UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04000
CALVERT VARIABLE PRODUCTS, INC.
(Exact name of registrant as specified in charter)
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Address of Principal Executive Offices)
Ivy Wafford Duke, Esq.
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Name and Address of Agent for Service)
Registrant's telephone number, including area code: (301) 951-4800
Date of fiscal year end: December 31
Date of reporting period: Six months ended June 30, 2015
Item 1. Report to Stockholders.
[Calvert VP SRI Large Cap Value Portfolio Semi-Semi-Annual Report to Shareholders]
[Calvert VP S&P 500 Index Portfolio Semi-Annual Report to Shareholders]
[Calvert VP S&P MidCap 400 Index Portfolio Semi-Annual Report to Shareholders]
[Calvert VP Nasdaq-100 Index Portfolio Semi-Annual Report to Shareholders]
[Calvert VP Russell 2000 Small Cap Index Portfolio Semi-Annual Report to Shareholders]
[Calvert VP EAFE International Index Portfolio Semi-Annual Report to Shareholders]
[Calvert VP Investment Grade Bond Index Portfolio Semi-Annual Report to Shareholders]
[Calvert VP Natural Resources Portfolio Semi-Annual Report to Shareholders]
[Calvert VP Volatility Managed Moderate Portfolio Semi-Annual Report to Shareholders]
[Calvert VP Volatility Managed Moderate Growth Portfolio Semi-Annual Report to Shareholders]
[Calvert VP Volatility Managed Growth Portfolio Semi-Annual Report to Shareholders]
Calvert VP SRI Large Cap Value Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
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With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 5
CALVERT VP SRI LARGE CAP VALUE PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Calvert Investment Management, Inc.
Performance
For the six months ended June 30, 2015, the Calvert VP SRI Large Cap Value Portfolio returned 1.72 percent, outperforming its benchmark, the Russell 1000 Value Index, which declined 0.61 percent. The Portfolio also outperformed the Lipper VA Large-Cap Value Funds Average, which returned 0.12 percent in the period. All of the outperformance occurred in the second quarter of 2015.
Investment Process
Our investment process is grounded in an owner-operator mentality, where we seek sound businesses that are temporarily undervalued or underappreciated by the market. We focus on attractively valued business franchises with dividend yields, reasonable growth prospects, solid financial strength, and attractive or improving environmental, social, and governance (ESG) attributes.
Market Review
A persistent theme of the past cycle has been a long streak of growth style stocks outperforming their value counterparts. The first quarter was no exception even as the economy contracted primarily because of port strikes, harsh winter conditions, and the shrinking shale industry. Generally, the recovery this cycle has been spotty and tepid, lacking the strength that is conducive to outperformance in the value style. The silver lining, however, is that our Portfolio’s holdings are attractively valued relative to the market and are positioned to benefit from a steadily firming economy and the Fed’s resolve to raise rates later this year. As of the second quarter, the Portfolio benefited from minimum exposure to holdings like utilities and real-estate investment trusts that perform best in low interest rate environments and an overweight to subsectors that do better in rising rate environments, including banks, brokers, and insurers.
The other theme that dominated the markets this cycle was the diverging of U.S. Fed policy from that of global peers as improvement in the U.S. economy outpaced that of its global peers. We are now seeing signs of economic stabilization, particularly in Europe and Japan, where in both cases, quantitative easing is working its way through the system, as evidenced, in the first instance, by the remarkable rise in the yields of German bonds, known as Bunds, during the second quarter.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month* | 1.72 | % | ||
One year | 3.52 | % | ||
Five year | 15.28 | % | ||
Ten year | 6.53 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 0.85%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Generally speaking, despite the snap back of European and Japanese equities, we are still seeing better value outside of the U.S.
Portfolio Strategy
Activity
During the period, IBM, Sainsbury’s, and Swatch were added to the Portfolio. Despite IBM’s challenges, its underlying profitability has steadily improved as a result of cost reductions and a shift toward software and higher-value services. IBM is an ESG leader in ensuring customer privacy and data security. However, we are keeping a watchful eye on its governance practices, with management compensation increasing despite continuous work force reductions and poor stock performance.
Swatch has evolved into the world’s largest manufacturer, marketer, and distributor of timepieces, managing a powerful portfolio of Swiss watch brands. Its valuable intangible assets and cost advantages in watch production make it a very profitable company.
Sainsbury’s is a pure play U.K grocer in that it operates in a single industry. It focuses on wealthier neighborhoods and better quality foods and trades at a significant discount to global peers. Sainsbury’s is also considered an ESG leader, having committed to carbon emission cuts and reformulating products to cut sugar, salt, and fat.
We have also slimmed down the portfolio to include only our higher conviction names. In doing so, we eliminated holdings in the security services company ADT Corporation and the refiner Phillips 66, and sold most of our position in the utility FirstEnergy. We also sold out of Walgreens Boots Alliance after the stock jumped, providing a nearly 50 percent return1 from our initial entry point into the stock.
Performance
Consistent with our view that global stocks are less expensive, four of the top contributors to portfolio return were international companies—Sanofi, Vodafone, Deutsche Telekom, and Unilever. Sanofi had been trading at a discount to peers amid a management change and concerns over drug pricing in 2014. The company maintains strong positions in important drug categories and demonstrates sector-leading initiative in improving access to health care in emerging countries.
Vodafone and Deutsche Telekom were the only holdings in the Portfolio’s telecommunications sector and significantly outperformed their U.S. peers. Both are well positioned to benefit from the rapidly consolidating European market, which has historically been much more fragmented than that of the U.S.
______________________________
1 Returns reflect the period the holding was in the Portfolio.
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Consumer Discretionary | 7.2 | % | |
Consumer Staples | 7.8 | % | |
Energy | 8.0 | % | |
Financials | 22.7 | % | |
Health Care | 13.4 | % | |
Industrials | 12.0 | % | |
Information Technology | 14.7 | % | |
Materials | 2.5 | % | |
Short-Term Investments | 5.5 | % | |
Telecommunication Services | 5.7 | % | |
Utilities | 0.5 | % | |
Total | 100 | % | |
Both are also benefiting from their ongoing investments in their respective networks. Vodafone is an ESG leader, with strong labor practices and data protection, while Deutsche Telekom has one of the strongest risk management systems for addressing privacy and data security issues.
Unilever is the third-largest packaged food firm in the world and one of the largest global household and personal product firms, with 57 percent of revenues coming from fast-growing emerging markets. Unilever has been able to consistently increase prices across its product assortment while expanding volume and improving operating margins. It is an ESG leader and is especially strong in many environmental areas, particularly sourcing of raw materials. It stands out in its industry for its innovative programs with suppliers and long-term supplier relationships.
We added to financial stocks early in the year because they were quite attractive at the time, pricing in persistently low interest rates. This paid off as the sector was one of the best performing over the six-month period. PNC Financial Services Group, JPMorgan Chase, and American International Group were top contributors to returns.
National Oilwell Varco was the largest detractor from performance over the period. The underperformance was skewed toward the first quarter when its customers were severely cutting capital spending as oil and natural gas prices remained low. National Oilwell should fare better than its peers, given its installed base of equipment and global repair and maintenance facilities, which provide steady service revenue. It has a strong balance sheet and is very attractively valued. The company has implemented strong anti-bribery policies, and its leading product is a blowout preventer that prevents oil spill disasters.
www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 7
Potash Corporation of Saskatchewan, or PotashCorp, was the only international stock among the top detractors in the Portfolio. PotashCorp, the world’s largest fertilizer company by capacity, should benefit from a moderating capital expenditures program and see significant improvement in free cash flow. The company makes a vital ingredient that allows farmers to produce more crops on less land, necessary to support a growing global population with increasing urbanization.
The Portfolio is underweight energy, financials, and utilities.
Outlook
Our long-term view on U.S. equities has been consistently bullish since the financial crisis. The U.S. economy continues to be more structurally sound than many of its European or emerging market counterparts, a position that supports the U.S. dollar. We see the U.S. economy accelerating in the second half of the year, similar to the pattern we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will have an additional beneficial effect.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors continue to be nervous about Greece’s status in the eurozone and a potential bubble burst in China.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally. We continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual.
We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above average multiples. Our focus on strong balance sheets, sound businesses, valuations, and ESG leadership will serve us well over the long term.
Sincerely,
Rachel Volynsky
Vice President and Senior Portfolio Manager
July 2015
As of June 30, 2015, the following companies represented the following percentages of net assets: IBM 2.67%, Sainsbury’s 0.70%, Swatch 0.54%, ADT 0.00%, Phillips 66 0.00%, FirstEnergy 0.52%, Walgreens Boots Alliance 0.00%, Sanofi 3.85%, Vodafone 3.73%, Deutsche Telekom 2.04%, Unilever 2.85%, PNC Financial Services Group 5.02%, JPMorgan Chase 3.82%, American International Group 2.79%, National Oilwell Varco 3.39%, and Potash Corporation of Saskatchewan 2.51%. Holdings are subject to change.
8 www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.78% | $1,000.00 | $1,017.20 | $3.90 |
Hypothetical (5% return per year before expenses) | 0.78% | $1,000.00 | $1,020.93 | $3.91 |
* Expenses are equal to the Portfolio’s annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EQUITY SECURITIES- 95.3% | |||||
Banks - 11.7% | |||||
Fifth Third Bancorp | 148,146 | 3,084,400 | |||
JPMorgan Chase & Co. | 61,320 | 4,155,043 | |||
PNC Financial Services Group, Inc. (The) | 57,156 | 5,466,971 | |||
12,706,414 | |||||
Beverages - 1.1% | |||||
PepsiCo, Inc. | 13,192 | 1,231,341 | |||
Biotechnology - 1.9% | |||||
Amgen, Inc. | 13,400 | 2,057,168 | |||
Capital Markets - 4.7% | |||||
Bank of New York Mellon Corp. (The) | 48,288 | 2,026,647 | |||
Morgan Stanley | 78,440 | 3,042,688 | |||
5,069,335 | |||||
Chemicals - 2.5% | |||||
Potash Corp. of Saskatchewan, Inc. | 88,377 | 2,737,036 | |||
Communications Equipment - 5.1% | |||||
Cisco Systems, Inc. | 75,224 | 2,065,651 | |||
QUALCOMM, Inc. | 54,827 | 3,433,815 | |||
5,499,466 | |||||
Consumer Finance - 1.9% | |||||
Capital One Financial Corp. | 23,104 | 2,032,459 | |||
Diversified Telecommunication Services - 2.0% | |||||
Deutsche Telekom AG (ADR) | 129,254 | 2,225,108 | |||
Electric Utilities - 0.5% | |||||
FirstEnergy Corp. | 17,536 | 570,797 | |||
Electrical Equipment - 2.0% | |||||
Eaton Corp. plc | 31,670 | 2,137,408 | |||
Energy Equipment & Services - 3.4% | |||||
National Oilwell Varco, Inc. | 76,481 | 3,692,503 | |||
Food & Staples Retailing - 0.7% | |||||
J Sainsbury plc (ADR) | 45,000 | 758,700 | |||
Health Care Providers & Services - 1.6% | |||||
Quest Diagnostics, Inc. | 23,883 | 1,731,995 | |||
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SHARES | VALUE ($) | ||||
Household Products - 3.1% | |||||
Procter & Gamble Co. (The) | 43,450 | 3,399,528 | |||
Industrial Conglomerates - 3.6% | |||||
General Electric Co. | 147,864 | 3,928,746 | |||
Insurance - 4.7% | |||||
American International Group, Inc. | 49,146 | 3,038,206 | |||
MetLife, Inc. | 37,116 | 2,078,125 | |||
5,116,331 | |||||
Internet Software & Services - 3.9% | |||||
eBay, Inc.* | 4,618 | 278,188 | |||
Google, Inc.: | |||||
Class A* | 2,600 | 1,404,104 | |||
Class C* | 5,010 | 2,607,755 | |||
4,290,047 | |||||
IT Services - 2.7% | |||||
International Business Machines Corp. | 17,847 | 2,902,993 | |||
Machinery - 6.5% | |||||
Cummins, Inc. | 20,851 | 2,735,443 | |||
Deere & Co. | 45,049 | 4,372,005 | |||
7,107,448 | |||||
Media - 3.7% | |||||
Comcast Corp., Class A | 32,677 | 1,965,195 | |||
Time Warner, Inc. | 23,265 | 2,033,593 | |||
3,998,788 | |||||
Oil, Gas & Consumable Fuels - 4.7% | |||||
Devon Energy Corp. | 26,931 | 1,602,125 | |||
Noble Energy, Inc. | 48,389 | 2,065,243 | |||
Occidental Petroleum Corp. | 18,600 | 1,446,522 | |||
5,113,890 | |||||
Personal Products - 2.9% | |||||
Unilever NV, NY Shares | 74,235 | 3,105,992 | |||
Pharmaceuticals - 10.0% | |||||
Merck & Co., Inc. | 52,164 | 2,969,696 | |||
Pfizer, Inc. | 111,624 | 3,742,753 | |||
Sanofi SA (ADR) | 84,739 | 4,197,123 | |||
10,909,572 | |||||
Software - 3.2% | |||||
Microsoft Corp. | 78,757 | 3,477,122 | |||
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SHARES | VALUE ($) | ||||
Specialty Retail - 3.0% | |||||
Gap, Inc. (The) | 86,841 | 3,314,721 | |||
Textiles, Apparel & Luxury Goods - 0.5% | |||||
Swatch Group AG (The) | 1,500 | 584,305 | |||
Wireless Telecommunication Services - 3.7% | |||||
Vodafone Group plc (ADR) | 111,343 | 4,058,452 | |||
Total Equity Securities (Cost $98,527,039) | 103,757,665 | ||||
TIME DEPOSIT- 5.5% | PRINCIPAL AMOUNT ($) | ||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 6,006,129 | 6,006,129 | |||
Total Time Deposit (Cost $6,006,129) | 6,006,129 | ||||
TOTAL INVESTMENTS (Cost $104,533,168) - 100.8% | 109,763,794 | ||||
Other assets and liabilities, net - (0.8)% | (877,394) | ||||
NET ASSETS - 100.0% | $108,886,400 | ||||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 1,151,846 shares of common stock outstanding; | |||
$0.10 par value, 40,000,000 shares authorized | $102,023,446 | ||
Undistributed net investment income | 1,539,906 | ||
Accumulated net realized gain (loss) | 93,631 | ||
Net unrealized appreciation (depreciation) on investments and assets and liabilities denominated in foreign currencies | 5,229,417 | ||
NET ASSETS | $108,886,400 | ||
NET ASSET VALUE PER SHARE | $94.53 | ||
* | Non-income producing security. |
Abbreviations: | |
ADR: | American Depositary Receipts |
plc: | Public Limited Company |
See notes to financial statements. |
12 www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income (net of foreign tax withheld of $42,819) | $1,922,602 | ||
Interest income | 1,013 | ||
Total investment income | 1,923,615 | ||
Expenses: | |||
Investment advisory fee | 448,805 | ||
Administrative fees | 70,126 | ||
Transfer agency fees and expenses | 6,181 | ||
Directors’ fees and expenses | 12,722 | ||
Accounting fees | 15,159 | ||
Custodian fees | 5,437 | ||
Professional fees | 15,970 | ||
Reports to shareholders | 19,195 | ||
Miscellaneous | 1,433 | ||
Total expenses | 595,028 | ||
Reimbursement from Advisor | (48,047) | ||
Net expenses | 546,981 | ||
NET INVESTMENT INCOME | 1,376,634 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on investments | 10,659,033 | ||
Change in unrealized appreciation (depreciation) on: | |||
Investments | (9,100,416) | ||
Assets and liabilities denominated in foreign currencies | (1,209) | ||
(9,101,625) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,557,408 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $2,934,042 | ||
See notes to financial statements. |
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STATEMENTS OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | ||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||
Operations: | |||||||
Net investment income | $1,376,634 | $2,039,094 | |||||
Net realized gain (loss) | 10,659,033 | 28,609,928 | |||||
Change in unrealized appreciation (depreciation) | (9,101,625) | (17,613,156) | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 2,934,042 | 13,035,866 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (2,179,364) | |||||
Net realized gain | — | (14,806,187) | |||||
Total distributions | — | (16,985,551) | |||||
Capital share transactions: | |||||||
Shares sold | 776,057 | 1,538,975 | |||||
Reinvestment of distributions | — | 16,985,551 | |||||
Shares redeemed | (43,924,804) | (21,511,824) | |||||
Total capital share transactions | (43,148,747) | (2,987,298) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (40,214,705) | (6,936,983) | |||||
NET ASSETS | |||||||
Beginning of period | 149,101,105 | 156,038,088 | |||||
End of period (including undistributed net investment income of $1,539,906 and $163,272, respectively) | $108,886,400 | $149,101,105 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 8,337 | 15,232 | |||||
Reinvestment of distributions | — | 180,928 | |||||
Shares redeemed | (460,888) | (213,868) | |||||
Total capital share activity | (452,551) | (17,708) | |||||
See notes to financial statements. |
14 www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP SRI Large Cap Value Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or the last available price and are categorized as Level 2 in the hierarchy. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.
www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 15
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, no securities were fair valued in good faith under the direction of the Board.
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities* | $103,757,665 | $— | $— | $103,757,665 | ||||||||
Time Deposit | — | 6,006,129 | — | 6,006,129 | ||||||||
TOTAL | $103,757,665 | $6,006,129 | $— | $109,763,794 |
* For further breakdown of equity securities by industry type, please refer to the Statement of Net Assets.
Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Foreign Currency Transactions: The Portfolio’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on investments and assets and liabilities denominated in foreign currencies.
16 www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .64%, of the Portfolio’s average daily net assets. Under the terms of the agreement, $64,777 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is .78%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit acquired fund fees and expenses, if any. Under the terms of the agreement, $9,191 was receivable at period end.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $10,121 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $5,489 for the six months ended June 30, 2015. Under the terms of the agreement, $872 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $14,947,571 and $58,728,375, respectively.
CAPITAL LOSS CARRYFORWARD
Expiration Date
31-Dec-17 ($10,686,245)
31-Dec-18 (3,201,024)
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward to offset future capital gains for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their character as either long-term or short-term. Capital losses incurred in pre-enactment taxable years can be utilized until expiration. The Portfolio’s use of net capital losses acquired from reorganizations may be limited under certain tax provisions.
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As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $9,390,126 | ||
Unrealized (depreciation) | (4,168,797) | ||
Net unrealized appreciation/(depreciation) | $5,221,329 | ||
Federal income tax cost of investments | $104,542,465 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2015.
For the six months ended June 30, 2015, borrowing information by the Portfolio under the agreement was as follows:
Average Daily Balance | Weighted Average Interest Rate | Maximum Amount Borrowed | Month of Maximum Amount Borrowed |
$6,669 | 1.382% | $869,425 | May 2015 |
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
18 www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
2015 (z) | 2014 | 2013 | 2012 | 2011 (z) | 2010 (z) | ||||||||||||||||||
Net asset value, beginning | $92.93 | $96.19 | $73.80 | $64.22 | $66.82 | $60.76 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.91 | 1.44 | 1.39 | 1.36 | 1.24 | 1.05 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.69 | 7.22 | 22.48 | 9.56 | (2.36 | ) | 6.00 | ||||||||||||||||
Total from investment operations | 1.60 | 8.66 | 23.87 | 10.92 | (1.12 | ) | 7.05 | ||||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (1.53 | ) | (1.48 | ) | (1.34 | ) | (1.48 | ) | (0.99 | ) | ||||||||||||
Net realized gain | — | (10.39 | ) | — | — | — | — | ||||||||||||||||
Total distributions | — | (11.92 | ) | (1.48 | ) | (1.34 | ) | (1.48 | ) | (0.99 | ) | ||||||||||||
Total increase (decrease) in net asset value | 1.60 | (3.26 | ) | 22.39 | 9.58 | (2.60 | ) | 6.06 | |||||||||||||||
Net asset value, ending | $94.53 | $92.93 | $96.19 | $73.80 | $64.22 | $66.82 | |||||||||||||||||
Total return* | 1.72 | % | 8.88 | % | 32.39 | % | 17.03 | % | (1.68 | )% | 11.60 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 1.96 | % (a) | 1.34 | % | 1.51 | % | 1.87 | % | 1.85 | % | 1.70 | % | |||||||||||
Total expenses | 0.85 | % (a) | 0.85 | % | 0.84 | % | 0.85 | % | 0.85 | % | 0.84 | % | |||||||||||
Expenses before offsets | 0.78 | % (a) | 0.78 | % | 0.78 | % | 0.77 | % | 0.75 | % | 0.74 | % | |||||||||||
Net expenses | 0.78 | % (a) | 0.78 | % | 0.78 | % | 0.77 | % | 0.75 | % | 0.74 | % | |||||||||||
Portfolio turnover | 11 | % | 72 | % | 55 | % | 51 | % | 16 | % | 27 | % | |||||||||||
Net assets, ending (in thousands) | $108,886 | $149,101 | $156,038 | $130,833 | $117,125 | $164,863 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 19
EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements may be used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
20 www.calvert.com CALVERT VP SRI LARGE CAP VALUE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP S&P 500 Index Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 5
CALVERT VP S&P 500 INDEX PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., Subadvisor
Performance
In the six months ended June 30, 2015, the Calvert VP S&P 500 Index Portfolio returned 1.02 percent, compared with the S&P 500, which returned 1.23 percent. The underperformance was due primarily to operating expenses, which the Index does not incur.
