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 475 | 450,574 | |
European Investment Bank: | |||
1.625%, 5/13/31 | 925 | 747,768 | |
2.375%, 5/24/27 | 1,026 | 945,188 | |
2.875%, 6/13/25(1) | 1,892 | 1,819,835 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 377 | 352,790 | |
International Bank for Reconstruction & Development, 3.125%, 11/20/25 | 1,200 | 1,151,763 | |
International Finance Corp., 5.435%, (SOFR + 0.09%), 4/3/24(3) | 246 | 246,061 | |
$6,215,776 | |||
Government - Regional — 0.2% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | 720 | $693,168 | |
$693,168 | |||
Industrial — 0.2% | |||
Berry Global, Inc., 5.50%, 4/15/28(1) | 188 | $181,734 | |
Cemex SAB de CV, 9.125% to 3/14/28(1)(8)(10) | 225 | 234,507 | |
Jabil, Inc., 3.00%, 1/15/31 | 157 | 127,342 | |
Penske Truck Leasing Co., L.P./PTL Finance Corp., 6.20%, 6/15/30(1) | 310 | 305,746 | |
$849,329 | |||
Other Revenue — 0.2% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | 675 | $542,210 | |
$542,210 | |||
Technology — 1.0% | |||
Concentrix Corp.: | |||
6.60%, 8/2/28 | 913 | $881,581 | |
6.65%, 8/2/26 | 385 | 382,824 | |
6.85%, 8/2/33 | 98 | 90,612 | |
Foundry JV Holdco, LLC, 5.875%, 1/25/34(1) | 464 | 443,741 | |
Intel Corp., 5.70%, 2/10/53 | 466 | 437,328 | |
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28(7) | 550 | 452,488 | |
3.15%, 10/15/31(7) | 236 | 178,926 | |
Marvell Technology, Inc., 5.75%, 2/15/29 | 160 | 158,599 | |
Micron Technology, Inc., 2.703%, 4/15/32 | 86 | 65,717 |
Security | Principal Amount* (000’s omitted) | Value | |
Technology (continued) | |||
Seagate HDD Cayman: | |||
5.75%, 12/1/34 | 180 | $ 152,214 | |
9.625%, 12/1/32(1) | 333 | 358,897 | |
$ 3,602,927 | |||
Utilities — 0.6% | |||
AES Corp. (The), 2.45%, 1/15/31 | 342 | $ 263,309 | |
Avangrid, Inc., 3.15%, 12/1/24 | 141 | 135,998 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 176 | 137,017 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 567 | 501,011 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 215 | 136,559 | |
4.25%, 7/15/49 | 300 | 234,920 | |
5.35%, 1/15/34 | 253 | 249,806 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 214 | 181,240 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 34 | 32,678 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 233 | 181,761 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 343 | 298,280 | |
$2,352,579 | |||
Total Corporate Bonds (identified cost $68,691,924) | $61,645,242 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 13,079 | $ 166,626 | |
Series A2, 6.375% | 12,000 | 162,000 | |
$ 328,626 | |||
Wireless Telecommunication Services — 0.1% | |||
United States Cellular Corp.: | |||
5.50% | 21,450 | $ 353,067 | |
6.25% | 2,200 | 39,930 | |
$392,997 | |||
Total Preferred Stocks (identified cost $1,236,268) | $721,623 |
8
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Senior Floating-Rate Loans(11) — 0.1% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.1% | |||
CenturyLink, Inc., Term Loan, 7.681%, (SOFR + 2.25%), 3/15/27 | $ | 315 | $ 224,887 |
Total Senior Floating-Rate Loans (identified cost $312,951) | $ 224,887 |
Sovereign Government Bonds — 0.4% |
Security | Principal Amount (000’s omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 235 | $ 180,372 |
1.00%, 10/1/26 | 1,526 | 1,363,629 | |
Total Sovereign Government Bonds (identified cost $1,746,544) | $ 1,544,001 |
Taxable Municipal Obligations — 1.2% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.4% | |||
Los Angeles Unified School District, CA, 5.75%, 7/1/34(12) | $ | 450 | $ 454,266 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 435 | 322,052 | |
New York City, NY, 5.206%, 10/1/31(12) | 470 | 462,104 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 285 | 233,224 | |
$ 1,471,646 | |||
Special Tax Revenue — 0.6% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
Social Bonds, 2.361%, 6/1/26 | $ | 405 | $ 376,079 |
Social Bonds, 2.484%, 6/1/27 | 290 | 264,555 | |
Social Bonds, 2.534%, 6/1/28 | 360 | 321,887 | |
Social Bonds, 2.584%, 6/1/29 | 200 | 174,842 | |