Investment Process
The Portfolio seeks, as closely as possible, to replicate the holdings and match the performance of the S&P 500 Index. In pursuit of this objective, the Portfolio employs a passive management approach. It buys and sells securities only to replicate the underlying Index. Standard & Poor’s will make changes to the Index occasionally due to corporate actions, mergers and acquisitions, and other discretionary considerations.
Market Review
The U.S. unemployment rate continued to decline during the period, indicating a measure of strengthening in the economy. Meanwhile, the European Central Bank’s January announcement that it would begin quantitative easing with a 60 billion euro purchase of bonds each month began to give a boost to European economies.
Despite the improving U.S. labor market, however, growth in the U.S., as represented by GDP, was tepid. While more people were working, the prevalence of poor quality jobs, either low paying, part time, or both, put a damper on economic growth. In addition, data indicated a slowdown in manufacturing, declining business spending, unimpressive retail sales, and a mixed housing picture.
Nevertheless, there were sufficient positive indicators to keep the Federal Reserve poised to begin raising interest rates, possibly as early as the fourth quarter. This led to an uptick in interest rates for all maturities, a steepening of the yield curve, and increased volatility as the market reacted to successive events as if they were predictors of when the hikes might actually occur.
Portfolio Strategy
Health care was the strongest performing sector in the Index, gaining 9.56 percent, as providers continued to benefit from the Affordable Care Act. Utilities was the weakest performing sector, declining 10.67 percent, as rising interest rates weighed on high-yielding utility stocks.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month* | 1.02 | % | ||
One year | 6.97 | % | ||
Five year | 16.88 | % | ||
Ten year | 7.52 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 0.46%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
At period end, the technology sector had the largest weight in the Index, at 19.6 percent. Telecommunication services had the smallest weight, at 2.3 percent.
Outlook
We see the U.S. economy accelerating in the second half of the year, in a similar pattern to that we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will also provide an economic boost.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors around the world are starting to get nervous about rich valuations across many risky asset categories, including equities. Some of the negative catalysts currently in the system, such as uncertainty about Greece’s status in the eurozone and a potential bubble burst in China, make markets more vulnerable to shocks given current valuations.
We continue to be concerned that concurrent easing efforts in multiple global economies in Europe and Asia will be less potent than that carried out in the U.S. in response to the financial crisis because these efforts will cancel each other out to some extent. As such, market enthusiasm for global easing may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally. We continue to be less aggressive than consensus with respect to the timing of a Fed rate hike, believing that hikes are more likely to occur in December or early 2016 than earlier. Equally as important, we continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual. We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above-average multiples.
July 2015
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Consumer Discretionary | 12.1 | % | |
Consumer Staples | 8.9 | % | |
Energy | 7.4 | % | |
Exchange-Traded Products | 1.1 | % | |
Financials | 15.7 | % | |
Government | 0.3 | % | |
Health Care | 14.6 | % | |
Industrials | 9.6 | % | |
Information Technology | 18.6 | % | |
Materials | 3.0 | % | |
Short-Term Investments | 4.0 | % | |
Telecommunication Services | 2.1 | % | |
Utilities | 2.6 | % | |
Total | 100 | % | |
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SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.42% | $1,000.00 | $1,010.20 | $2.09 |
Hypothetical (5% return per year before expenses) | 0.42% | $1,000.00 | $1,022.71 | $2.11 |
* Expenses are equal to the Portfolio’s annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EQUITY SECURITIES- 94.5% | |||||
Aerospace & Defense - 2.5% | |||||
Boeing Co. (The) | 12,041 | 1,670,327 | |||
General Dynamics Corp. | 5,884 | 833,704 | |||
Honeywell International, Inc. | 14,601 | 1,488,864 | |||
L-3 Communications Holdings, Inc. | 1,588 | 180,047 | |||
Lockheed Martin Corp. | 4,998 | 929,128 | |||
Northrop Grumman Corp. | 3,628 | 575,510 | |||
Precision Castparts Corp. | 2,588 | 517,264 | |||
Raytheon Co. | 5,772 | 552,265 | |||
Rockwell Collins, Inc. | 2,500 | 230,875 | |||
Textron, Inc. | 5,149 | 229,800 | |||
United Technologies Corp. | 15,500 | 1,719,415 | |||
8,927,199 | |||||
Air Freight & Logistics - 0.7% | |||||
C.H. Robinson Worldwide, Inc. | 2,738 | 170,824 | |||
Expeditors International of Washington, Inc. | 3,600 | 165,978 | |||
FedEx Corp. | 4,918 | 838,027 | |||
United Parcel Service, Inc., Class B | 13,003 | 1,260,121 | |||
2,434,950 | |||||
Airlines - 0.4% | |||||
American Airlines Group, Inc. | 12,971 | 517,997 | |||
Delta Air Lines, Inc. | 15,377 | 631,687 | |||
Southwest Airlines Co. | 12,512 | 414,022 | |||
1,563,706 | |||||
Auto Components - 0.4% | |||||
BorgWarner, Inc. | 4,218 | 239,751 | |||
Delphi Automotive plc | 5,406 | 459,996 | |||
Goodyear Tire & Rubber Co. (The) | 5,121 | 154,398 | |||
Johnson Controls, Inc. | 12,252 | 606,842 | |||
1,460,987 | |||||
Automobiles - 0.6% | |||||
Ford Motor Co. | 74,429 | 1,117,179 | |||
General Motors Co. | 25,276 | 842,449 | |||
Harley-Davidson, Inc. | 4,028 | 226,978 | |||
2,186,606 | |||||
Banks - 5.9% | |||||
Bank of America Corp. | 196,626 | 3,346,575 | |||
BB&T Corp. | 13,685 | 551,642 | |||
Citigroup, Inc. | 56,807 | 3,138,019 | |||
Comerica, Inc. | 3,350 | 171,922 |
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SHARES | VALUE ($) | ||||
Fifth Third Bancorp | 15,164 | 315,714 | |||
Huntington Bancshares, Inc. | 15,271 | 172,715 | |||
JPMorgan Chase & Co. | 69,481 | 4,708,033 | |||
KeyCorp | 16,295 | 244,751 | |||
M&T Bank Corp. | 2,490 | 311,076 | |||
People’s United Financial, Inc. | 6,131 | 99,383 | |||
PNC Financial Services Group, Inc. (The) | 9,697 | 927,518 | |||
Regions Financial Corp. | 25,440 | 263,558 | |||
SunTrust Banks, Inc. | 9,830 | 422,887 | |||
US Bancorp | 33,196 | 1,440,706 | |||
Wells Fargo & Co. | 87,730 | 4,933,935 | |||
Zions Bancorporation | 3,653 | 115,928 | |||
21,164,362 | |||||
Beverages - 2.0% | |||||
Brown-Forman Corp., Class B | 2,990 | 299,538 | |||
Coca-Cola Co. (The) | 73,528 | 2,884,504 | |||
Coca-Cola Enterprises, Inc. | 4,185 | 181,796 | |||
Constellation Brands, Inc., Class A | 3,114 | 361,286 | |||
Dr Pepper Snapple Group, Inc. | 3,623 | 264,117 | |||
Molson Coors Brewing Co., Class B | 2,931 | 204,613 | |||
Monster Beverage Corp.* | 2,740 | 367,215 | |||
PepsiCo, Inc. | 27,653 | 2,581,131 | |||
7,144,200 | |||||
Biotechnology - 3.0% | |||||
Alexion Pharmaceuticals, Inc.* | 4,192 | 757,788 | |||
Amgen, Inc. | 14,188 | 2,178,142 | |||
Biogen, Inc.* | 4,404 | 1,778,952 | |||
Celgene Corp.* | 14,897 | 1,724,104 | |||
Gilead Sciences, Inc. | 27,515 | 3,221,456 | |||
Regeneron Pharmaceuticals, Inc.* | 1,412 | 720,303 | |||
Vertex Pharmaceuticals, Inc.* | 4,564 | 563,563 | |||
10,944,308 | |||||
Building Products - 0.1% | |||||
Allegion plc | 1,909 | 114,807 | |||
Masco Corp. | 6,602 | 176,076 | |||
290,883 | |||||
Capital Markets - 2.2% | |||||
Affiliated Managers Group, Inc.* | 1,020 | 222,972 | |||
Ameriprise Financial, Inc. | 3,405 | 425,387 | |||
Bank of New York Mellon Corp. (The) | 21,037 | 882,923 | |||
BlackRock, Inc. | 2,376 | 822,049 | |||
Charles Schwab Corp. (The) | 21,603 | 705,338 | |||
E*Trade Financial Corp.* | 5,387 | 161,341 | |||
Franklin Resources, Inc. | 7,411 | 363,361 | |||
Goldman Sachs Group, Inc. (The) | 7,522 | 1,570,518 |
10 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Invesco Ltd. | 7,982 | 299,245 | |||
Legg Mason, Inc. | 1,897 | 97,752 | |||
Morgan Stanley | 28,761 | 1,115,639 | |||
Northern Trust Corp. | 4,101 | 313,563 | |||
State Street Corp. | 7,787 | 599,599 | |||
T. Rowe Price Group, Inc. | 4,847 | 376,757 | |||
7,956,444 | |||||
Chemicals - 2.2% | |||||
Air Products & Chemicals, Inc. | 3,619 | 495,188 | |||
Airgas, Inc. | 1,337 | 141,428 | |||
CF Industries Holdings, Inc. | 4,470 | 287,332 | |||
Dow Chemical Co. (The) | 20,301 | 1,038,802 | |||
E. I. du Pont de Nemours & Co. | 16,941 | 1,083,377 | |||
Eastman Chemical Co. | 2,772 | 226,805 | |||
Ecolab, Inc. | 4,984 | 563,541 | |||
FMC Corp. | 2,457 | 129,115 | |||
International Flavors & Fragrances, Inc. | 1,500 | 163,935 | |||
LyondellBasell Industries NV, Class A | 7,388 | 764,806 | |||
Monsanto Co. | 8,970 | 956,112 | |||
Mosaic Co. (The) | 5,968 | 279,601 | |||
PPG Industries, Inc. | 5,102 | 585,301 | |||
Praxair, Inc. | 5,404 | 646,048 | |||
Sherwin-Williams Co. (The) | 1,483 | 407,855 | |||
Sigma-Aldrich Corp. | 2,208 | 307,685 | |||
8,076,931 | |||||
Commercial Services & Supplies - 0.4% | |||||
ADT Corp. (The) | 3,214 | 107,894 | |||
Cintas Corp. | 1,790 | 151,416 | |||
Pitney Bowes, Inc. | 3,738 | 77,788 | |||
Republic Services, Inc. | 4,670 | 182,924 | |||
Stericycle, Inc.* | 1,592 | 213,185 | |||
Tyco International plc | 7,767 | 298,874 | |||
Waste Management, Inc. | 7,981 | 369,919 | |||
1,402,000 | |||||
Communications Equipment - 1.5% | |||||
Cisco Systems, Inc. | 95,378 | 2,619,080 | |||
F5 Networks, Inc.* | 1,373 | 165,241 | |||
Harris Corp. | 2,301 | 176,970 | |||
Juniper Networks, Inc. | 6,739 | 175,012 | |||
Motorola Solutions, Inc. | 3,557 | 203,958 | |||
QUALCOMM, Inc. | 30,510 | 1,910,841 | |||
5,251,102 | |||||
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SHARES | VALUE ($) | ||||
Construction & Engineering - 0.1% | |||||
Fluor Corp. | 2,756 | 146,095 | |||
Jacobs Engineering Group, Inc.* | 2,351 | 95,498 | |||
Quanta Services, Inc.* | 3,966 | 114,300 | |||
355,893 | |||||
Construction Materials - 0.1% | |||||
Martin Marietta Materials, Inc. | 1,200 | 169,812 | |||
Vulcan Materials Co. | 2,413 | 202,523 | |||
372,335 | |||||
Consumer Finance - 0.8% | |||||
American Express Co. | 16,351 | 1,270,800 | |||
Capital One Financial Corp. | 10,230 | 899,933 | |||
Discover Financial Services | 8,343 | 480,724 | |||
Navient Corp. | 7,283 | 132,623 | |||
2,784,080 | |||||
Containers & Packaging - 0.2% | |||||
Avery Dennison Corp. | 1,736 | 105,792 | |||
Ball Corp. | 2,565 | 179,935 | |||
MeadWestvaco Corp. | 3,281 | 154,831 | |||
Owens-Illinois, Inc.* | 3,045 | 69,852 | |||
Sealed Air Corp. | 3,972 | 204,081 | |||
714,491 | |||||
Distributors - 0.1% | |||||
Genuine Parts Co. | 2,834 | 253,728 | |||
Diversified Consumer Services – 0.0% | |||||
H&R Block, Inc. | 5,059 | 149,999 | |||
Diversified Financial Services - 1.9% | |||||
Berkshire Hathaway, Inc., Class B* | 34,145 | 4,647,476 | |||
CME Group, Inc. | 5,941 | 552,870 | |||
Intercontinental Exchange, Inc. | 2,123 | 474,724 | |||
Leucadia National Corp. | 5,904 | 143,349 | |||
McGraw Hill Financial, Inc. | 5,124 | 514,706 | |||
Moody’s Corp. | 3,317 | 358,103 | |||
NASDAQ OMX Group, Inc. (The) | 2,189 | 106,845 | |||
6,798,073 | |||||
Diversified Telecommunication Services - 2.1% | |||||
AT&T, Inc. | 97,226 | 3,453,468 | |||
CenturyLink, Inc. | 10,566 | 310,429 | |||
Frontier Communications Corp. | 21,490 | 106,375 | |||
Level 3 Communications, Inc.* | 5,508 | 290,106 | |||
Verizon Communications, Inc. | 76,360 | 3,559,140 | |||
7,719,518 | |||||
12 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Electric Utilities - 1.5% | |||||
American Electric Power Co., Inc. | 9,173 | 485,894 | |||
Duke Energy Corp. | 12,947 | 914,317 | |||
Edison International | 6,010 | 334,036 | |||
Entergy Corp. | 3,309 | 233,285 | |||
Eversource Energy | 5,829 | 264,695 | |||
Exelon Corp. | 16,125 | 506,648 | |||
FirstEnergy Corp. | 7,746 | 252,132 | |||
NextEra Energy, Inc. | 8,273 | 811,002 | |||
Pepco Holdings, Inc. | 4,631 | 124,759 | |||
Pinnacle West Capital Corp. | 2,178 | 123,906 | |||
PPL Corp. | 12,254 | 361,125 | |||
Southern Co. (The) | 17,005 | 712,509 | |||
Xcel Energy, Inc. | 9,260 | 297,987 | |||
5,422,295 | |||||
Electrical Equipment - 0.5% | |||||
AMETEK, Inc. | 4,525 | 247,879 | |||
Eaton Corp. plc | 8,794 | 593,507 | |||
Emerson Electric Co. | 12,512 | 693,540 | |||
Rockwell Automation, Inc. | 2,554 | 318,331 | |||
1,853,257 | |||||
Electronic Equipment & Instruments - 0.4% | |||||
Amphenol Corp., Class A | 5,798 | 336,110 | |||
Corning, Inc. | 23,563 | 464,898 | |||
FLIR Systems, Inc. | 2,784 | 85,803 | |||
TE Connectivity Ltd. | 7,540 | 484,822 | |||
1,371,633 | |||||
Energy Equipment & Services - 1.2% | |||||
Baker Hughes, Inc. | 8,043 | 496,253 | |||
Cameron International Corp.* | 3,584 | 187,694 | |||
Diamond Offshore Drilling, Inc. | 1,478 | 38,147 | |||
Ensco plc, Class A | 4,311 | 96,006 | |||
FMC Technologies, Inc.* | 4,339 | 180,025 | |||
Halliburton Co. | 15,859 | 683,047 | |||
Helmerich & Payne, Inc. | 1,995 | 140,488 | |||
National Oilwell Varco, Inc. | 7,237 | 349,403 | |||
Noble Corp. plc | 4,690 | 72,179 | |||
Schlumberger Ltd. | 23,791 | 2,050,546 | |||
Transocean Ltd. | 6,277 | 101,185 | |||
4,394,973 | |||||
Food & Staples Retailing - 2.2% | |||||
Costco Wholesale Corp. | 8,228 | 1,111,274 | |||
CVS Health Corp. | 21,125 | 2,215,590 | |||
Kroger Co. (The) | 9,178 | 665,497 | |||
Safeway Casa Ley CVR(b)* | 4,297 | 738 | |||
Safeway PDC LLC CVR(b)* | 4,297 | 35 |
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SHARES | VALUE ($) | ||||
Sysco Corp. | 11,117 | 401,324 | |||
Wal-Mart Stores, Inc. | 29,458 | 2,089,456 | |||
Walgreens Boots Alliance, Inc. | 16,337 | 1,379,496 | |||
Whole Foods Market, Inc. | 6,781 | 267,442 | |||
8,130,852 | |||||
Food Products - 1.6% | |||||
Archer-Daniels-Midland Co. | 11,615 | 560,075 | |||
Campbell Soup Co. | 3,301 | 157,293 | |||
ConAgra Foods, Inc. | 7,995 | 349,541 | |||
General Mills, Inc. | 11,160 | 621,835 | |||
Hershey Co. (The) | 2,753 | 244,549 | |||
Hormel Foods Corp. | 2,506 | 141,263 | |||
J. M. Smucker Co. (The) | 1,815 | 196,764 | |||
Kellogg Co. | 4,703 | 294,878 | |||
Keurig Green Mountain, Inc. | 2,162 | 165,674 | |||
Kraft Foods Group, Inc. | 11,089 | 944,118 | |||
McCormick & Co., Inc. | 2,407 | 194,847 | |||
Mead Johnson Nutrition Co. | 3,728 | 336,340 | |||
Mondelez International, Inc., Class A | 30,454 | 1,252,878 | |||
Tyson Foods, Inc., Class A | 5,448 | 232,248 | |||
5,692,303 | |||||
Gas Utilities – 0.0% | |||||
AGL Resources, Inc. | 2,200 | 102,432 | |||
Health Care Equipment & Supplies - 2.1% | |||||
Abbott Laboratories | 27,873 | 1,368,007 | |||
Baxter International, Inc. | 10,190 | 712,586 | |||
Becton Dickinson and Co. | 3,920 | 555,268 | |||
Boston Scientific Corp.* | 25,101 | 444,288 | |||
C.R. Bard, Inc. | 1,407 | 240,175 | |||
DENTSPLY International, Inc. | 2,627 | 135,422 | |||
Edwards Lifesciences Corp.* | 2,014 | 286,854 | |||
Intuitive Surgical, Inc.* | 690 | 334,305 | |||
Medtronic plc | 26,584 | 1,969,874 | |||
St. Jude Medical, Inc. | 5,243 | 383,106 | |||
Stryker Corp. | 5,575 | 532,803 | |||
Varian Medical Systems, Inc.* | 1,865 | 157,275 | |||
Zimmer Holdings, Inc. | 3,190 | 348,444 | |||
7,468,407 | |||||
Health Care Providers & Services - 2.8% | |||||
Aetna, Inc. | 6,593 | 840,344 | |||
AmerisourceBergen Corp. | 3,949 | 419,937 | |||
Anthem, Inc. | 4,953 | 812,985 | |||
Cardinal Health, Inc. | 6,276 | 524,987 | |||
Cigna Corp. | 4,821 | 781,002 | |||
DaVita HealthCare Partners, Inc.* | 3,280 | 260,662 |
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SHARES | VALUE ($) | ||||
Express Scripts Holding Co.* | 13,654 | 1,214,387 | |||
HCA Holdings, Inc.* | 5,492 | 498,234 | |||
Henry Schein, Inc.* | 1,587 | 225,544 | |||
Humana, Inc. | 2,804 | 536,349 | |||
Laboratory Corporation of America Holdings* | 1,856 | 224,984 | |||
McKesson Corp. | 4,325 | 972,303 | |||
Patterson Co.’s, Inc. | 1,604 | 78,035 | |||
Quest Diagnostics, Inc. | 2,665 | 193,266 | |||