Social Bonds, 2.984%, 6/1/33 | 220 | 179,857 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(12) | 300 | 298,674 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(12) | 545 | 549,000 | |
$2,164,894 | |||
Water and Sewer — 0.2% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 130 | $111,107 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | $ | 170 | $ 138,613 |
Green Bonds, 2.184%, 9/1/31 | 140 | 111,432 | |
Green Bonds, 2.264%, 9/1/32 | 125 | 97,295 | |
Green Bonds, 2.344%, 9/1/33 | 135 | 102,981 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 145 | 116,320 | |
Green Bonds, 1.701%, 5/1/31 | 130 | 101,913 | |
Green Bonds, 1.951%, 5/1/34 | 75 | 54,683 | |
$834,344 | |||
Total Taxable Municipal Obligations (identified cost $5,239,644) | $4,470,884 |
U.S. Government Agencies and Instrumentalities — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.668%, 8/1/24 | $ | 240 | $ 234,542 |
2.738%, 8/1/25 | 240 | 228,180 | |
3.435%, 8/1/34 | 220 | 190,241 | |
3.485%, 8/1/35 | 125 | 105,271 | |
3.585%, 8/1/37 | 225 | 186,520 | |
U.S. International Development Finance Corp., 3.52%, 9/20/32 | 284 | 262,141 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $1,380,221) | $ 1,206,895 |
U.S. Government Agency Mortgage-Backed Securities — 7.5% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.50%, 3/1/48 | $ | 84 | $ 73,335 |
6.50%, 8/1/53 | 1,034 | 1,041,391 | |
6.00%, 6/1/53 | 75 | 73,919 | |
Federal National Mortgage Association: | |||
2.00%, 4/1/51 | 206 | 159,889 | |
2.68%, 7/1/26 | 336 | 314,625 | |
3.00%, 11/1/49 | 248 | 207,313 | |
4.00%, with various maturities to 2048 | 512 | 464,165 | |
4.00%, 30-Year, TBA(13) | 11,068 | 9,860,892 | |
4.50%, 30-Year, TBA(13) | 4,077 | 3,745,264 | |
5.00%, 30-Year, TBA(13) | 7,122 | 6,722,783 | |
5.50%, 7/1/53 | 997 | 964,738 | |
5.50%, 30-Year, TBA(13) | 3,296 | 3,186,822 | |
7.00%, 6/1/53 | 100 | 103,659 |
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Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association II: | |||
2.50%, with various maturities to 2051 | $ | 729 | $ 587,567 |
6.00%, with various maturities to 2053 | 377 | 375,010 | |
6.50%, 6/20/53 | 329 | 333,791 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $29,163,367) | $ 28,215,163 |
U.S. Treasury Obligations — 7.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bond: | |||
1.375%, 8/15/50 | $ | 497 | $ 242,676 |
1.875%, 2/15/41 | 481 | 310,489 | |
1.875%, 2/15/51 | 186 | 104,294 | |
1.875%, 11/15/51 | 368 | 205,232 | |
2.00%, 11/15/41 | 795 | 516,206 | |
2.00%, 8/15/51 | 338 | 195,116 | |
2.25%, 2/15/52 | 523 | 321,124 | |
2.375%, 2/15/42 | 4,994 | 3,453,566 | |
2.875%, 5/15/43 | 2,332 | 1,728,549 | |
2.875%, 5/15/52 | 275 | 195,046 | |
3.00%, 5/15/47 | 38 | 27,891 | |
3.00%, 8/15/52 | 127 | 92,576 | |
3.625%, 2/15/53 | 292 | 241,562 | |
3.625%, 5/15/53 | 43 | 35,613 | |
3.875%, 2/15/43 | 530 | 461,348 | |
3.875%, 5/15/43 | 43 | 37,390 | |
4.00%, 11/15/42 | 50 | 44,387 | |
4.00%, 11/15/52 | 317 | 281,040 | |
5.375%, 2/15/31 | 26 | 27,289 | |
6.25%, 5/15/30 | 13 | 14,185 | |
U.S. Treasury Note: | |||
0.25%, 3/15/24 | 1,022 | 998,708 | |
0.25%, 6/15/24 | 287 | 276,707 | |
0.375%, 4/15/24 | 345 | 335,750 | |
0.75%, 11/15/24 | 105 | 99,750 | |
0.875%, 11/15/30 | 54 | 42,023 | |
1.00%, 7/31/28 | 58 | 48,935 | |
1.125%, 1/15/25 | 301 | 285,409 | |
1.25%, 12/31/26 | 1,384 | 1,239,977 | |
1.25%, 3/31/28 | 581 | 501,544 | |
1.25%, 4/30/28 | 1,022 | 880,038 | |
1.25%, 6/30/28 | 303 | 259,515 | |
1.50%, 1/31/27 | 152 | 136,883 | |
1.875%, 2/28/27 | 3,887 | 3,538,020 | |
1.875%, 2/15/32 | 260 | 211,240 | |
2.125%, 3/31/24 | 420 | 413,136 | |
2.50%, 5/31/24 | 280 | 274,595 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Note: (continued) | |||
2.625%, 4/15/25 | $ | 310 | $ 298,193 |
2.875%, 4/30/29 | 4,465 | 4,078,324 | |
3.00%, 6/30/24 | 280 | 274,913 | |
3.125%, 8/31/27 | 1,146 | 1,081,761 | |
3.125%, 8/31/29 | 441 | 406,478 | |
3.375%, 5/15/33 | 308 | 279,366 | |
3.50%, 1/31/28 | 631 | 602,285 | |
3.50%, 4/30/30 | 90 | 84,245 | |
3.625%, 5/15/26 | 23 | 22,296 | |
3.625%, 5/31/28 | 97 | 92,980 | |
3.875%, 9/30/29 | 465 | 446,127 | |
4.125%, 7/31/28 | 60 | 58,711 | |
4.125%, 11/15/32 | 43 | 41,478 | |