Tenet Healthcare Corp.* | 1,917 | 110,956 | |||
UnitedHealth Group, Inc. | 17,791 | 2,170,502 | |||
Universal Health Services, Inc., Class B | 1,690 | 240,149 | |||
10,104,626 | |||||
Health Care Technology - 0.1% | |||||
Cerner Corp.* | 5,669 | 391,501 | |||
Hotels, Restaurants & Leisure - 1.7% | |||||
Carnival Corp. | 8,401 | 414,926 | |||
Chipotle Mexican Grill, Inc.* | 573 | 346,659 | |||
Darden Restaurants, Inc. | 2,334 | 165,901 | |||
Marriott International, Inc., Class A | 3,869 | 287,815 | |||
McDonald’s Corp. | 17,930 | 1,704,605 | |||
Royal Caribbean Cruises Ltd. | 3,129 | 246,221 | |||
Starbucks Corp. | 28,093 | 1,506,206 | |||
Starwood Hotels & Resorts Worldwide, Inc. | 3,199 | 259,407 | |||
Wyndham Worldwide Corp. | 2,248 | 184,134 | |||
Wynn Resorts Ltd. | 1,494 | 147,413 | |||
Yum! Brands, Inc. | 8,142 | 733,431 | |||
5,996,718 | |||||
Household Durables - 0.4% | |||||
D.R. Horton, Inc. | 6,188 | 169,304 | |||
Garmin Ltd. | 2,258 | 99,194 | |||
Harman International Industries, Inc. | 1,332 | 158,428 | |||
Leggett & Platt, Inc. | 2,580 | 125,594 | |||
Lennar Corp., Class A | 3,357 | 171,341 | |||
Mohawk Industries, Inc.* | 1,163 | 222,017 | |||
Newell Rubbermaid, Inc. | 5,073 | 208,551 | |||
PulteGroup, Inc. | 6,287 | 126,683 | |||
Whirlpool Corp. | 1,441 | 249,365 | |||
1,530,477 | |||||
Household Products - 1.7% | |||||
Clorox Co. (The) | 2,456 | 255,473 | |||
Colgate-Palmolive Co. | 15,920 | 1,041,327 | |||
Kimberly-Clark Corp. | 6,818 | 722,503 | |||
Procter & Gamble Co. (The) | 50,794 | 3,974,123 | |||
5,993,426 | |||||
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | ||||
Independent Power and Renewable Electricity Producers - 0.1% | |||||
AES Corp. | 12,777 | 169,423 | |||
NRG Energy, Inc. | 6,546 | 149,772 | |||
319,195 | |||||
Industrial Conglomerates - 2.2% | |||||
3M Co. | 11,841 | 1,827,066 | |||
Danaher Corp. | 11,455 | 980,433 | |||
General Electric Co. | 188,647 | 5,012,351 | |||
Roper Technologies, Inc. | 1,841 | 317,499 | |||
8,137,349 | |||||
Insurance - 2.6% | |||||
ACE Ltd. | 6,107 | 620,960 | |||
Aflac, Inc. | 8,188 | 509,294 | |||
Allstate Corp. (The) | 7,658 | 496,774 | |||
American International Group, Inc. | 24,965 | 1,543,336 | |||
Aon plc | 5,318 | 530,098 | |||
Assurant, Inc. | 1,272 | 85,224 | |||
Chubb Corp. (The) | 4,302 | 409,292 | |||
Cincinnati Financial Corp. | 2,744 | 137,694 | |||
Genworth Financial, Inc., Class A* | 10,001 | 75,708 | |||
Hartford Financial Services Group, Inc. (The) | 8,048 | 334,555 | |||
Lincoln National Corp. | 4,866 | 288,164 | |||
Loews Corp. | 5,633 | 216,927 | |||
Marsh & McLennan Co.’s, Inc. | 10,139 | 574,881 | |||
MetLife, Inc. | 20,846 | 1,167,168 | |||
Principal Financial Group, Inc. | 5,048 | 258,912 | |||
Progressive Corp. (The) | 10,047 | 279,608 | |||
Prudential Financial, Inc. | 8,523 | 745,933 | |||
Torchmark Corp. | 2,399 | 139,670 | |||
Travelers Co.’s, Inc. (The) | 5,995 | 579,477 | |||
Unum Group | 4,721 | 168,776 | |||
XL Group plc | 5,659 | 210,515 | |||
9,372,966 | |||||
Internet & Catalog Retail - 1.5% | |||||
Amazon.com, Inc.* | 7,149 | 3,103,309 | |||
Expedia, Inc. | 1,902 | 207,984 | |||
Netflix, Inc.* | 1,135 | 745,627 | |||
Priceline Group, Inc. (The)* | 977 | 1,124,889 | |||
TripAdvisor, Inc.* | 2,053 | 178,898 | |||
5,360,707 | |||||
Internet Software & Services - 3.1% | |||||
Akamai Technologies, Inc.* | 3,284 | 229,289 | |||
eBay, Inc.* | 20,698 | 1,246,847 | |||
Facebook, Inc., Class A* | 39,433 | 3,381,971 |
16 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Google, Inc.: | |||||
Class A* | 5,358 | 2,893,534 | |||
Class C* | 5,374 | 2,797,221 | |||
VeriSign, Inc.* | 2,033 | 125,477 | |||
Yahoo!, Inc.* | 16,433 | 645,653 | |||
11,319,992 | |||||
IT Services - 3.2% | |||||
Accenture plc, Class A | 11,679 | 1,130,294 | |||
Alliance Data Systems Corp.* | 1,185 | 345,949 | |||
Automatic Data Processing, Inc. | 8,791 | 705,302 | |||
Cognizant Technology Solutions Corp., Class A* | 11,430 | 698,259 | |||
Computer Sciences Corp. | 2,620 | 171,977 | |||
Fidelity National Information Services, Inc. | 5,309 | 328,096 | |||
Fiserv, Inc.* | 4,433 | 367,185 | |||
International Business Machines Corp. | 17,188 | 2,795,800 | |||
MasterCard, Inc., Class A | 18,146 | 1,696,288 | |||
Paychex, Inc. | 5,972 | 279,967 | |||
Teradata Corp.* | 2,854 | 105,598 | |||
Total System Services, Inc. | 3,086 | 128,902 | |||
Visa, Inc. | 36,280 | 2,436,202 | |||
Western Union Co. (The) | 9,942 | 202,121 | |||
Xerox Corp. | 19,429 | 206,725 | |||
11,598,665 | |||||
Leisure Products - 0.1% | |||||
Hasbro, Inc. | 2,110 | 157,807 | |||
Mattel, Inc. | 6,258 | 160,768 | |||
318,575 | |||||
Life Sciences - Tools & Services - 0.4% | |||||
Agilent Technologies, Inc. | 6,148 | 237,190 | |||
PerkinElmer, Inc. | 2,230 | 117,387 | |||
Thermo Fisher Scientific, Inc. | 7,461 | 968,140 | |||
Waters Corp.* | 1,564 | 200,786 | |||
1,523,503 | |||||
Machinery - 1.4% | |||||
Caterpillar, Inc. | 11,292 | 957,787 | |||
Cummins, Inc. | 3,155 | 413,904 | |||
Deere & Co. | 6,333 | 614,618 | |||
Dover Corp. | 3,071 | 215,523 | |||
Flowserve Corp. | 2,533 | 133,388 | |||
Illinois Tool Works, Inc. | 6,333 | 581,306 | |||
Ingersoll-Rand plc | 4,956 | 334,133 | |||
Joy Global, Inc. | 1,979 | 71,640 | |||
PACCAR, Inc. | 6,543 | 417,509 | |||
Pall Corp. | 1,979 | 246,287 | |||
Parker-Hannifin Corp. | 2,596 | 301,993 |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 17
SHARES | VALUE ($) | ||||
Pentair plc | 3,403 | 233,956 | |||
Snap-on, Inc. | 1,077 | 171,512 | |||
Stanley Black & Decker, Inc. | 2,879 | 302,986 | |||
Xylem, Inc. | 3,390 | 125,667 | |||
5,122,209 | |||||
Media - 3.5% | |||||
Cablevision Systems Corp., Class A | 4,231 | 101,290 | |||
CBS Corp., Class B | 8,534 | 473,637 | |||
Comcast Corp., Class A | 47,060 | 2,830,188 | |||
DIRECTV* | 9,414 | 873,525 | |||
Discovery Communications, Inc.: | |||||
Class A* | 2,741 | 91,166 | |||
Class C* | 5,063 | 157,358 | |||
Gannett Co., Inc.* | 2,092 | 29,267 | |||
Interpublic Group of Co.’s, Inc. (The) | 7,815 | 150,595 | |||
News Corp., Class A* | 9,186 | 134,024 | |||
Omnicom Group, Inc. | 4,629 | 321,669 | |||
Scripps Networks Interactive, Inc., Class A | 1,779 | 116,293 | |||
TEGNA, Inc. | 4,184 | 134,181 | |||
Time Warner Cable, Inc. | 5,293 | 943,054 | |||
Time Warner, Inc. | 15,493 | 1,354,243 | |||
Twenty-First Century Fox, Inc., Class A | 33,128 | 1,078,151 | |||
Viacom, Inc., Class B | 6,689 | 432,377 | |||
Walt Disney Co. (The) | 29,226 | 3,335,856 | |||
12,556,874 | |||||
Metals & Mining - 0.3% | |||||
Alcoa, Inc. | 22,801 | 254,231 | |||
Allegheny Technologies, Inc. | 2,285 | 69,007 | |||
Freeport-McMoRan, Inc. | 19,162 | 356,797 | |||
Newmont Mining Corp. | 9,847 | 230,026 | |||
Nucor Corp. | 5,875 | 258,911 | |||
1,168,972 | |||||
Multi-Utilities - 1.0% | |||||
Ameren Corp. | 4,476 | 168,656 | |||
CenterPoint Energy, Inc. | 7,928 | 150,870 | |||
CMS Energy Corp. | 5,395 | 171,777 | |||
Consolidated Edison, Inc. | 5,403 | 312,726 | |||
Dominion Resources, Inc. | 11,111 | 742,993 | |||
DTE Energy Co. | 3,266 | 243,774 | |||
NiSource, Inc. | 5,809 | 264,832 | |||
PG&E Corp. | 8,861 | 435,075 | |||
Public Service Enterprise Group, Inc. | 9,333 | 366,600 | |||
SCANA Corp. | 2,659 | 134,678 |
18 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Sempra Energy | 4,311 | 426,530 | |||
TECO Energy, Inc. | 4,324 | 76,362 | |||
WEC Energy Group, Inc. | 5,859 | 263,470 | |||
3,758,343 | |||||
Multiline Retail - 0.7% | |||||
Dollar General Corp. | 5,595 | 434,955 | |||
Dollar Tree, Inc.* | 3,810 | 300,952 | |||
Family Dollar Stores, Inc. | 1,792 | 141,228 | |||
Kohl’s Corp. | 3,768 | 235,914 | |||
Macy’s, Inc. | 6,298 | 424,926 | |||
Nordstrom, Inc. | 2,593 | 193,179 | |||
Target Corp. | 11,881 | 969,846 | |||
2,701,000 | |||||
Oil, Gas & Consumable Fuels - 6.2% | |||||
Anadarko Petroleum Corp. | 9,446 | 737,355 | |||
Apache Corp. | 7,115 | 410,037 | |||
Cabot Oil & Gas Corp. | 7,698 | 242,795 | |||
Chesapeake Energy Corp. | 9,340 | 104,328 | |||
Chevron Corp. | 35,207 | 3,396,419 | |||
Cimarex Energy Co. | 1,700 | 187,527 | |||
ConocoPhillips | 23,084 | 1,417,588 | |||
Consol Energy, Inc. | 4,241 | 92,199 | |||
Devon Energy Corp. | 7,235 | 430,410 | |||
EOG Resources, Inc. | 10,221 | 894,849 | |||
EQT Corp. | 2,799 | 227,671 | |||
Exxon Mobil Corp. | 78,251 | 6,510,483 | |||
Hess Corp. | 4,532 | 303,100 | |||
Kinder Morgan, Inc. | 32,475 | 1,246,715 | |||
Marathon Oil Corp. | 12,472 | 331,007 | |||
Marathon Petroleum Corp. | 10,188 | 532,934 | |||
Murphy Oil Corp. | 3,112 | 129,366 | |||
Newfield Exploration Co.* | 2,965 | 107,096 | |||
Noble Energy, Inc. | 7,067 | 301,620 | |||
Occidental Petroleum Corp. | 14,381 | 1,118,410 | |||
Oneok, Inc. | 3,835 | 151,406 | |||
Phillips 66 | 10,139 | 816,798 | |||
Pioneer Natural Resources Co. | 2,777 | 385,142 | |||
Range Resources Corp. | 3,111 | 153,621 | |||
Southwestern Energy Co.* | 7,013 | 159,406 | |||
Spectra Energy Corp. | 12,373 | 403,360 | |||
Tesoro Corp. | 2,376 | 200,558 | |||
Valero Energy Corp. | 9,605 | 601,273 | |||
Williams Co.’s, Inc. (The) | 12,461 | 715,137 | |||
22,308,610 | |||||
Paper & Forest Products - 0.1% | |||||
International Paper Co. | 7,991 | 380,292 | |||
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 19
SHARES | VALUE ($) | ||||
Personal Products - 0.1% | |||||
Estee Lauder Co.’s, Inc. Class A (The) | 4,168 | 361,199 | |||
Pharmaceuticals - 6.2% | |||||
AbbVie, Inc. | 32,195 | 2,163,182 | |||
Allergan plc* | 7,348 | 2,229,824 | |||
Bristol-Myers Squibb Co. | 31,210 | 2,076,713 | |||
Eli Lilly & Co. | 18,284 | 1,526,531 | |||
Endo International plc* | 3,761 | 299,564 | |||
Hospira, Inc.* | 3,235 | 286,977 | |||
Johnson & Johnson | 51,870 | 5,055,250 | |||
Mallinckrodt plc* | 2,190 | 257,807 | |||
Merck & Co., Inc. | 52,946 | 3,014,216 | |||
Mylan NV* | 7,707 | 522,997 | |||
Perrigo Co. plc | 2,738 | 506,065 | |||
Pfizer, Inc. | 115,287 | 3,865,573 | |||
Zoetis, Inc. | 9,243 | 445,697 | |||
22,250,396 | |||||
Professional Services - 0.2% | |||||
Dun & Bradstreet Corp. (The) | 675 | 82,350 | |||
Equifax, Inc. | 2,251 | 218,550 | |||
Nielsen NV | 6,932 | 310,346 | |||
Robert Half International, Inc. | 2,535 | 140,692 | |||
751,938 | |||||
Real Estate Investment Trusts - 2.3% | |||||
American Tower Corp. | 7,921 | 738,950 | |||
Apartment Investment & Management Co., Class A | 2,926 | 108,057 | |||
AvalonBay Communities, Inc. | 2,430 | 388,484 | |||
Boston Properties, Inc. | 2,823 | 341,696 | |||
Crown Castle International Corp. | 6,319 | 507,416 | |||
Equinix, Inc. | 1,054 | 267,716 | |||
Equity Residential | 6,815 | 478,209 | |||
Essex Property Trust, Inc. | 1,220 | 259,250 | |||
General Growth Properties, Inc. | 11,643 | 298,759 | |||
HCP, Inc. | 8,453 | 308,281 | |||
Health Care REIT, Inc. | 6,572 | 431,320 | |||
Host Hotels & Resorts, Inc. | 13,964 | 276,906 | |||
Iron Mountain, Inc. | 3,380 | 104,780 | |||
Kimco Realty Corp. | 7,575 | 170,741 | |||
Macerich Co. (The) | 2,616 | 195,154 | |||
Plum Creek Timber Co., Inc. | 3,281 | 133,110 | |||
Prologis, Inc. | 9,811 | 363,988 | |||
Public Storage | 2,719 | 501,302 | |||
Realty Income Corp. | 4,211 | 186,926 | |||
Simon Property Group, Inc. | 5,797 | 1,002,997 | |||
SL Green Realty Corp. | 1,840 | 202,198 |
20 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Ventas, Inc. | 6,171 | 383,157 | |||
Vornado Realty Trust | 3,215 | 305,200 | |||
Weyerhaeuser Co. | 9,712 | 305,928 | |||
8,260,525 | |||||
Real Estate Management & Development - 0.1% | |||||
CBRE Group, Inc., Class A* | 5,145 | 190,365 | |||
Road & Rail - 0.9% | |||||
CSX Corp. | 18,528 | 604,939 | |||
JB Hunt Transport Services, Inc. | 1,700 | 139,553 | |||
Kansas City Southern | 2,035 | 185,592 | |||
Norfolk Southern Corp. | 5,712 | 499,000 | |||
Ryder System, Inc. | 1,055 | 92,176 | |||
Union Pacific Corp. | 16,440 | 1,567,883 | |||
3,089,143 | |||||
Semiconductors & Semiconductor Equipment - 2.3% | |||||
Altera Corp. | 5,779 | 295,885 | |||
Analog Devices, Inc. | 5,795 | 371,952 | |||
Applied Materials, Inc. | 23,059 | 443,194 | |||
Avago Technologies Ltd. | 4,787 | 636,336 | |||
Broadcom Corp., Class A | 10,252 | 527,876 | |||
First Solar, Inc.* | 1,396 | 65,584 | |||
Intel Corp. | 88,820 | 2,701,460 | |||
KLA-Tencor Corp. | 3,059 | 171,946 | |||
Lam Research Corp. | 2,991 | 243,318 | |||
Linear Technology Corp. | 4,364 | 193,020 | |||
Microchip Technology, Inc. | 3,695 | 175,235 | |||
Micron Technology, Inc.* | 20,170 | 380,003 | |||
NVIDIA Corp. | 9,538 | 191,809 | |||
Qorvo, Inc.* | 2,806 | 225,238 | |||
Skyworks Solutions, Inc. | 3,578 | 372,470 | |||
Texas Instruments, Inc. | 19,478 | 1,003,312 | |||
Xilinx, Inc. | 4,959 | 218,989 | |||
8,217,627 | |||||
Software - 3.5% | |||||
Adobe Systems, Inc.* | 8,898 | 720,827 | |||
Autodesk, Inc.* | 4,204 | 210,515 | |||
CA, Inc. | 5,883 | 172,313 | |||
Citrix Systems, Inc.* | 3,031 | 212,655 | |||
Electronic Arts, Inc.* | 5,801 | 385,767 | |||
Intuit, Inc. | 5,161 | 520,074 | |||
Microsoft Corp. | 151,457 | 6,686,827 | |||
Oracle Corp. | 59,802 | 2,410,021 |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 21
SHARES | VALUE ($) | ||||
Red Hat, Inc.* | 3,493 | 265,223 | |||
Salesforce.com, Inc.* | 11,415 | 794,826 | |||
Symantec Corp. | 12,760 | 296,670 | |||
12,675,718 | |||||
Specialty Retail - 2.2% | |||||
AutoNation, Inc.* | 1,361 | 85,716 | |||
AutoZone, Inc.* | 595 | 396,805 | |||
Bed Bath & Beyond, Inc.* | 3,234 | 223,081 | |||
Best Buy Co., Inc. | 5,443 | 177,496 | |||
CarMax, Inc.* | 3,917 | 259,345 | |||
GameStop Corp., Class A | 1,998 | 85,834 | |||
Gap, Inc. (The) | 4,797 | 183,101 | |||
Home Depot, Inc. (The) | 24,320 | 2,702,682 | |||
L Brands, Inc. | 4,524 | 387,843 | |||
Lowe’s Co.’s, Inc. | 17,462 | 1,169,430 | |||
O’Reilly Automotive, Inc.* | 1,892 | 427,554 | |||
Ross Stores, Inc. | 7,838 | 381,005 | |||
Staples, Inc. | 11,929 | 182,633 | |||
Tiffany & Co. | 2,047 | 187,915 | |||
TJX Co.’s, Inc. (The) | 12,736 | 842,741 | |||
Tractor Supply Co. | 2,555 | 229,797 | |||
Urban Outfitters, Inc.* | 2,033 | 71,155 | |||
7,994,133 | |||||
Technology Hardware, Storage & Peripherals - 4.6% | |||||
Apple, Inc. | 107,861 | 13,528,466 | |||
EMC Corp. | 36,360 | 959,540 | |||
Hewlett-Packard Co. | 33,906 | 1,017,519 | |||
NetApp, Inc. | 5,814 | 183,490 | |||
SanDisk Corp. | 3,974 | 231,366 | |||
Seagate Technology plc | 6,024 | 286,140 | |||
Western Digital Corp. | 4,075 | 319,562 | |||
16,526,083 | |||||
Textiles, Apparel & Luxury Goods - 0.8% | |||||
Coach, Inc. | 5,058 | 175,057 | |||
Fossil Group, Inc.* | 838 | 58,124 | |||
Hanesbrands, Inc. | 7,477 | 249,134 | |||
Michael Kors Holdings Ltd.* | 3,776 | 158,932 | |||
NIKE, Inc., Class B | 13,030 | 1,407,500 | |||
PVH Corp. | 1,525 | 175,680 | |||
Ralph Lauren Corp. | 1,080 | 142,949 | |||
Under Armour, Inc., Class A* | 3,109 | 259,415 | |||
VF Corp. | 6,351 | 442,919 | |||
3,069,710 | |||||
Thrifts & Mortgage Finance – 0.0% | |||||
Hudson City Bancorp, Inc. | 9,398 | 92,852 | |||
22 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Tobacco - 1.3% | |||||
Altria Group, Inc. | 36,865 | 1,803,067 | |||
Philip Morris International, Inc. | 29,004 | 2,325,251 | |||
Reynolds American, Inc. | 7,685 | 573,762 | |||
4,702,080 | |||||
Trading Companies & Distributors - 0.2% | |||||
Fastenal Co. | 5,037 | 212,461 | |||
United Rentals, Inc.* | 1,777 | 155,701 | |||
W.W. Grainger, Inc. | 1,124 | 265,994 | |||
634,156 | |||||
Total Equity Securities (Cost $201,390,593) | 341,167,872 | ||||
EXCHANGE-TRADED PRODUCTS - 1.1% | |||||
SPDR S&P 500 ETF Trust | 19,250 | 3,962,612 | |||
Total Exchange-Traded Products (Cost $3,782,603) | 3,962,612 | ||||
U.S TREASURY OBLIGATIONS - 0.3% | PRINCIPAL AMOUNT ($) | ||||
United States Treasury Bills, 0.11%, 7/23/15 ^ | 1,000,000 | 999,933 | |||
Total U.S. Treasury Obligations (Cost $999,933) | 999,933 | ||||
TIME DEPOSIT - 4.0% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 14,583,047 | 14,583,047 | |||
Total Time Deposit (Cost $14,583,047) | 14,583,047 | ||||
TOTAL INVESTMENTS (Cost $220,756,176) - 99.9% | 360,713,464 | ||||
Other assets and liabilities, net - 0.1% | 211,320 | ||||
NET ASSETS - 100.0% | $360,924,784 | ||||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 3,159,853 shares of common stock outstanding; | |||