4.375%, 8/15/26 | 300 | 296,297 | |
4.50%, 11/15/25 | 880 | 870,822 | |
4.625%, 6/30/25 | 900 | 892,371 | |
4.625%, 9/15/26 | 42 | 41,797 | |
Total U.S. Treasury Obligations (identified cost $31,126,936) | $27,946,253 |
Short-Term Investments — 3.0% | |||
Affiliated Fund — 2.6% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(14) | 9,645,777 | $ 9,645,777 | |
Total Affiliated Fund (identified cost $9,645,777) | $ 9,645,777 | ||
Securities Lending Collateral — 0.4% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.36%(15) | 1,741,035 | $ 1,741,035 | |
Total Securities Lending Collateral (identified cost $1,741,035) | $ 1,741,035 | ||
Total Short-Term Investments (identified cost $11,386,812) | $ 11,386,812 | ||
Total Purchased Call Options — 0.0%(16) (identified cost $16,059) | $ 16,500 | ||
Total Investments — 106.3% (identified cost $352,540,952) | $399,617,095 | ||
Other Assets, Less Liabilities — (6.3)% | $(23,643,657) | ||
Net Assets — 100.0% | $375,973,438 |
10
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At September 30, 2023, the aggregate value of these securities is $57,419,758 or 15.3% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2023. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at September 30, 2023. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate. |
(6) | Non-income producing security. |
(7) | All or a portion of this security was on loan at September 30, 2023. The aggregate market value of securities on loan at September 30, 2023 was $2,455,126 and the total market value of the collateral received by the Fund was $2,554,856, comprised of cash of $1,741,035 and U.S. government and/or agencies securities of $813,821. |
(8) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(9) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At September 30, 2023, the aggregate value of these securities is $108,860 or less than 0.05% of the Fund's net assets. |
(10) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(11) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(12) | Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
(13) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
(15) | Represents investment of cash collateral received in connection with securities lending. |
(16) | Amount is less than 0.05%. |
11
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Purchased Call Options (Exchange-Traded) — 0.0%(1)
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
U.S. 10-Year Treasury Note Futures 12/2023 | 32 | $3,458,000 | $110.00 | 11/24/23 | $16,500 |
Total | $16,500 |
(1) | Amount is less than 0.05%. |
Forward Foreign Currency Exchange Contracts (OTC)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 98,789 | CAD | 133,500 | State Street Bank and Trust Company | 11/10/23 | $449 | $ — |
USD | 116,992 | EUR | 105,556 | JPMorgan Chase Bank, N.A. | 11/10/23 | 5,217 | — |
$5,666 | $ — |
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 74 | Long | 12/29/23 | $15,000,609 | $(66,556) |
U.S. 5-Year Treasury Note | 16 | Long | 12/29/23 | 1,685,750 | (2,080) |
U.S. 10-Year Treasury Note | 18 | Long | 12/19/23 | 1,945,125 | (19,446) |
U.S. Long Treasury Bond | 63 | Long | 12/19/23 | 7,168,219 | (304,312) |
U.S. Ultra-Long Treasury Bond | 18 | Long | 12/19/23 | 2,136,375 | (118,746) |
U.S. 5-Year Treasury Note | (5) | Short | 12/29/23 | (526,797) | 5,733 |
U.S. 10-Year Treasury Note | (1) | Short | 12/19/23 | (108,063) | 2,006 |
U.S. Ultra 10-Year Treasury Note | (59) | Short | 12/19/23 | (6,582,187) | 208,759 |
U.S. Ultra-Long Treasury Bond | (6) | Short | 12/19/23 | (712,125) | 38,942 |
$(255,700) |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
EUR | – Euro |
USD | – United States Dollar |
At September 30, 2023, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
12
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Foreign Exchange Risk: During the fiscal year to date ended September 30, 2023, the Fund entered into forward foreign currency exchange contracts to seek to hedge against the decline in the value of currencies in which its portfolio holdings are denominated against the U.S. dollar.
Interest Rate Risk: During the fiscal year to date ended September 30, 2023, the Fund entered into futures contracts and options on futures contracts to hedge interest rate risk and to manage duration.
Affiliated Investments
At September 30, 2023, the value of the Fund's investment in issuers and funds that may be deemed to be affiliated was $10,327,597, which represents 2.7% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended September 30, 2023 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36 | $ 452,353 | $ — | $ (48,832) | $ — | $4,801 | $ 408,322 | $ 22,555 | $ 423,756 |
Series 2019-BPR, Class B, 8.022%, (1 mo. SOFR + 2.692%), 5/15/36 | 175,544 | — | — | — | 3,232 | 178,838 | 10,526 | 187,000 |
Series 2019-BPR, Class C, 8.972%, (1 mo. SOFR + 3.642%), 5/15/36 | 92,695 | — | — | — | 1,965 | 94,660 | 6,317 | 100,000 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | 6,867,206 | 60,283,140 | (57,504,569) | — | — | 9,645,777 | 180,325 | 9,645,777 |
Total | $ — | $9,998 | $10,327,597 | $219,723 |
(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 September 30, 2023, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $23,545,284 | $ — | $23,545,284 |
Collateralized Mortgage Obligations | — | 5,192,626 | — | 5,192,626 |
Commercial Mortgage-Backed Securities | — | 16,572,691 | — | 16,572,691 |
Common Stocks | 216,928,234(1) | — | — | 216,928,234 |
Corporate Bonds | — | 61,645,242 | — | 61,645,242 |
Preferred Stocks | 721,623 | — | — | 721,623 |
Senior Floating-Rate Loans | — | 224,887 | — | 224,887 |
Sovereign Government Bonds | — | 1,544,001 | — | 1,544,001 |
Taxable Municipal Obligations | — | 4,470,884 | — | 4,470,884 |
U.S. Government Agencies and Instrumentalities | — | 1,206,895 | — | 1,206,895 |
U.S. Government Agency Mortgage-Backed Securities | — | 28,215,163 | — | 28,215,163 |
U.S. Treasury Obligations | — | 27,946,253 | — | 27,946,253 |
13
Calvert
VP SRI Balanced Portfolio
September 30, 2023
Schedule of Investments (Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Short-Term Investments: | ||||
Affiliated Fund | $9,645,777 | $ — | $ — | $9,645,777 |
Securities Lending Collateral | 1,741,035 | — | — | 1,741,035 |
Purchased Call Options | 16,500 | — | — | 16,500 |
Total Investments | $229,053,169 | $170,563,926 | $ — | $399,617,095 |
Forward Foreign Currency Exchange Contracts | $ — | $5,666 | $ — | $5,666 |
Futures Contracts | 255,440 | — | — | 255,440 |
Total | $229,308,609 | $170,569,592 | $ — | $399,878,201 |
Liability Description | ||||
Futures Contracts | $(511,140) | $ — | $ — | $(511,140) |
Total | $(511,140) | $ — | $ — | $(511,140) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Investment Valuation - Derivatives. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority and are categorized as Level 1 in the hierarchy.
Options Contracts— Upon the purchase of a call or put option, the premium paid by the Fund is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Fund’s policies on investment valuations discussed above. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. An option on a futures contract gives the holder the right to enter into a specified futures contract. As the purchaser of an index option, the Fund has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
For additional 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.
14