$0.10 par value, 30,000,000 shares authorized | $228,469,137 | ||
Undistributed net investment income | 3,537,044 | ||
Accumulated net realized gain (loss) | (10,864,650) | ||
Net unrealized appreciation (depreciation) | 139,783,253 | ||
NET ASSETS | $360,924,784 | ||
NET ASSET VALUE PER SHARE | $114.22 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 23
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini S&P 500 Index^ | 102 | 9/15 | $10,477,440 | ($122,990 | ) | ||||
S&P 500 Index^ | 9 | 9/15 | 4,622,400 | (51,045 | ) | ||||
Total Purchased | ($174,035 | ) |
^ | Futures collateralized by $1,000,000 par value of the U.S. Treasury Bills. |
* | Non-income producing security. |
(b) | This security was valued under the direction of the Board of Directors. See Note A. |
Abbreviations: | |
ETF: | Exchange Traded Fund |
LLC: | Limited Liability Corporation |
plc: | Public Limited Company |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
24 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income (net of foreign tax withheld of $515) | $3,632,960 | ||
Interest income | 4,083 | ||
Total investment income | 3,637,043 | ||
Expenses: | |||
Investment advisory fee | 447,685 | ||
Administrative fees | 179,074 | ||
Transfer agency fees and expenses | 17,104 | ||
Directors’ fees and expenses | 29,722 | ||
Accounting fees | 30,080 | ||
Custodian fees | 32,537 | ||
Professional fees | 27,085 | ||
Reports to shareholders | 31,443 | ||
Miscellaneous | 28,310 | ||
Total expenses | 823,040 | ||
Reimbursement from Advisor | (70,928) | ||
Net expenses | 752,112 | ||
NET INVESTMENT INCOME | 2,884,931 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 4,382,106 | ||
Futures | 288,160 | ||
4,670,266 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | (3,563,922) | ||
Futures | (346,935) | ||
(3,910,857) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 759,409 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $3,644,340 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 25
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $2,884,931 | $5,595,559 | |||||
Net realized gain (loss) | 4,670,266 | 30,984,197 | |||||
Change in unrealized appreciation (depreciation) | (3,910,857) | 7,642,425 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 3,644,340 | 44,222,181 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (5,642,605) | |||||
Net realized gain | — | (29,898,617) | |||||
Total distributions | — | (35,541,222) | |||||
Capital share transactions: | |||||||
Shares sold | 28,092,516 | 25,564,791 | |||||
Reinvestment of distributions | — | 35,541,222 | |||||
Shares issued from merger (See Note E) | — | 9,936,888 | |||||
Shares redeemed | (32,294,106) | (71,929,561) | |||||
Total capital share transactions | (4,201,590) | (886,660) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (557,250) | 7,794,299 | |||||
NET ASSETS | |||||||
Beginning of period | 361,482,034 | 353,687,735 | |||||
End of period (including undistributed net investment income of $3,537,044 and $652,113, respectively) | $360,924,784 | $361,482,034 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 243,155 | 219,083 | |||||
Reinvestment of distributions | — | 311,056 | |||||
Shares issued from merger (See Note E) | — | 87,703 | |||||
Shares redeemed | (280,194) | (618,357) | |||||
Total capital share activity | (37,039) | (515) | |||||
See notes to financial statements. |
26 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP S&P 500 Index Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or the last available price and are categorized as Level 2 in the hierarchy. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.
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Exchange traded products and closed-end funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, securities valued at $773 or 0.0% of net assets, were fair valued in good faith under the direction of the Board.
28 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities* | $341,167,099 | $773 | $— | $341,167,872 | ||||||||
Exchange-Traded Products | 3,962,612 | — | — | 3,962,612 | ||||||||
U.S. Treasury Obligations | — | 999,933 | — | 999,933 | ||||||||
Time Deposit | — | 14,583,047 | — | 14,583,047 | ||||||||
TOTAL | $345,129,711 | $15,583,753 | $— | $360,713,464 | ||||||||
Other financial instruments** | ($174,035 | ) | $— | $— | ($174,035 | ) |
* For further breakdown of equity securities by industry type, please refer to the Statement of Net Assets.
** Other financial instruments are derivative instruments not reflected in the Total Investments in the Statement of Net Assets, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.
Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge, or to provide equity market exposure to the Portfolio’s uncommitted cash balances. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives and may use futures contracts to hedge against changes in the value of securities. The Portfolio may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Portfolio’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio. During the period, futures contracts were used to hedge the lack of equity market exposure inherent in a cash position. The Portfolio’s futures contracts at period end are presented in the Statement of Net Assets.
During the six months ended June 30, 2015, the Portfolio invested in E-Mini S&P 500 Index and S&P 500 Index futures. The volume of outstanding contracts has varied throughout the period with an average of number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures contracts long | 56 |
*Averages are based on activity levels during the six months ended June 30, 2015. |
Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates.
Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
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Foreign Currency Transactions: The Portfolio’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss on investments.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .25%, of the Portfolio’s average daily net assets. Under the terms of the agreement, $74,700 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is 0.42%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit acquired fund fees and expenses, if any. Under the terms of the agreement, $15,151 was receivable at period end.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $29,880 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $13,397 for the period ended June 30, 2015. Under the terms of the agreement, $2,226 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $5,338,273 and $8,232,555, respectively.
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CAPITAL LOSS CARRYFORWARDS
EXPIRATION DATE | |||
31-Dec-15 | ($3,467,868 | ) | |
31-Dec-16 | (5,235,979) | ||
31-Dec-17 | (2,509,534) | ||
31-Dec-18 | (2,611,900) | ||
NO EXPIRATION DATE | |||
Long-term | ($1,646,679 | ) |
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward to offset future capital gains for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their character as either long-term or short-term. Capital losses incurred in pre-enactment taxable years can be utilized until expiration. The Portfolio’s use of net capital losses acquired from reorganizations may be limited under certain tax provisions.
As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $140,418,827 | ||
Unrealized (depreciation) | (6,222,296) | ||
Net unrealized appreciation/(depreciation) | $134,196,531 | ||
Federal income tax cost of investments | $226,516,933 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — REORGANIZATION
On December 11, 2013, the Board of Directors approved an Agreement and Plan of Reorganization (the “Plan”), providing for the transfer of all of the assets of Calvert VP SRI Equity Portfolio (“Equity”) in exchange for shares of the acquiring portfolio, Calvert VP S&P 500 Index Portfolio (“S&P 500”) and the assumption of the liabilities of Equity.
Shareholders approved the Plan at a meeting on April 11, 2014 and the reorganization took place on April 30, 2014.
The acquisition was accomplished by a tax-free exchange of the following shares:
Merged Portfolio | Shares | Acquiring Portfolio | Shares | Value |
Equity | 414,513 | S&P 500 | 87,703 | $9,936,888 |
For financial reporting purposes, assets received and shares issued by S&P 500 were recorded at fair value; however, the cost basis of the investments received from Equity were carried forward to align ongoing reporting of S&P 500’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The net assets and net unrealized appreciation (depreciation) immediately before the acquisition were as follows:
Merged Portfolio | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Portfolio | Net Assets |
Equity | $9,936,888 | $3,099,235 | S&P 500 | $353,291,843 |
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Assuming the acquisition had been completed on January 1, 2014, S&P 500’s results of operations for the year ended December 31, 2014 would have been as follows:
Net investment income .................................................................................................$ 5,602,503 (a) |
Net realized and change in unrealized gain (loss) on investments............................... $38,567,547 (b) |
Net increase (decrease) in assets from operations........................................................ $44,170,050 |
Because S&P 500 and Equity sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of Equity that have been included in S&P 500’s Statement of Operations since April 30, 2014.
(a) $5,595,559 as reported, plus $6,944 from Equity pre-merger.
(b) $38,626,622 as reported, plus ($59,075) from Equity pre-merger.
NOTE F — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
2015 (z) | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||
Net asset value, beginning | $113.07 | $110.62 | $86.62 | $76.32 | $78.77 | $71.52 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.92 | 0.93 | 1.81 | 1.63 | 1.27 | 1.33 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.23 | 6.72 | 25.72 | 10.21 | 0.11 | 9.18 | |||||||||||||||||
Total from investment operations | 1.15 | 7.65 | 27.53 | 11.84 | 1.38 | 10.51 | |||||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | — | (1.95 | ) | (1.54 | ) | (1.25 | ) | (1.13 | ) | |||||||||||||
Net realized gain | — | — | (1.58 | ) | — | (2.58 | ) | (2.13 | ) | ||||||||||||||
Total distributions | — | — | (3.53 | ) | (1.54 | ) | (3.83 | ) | (3.26 | ) | |||||||||||||
Total increase (decrease) in net asset value | 1.15 | 7.65 | 24.00 | 10.30 | (2.45 | ) | 7.25 | ||||||||||||||||
Net asset value, ending | $114.22 | $118.27 | $110.62 | $86.62 | $76.32 | $78.77 | |||||||||||||||||
Total return* | 1.02 | % | 6.92 | % | 31.87 | % | 15.55 | % | 1.73 | % | 14.69 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 1.61 | % (a) | 1.58 | % | 1.69 | % | 1.90 | % | 1.70 | % | 1.67 | % | |||||||||||
Total expenses | 0.46 | % (a) | 0.45 | % | 0.48 | % | 0.45 | % | 0.46 | % | 0.46 | % | |||||||||||
Expenses before offsets | 0.42 | % (a) | 0.42 | % | 0.42 | % | 0.41 | % | 0.39 | % | 0.38 | % | |||||||||||
Net expenses | 0.42 | % (a) | 0.42 | % | 0.42 | % | 0.41 | % | 0.39 | % | 0.38 | % | |||||||||||
Portfolio turnover | 2 | % | 5 | % | 11 | % | 5 | % | 7 | % | 9 | % | |||||||||||
Net assets, ending (in thousands) | $360,925 | $357,761 | $353,688 | $285,405 | $259,068 | $236,086 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements may be used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
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FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP S&P MidCap 400 Index Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 5
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., Subadvisor
Performance
In the six months ended June 30, 2015, the Calvert VP S&P Midcap 400 Index Portfolio (Class I shares) returned 3.93 percent, compared with the S&P Midcap 400 Index, which returned 4.20 percent. The underperformance was due primarily to operating expenses, which the Index does not incur.
Investment Process
The Portfolio seeks, as closely as possible, to replicate the holdings and match the performance of the S&P Midcap 400 Index. In pursuit of this objective, the Portfolio employs a passive management approach. It buys and sells securities only to replicate the underlying Index. Standard & Poor’s will make changes to the Index occasionally due to corporate actions, mergers and acquisitions, and other discretionary considerations.
Market Review
The U.S. unemployment rate continued to decline, indicating a measure of strengthening in the economy. The European Central Bank’s January announcement that it would begin quantitative easing with a 60 billion euro purchase of bonds each month began to give a boost to European economies.
Despite the improving labor market though, growth in the U.S., as represented by GDP, was tepid. While unemployment in the U.S. continued to decline, the prevalence of poor quality jobs, either low paying, part time, or both, put a damper on economic growth. In addition, data indicated a slowdown in manufacturing, declining business spending, unimpressive retail sales, and a mixed housing picture.
Nevertheless, there were sufficient positive indicators to keep the Federal Reserve poised to begin raising interest rates, possibly as early as the fourth quarter. This led to an uptick in interest rates for all maturities, a steepening of the yield curve, and volatility as the market reacted to successive events as if they were predictors of when the hikes might actually occur.
Midcaps outperformed large-cap stocks in the period as the midcap financials sector advanced strongly while large-cap financials were unchanged. Midcap technology stocks also had strong returns while the large-cap technology sector advanced only modestly.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||||
Class I | Class F* | |||||
Six month** | 3.93 | % | 3.81 | % | ||
One year | 5.84 | % | 5.63 | % | ||
Five year | 17.25 | % | 16.96 | % | ||
Ten year | 9.14 | % | 8.89 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 0.53%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * Class F share performance prior to October 1, 2007 is based on Class I performance, adjusted to reflect Class F expenses. ** Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Portfolio Strategy
Health care was the strongest performing sector in the Index, advancing 16.5 percent, as providers continued to benefit from the Affordable Care Act. The utilities sector was the weakest performer, declining 11.6 percent, as rising interest rates weighed on high-yielding utility stocks.
At period end, the financials sector had the largest weight in the Index, at 24.2 percent. The telecommunication services sector had the smallest weight, at 0.2 percent.
Outlook
We see the U.S. economy accelerating in the second half of the year, in a similar pattern to that we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will also provide an economic boost.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors around the world are starting to get nervous about rich valuations across many risky asset categories, including equities. Some of the negative catalysts currently in the system, such as uncertainty about Greece’s status in the eurozone and a potential bubble burst in China, make markets more vulnerable to shocks given current valuations.
We continue to be concerned that concurrent easing efforts in multiple global economies in Europe and Asia will be less potent than that carried out in the U.S. in response to the financial crisis because these efforts will cancel each other out to some extent. As such, market enthusiasm for global easing may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally. We continue to be less aggressive than consensus with respect to the timing of a Fed rate hike, believing that hikes are more likely to occur in December or early 2016 than earlier. Equally as important, we continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual. We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above-average multiples.
July 2015
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Consumer Discretionary | 13.9 | % | |
Consumer Staples | 3.5 | % | |
Energy | 4.2 | % | |
Exchange-Traded Products | 1.6 | % | |
Financials | 22.7 | % | |
Government | 0.3 | % | |
Health Care | 8.7 | % | |
Industrials | 14.1 | % | |
Information Technology | 15.5 | % | |
Materials | 7.0 | % | |
Short-Term Investments | 4.2 | % | |
Telecommunication Services | 0.2 | % | |
Utilities | 4.1 | % | |
Total | 100 | % | |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 7
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution (12b-1) fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Class I | ||||
Actual | 0.54% | $1,000.00 | $1,039.30 | $2.73 |
Hypothetical (5% return per year before expenses) | 0.54% | $1,000.00 | $1,022.12 | $2.71 |
Class F | ||||
Actual | 0.76% | $1,000.00 | $1,038.10 | $3.84 |
Hypothetical (5% return per year before expenses) | 0.76% | $1,000.00 | $1,021.03 | $3.81 |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
8 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EQUITY SECURITIES - 94.0% | |||||
Aerospace & Defense - 1.6% | |||||
B/E Aerospace, Inc. | 15,929 | 874,502 | |||
Esterline Technologies Corp.* | 4,620 | 440,471 | |||
Huntington Ingalls Industries, Inc. | 7,261 | 817,516 | |||
KLX, Inc.* | 7,791 | 343,817 | |||
Orbital ATK, Inc. | 8,914 | 653,931 | |||
Teledyne Technologies, Inc.* | 5,301 | 559,309 | |||
Triumph Group, Inc. | 7,466 | 492,681 | |||
4,182,227 | |||||
Airlines - 0.8% | |||||
Alaska Air Group, Inc. | 19,439 | 1,252,455 | |||
JetBlue Airways Corp.* | 39,254 | 814,913 | |||
2,067,368 | |||||
Auto Components - 0.5% | |||||
Dana Holding Corp. | 24,462 | 503,428 | |||
Gentex Corp. | 44,389 | 728,867 | |||
1,232,295 | |||||
Automobiles - 0.1% | |||||
Thor Industries, Inc. | 6,863 | 386,250 | |||
Banks - 5.3% | |||||
Associated Banc-Corp. | 22,871 | 463,595 | |||
BancorpSouth, Inc. | 12,836 | 330,655 | |||
Bank of Hawaii Corp. | 6,450 | 430,086 | |||
Bank of the Ozarks, Inc. | 10,600 | 484,950 | |||
Cathay General Bancorp | 10,965 | 355,814 | |||
City National Corp. | 7,231 | 653,610 | |||
Commerce Bancshares, Inc. | 12,469 | 583,175 | |||
Cullen/Frost Bankers, Inc. | 8,259 | 648,992 | |||
East West Bancorp, Inc. | 21,580 | 967,216 | |||
First Horizon National Corp. | 35,211 | 551,756 | |||
First Niagara Financial Group, Inc. | 52,709 | 497,573 | |||
FirstMerit Corp. | 24,625 | 512,939 | |||
Fulton Financial Corp. | 26,495 | 346,025 | |||
Hancock Holding Co. | 11,680 | 372,709 | |||
International Bancshares Corp. | 8,718 | 234,253 | |||
PacWest Bancorp | 14,555 | 680,592 | |||
Prosperity Bancshares, Inc. | 8,931 | 515,676 | |||
Signature Bank* | 7,622 | 1,115,784 | |||
SVB Financial Group* | 7,661 | 1,103,031 | |||
Synovus Financial Corp. | 19,974 | 615,599 | |||
TCF Financial Corp. | 25,330 | 420,731 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 9
SHARES | VALUE ($) | ||||
Trustmark Corp. | 9,915 | 247,677 | |||
Umpqua Holdings Corp. | 33,130 | 596,009 | |||
Valley National Bancorp | 33,124 | 341,508 | |||
Webster Financial Corp. | 13,613 | 538,394 | |||
13,608,349 | |||||
Beverages - 0.1% | |||||
Boston Beer Company, Inc. (The), Class A* | 1,368 | 317,362 | |||
Biotechnology - 0.5% | |||||
United Therapeutics Corp.* | 6,931 | 1,205,647 | |||
Building Products - 1.0% | |||||
A.O. Smith Corp. | 11,285 | 812,294 | |||
Fortune Brands Home & Security, Inc. | 23,852 | 1,092,899 | |||
Lennox International, Inc. | 6,179 | 665,416 | |||
2,570,609 | |||||
Capital Markets - 2.0% | |||||
Eaton Vance Corp. | 17,803 | 696,631 | |||
Federated Investors, Inc., Class B | 14,328 | 479,845 | |||
Janus Capital Group, Inc. | 21,978 | 376,263 | |||
Raymond James Financial, Inc. | 19,103 | 1,138,157 | |||
SEI Investments Co. | 19,432 | 952,751 | |||
Stifel Financial Corp.* | 10,179 | 587,736 | |||
Waddell & Reed Financial, Inc., Class A | 12,562 | 594,308 | |||
WisdomTree Investments, Inc. | 16,718 | 367,211 | |||
5,192,902 | |||||
Chemicals - 3.2% | |||||
Albemarle Corp. | 16,860 | 931,852 | |||
Ashland, Inc. | 9,322 | 1,136,352 | |||
Cabot Corp. | 9,557 | 356,380 | |||
Chemours Co. (The)* | 26,200 | 419,200 | |||
Cytec Industries, Inc. | 10,680 | 646,460 | |||
Minerals Technologies, Inc. | 5,208 | 354,821 | |||
NewMarket Corp. | 1,590 | 705,785 | |||
Olin Corp. | 11,766 | 317,094 | |||
PolyOne Corp. | 13,365 | 523,507 | |||
RPM International, Inc. | 19,977 | 978,274 | |||
Scotts Miracle-Gro Co. (The), Class A | 6,630 | 392,562 | |||
Sensient Technologies Corp. | 7,008 | 478,927 | |||
Valspar Corp. (The) | 11,208 | 917,039 | |||
8,158,253 | |||||
Commercial Services & Supplies - 1.6% | |||||
Clean Harbors, Inc.* | 8,020 | 430,995 | |||
Copart, Inc.* | 17,107 | 606,956 | |||
Deluxe Corp. | 7,500 | 465,000 |
10 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Herman Miller, Inc. | 8,745 | 252,993 | |||
HNI Corp. | 6,671 | 341,222 | |||
MSA Safety, Inc. | 4,650 | 225,571 | |||
Rollins, Inc. | 14,235 | 406,125 | |||
RR Donnelley & Sons Co. | 31,187 | 543,589 | |||
Travel Centers of America LLC*(b) | 60,000 | — | |||
Waste Connections, Inc. | 18,638 | 878,223 | |||
4,150,674 | |||||
Communications Equipment - 0.9% | |||||
ARRIS Group, Inc.* | 19,858 | 607,655 | |||
Ciena Corp.* | 17,572 | 416,105 | |||
InterDigital, Inc. | 5,497 | 312,724 | |||
JDS Uniphase Corp.* | 34,979 | 405,057 | |||
Plantronics, Inc. | 5,886 | 331,441 | |||
Polycom, Inc.* | 20,274 | 231,934 | |||
2,304,916 | |||||
Construction & Engineering - 0.5% | |||||
AECOM* | 22,549 | 745,921 | |||
Granite Construction, Inc. | 5,296 | 188,061 | |||
KBR, Inc. | 21,492 | 418,664 | |||
1,352,646 | |||||
Construction Materials - 0.2% | |||||
Eagle Materials, Inc. | 7,532 | 574,918 | |||
Consumer Finance - 0.2% | |||||
SLM Corp.* | 63,661 | 628,334 | |||
Containers & Packaging - 1.8% | |||||
AptarGroup, Inc. | 9,371 | 597,589 | |||
Bemis Co., Inc. | 14,684 | 660,927 | |||
Greif, Inc., Class A | 5,016 | 179,823 | |||
Packaging Corp. of America | 14,792 | 924,352 | |||
Rock-Tenn Co. | 21,034 | 1,266,247 | |||
Silgan Holdings, Inc. | 6,265 | 330,541 | |||
Sonoco Products Co. | 15,137 | 648,772 | |||
4,608,251 | |||||
Distributors - 0.5% | |||||
LKQ Corp.* | 45,712 | 1,382,559 | |||
Diversified Consumer Services - 1.0% | |||||
Apollo Education Group, Inc.* | 14,520 | 187,018 | |||
DeVry Education Group, Inc. | 8,485 | 254,380 | |||
Graham Holdings Co., Class B | 666 | 715,983 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 11
SHARES | VALUE ($) | ||||
Service Corp. International | 30,303 | 891,817 | |||
Sotheby’s | 9,274 | 419,556 | |||
2,468,754 | |||||
Diversified Financial Services - 0.7% | |||||
CBOE Holdings, Inc. | 12,517 | 716,223 | |||
MSCI, Inc. | 16,893 | 1,039,764 | |||
1,755,987 | |||||
Electric Utilities - 1.5% | |||||
Cleco Corp. | 8,989 | 484,057 | |||
Great Plains Energy, Inc. | 23,175 | 559,908 | |||
Hawaiian Electric Industries, Inc. | 16,107 | 478,861 | |||
IDACORP, Inc. | 7,491 | 420,545 | |||
OGE Energy Corp. | 29,988 | 856,757 | |||
PNM Resources, Inc. | 11,788 | 289,985 | |||
Westar Energy, Inc. | 19,864 | 679,746 | |||
3,769,859 | |||||
Electrical Equipment - 1.0% | |||||
Acuity Brands, Inc. | 6,520 | 1,173,470 | |||
Hubbell, Inc., Class B | 8,020 | 868,406 | |||
Regal-Beloit Corp. | 6,721 | 487,877 | |||
2,529,753 | |||||
Electronic Equipment & Instruments - 3.4% | |||||
Arrow Electronics, Inc.* | 14,348 | 800,618 | |||
Avnet, Inc. | 20,501 | 842,796 | |||
Belden, Inc. | 6,395 | 519,466 | |||
Cognex Corp. | 13,065 | 628,426 | |||
FEI Co. | 6,286 | 521,298 | |||
Ingram Micro, Inc., Class A* | 23,431 | 586,478 | |||
IPG Photonics Corp.* | 5,366 | 457,049 | |||
Jabil Circuit, Inc. | 29,047 | 618,411 | |||
Keysight Technologies, Inc.* | 25,323 | 789,824 | |||
Knowles Corp.* | 12,663 | 229,200 | |||
National Instruments Corp. | 15,217 | 448,293 | |||
Tech Data Corp.* | 5,510 | 317,156 | |||
Trimble Navigation Ltd.* | 38,962 | 914,049 | |||
Vishay Intertechnology, Inc. | 20,202 | 235,959 | |||
Zebra Technologies Corp., Class A* | 7,756 | 861,304 | |||
8,770,327 | |||||
Energy Equipment & Services - 2.0% | |||||
Atwood Oceanics, Inc. | 8,854 | 234,100 | |||
Dresser-Rand Group, Inc.* | 11,525 | 981,700 | |||
Dril-Quip, Inc.* | 5,803 | 436,676 | |||
Helix Energy Solutions Group, Inc.* | 14,617 | 184,613 | |||
Nabors Industries Ltd. | 43,506 | 627,792 |
12 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Oceaneering International, Inc. | 14,807 | 689,858 | |||
Oil States International, Inc.* | 7,736 | 288,011 | |||
Patterson-UTI Energy, Inc. | 22,015 | 414,212 | |||
Rowan Co.’s plc, Class A | 18,600 | 392,646 | |||
Superior Energy Services, Inc. | 22,560 | 474,662 | |||
Tidewater, Inc. | 6,928 | 157,473 | |||
Unit Corp.* | 6,824 | 185,067 | |||
5,066,810 | |||||
Food & Staples Retailing - 0.5% | |||||
Casey’s General Stores, Inc. | 5,700 | 545,718 | |||
SUPERVALU, Inc.* | 30,486 | 246,632 | |||
United Natural Foods, Inc.* | 7,517 | 478,682 | |||
1,271,032 | |||||
Food Products - 2.1% | |||||
Dean Foods Co. | 13,920 | 225,087 | |||
Flowers Foods, Inc. | 27,702 | 585,897 | |||
Hain Celestial Group, Inc. (The)* | 15,385 | 1,013,256 | |||
Ingredion, Inc. | 10,749 | 857,878 | |||
Lancaster Colony Corp. | 2,854 | 259,286 | |||
Post Holdings, Inc.* | 8,224 | 443,520 | |||
Tootsie Roll Industries, Inc. | 3,052 | 98,610 | |||
TreeHouse Foods, Inc.* | 6,433 | 521,266 | |||
WhiteWave Foods Co. (The)* | 26,222 | 1,281,731 | |||
5,286,531 | |||||
Gas Utilities - 1.4% | |||||
Atmos Energy Corp. | 15,154 | 777,097 | |||
National Fuel Gas Co. | 12,668 | 746,018 | |||
ONE Gas, Inc. | 7,886 | 335,628 | |||
Questar Corp. | 26,382 | 551,648 | |||
UGI Corp. | 25,975 | 894,839 | |||
WGL Holdings, Inc. | 7,475 | 405,818 | |||
3,711,048 | |||||
Health Care Equipment & Supplies - 3.4% | |||||
Align Technology, Inc.* | 10,921 | 684,856 | |||
Cooper Co.’s, Inc. (The) | 7,259 | 1,291,884 | |||
Halyard Health, Inc.* | 7,000 | 283,500 | |||
Hill-Rom Holdings, Inc. | 8,521 | 462,946 | |||
Hologic, Inc.* | 36,614 | 1,393,529 | |||
IDEXX Laboratories, Inc.* | 14,108 | 904,887 | |||
ResMed, Inc. | 21,129 | 1,191,042 | |||
Sirona Dental Systems, Inc.* | 8,352 | 838,708 | |||
STERIS Corp. | 8,956 | 577,125 | |||
Teleflex, Inc. | 6,230 | 843,853 | |||
Thoratec Corp.* | 8,086 | 360,393 | |||
8,832,723 | |||||
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | ||||
Health Care Providers & Services - 3.2% | |||||
Centene Corp.* | 17,862 | 1,436,105 | |||
Community Health Systems, Inc.* | 17,699 | 1,114,506 | |||
Health Net, Inc.* | 11,567 | 741,676 | |||
LifePoint Hospitals, Inc.* | 6,624 | 575,957 | |||
Mednax, Inc.* | 14,025 | 1,039,393 | |||
Molina Healthcare, Inc.* | 6,000 | 421,800 | |||
Omnicare, Inc. | 14,528 | 1,369,264 | |||
Owens & Minor, Inc. | 9,333 | 317,322 | |||
VCA, Inc.* | 12,368 | 672,881 | |||
WellCare Health Plans, Inc.* | 6,604 | 560,217 | |||
8,249,121 | |||||
Health Care Technology - 0.2% | |||||
Allscripts Healthcare Solutions, Inc.* | 25,495 | 348,772 | |||
HMS Holdings Corp.* | 13,277 | 227,966 | |||
576,738 | |||||
Hotels, Restaurants & Leisure - 1.7% | |||||
Brinker International, Inc. | 9,167 | 528,478 | |||
Buffalo Wild Wings, Inc.* | 2,838 | 444,686 | |||
Cheesecake Factory, Inc. (The) | 6,843 | 373,183 | |||
Domino’s Pizza, Inc. | 8,276 | 938,498 | |||
Dunkin’ Brands Group, Inc. | 14,500 | 797,500 | |||
International Speedway Corp., Class A | 4,137 | 151,704 | |||
Panera Bread Co., Class A* | 3,805 | 665,000 | |||
Wendy’s Co. (The) | 40,843 | 460,709 | |||
4,359,758 | |||||
Household Durables - 1.8% | |||||
Jarden Corp.* | 26,854 | 1,389,694 | |||
KB Home | 13,594 | 225,660 | |||
MDC Holdings, Inc. | 5,956 | 178,501 | |||
NVR, Inc.* | 579 | 775,860 | |||
Tempur Sealy International, Inc.* | 9,151 | 603,051 | |||
Toll Brothers, Inc.* | 24,030 | 917,706 | |||
Tupperware Brands Corp. | 7,514 | 484,954 | |||
4,575,426 | |||||
Household Products - 0.6% | |||||
Church & Dwight Co., Inc. | 19,667 | 1,595,584 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||||
Talen Energy Corp.* | 12,400 | 212,784 | |||
Industrial Conglomerates - 0.4% | |||||
Carlisle Co.’s, Inc. | 9,798 | 980,976 | |||
14 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Insurance - 4.8% | |||||
Alleghany Corp.* | 2,406 | 1,127,837 | |||
American Financial Group, Inc. | 11,018 | 716,611 | |||
Arthur J. Gallagher & Co. | 25,184 | 1,191,203 | |||
Aspen Insurance Holdings Ltd. | 9,356 | 448,152 | |||
Brown & Brown, Inc. | 17,318 | 569,069 | |||
CNO Financial Group, Inc. | 29,531 | 541,894 | |||
Everest Re Group Ltd. | 6,662 | 1,212,551 | |||
First American Financial Corp. | 16,203 | 602,914 | |||
Hanover Insurance Group, Inc. (The) | 6,660 | 493,040 | |||
HCC Insurance Holdings, Inc. | 14,350 | 1,102,654 | |||
Kemper Corp. | 7,405 | 285,463 | |||
Mercury General Corp. | 5,370 | 298,840 | |||
Old Republic International Corp. | 36,085 | 564,008 | |||
Primerica, Inc. | 7,812 | 356,930 | |||
Reinsurance Group of America, Inc. | 9,926 | 941,680 | |||
RenaissanceRe Holdings Ltd. | 6,880 | 698,389 | |||
StanCorp Financial Group, Inc. | 6,335 | 478,989 | |||
WR Berkley Corp. | 14,976 | 777,704 | |||
12,407,928 | |||||
Internet & Catalog Retail - 0.1% | |||||
HSN, Inc. | 4,800 | 336,912 | |||
Internet Software & Services - 0.3% | |||||
Rackspace Hosting, Inc.* | 17,775 | 661,052 | |||
IT Services - 3.2% | |||||
Acxiom Corp.* | 11,722 | 206,073 | |||
Broadridge Financial Solutions, Inc. | 17,975 | 898,930 | |||
Convergys Corp. | 15,004 | 382,452 | |||
CoreLogic, Inc.* | 13,498 | 535,736 | |||
DST Systems, Inc. | 4,237 | 533,777 | |||
Gartner, Inc.* | 12,457 | 1,068,561 | |||
Global Payments, Inc. | 9,965 | 1,030,879 | |||
Jack Henry & Associates, Inc. | 12,293 | 795,357 | |||
Leidos Holdings, Inc. | 9,370 | 378,267 | |||
MAXIMUS, Inc. | 9,901 | 650,793 | |||
NeuStar, Inc., Class A* | 8,302 | 242,501 | |||
Science Applications International Corp. | 5,907 | 312,185 | |||
VeriFone Systems, Inc.* | 17,099 | 580,682 | |||
WEX, Inc.* | 5,832 | 664,673 | |||
8,280,866 | |||||
Leisure Products - 1.0% | |||||
Brunswick Corp. | 13,954 | 709,700 | |||
Polaris Industries, Inc. | 9,172 | 1,358,465 | |||
Vista Outdoor, Inc.* | 9,488 | 426,011 | |||
2,494,176 | |||||
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | ||||
Life Sciences - Tools & Services - 1.1% | |||||
Bio-Rad Laboratories, Inc., Class A* | 3,065 | 461,620 | |||
Bio-Techne Corp. | 5,582 | 549,659 | |||
Charles River Laboratories International, Inc.* | 7,114 | 500,399 | |||
Mettler-Toledo International, Inc.* | 4,194 | 1,432,083 | |||
2,943,761 | |||||
Machinery - 4.2% | |||||
AGCO Corp. | 12,095 | 686,754 | |||
CLARCOR, Inc. | 7,547 | 469,725 | |||
Crane Co. | 7,332 | 430,608 | |||
Donaldson Co., Inc. | 19,090 | 683,422 | |||
Graco, Inc. | 8,868 | 629,894 | |||
IDEX Corp. | 11,673 | 917,264 | |||
ITT Corp. | 13,467 | 563,459 | |||
Kennametal, Inc. | 11,887 | 405,585 | |||
Lincoln Electric Holdings, Inc. | 11,334 | 690,127 | |||
Nordson Corp. | 8,483 | 660,741 | |||
Oshkosh Corp. | 11,849 | 502,161 | |||
SPX Corp. | 6,161 | 445,995 | |||
Terex Corp. | 15,936 | 370,512 | |||
The Timken Co. | 10,882 | 397,955 | |||
Trinity Industries, Inc. | 23,401 | 618,488 | |||
Valmont Industries, Inc. | 3,532 | 419,849 | |||
Wabtec Corp. | 14,483 | 1,364,878 | |||
Woodward, Inc. | 8,626 | 474,344 | |||
10,731,761 | |||||
Marine - 0.2% | |||||
Kirby Corp.* | 8,389 | 643,101 | |||
Media - 1.4% | |||||
AMC Networks, Inc., Class A* | 8,888 | 727,483 | |||
Cinemark Holdings, Inc. | 15,654 | 628,821 | |||
DreamWorks Animation SKG, Inc., Class A* | 10,941 | 288,624 | |||
John Wiley & Sons, Inc., Class A | 6,943 | 377,491 | |||
Live Nation Entertainment, Inc.* | 21,810 | 599,557 | |||
Meredith Corp. | 5,397 | 281,453 | |||
New York Times Co., Class A | 19,669 | 268,482 | |||
Time, Inc. | 16,423 | 377,893 | |||
3,549,804 | |||||
Metals & Mining - 1.5% | |||||
Carpenter Technology Corp. | 7,558 | 292,343 | |||
Commercial Metals Co. | 17,437 | 280,387 | |||
Compass Minerals International, Inc. | 4,994 | 410,207 | |||
Reliance Steel & Aluminum Co. | 11,139 | 673,687 | |||
Royal Gold, Inc. | 9,776 | 602,104 | |||
Steel Dynamics, Inc. | 36,309 | 752,141 |
16 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
TimkenSteel Corp. | 5,707 | 154,032 | |||
United States Steel Corp. | 21,600 | 445,392 | |||
Worthington Industries, Inc. | 7,253 | 218,025 | |||
3,828,318 | |||||
Multi-Utilities - 0.9% | |||||
Alliant Energy Corp. | 16,941 | 977,835 | |||
Black Hills Corp. | 6,606 | 288,352 | |||
MDU Resources Group, Inc. | 29,227 | 570,803 | |||
Vectren Corp. | 12,281 | 472,573 | |||
2,309,563 | |||||
Multiline Retail - 0.3% | |||||
Big Lots, Inc. | 8,035 | 361,495 | |||
J.C. Penney Co., Inc.* | 45,388 | 384,436 | |||
745,931 | |||||
Oil, Gas & Consumable Fuels - 2.3% | |||||
California Resources Corp. | 46,378 | 280,123 | |||
Denbury Resources, Inc. | 53,121 | 337,850 | |||
Energen Corp. | 11,819 | 807,238 | |||
Gulfport Energy Corp.* | 15,993 | 643,718 | |||
HollyFrontier Corp. | 29,477 | 1,258,373 | |||
QEP Resources, Inc. | 23,800 | 440,538 | |||
Rosetta Resources, Inc.* | 11,351 | 262,662 | |||
SM Energy Co. | 9,986 | 460,554 | |||
Western Refining, Inc. | 10,728 | 467,956 | |||
World Fuel Services Corp. | 10,719 | 513,976 | |||
WPX Energy, Inc.* | 30,701 | 377,008 | |||
5,849,996 | |||||
Paper & Forest Products - 0.3% | |||||
Domtar Corp. | 9,478 | 392,389 | |||
Louisiana-Pacific Corp.* | 21,361 | 363,778 | |||
756,167 | |||||
Personal Products - 0.6% | |||||
Avon Products, Inc. | 65,356 | 409,129 | |||
Edgewell Personal Care Co. | 9,339 | 1,228,545 | |||
1,637,674 | |||||
Pharmaceuticals - 0.2% | |||||
Akorn, Inc.* | 11,835 | 516,716 | |||
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 17
SHARES | VALUE ($) | ||||
Professional Services - 1.2% | |||||
CEB, Inc. | 4,992 | 434,604 | |||
FTI Consulting, Inc.* | 6,201 | 255,729 | |||
Manpowergroup, Inc. | 11,771 | 1,052,092 | |||
Towers Watson & Co., Class A | 10,395 | 1,307,691 | |||
3,050,116 | |||||
Real Estate Investment Trusts - 8.5% | |||||
Alexandria Real Estate Equities, Inc. | 10,829 | 947,104 | |||
American Campus Communities, Inc. | 16,865 | 635,642 | |||
BioMed Realty Trust, Inc. | 30,266 | 585,344 | |||
Camden Property Trust | 13,036 | 968,314 | |||
Communications Sales & Leasing, Inc. | 17,973 | 444,293 | |||
Corporate Office Properties Trust | 14,176 | 333,703 | |||
Corrections Corp. of America | 17,557 | 580,786 | |||
Douglas Emmett, Inc. | 20,712 | 557,981 | |||
Duke Realty Corp. | 51,825 | 962,390 | |||
Equity One, Inc. | 12,036 | 280,920 | |||
Extra Space Storage, Inc. | 16,622 | 1,084,087 | |||
Federal Realty Investment Trust | 10,322 | 1,322,145 | |||
Highwoods Properties, Inc. | 13,968 | 558,022 | |||
Home Properties, Inc. | 8,687 | 634,585 | |||
Hospitality Properties Trust | 22,541 | 649,632 | |||
Kilroy Realty Corp. | 13,203 | 886,581 | |||
Lamar Advertising Co., Class A | 12,065 | 693,496 | |||
LaSalle Hotel Properties | 16,974 | 601,898 | |||
Liberty Property Trust | 22,383 | 721,180 | |||
Mack-Cali Realty Corp. | 12,379 | 228,145 | |||
Mid-America Apartment Communities, Inc. | 11,319 | 824,136 | |||
National Retail Properties, Inc. | 20,095 | 703,526 | |||
Omega Healthcare Investors, Inc. | 24,112 | 827,765 | |||
Potlatch Corp. | 5,968 | 210,790 | |||
Rayonier, Inc. | 18,833 | 481,183 | |||
Regency Centers Corp. | 14,150 | 834,567 | |||
Senior Housing Properties Trust | 35,325 | 619,954 | |||
Tanger Factory Outlet Centers, Inc. | 14,371 | 455,561 | |||
Taubman Centers, Inc. | 9,268 | 644,126 | |||
UDR, Inc. | 38,900 | 1,245,967 | |||
Urban Edge Properties | 13,878 | 288,524 | |||
Weingarten Realty Investors | 17,093 | 558,770 | |||
WP GLIMCHER, Inc. | 27,362 | 370,208 | |||
21,741,325 | |||||
Real Estate Management & Development - 0.6% | |||||
Alexander & Baldwin, Inc. | 6,827 | 268,984 | |||
Jones Lang LaSalle, Inc. | 6,740 | 1,152,540 | |||
1,421,524 | |||||
18 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Road & Rail - 0.9% | |||||
Con-way, Inc. | 8,511 | 326,567 | |||
Genesee & Wyoming, Inc., Class A* | 7,708 | 587,195 | |||
Landstar System, Inc. | 6,734 | 450,303 | |||
Old Dominion Freight Line, Inc.* | 10,205 | 700,114 | |||
Werner Enterprises, Inc. | 6,550 | 171,938 | |||
2,236,117 | |||||
Semiconductors & Semiconductor Equipment - 2.0% | |||||
Advanced Micro Devices, Inc.* | 94,503 | 226,807 | |||
Atmel Corp. | 62,574 | 616,667 | |||
Cree, Inc.* | 16,362 | 425,903 | |||
Cypress Semiconductor Corp.* | 49,770 | 585,295 | |||
Fairchild Semiconductor International, Inc.* | 17,459 | 303,437 | |||
Integrated Device Technology, Inc.* | 22,019 | 477,812 | |||
Intersil Corp., Class A | 19,496 | 243,895 | |||
Silicon Laboratories, Inc.* | 5,956 | 321,684 | |||
SunEdison, Inc.* | 43,713 | 1,307,456 | |||
Teradyne, Inc. | 32,171 | 620,579 | |||
5,129,535 | |||||
Software - 5.0% | |||||
ACI Worldwide, Inc.* | 17,420 | 428,009 | |||
Advent Software, Inc. | 6,795 | 300,407 | |||
ANSYS, Inc.* | 13,512 | 1,232,835 | |||
Cadence Design Systems, Inc.* | 43,945 | 863,959 | |||
CDK Global, Inc. | 24,039 | 1,297,625 | |||
Commvault Systems, Inc.* | 6,304 | 267,353 | |||
FactSet Research Systems, Inc. | 5,831 | 947,596 | |||
Fair Isaac Corp. | 4,656 | 422,672 | |||
Fortinet, Inc.* | 21,324 | 881,321 | |||
Informatica Corp.* | 15,701 | 761,027 | |||
Manhattan Associates, Inc.* | 11,100 | 662,115 | |||
Mentor Graphics Corp. | 14,708 | 388,732 | |||
PTC, Inc.* | 17,243 | 707,308 | |||
Rovi Corp.* | 13,258 | 211,465 | |||
SolarWinds, Inc.* | 9,975 | 460,147 | |||
Solera Holdings, Inc. | 10,030 | 446,937 | |||
Synopsys, Inc.* | 23,255 | 1,177,866 | |||
Tyler Technologies, Inc.* | 5,048 | 653,110 | |||
Ultimate Software Group, Inc. (The)* | 4,300 | 706,662 | |||
12,817,146 | |||||
Specialty Retail - 4.2% | |||||
Aaron’s, Inc. | 9,524 | 344,864 | |||
Abercrombie & Fitch Co., Class A | 10,562 | 227,189 | |||
Advance Auto Parts, Inc. | 10,995 | 1,751,393 | |||
American Eagle Outfitters, Inc. | 26,373 | 454,143 | |||
ANN, Inc.* | 6,897 | 333,056 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 19
SHARES | VALUE ($) | ||||
Ascena Retail Group, Inc.* | 19,699 | 328,087 | |||
Cabela’s, Inc.* | 7,117 | 355,708 | |||
Chico’s FAS, Inc. | 21,521 | 357,894 | |||
CST Brands, Inc. | 11,596 | 452,940 | |||
Dick’s Sporting Goods, Inc. | 14,565 | 754,030 | |||
Foot Locker, Inc. | 20,971 | 1,405,267 | |||
Guess?, Inc. | 9,458 | 181,310 | |||
Murphy USA, Inc.* | 6,361 | 355,071 | |||
Office Depot, Inc.* | 73,787 | 638,995 | |||
Rent-A-Center, Inc. | 7,777 | 220,478 | |||
Signet Jewelers Ltd. | 12,053 | 1,545,677 | |||
Williams-Sonoma, Inc. | 12,780 | 1,051,410 | |||
10,757,512 | |||||
Technology Hardware, Storage & Peripherals - 0.7% | |||||
3D Systems Corp.* | 15,715 | 306,757 | |||
Diebold, Inc. | 9,724 | 340,340 | |||
Lexmark International, Inc., Class A | 9,215 | 407,303 | |||
NCR Corp.* | 25,358 | 763,276 | |||
1,817,676 | |||||
Textiles, Apparel & Luxury Goods - 0.9% | |||||
Carter’s, Inc. | 7,878 | 837,432 | |||
Deckers Outdoor Corp.* | 4,993 | 359,346 | |||
Kate Spade & Co.* | 19,154 | 412,577 | |||
Skechers U.S.A., Inc., Class A* | 6,000 | 658,740 | |||
2,268,095 | |||||
Thrifts & Mortgage Finance - 0.6% | |||||
New York Community Bancorp, Inc. | 66,533 | 1,222,876 | |||
Washington Federal, Inc. | 14,434 | 337,034 | |||
1,559,910 | |||||
Trading Companies & Distributors - 0.7% | |||||
GATX Corp. | 6,660 | 353,979 | |||
MSC Industrial Direct Co., Inc., Class A | 7,627 | 532,136 | |||
NOW, Inc.* | 15,977 | 318,102 | |||
Watsco, Inc. | 4,108 | 508,324 | |||
1,712,541 | |||||
Water Utilities - 0.3% | |||||
Aqua America, Inc. | 26,582 | 650,993 | |||
Wireless Telecommunication Services - 0.2% | |||||
Telephone & Data Systems, Inc. | 14,645 | 430,563 | |||
Total Equity Securities (Cost $165,365,060) | 241,223,550 | ||||
20 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
EXCHANGE-TRADED PRODUCTS - 1.6% | |||||
SPDR S&P MidCap 400 ETF Trust | 15,200 | 4,152,640 | |||
Total Exchange-Traded Products (Cost $3,909,764) | 4,152,640 | ||||
PRINCIPAL AMOUNT ($) | |||||
TIME DEPOSIT - 4.2% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 10,664,165 | 10,664,165 | |||
Total Time Deposit (Cost $10,664,165) | 10,664,165 | ||||
U.S. TREASURY OBLIGATIONS - 0.3% | |||||
United States Treasury Bills: | |||||
0.027%, 7/23/15^ | 200,000 | 199,997 | |||
0.11%, 7/23/15^ | 500,000 | 499,966 | |||
Total U.S. Treasury Obligations (Cost $699,963) | 699,963 | ||||
TOTAL INVESTMENTS (Cost $180,638,952) - 100.1% | 256,740,318 | ||||
Other assets and liabilities, net - (0.1)% | (207,716) | ||||
NET ASSETS - 100.0% | $256,532,602 | ||||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to the following shares of common stock outstanding; | |||
$0.10 par value, 20,000,000 shares authorized: | |||
Class I: 2,468,069 shares outstanding | $159,102,732 | ||
Class F: 108,955 shares outstanding | 9,397,398 | ||
Undistributed net investment income | 1,420,735 | ||
Accumulated net realized gain (loss) | 10,644,621 | ||
Net unrealized appreciation (depreciation) | 75,967,116 | ||
NET ASSETS | $256,532,602 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $245,538,823) | $99.49 | ||
Class F (based on net assets of $10,993,779) | $100.90 | ||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini S&P 400 Index^ | 75 | 9/15 | $11,235,750 | ($134,250 | ) | ||||
See notes to financial statements. |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 21
^ | Futures collateralized by $700,000 par value of the U.S. Treasury Bills. |
* | Non-income producing security. |
(b) | This security was valued under the direction of the Board of Directors. See Note A. |
Abbreviations: | |
ETF: | Exchange Traded Fund |
LLC: | Limited Liability Corporation |
plc: | Public Limited Company |
See notes to financial statements. |
22 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income | $1,895,398 | ||
Interest income | 3,410 | ||
Total investment income | 1,898,808 | ||
Expenses: | |||
Investment advisory fee | 382,550 | ||
Administrative fees | 127,517 | ||
Transfer agency fees and expenses | 16,292 | ||
Distribution Plan expenses: | |||
Class F | 9,796 | ||
Directors’ fees and expenses | 20,893 | ||
Accounting fees | 22,614 | ||
Custodian fees | 29,876 | ||
Professional fees | 27,045 | ||
Reports to shareholders | 28,097 | ||
Miscellaneous | 31,540 | ||
Total expenses | 696,220 | ||
NET INVESTMENT INCOME | 1,202,588 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 11,423,879 | ||
Futures | 394,070 | ||
11,817,949 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | (2,980,494) | ||
Futures | (304,355) | ||
(3,284,849) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 8,533,100 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $9,735,688 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 23
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $1,202,588 | $2,484,952 | |||||
Net realized gain (loss) | 11,817,949 | 20,531,619 | |||||
Change in unrealized appreciation (depreciation) | (3,284,849) | (1,034,932) | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 9,735,688 | 21,981,639 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (2,334,748) | |||||
Class F shares | — | (50,505) | |||||
Net realized gain: | |||||||
Class I shares | — | (19,263,615) | |||||
Class F shares | — | (677,145) | |||||
Total distributions | — | (22,326,013) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class I shares | 10,342,672 | 18,850,465 | |||||
Class F shares | 2,510,182 | 2,499,561 | |||||
Reinvestment of distributions: | |||||||
Class I shares | — | 21,598,364 | |||||
Class F shares | — | 727,650 | |||||
Shares redeemed: | |||||||
Class I shares | (16,144,993) | (43,161,985) | |||||
Class F shares | (441,219) | (690,344) | |||||
Total capital share transactions | (3,733,358) | (176,289) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 6,002,330 | (520,663) | |||||
NET ASSETS | |||||||
Beginning of period | 250,530,272 | 251,050,935 | |||||
End of period (including undistributed net investment income of $1,420,735 and $218,147, respectively) | $256,532,602 | $250,530,272 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold: | |||||||
Class I shares | 103,586 | 189,362 | |||||
Class F shares | 24,802 | 24,802 | |||||
Reinvestment of distributions: | |||||||
Class I shares | — | 223,239 | |||||
Class F shares | — | 7,407 | |||||
Shares redeemed: | |||||||
Class I shares | (162,681) | (433,723) | |||||
Class F shares | (4,334) | (6,900) | |||||
Total capital share activity | (38,627) | 4,187 | |||||
See notes to financial statements. |
24 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP S&P MidCap 400 Index Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.
The Portfolio offers Class F and Class I shares. Class F shares are subject to Distribution Plan Expenses, while Class I shares are not. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges; and (c) class-specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or the last available price and are categorized as Level 2 in the hierarchy. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. For
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restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.
Exchange traded products and closed-end funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, securities valued at $0, or 0% of net assets, were fair valued in good faith under the direction of the Board.
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The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities* | $241,223,550 | $— | $0 | ** | $241,223,550 | |||||||
Exchange-Traded Products | 4,152,640 | — | — | 4,152,640 | ||||||||
Time Deposit | — | 10,664,165 | — | 10,664,165 | ||||||||
U.S. Treasury Obligations | 699,963 | 699,963 | ||||||||||
TOTAL | $245,376,190 | $11,364,128 | $0 | ** | $256,740,318 | |||||||
Other financial instruments*** | ($134,250 | ) | $— | $— | ($134,250 | ) |
* For further breakdown of equity securities by industry type, please refer to the Statement of Net Assets.
** Level 3 securities are valued at $0 and represent 0.0% of net assets.
*** Other financial instruments are derivative instruments not reflected in the Total Investments in the Statement of Net Assets, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.
Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge, or to provide market exposure to the Portfolio’s uncommitted cash balances. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives and may use futures contracts to hedge against changes in the value of securities. The Portfolio may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Portfolio’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio. During the period, futures contracts were used to hedge the lack of equity market exposure inherent in a cash position. The Portfolio’s futures contracts at period end are presented in the Statement of Net Assets.
During the six months ended June 30, 2015, the Fund invested in E-Mini S&P 400 Index futures.
The volume of outstanding contracts has varied throughout the period with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures contracts long | 57 |
* Averages are based on activity levels during the six months ended June 30, 2015. |
Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a specific class are charged directly to that class. Expenses common to the classes are allowed to each class in proportion to their relative net assets.
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Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates.
For its services, the Advisor receives an annual fee, payable monthly, of .30%, of the Portfolio’s average daily net assets. Under the terms of the agreement, $64,503 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap are .81% for Class F and .57% for Class I. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit acquired fund fees and expenses, if any.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $21,501 was payable at period end.
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Portfolio has adopted a Distribution Plan that permits the Portfolio to pay certain expenses associated with the distribution and servicing of its Class F shares. The expenses paid may not exceed .20% annually of the average daily net assets of Class F. Under the terms of the agreement, $1,808 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $9,425 for the period ended June 30, 2015. Under the terms of the agreement, $1,585 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $19,686,844 and $19,861,813, respectively.
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CAPITAL LOSS CARRYFORWARD
EXPIRATION DATE
31-Dec-15 ($2,784,552)
31-Dec-16 (2,327,755)
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward to offset future capital gains for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their character as either long-term or short-term. Capital losses incurred in pre-enactment taxable years can be utilized until expiration. The Portfolio’s use of net capital losses acquired from reorganizations may be limited under certain tax provisions.
As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $84,223,751 | ||
Unrealized (depreciation) | (8,068,173) | ||
Net unrealized appreciation/(depreciation) | $76,155,578 | ||
Federal income tax cost of investments | $180,584,740 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
CLASS I SHARES | 2015 (z) | 2014 (z) | 2013 (z) | 2012 (z) | 2011 (z) | 2010 (z) | |||||||||||||||||
Net asset value, beginning | $95.73 | $96.10 | $75.22 | $66.38 | $68.39 | $54.66 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.47 | 1.00 | 0.88 | 0.86 | 0.59 | 0.59 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.29 | 7.99 | 23.70 | 10.58 | (2.12 | ) | 13.61 | ||||||||||||||||
Total from investment operations | 3.76 | 8.99 | 24.58 | 11.44 | (1.53 | ) | 14.20 | ||||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (1.01 | ) | (0.82 | ) | (0.72 | ) | (0.48 | ) | (0.47 | ) | ||||||||||||
Net realized gain | — | (8.35 | ) | (2.88 | ) | (1.88 | ) | — | — | ||||||||||||||
Total distributions | — | (9.36 | ) | (3.70 | ) | (2.60 | ) | (0.48 | ) | (0.47 | ) | ||||||||||||
Total increase (decrease) in net asset value | 3.76 | (0.37 | ) | 20.88 | 8.84 | (2.01 | ) | 13.73 | |||||||||||||||
Net asset value, ending | $99.49 | $95.73 | $96.10 | $75.22 | $66.38 | $68.39 | |||||||||||||||||
Total return* | 3.93 | % | 9.25 | % | 32.82 | % | 17.31 | % | (2.24 | )% | 25.98 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 0.95 | % (a) | 1.01 | % | 1.00 | % | 1.17 | % | 0.85 | % | 1.00 | % | |||||||||||
Total expenses | 0.54 | % (a) | 0.53 | % | 0.52 | % | 0.53 | % | 0.56 | % | 0.59 | % | |||||||||||
Expenses before offsets | 0.54 | % (a) | 0.53 | % | 0.52 | % | 0.53 | % | 0.55 | % | 0.55 | % | |||||||||||
Net expenses | 0.54 | % (a) | 0.53 | % | 0.52 | % | 0.53 | % | 0.55 | % | 0.55 | % | |||||||||||
Portfolio turnover | 8 | % | 14 | % | 12 | % | 10 | % | 16 | % | 17 | % | |||||||||||
Net assets, ending (in thousands) | $245,539 | $241,929 | $244,903 | $188,872 | $178,563 | $177,819 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
CLASS F SHARES | 2015 (z) | 2014 (z) | 2013 (z) | 2012 (z) | 2011 (z) | 2010 (z) | |||||||||||||||||
Net asset value, beginning | $97.20 | $97.32 | $76.04 | $67.03 | $69.00 | $55.10 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.37 | 0.81 | 0.65 | 0.71 | 0.44 | 0.46 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.33 | 8.04 | 23.94 | 10.64 | (2.14 | ) | 13.70 | ||||||||||||||||
Total from investment operations | 3.70 | 8.85 | 24.59 | 11.35 | (1.70 | ) | 14.16 | ||||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (0.62 | ) | (0.43 | ) | (0.46 | ) | (0.27 | ) | (0.26 | ) | ||||||||||||
Net realized gain | — | (8.35 | ) | (2.88 | ) | (1.88 | ) | — | — | ||||||||||||||
Total distributions | — | (8.97 | ) | (3.31 | ) | (2.34 | ) | (0.27 | ) | (0.26 | ) | ||||||||||||
Total increase (decrease) in net asset value | 3.70 | (0.12 | ) | 21.28 | 9.01 | (1.97 | ) | 13.90 | |||||||||||||||
Net asset value, ending | $100.90 | $97.20 | $97.32 | $76.04 | $67.03 | $69.00 | |||||||||||||||||
Total return* | 3.81 | % | 9.00 | % | 32.47 | % | 16.99 | % | (2.47 | )% | 25.70 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 0.74 | % (a) | 0.81 | % | 0.73 | % | 0.95 | % | 0.63 | % | 0.77 | % | |||||||||||
Total expenses | 0.76 | % (a) | 0.75 | % | 0.90 | % | 0.86 | % | 0.93 | % | 1.02 | % | |||||||||||
Expenses before offsets | 0.76 | % (a) | 0.75 | % | 0.81 | % | 0.80 | % | 0.79 | % | 0.79 | % | |||||||||||
Net expenses | 0.76 | % (a) | 0.75 | % | 0.81 | % | 0.80 | % | 0.79 | % | 0.79 | % | |||||||||||
Portfolio turnover | 8 | % | 14 | % | 12 | % | 10 | % | 16 | % | 17 | % | |||||||||||
Net assets, ending (in thousands) | $10,994 | $8,601 | $6,148 | $2,677 | $1,698 | $1,183 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements are used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
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FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP NASDAQ 100 Index Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 5
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., Subadvisor
Performance
For the six months ended June 30, 2015, the Calvert VP Nasdaq 100 Index Portfolio returned 4.06 percent, compared with the NASDAQ 100 Total Return Index, which returned 4.42 percent. The underperformance relative to the Index was largely attributable to operating expenses, which the Index does not incur.
Investment Process
The Portfolio seeks, as closely as possible, to replicate the holdings and match the performance of the NASDAQ 100 Index. In pursuit of this objective, the Portfolio employs a passive management approach. It buys and sells securities only to replicate the underlying Index. NASDAQ will make changes to the Index occasionally due to corporate actions, mergers and acquisitions, and other discretionary considerations.
Market Review
The U.S. unemployment rate continued to decline during the period, indicating a measure of strengthening in the economy. Meanwhile, the European Central Bank’s January announcement that it would begin quantitative easing with a 60 billion euro purchase of bonds each month began to give a boost to European economies.
Despite the improving U.S. labor market, however, growth in the U.S., as represented by GDP, was tepid. While more people were working, the prevalence of poor quality jobs, either low paying, part time, or both, put a damper on economic growth. In addition, data indicated a slowdown in manufacturing, declining business spending, unimpressive retail sales, and a mixed housing picture.
Nevertheless, there were sufficient positive indicators to keep the Federal Reserve poised to begin raising interest rates, possibly as early as the fourth quarter. This led to an uptick in interest rates for all maturities, a steepening of the yield curve, and increased volatility as the market reacted to successive events as if they were predictors of when the hikes might actually occur.
Portfolio Strategy
During the period, the consumer discretionary sector, advancing 10.64 percent, was the top performing Index sector. A number of stocks in the sector, including Netflix, Amazon, and Starbucks, produced outsized returns during the period, which enabled the sector to lead the way.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month* | 4.06 | % | ||
One year | 14.82 | % | ||
Five year | 21.05 | % | ||
Ten year | 11.69 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 0.63%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Industrials, weighed down by American Airlines, which lost 25 percent during the period and accounted for roughly 33 percent of the sector’s assets, was the worst performing sector. Industrials as a whole declined 10.19 percent in the period. The airlines industry as a whole performed poorly as potential new U.S. Environmental Protection Agency rules that would increase costs for airlines and new concerns about potential security weaknesses weighed on the industry.
Since the Portfolio is relatively more concentrated, individual stock movements can have a larger impact on overall performance, particularly if the stock holds a significant weight in the sector.
In the Index, the technology sector had the largest weight, at 55 percent. Materials had the smallest weight, at 0.5 percent. The Index excludes the financial sector from its holdings.
Outlook
We see the U.S. economy accelerating in the second half of the year, in a similar pattern to that we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will also provide an economic boost.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors around the world are starting to get nervous about rich valuations across many risky asset categories, including equities. Some of the negative catalysts currently in the system, such as uncertainty about Greece’s status in the eurozone and a potential bubble burst in China, make markets more vulnerable to shocks given current valuations.
We continue to be concerned that concurrent easing efforts in multiple global economies in Europe and Asia will be less potent than that carried out in the U.S. in response to the financial crisis because these efforts will cancel each other out to some extent. As such, market enthusiasm for global easing may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally.
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Consumer Discretionary | 18.5 | % | |
Consumer Staples | 5.9 | % | |
Exchange-Traded Products | 2.4 | % | |
Government | 0.2 | % | |
Health Care | 14.6 | % | |
Industrials | 1.9 | % | |
Information Technology | 51.7 | % | |
Materials | 0.3 | % | |
Short-Term Investments | 3.8 | % | |
Telecommunication Services | 0.7 | % | |
Total | 100 | % | |
We continue to be less aggressive than consensus with respect to the timing of a Fed rate hike, believing that hikes are more likely to occur in December or early 2016 than earlier. Equally as important, we continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual. We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above-average multiples.
July 2015
As of June 30, 2015, the following companies represented the following percentages of net assets: Netflix 0.73%, Amazon 3.74%, Starbucks 1.48%, and American Airlines 0.51%. Holdings are subject to change.
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 7
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.61% | $1,000.00 | $1,040.60 | $3.09 |
Hypothetical (5% return per year before expenses) | 0.61% | $1,000.00 | $1,021.77 | $3.06 |
* Expenses are equal to the Portfolio’s annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
8 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EQUITY SECURITIES - 93.4% | |||||
Air Freight & Logistics - 0.3% | |||||
C.H. Robinson Worldwide, Inc. | 2,407 | 150,173 | |||
Expeditors International of Washington, Inc. | 3,151 | 145,277 | |||
295,450 | |||||
Airlines - 0.5% | |||||
American Airlines Group, Inc. | 11,449 | 457,216 | |||
Automobiles - 0.6% | |||||
Tesla Motors, Inc.* | 2,067 | 554,493 | |||
Beverages - 0.4% | |||||
Monster Beverage Corp.* | 2,756 | 369,359 | |||
Biotechnology - 11.0% | |||||
Alexion Pharmaceuticals, Inc.* | 3,338 | 603,410 | |||
Amgen, Inc. | 12,551 | 1,926,830 | |||
Biogen, Inc.* | 3,881 | 1,567,691 | |||
Celgene Corp.* | 13,157 | 1,522,725 | |||
Gilead Sciences, Inc. | 24,262 | 2,840,595 | |||
Regeneron Pharmaceuticals, Inc.* | 1,670 | 851,917 | |||
Vertex Pharmaceuticals, Inc.* | 3,978 | 491,204 | |||
9,804,372 | |||||
Chemicals - 0.3% | |||||
Sigma-Aldrich Corp. | 1,963 | 273,544 | |||
Commercial Services & Supplies - 0.2% | |||||
Stericycle, Inc.* | 1,396 | 186,938 | |||
Communications Equipment - 4.5% | |||||
Cisco Systems, Inc. | 83,891 | 2,303,647 | |||
QUALCOMM, Inc. | 26,909 | 1,685,310 | |||
3,988,957 | |||||
Food & Staples Retailing - 3.1% | |||||
Costco Wholesale Corp. | 7,239 | 977,699 | |||
Walgreens Boots Alliance, Inc. | 17,913 | 1,512,574 | |||
Whole Foods Market, Inc. | 5,929 | 233,840 | |||
2,724,113 | |||||
Food Products - 2.4% | |||||
Keurig Green Mountain, Inc. | 2,767 | 212,035 | |||
Kraft Foods Group, Inc. | 9,763 | 831,222 | |||
Mondelez International, Inc., Class A | 27,107 | 1,115,182 | |||
2,158,439 | |||||
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 9
SHARES | VALUE ($) | ||||
Health Care Equipment & Supplies - 0.3% | |||||
Intuitive Surgical, Inc.* | 601 | 291,184 | |||
Health Care Providers & Services - 1.7% | |||||
Catamaran Corp.* | 3,395 | 207,367 | |||
Express Scripts Holding Co.* | 11,946 | 1,062,477 | |||
Henry Schein, Inc.* | 1,377 | 195,699 | |||
1,465,543 | |||||
Health Care Technology - 0.4% | |||||
Cerner Corp.* | 5,630 | 388,808 | |||
Hotels, Restaurants & Leisure - 2.1% | |||||
Marriott International, Inc., Class A | 4,545 | 338,103 | |||
Starbucks Corp. | 24,644 | 1,321,288 | |||
Wynn Resorts Ltd. | 1,690 | 166,752 | |||
1,826,143 | |||||
Household Durables - 0.2% | |||||
Garmin Ltd. | 3,152 | 138,467 | |||
Internet & Catalog Retail - 6.1% | |||||
Amazon.com, Inc.* | 7,687 | 3,336,850 | |||
Liberty Interactive Corp.* | 7,322 | 203,185 | |||
Liberty Ventures* | 2,262 | 88,829 | |||
Netflix, Inc.* | 994 | 652,998 | |||
Priceline Group, Inc. (The)* | 854 | 983,270 | |||
TripAdvisor, Inc.* | 2,161 | 188,310 | |||
5,453,442 | |||||
Internet Software & Services - 13.0% | |||||
Akamai Technologies, Inc.* | 2,925 | 204,224 | |||
Baidu, Inc. (ADR)* | 4,553 | 906,411 | |||
eBay, Inc.* | 19,886 | 1,197,933 | |||
Facebook, Inc., Class A* | 37,122 | 3,183,768 | |||
Google, Inc.: | |||||
Class A* | 4,760 | 2,570,590 | |||
Class C* | 5,658 | 2,945,046 | |||
Yahoo!, Inc.* | 15,384 | 604,437 | |||
11,612,409 | |||||
IT Services - 2.1% | |||||
Automatic Data Processing, Inc. | 7,809 | 626,516 | |||
Cognizant Technology Solutions Corp., Class A* | 10,018 | 612,000 | |||
Fiserv, Inc.* | 3,923 | 324,942 | |||
Paychex, Inc. | 5,968 | 279,780 | |||
1,843,238 | |||||
Leisure Products - 0.2% | |||||
Mattel, Inc. | 5,655 | 145,277 | |||
10 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Life Sciences - Tools & Services - 0.6% | |||||
Illumina, Inc.* | 2,363 | 515,985 | |||
Machinery - 0.4% | |||||
PACCAR, Inc. | 5,826 | 371,757 | |||
Media - 7.6% | |||||
Charter Communications, Inc.* | 1,836 | 314,415 | |||
Comcast Corp. | 6,292 | 377,143 | |||
Comcast Corp., Class A | 35,023 | 2,106,283 | |||
DIRECTV* | 8,263 | 766,724 | |||
Discovery Communications, Inc.: | |||||
Class A* | 2,448 | 81,420 | |||
Class C* | 4,668 | 145,081 | |||
DISH Network Corp.* | 3,671 | 248,563 | |||
Liberty Global plc: | |||||
Class A* | 4,130 | 223,309 | |||
Series C* | 10,283 | 520,628 | |||
Liberty Media Corp.: | |||||
Class A* | 1,744 | 62,854 | |||
Class C* | 3,833 | 137,605 | |||
Sirius XM Holdings, Inc.* | 92,487 | 344,977 | |||
Twenty-First Century Fox, Inc. | 13,123 | 422,823 | |||
Twenty-First Century Fox, Inc., Class A | 20,783 | 676,383 | |||
Viacom, Inc., Class B | 5,837 | 377,304 | |||
6,805,512 | |||||
Multiline Retail - 0.3% | |||||
Dollar Tree, Inc.* | 3,380 | 266,986 | |||
Pharmaceuticals - 0.6% | |||||
Mylan NV* | 8,033 | 545,119 | |||
Professional Services - 0.2% | |||||
Verisk Analytics, Inc.* | 2,793 | 203,219 | |||
Semiconductors & Semiconductor Equipment - 7.8% | |||||
Altera Corp. | 4,945 | 253,184 | |||
Analog Devices, Inc. | 5,121 | 328,692 | |||
Applied Materials, Inc. | 20,192 | 388,090 | |||
Avago Technologies Ltd. | 4,213 | 560,034 | |||
Broadcom Corp., Class A | 9,123 | 469,743 | |||
Intel Corp. | 78,316 | 2,381,981 | |||
KLA-Tencor Corp. | 2,673 | 150,249 | |||
Lam Research Corp. | 2,618 | 212,974 | |||
Linear Technology Corp. | 3,931 | 173,868 | |||
Micron Technology, Inc.* | 17,704 | 333,543 | |||
NVIDIA Corp. | 9,096 | 182,921 |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 11
SHARES | VALUE ($) | ||||
NXP Semiconductors NV* | 4,152 | 407,727 | |||
Texas Instruments, Inc. | 17,209 | 886,436 | |||
Xilinx, Inc. | 4,296 | 189,711 | |||
6,919,153 | |||||
Software - 9.8% | |||||
Activision Blizzard, Inc. | 12,000 | 290,520 | |||
Adobe Systems, Inc.* | 8,232 | 666,874 | |||
Autodesk, Inc.* | 3,788 | 189,684 | |||
CA, Inc. | 7,277 | 213,143 | |||
Check Point Software Technologies Ltd.* | 3,021 | 240,321 | |||
Citrix Systems, Inc.* | 2,627 | 184,310 | |||
Electronic Arts, Inc.* | 5,095 | 338,817 | |||
Intuit, Inc. | 4,548 | 458,302 | |||
Microsoft Corp. | 133,545 | 5,896,012 | |||
Symantec Corp. | 11,214 | 260,726 | |||
8,738,709 | |||||
Specialty Retail - 1.4% | |||||
Bed Bath & Beyond, Inc.* | 2,830 | 195,213 | |||
O’Reilly Automotive, Inc.* | 1,670 | 377,387 | |||
Ross Stores, Inc. | 6,852 | 333,076 | |||
Staples, Inc. | 10,523 | 161,107 | |||
Tractor Supply Co. | 2,238 | 201,286 | |||
1,268,069 | |||||
Technology Hardware, Storage & Peripherals - 14.4% | |||||
Apple, Inc. | 95,028 | 11,918,887 | |||
NetApp, Inc. | 5,123 | 161,682 | |||
SanDisk Corp. | 3,501 | 203,828 | |||
Seagate Technology plc | 5,396 | 256,310 | |||
Western Digital Corp. | 3,797 | 297,761 | |||
12,838,468 | |||||
Trading Companies & Distributors - 0.2% | |||||
Fastenal Co. | 4,856 | 204,826 | |||
Wireless Telecommunication Services - 0.7% | |||||
SBA Communications Corp.* | 2,152 | 247,415 | |||
VimpelCom Ltd. (ADR) | 29,571 | 146,968 | |||
Vodafone Group plc (ADR) | 7,084 | 258,212 | |||
652,595 | |||||
Total Equity Securities (Cost $42,351,877) | 83,307,790 | ||||
12 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
EXCHANGE-TRADED PRODUCTS - 2.4% | |||||
Powershares QQQ Trust, Series 1 | 19,500 | 2,087,865 | |||
Total Exchange-Traded Products (Cost $2,036,475) | 2,087,865 | ||||
PRINCIPAL AMOUNT ($) | |||||
TIME DEPOSIT - 3.7% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 3,327,704 | 3,327,704 | |||
Total Time Deposit (Cost $3,327,704) | 3,327,704 | ||||
U.S. TREASURY OBLIGATIONS - 0.2% | |||||
United States Treasury Bills, 0.11%, 7/23/15^ | 200,000 | 199,987 | |||
Total U.S. Treasury Obligations (Cost $199,987) | 199,987 | ||||
TOTAL INVESTMENTS (cost $47,916,043) - 99.7% | 88,923,346 | ||||
Other assets and liabilities, net - 0.3% | 276,394 | ||||
NET ASSETS - 100.0% | $89,199,740 | ||||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 1,880,356 shares of common stock outstanding; | |||
$0.10 par value, 20,000,000 shares authorized | $44,664,059 | ||
Undistributed net investment income | 331,506 | ||
Accumulated net realized gain (loss) | 3,233,252 | ||
Net unrealized appreciation (depreciation) | 40,970,923 | ||
NET ASSETS | $89,199,740 | ||
NET ASSET VALUE PER SHARE | $47.44 | ||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini NASDAQ 100 Index^ | 40 | 9/15 | $3,512,200 | ($36,380 | ) | ||||
^ | Futures collateralized by $200,000 par value of U.S. Treasury Bills. |
* | Non-income producing security. |
Abbreviations: | |
ADR: | American Depositary Receipts |
plc: | Public Limited Company |
See notes to financial statements. |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 13
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income | $545,354 | ||
Interest income | 1,049 | ||
Total investment income | 546,403 | ||
Expenses: | |||
Investment advisory fee | 150,271 | ||
Administrative fees | 42,935 | ||
Transfer agency fees and expenses | 5,642 | ||
Directors’ fees and expenses | 6,804 | ||
Accounting fees | 9,749 | ||
Custodian fees | 10,042 | ||
Professional fees | 13,720 | ||
Reports to shareholders | 13,883 | ||
Miscellaneous | 10,637 | ||
Total expenses | 263,683 | ||
NET INVESTMENT INCOME | 282,720 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 1,707,145 | ||
Futures | 26,903 | ||
1,734,048 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | 1,333,845 | ||
Futures | (26,010) | ||
1,307,835 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 3,041,883 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $3,324,603 | ||
See notes to financial statements. |
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STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $282,720 | $851,332 | |||||
Net realized gain (loss) | 1,734,048 | 7,737,751 | |||||
Change in unrealized appreciation (depreciation) | 1,307,835 | 5,071,065 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 3,324,603 | 13,660,148 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (915,724) | |||||
Net realized gain | — | (7,949,781) | |||||
Total distributions | — | (8,865,505) | |||||
Capital share transactions: | |||||||
Shares sold | 8,705,300 | 8,706,637 | |||||
Reinvestment of distributions | — | 8,865,505 | |||||
Shares redeemed | (5,527,427) | (20,443,966) | |||||
Total capital share transactions | 3,177,873 | (2,871,824) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 6,502,476 | 1,922,819 | |||||
NET ASSETS | |||||||
Beginning of period | 82,697,264 | 80,774,445 | |||||
End of period (including undistributed net investment income of $331,506 and $48,786, respectively) | $89,199,740 | $82,697,264 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 184,062 | 184,533 | |||||
Reinvestment of distributions | — | 192,394 | |||||
Shares redeemed | (117,800) | (442,114) | |||||
Total capital share activity | 66,262 | (65,187) | |||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP Nasdaq 100 Index Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or last available price and are categorized as Level 2 in the hierarchy. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.
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Exchange traded products are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, no securities were fair valued in good faith under the direction of the Board.
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The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES* | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities | $83,307,790 | $— | $— | $83,307,790 | ||||||||
Exchange Traded Products | 2,087,865 | — | — | 2,087,865 | ||||||||
Time Deposit | — | 3,327,704 | — | 3,327,704 | ||||||||
U.S. Treasury Obligations | — | 199,987 | — | 199,987 | ||||||||
TOTAL | $85,395,655 | $3,527,691 | $— | $88,923,346 | ||||||||
Other financial instruments** | ($36,380 | ) | $— | $— | ($36,380 | ) |
* For a complete listing of investments, please refer to the Statement of Net Assets.
** Other financial instruments are derivative instruments not reflected in the Total Investments in the Statement of Net Assets, such as futures, which are valued at the unrealized appreciation/depreciation of the instrument.
Futures Contracts: The Portfolio may purchase and sell futures contracts when, in the judgment of the Advisor, such a position acts as a hedge, or to provide market exposure to the Portfolio’s uncommitted cash balances. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives and may use futures contracts to hedge against changes in the value of securities. The Portfolio may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Portfolio’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio. During the period, futures contracts were used to hedge the lack of equity market exposure inherent in a cash position. The Portfolio’s futures contracts at period end are presented in the Statement of Net Assets.
During the six months ended June 30, 2015, the Portfolio invested in E-Mini NASDAQ 100 Index futures. The volume of outstanding contracts has varied throughout the period with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures contracts long | 30 |
*Averages are based on activity levels during the six months ended June 30, 2015. |
Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Foreign Currency Transactions: The Portfolio’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of
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exchange on the date of the event. The effect of changes in foreign exchange rates on securities is included in the net realized and unrealized gain or loss on investments.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .35% of the Portfolio’s average daily net assets. Under the terms of the agreement, $25,958 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is .69%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit acquired fund fees and expenses, if any.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $7,417 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $3,119 for the period ended June 30, 2015. Under the terms of the agreement, $534 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $3,496,892 and $2,834,211, respectively.
As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $41,678,413 | ||
Unrealized (depreciation) | (704,183) | ||
Net unrealized appreciation/(depreciation) | $40,974,230 | ||
Federal income tax cost of investments | $47,949,116 |
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NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
2015 (z) | 2014 | 2013 | 2012 | 2011 | 2010 | ||||||||||||||||||
Net asset value, beginning | $45.59 | $42.98 | $32.57 | $29.67 | $30.46 | $25.51 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.15 | 0.53 | 0.32 | 0.28 | 0.09 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.70 | 7.55 | 11.39 | 4.90 | 0.83 | 4.94 | |||||||||||||||||
Total from investment operations | 1.85 | 8.08 | 11.71 | 5.18 | 0.92 | 5.00 | |||||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (0.57 | ) | (0.32 | ) | (0.24 | ) | (0.09 | ) | (0.05 | ) | ||||||||||||
Net realized gain | — | (4.90 | ) | (0.98 | ) | (2.04 | ) | (1.62 | ) | — | |||||||||||||
Total distributions | — | (5.47 | ) | (1.30 | ) | (2.28 | ) | (1.71 | ) | (0.05 | ) | ||||||||||||
Total increase (decrease) in net asset value | 1.85 | 2.61 | 10.41 | 2.90 | (0.79 | ) | 4.95 | ||||||||||||||||
Net asset value, ending | $47.44 | $45.59 | $42.98 | $32.57 | $29.67 | $30.46 | |||||||||||||||||
Total return* | 4.06 | % | 18.66 | % | 36.05 | % | 17.62 | % | 3.02 | % | 19.61 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 0.66 | % (a) | 1.07 | % | 0.80 | % | 0.84 | % | 0.27 | % | 0.33 | % | |||||||||||
Total expenses | 0.61 | % (a) | 0.63 | % | 0.61 | % | 0.63 | % | 0.67 | % | 0.68 | % | |||||||||||
Expenses before offsets | 0.61 | % (a) | 0.63 | % | 0.61 | % | 0.63 | % | 0.65 | % | 0.65 | % | |||||||||||
Net expenses | 0.61 | % (a) | 0.63 | % | 0.61 | % | 0.63 | % | 0.65 | % | 0.65 | % | |||||||||||
Portfolio turnover | 3 | % | 11 | % | 13 | % | 17 | % | 23 | % | 26 | % | |||||||||||
Net assets, ending (in thousands) | $89,200 | $82,697 | $80,774 | $64,689 | $53,984 | $60,435 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements are used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
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FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP Russell 2000 Small Cap Index Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Schedule of Investments | ||||
Statement of Assets and Liabilities | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 5
CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., Subadvisor
Performance
In the six months ended June 30, 2015, shares of the Calvert VP Russell 2000 Small Cap Index Portfolio (Class I shares) returned 4.31 percent, compared with the Russell 2000 Small Cap Index return of 4.75 percent. The underperformance relative to the Index was largely attributable to operating expenses, which the Index does not incur.
Investment Process
The Portfolio seeks, as closely as possible, to replicate the holdings and match the performance of the Russell 2000 Index. In pursuit of this objective, the Portfolio employs a passive management approach. It buys and sells securities only to replicate the underlying Index. Russell will make changes to the Index occasionally due to corporate actions, mergers and acquisitions, and other discretionary considerations. Russell also completes its annual reconstitution in June, which can significantly alter the membership of the Index.
Market Review
The U.S. unemployment rate continued to decline during the period, indicating a measure of strengthening in the economy. Meanwhile, the European Central Bank’s January announcement that it would begin quantitative easing with a 60 billion euro purchase of bonds each month began to give a boost to European economies.
Despite the improving U.S. labor market, however, growth in the U.S., as represented by GDP, was tepid. While more people were working, the prevalence of poor quality jobs, either low paying, part time, or both, put a damper on economic growth. In addition, data indicated a slowdown in manufacturing, declining business spending, unimpressive retail sales, and a mixed housing picture.
Nevertheless, there were sufficient positive indicators to keep the Federal Reserve poised to begin raising interest rates, possibly as early as the fourth quarter. This led to an uptick in interest rates for all maturities, a steepening of the yield curve, and increased volatility as the market reacted to successive events as if they were predictors of when the hikes might actually occur.
Small-cap stocks outperformed large-caps as both the best and worst performing small-cap sectors significantly outperformed their large cap counterparts. Small-cap health care was aided by strong biotechnology and pharmaceutical firm performance.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||||
Class I | Class F* | |||||
Six month** | 4.31 | % | 4.19 | % | ||
One year | 5.59 | % | 5.37 | % | ||
Five year | 16.24 | % | 16.00 | % | ||
Ten year | 7.70 | % | 7.48 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 0.76%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * Class F share performance prior to October 1, 2007 is based on Class I performance, adjusted to reflect Class F expenses. ** Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Small-cap health care sector appreciation was nearly twice that of large-caps and the small-cap utilities sector lost less than half as much as the large-cap utilities sector.
Portfolio Strategy
Health care was the strongest performing sector in the Index, appreciating 18.85 percent, as providers continued to benefit from the Affordable Care Act. The utilities sector, meanwhile, was the weakest performer, declining 4.74 percent, as rising interest rates weighed on high-yielding utility stocks.
At period end, the financials sector had the largest weight in the Index, at 24.2 percent. Telecommunication services was given the smallest weight, at 0.8 percent.
Outlook
We see the U.S. economy accelerating in the second half of the year, in a similar pattern to that we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will also provide an economic boost.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors around the world are starting to get nervous about rich valuations across many risky asset categories, including equities. Some of the negative catalysts currently in the system, such as uncertainty about Greece’s status in the eurozone and a potential bubble burst in China, make markets more vulnerable to shocks given current valuations.
We continue to be concerned that concurrent easing efforts in multiple global economies in Europe and Asia will be less potent than that carried out in the U.S. in response to the financial crisis because these efforts will cancel each other out to some extent. As such, market enthusiasm for global easing may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally. We continue to be less aggressive than consensus with respect to the timing of a Fed rate hike, believing that hikes are more likely to occur in December or early 2016 than earlier. Equally as important, we continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual.
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Consumer Discretionary | 14.3 | % | |
Consumer Staples | 3.0 | % | |
Energy | 3.8 | % | |
Exchange-Traded Products | 1.3 | % | |
Financials | 23.8 | % | |
Government | 0.7 | % | |
Health Care | 15.6 | % | |
Industrials | 12.6 | % | |
Information Technology | 16.8 | % | |
Materials | 3.9 | % | |
Short-Term Investments | 0.2 | % | |
Telecommunication Services | 0.8 | % | |
Utilities | 3.2 | % | |
Total | 100 | % | |
We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above-average multiples.
July 2015
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 7
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution (12b-1) fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Class I | ||||
Actual | 0.73% | $1,000.00 | $1,043.00 | $3.70 |
Hypothetical (5% return per year before expenses) | 0.73% | $1,000.00 | $1,021.18 | $3.66 |
Class F | ||||
Actual | 0.94% | $1,000.00 | $1,041.90 | $4.76 |
Hypothetical (5% return per year before expenses) | 0.94% | $1,000.00 | $1,020.13 | $4.71 |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
8 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SCHEDULE OF INVESTMENTS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EQUITY SECURITIES - 92.2% | |||||
Aerospace & Defense - 1.5% | |||||
AAR Corp. | 2,738 | 87,260 | |||
Aerojet Rocketdyne Holdings, Inc.* | 5,118 | 105,482 | |||
Aerovironment, Inc.* | 1,707 | 44,519 | |||
American Science & Engineering, Inc. | 703 | 30,798 | |||
Astronics Corp.* | 1,478 | 104,775 | |||
Cubic Corp. | 1,711 | 81,409 | |||
Curtiss-Wright Corp. | 3,670 | 265,855 | |||
DigitalGlobe, Inc.* | 5,596 | 155,513 | |||
Ducommun, Inc.* | 914 | 23,462 | |||
Engility Holdings, Inc. | 1,480 | 37,237 | |||
Esterline Technologies Corp.* | 2,401 | 228,911 | |||
HEICO Corp. | 1,485 | 86,576 | |||
HEICO Corp., Class A | 3,080 | 156,372 | |||
KEYW Holding Corp. (The)* | 2,749 | 25,621 | |||
KLX, Inc.* | 4,071 | 179,653 | |||
Kratos Defense & Security Solutions, Inc.* | 3,789 | 23,871 | |||
Moog, Inc., Class A* | 2,988 | 211,192 | |||
National Presto Industries, Inc. | 420 | 33,734 | |||
Sparton Corp.* | 882 | 24,096 | |||
Taser International, Inc.* | 4,125 | 137,404 | |||
Teledyne Technologies, Inc.* | 2,727 | 287,726 | |||
Vectrus, Inc.* | 813 | 20,219 | |||
2,351,685 | |||||
Air Freight & Logistics - 0.5% | |||||
Air Transport Services Group, Inc.* | 4,073 | 42,726 | |||
Atlas Air Worldwide Holdings, Inc.* | 1,930 | 106,073 | |||
Echo Global Logistics, Inc.* | 2,286 | 74,661 | |||
Forward Air Corp. | 2,390 | 124,901 | |||
Hub Group, Inc., Class A* | 2,785 | 112,347 | |||
Park-Ohio Holdings Corp. | 726 | 35,182 | |||
Radiant Logistics, Inc.* | 2,087 | 15,256 | |||
UTi Worldwide, Inc.* | 7,123 | 71,159 | |||
XPO Logistics, Inc.* | 5,520 | 249,393 | |||
831,698 | |||||
Airlines - 0.3% | |||||
Allegiant Travel Co. | 1,035 | 184,106 | |||
Hawaiian Holdings, Inc.* | 3,968 | 94,240 | |||
Republic Airways Holdings, Inc.* | 4,602 | 42,246 | |||
SkyWest, Inc. | 4,346 | 65,364 | |||
Virgin America, Inc.* | 1,944 | 53,421 | |||
439,377 | |||||
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 9
SHARES | VALUE ($) | ||||
Auto Components - 1.0% | |||||
American Axle & Manufacturing Holdings, Inc.* | 6,004 | 125,544 | |||
Cooper Tire & Rubber Co. | 4,443 | 150,307 | |||
Cooper-Standard Holding, Inc.* | 1,048 | 64,421 | |||
Dana Holding Corp. | 12,590 | 259,102 | |||
Dorman Products, Inc.* | 2,064 | 98,370 | |||
Drew Industries, Inc. | 1,976 | 114,647 | |||
Federal-Mogul Holdings Corp.* | 2,583 | 29,317 | |||
Fox Factory Holding Corp.* | 1,308 | 21,033 | |||
Gentherm, Inc.* | 2,771 | 152,156 | |||
Metaldyne Performance Group, Inc. | 1,006 | 18,259 | |||
Modine Manufacturing Co.* | 4,047 | 43,424 | |||
Motorcar Parts of America, Inc.* | 1,585 | 47,693 | |||
Remy International, Inc. | 2,207 | 48,797 | |||
Standard Motor Products, Inc. | 1,539 | 54,050 | |||
Stoneridge, Inc.* | 2,174 | 25,457 | |||
Strattec Security Corp. | 311 | 21,366 | |||
Superior Industries International, Inc. | 2,023 | 37,041 | |||
Tenneco, Inc.* | 4,735 | 271,978 | |||
Tower International, Inc.* | 1,846 | 48,088 | |||
1,631,050 | |||||
Automobiles – 0.0% | |||||
Winnebago Industries, Inc. | 2,078 | 49,020 | |||
Banks - 8.0% | |||||
1st Source Corp. | 1,148 | 39,170 | |||
Access National Corp. | 561 | 10,906 | |||
American National Bankshares, Inc. | 705 | 16,786 | |||
Ameris Bancorp | 2,665 | 67,398 | |||
Ames National Corp. | 756 | 18,976 | |||
Arrow Financial Corp. | 984 | 26,597 | |||
Banc of California, Inc. | 2,665 | 36,644 | |||
BancFirst Corp. | 651 | 42,608 | |||
Banco Latinoamericano de Comercio Exterior S.A. | 2,320 | 74,658 | |||
Bancorp, Inc. (The)* | 2,534 | 23,515 | |||
BancorpSouth, Inc. | 7,451 | 191,938 | |||
Bank of Marin Bancorp | 545 | 27,724 | |||
Bank of the Ozarks, Inc. | 6,019 | 275,369 | |||
Banner Corp. | 1,639 | 78,557 | |||
Bar Harbor Bankshares | 461 | 16,333 | |||
BB&T Corp. | 1 | 39 | |||
BBCN Bancorp, Inc. | 6,139 | 90,796 | |||
Berkshire Hills Bancorp, Inc. | 2,523 | 71,855 | |||
Blue Hills Bancorp, Inc.* | 2,498 | 34,972 | |||
BNC Bancorp | 1,580 | 30,541 | |||
Boston Private Financial Holdings, Inc. | 6,409 | 85,945 | |||
Bridge Bancorp, Inc. | 963 | 25,702 | |||
Bridge Capital Holdings* | 752 | 22,410 |
10 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Bryn Mawr Bank Corp. | 1,427 | 43,038 | |||
BSB Bancorp, Inc.* | 625 | 13,819 | |||
C1 Financial, Inc.* | 287 | 5,562 | |||
Camden National Corp. | 710 | 27,477 | |||
Capital Bank Financial Corp., Class A* | 1,735 | 50,436 | |||
Capital City Bank Group, Inc. | 1,232 | 18,813 | |||
Cardinal Financial Corp. | 2,513 | 54,758 | |||
Cascade Bancorp* | 3,096 | 16,037 | |||
Cathay General Bancorp | 6,167 | 200,119 | |||
CenterState Banks, Inc. | 3,507 | 47,380 | |||
Central Pacific Financial Corp. | 1,534 | 36,432 | |||
Century Bancorp, Inc., Class A | 277 | 11,263 | |||
Chemical Financial Corp. | 2,602 | 86,022 | |||
Citizens & Northern Corp. | 1,125 | 23,119 | |||
City Holding Co. | 1,174 | 57,819 | |||
CNB Financial Corp. | 1,282 | 23,589 | |||
CoBiz Financial, Inc. | 2,995 | 39,145 | |||
Columbia Banking System, Inc. | 4,452 | 144,868 | |||
Community Bank System, Inc. | 3,146 | 118,824 | |||
Community Trust Bancorp, Inc. | 1,316 | 45,889 | |||
CommunityOne Bancorp* | 901 | 9,704 | |||
ConnectOne Bancorp, Inc. | 2,307 | 49,670 | |||
CU Bancorp* | 1,297 | 28,741 | |||
Customers Bancorp, Inc.* | 2,244 | 60,341 | |||
CVB Financial Corp. | 8,200 | 144,402 | |||
Eagle Bancorp, Inc.* | 2,309 | 101,504 | |||
Enterprise Bancorp, Inc. | 478 | 11,204 | |||
Enterprise Financial Services Corp. | 1,698 | 38,663 | |||
Farmers Capital Bank Corp.* | 578 | 16,433 | |||
FCB Financial Holdings, Inc., Class A* | 2,159 | 68,656 | |||
Fidelity Southern Corp. | 1,097 | 19,132 | |||
Financial Institutions, Inc. | 1,134 | 28,169 | |||
First BanCorp* | 9,341 | 45,024 | |||
First Bancorp, Inc. | 691 | 13,433 | |||
First Bancorp/Southern Pines | 1,553 | 25,904 | |||
First Busey Corp. | 6,352 | 41,733 | |||
First Business Financial Services, Inc. | 354 | 16,595 | |||
First Citizens BancShares, Inc., Class A | 595 | 156,509 | |||
First Commonwealth Financial Corp. | 6,865 | 65,835 | |||
First Community Bancshares, Inc. | 1,464 | 26,674 | |||
First Connecticut Bancorp, Inc. | 1,473 | 23,376 | |||
First Financial Bancorp | 5,061 | 90,794 | |||
First Financial Bankshares, Inc. | 4,950 | 171,468 | |||
First Financial Corp. | 966 | 34,544 | |||
First Interstate BancSystem, Inc., Class A | 1,462 | 40,556 | |||
First Merchants Corp. | 3,106 | 76,718 | |||
First Midwest Bancorp, Inc. | 6,017 | 114,142 | |||
First NBC Bank Holding Co.* | 1,338 | 48,168 | |||
First of Long Island Corp. (The) | 901 | 24,976 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 11
SHARES | VALUE ($) | ||||
FirstMerit Corp. | 12,795 | 266,520 | |||
Flushing Financial Corp. | 2,270 | 47,693 | |||
FNB Corp. | 13,482 | 193,062 | |||
Franklin Financial Network, Inc.* | 421 | 9,658 | |||
Fulton Financial Corp. | 13,636 | 178,086 | |||
German American Bancorp, Inc. | 1,152 | 33,926 | |||
Glacier Bancorp, Inc. | 5,829 | �� | 171,489 | ||
Great Southern Bancorp, Inc. | 940 | 39,612 | |||
Great Western Bancorp, Inc. | 3,189 | 76,887 | |||
Green Bancorp, Inc.* | 413 | 6,344 | |||
Guaranty Bancorp | 1,371 | 22,635 | |||
Hampton Roads Bankshares, Inc.* | 2,909 | 6,051 | |||
Hancock Holding Co. | 6,011 | 191,811 | |||
Hanmi Financial Corp. | 2,465 | 61,231 | |||
Heartland Financial USA, Inc. | 1,357 | 50,507 | |||
Heritage Commerce Corp. | 1,714 | 16,472 | |||
Heritage Financial Corp. | 2,334 | 41,709 | |||
Heritage Oaks Bancorp | 1,809 | 14,237 | |||
Hilltop Holdings, Inc.* | 5,877 | 141,577 | |||
Home BancShares, Inc. | 4,406 | 161,083 | |||
HomeTrust Bancshares, Inc.* | 1,850 | 31,006 | |||
Horizon Bancorp | 750 | 18,720 | |||
Hudson Valley Holding Corp. | 1,336 | 37,689 | |||
IBERIABANK Corp. | 2,947 | 201,074 | |||
Independent Bank Corp. | 2,054 | 27,852 | |||
Independent Bank Corp./Rockland | 2,018 | 94,624 | |||
Independent Bank Group, Inc. | 819 | 35,135 | |||
International Bancshares Corp. | 4,180 | 112,317 | |||
Investors Bancorp, Inc. | 26,915 | 331,054 | |||
Lakeland Bancorp, Inc. | 3,213 | 38,203 | |||
Lakeland Financial Corp. | 1,410 | 61,152 | |||
LegacyTexas Financial Group, Inc. | 3,674 | 110,955 | |||
MainSource Financial Group, Inc. | 1,757 | 38,566 | |||
MB Financial, Inc. | 5,883 | 202,610 | |||
Mercantile Bank Corp. | 1,508 | 32,286 | |||
Merchants Bancshares, Inc. | 377 | 12,467 | |||
Metro Bancorp, Inc. | 915 | 23,918 | |||
MidWestOne Financial Group, Inc. | 611 | 20,114 | |||
National Bank Holdings Corp., Class A | 3,069 | 63,927 | |||
National Bankshares, Inc. | 719 | 21,038 | |||
National Commerce Corp.* | 466 | 12,023 | |||
National Penn Bancshares, Inc.(b) | 25,000 | — | |||
National Penn Bancshares, Inc. | 10,936 | 123,358 | |||
NBT Bancorp, Inc. | 3,400 | 88,978 | |||
NewBridge Bancorp | 2,966 | 26,486 | |||
OFG Bancorp | 3,440 | 36,705 | |||
Old National Bancorp | 9,028 | 130,545 | |||
Old Second Bancorp, Inc.* | 2,274 | 15,008 | |||
Opus Bank | 804 | 29,089 |
12 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Pacific Continental Corp. | 1,543 | 20,877 | |||
Pacific Premier Bancorp, Inc.* | 1,824 | 30,935 | |||
Palmetto Bancshares, Inc. | 384 | 7,592 | |||
Park National Corp. | 1,007 | 87,982 | |||
Park Sterling Corp. | 3,952 | 28,454 | |||
Peapack Gladstone Financial Corp. | 1,336 | 29,686 | |||
Penns Woods Bancorp, Inc. | 415 | 18,297 | |||
Peoples Bancorp, Inc. | 1,418 | 33,096 | |||
Peoples Financial Services Corp. | 676 | 26,776 | |||
Pinnacle Financial Partners, Inc. | 2,769 | 150,550 | |||
Preferred Bank | 1,057 | 31,763 | |||
PrivateBancorp, Inc. | 6,067 | 241,588 | |||
Prosperity Bancshares, Inc. | 5,406 | 312,142 | |||
QCR Holdings, Inc. | 901 | 19,606 | |||
Renasant Corp. | 2,441 | 79,577 | |||
Republic Bancorp, Inc., Class A | 907 | 23,310 | |||
S&T Bancorp, Inc. | 2,878 | 85,160 | |||
Sandy Spring Bancorp, Inc. | 2,099 | 58,730 | |||
Seacoast Banking Corp. of Florida* | 1,837 | 29,025 | |||
ServisFirst Bancshares, Inc. | 1,720 | 64,620 | |||
Sierra Bancorp | 987 | 17,085 | |||
Simmons First National Corp., Class A | 2,304 | 107,551 | |||
South State Corp. | 1,866 | 141,797 | |||
Southside Bancshares, Inc. | 2,181 | 63,751 | |||
Southwest Bancorp, Inc. | 1,698 | 31,600 | |||
Square 1 Financial, Inc., Class A* | 1,303 | 35,637 | |||
State Bank Financial Corp. | 2,758 | 59,849 | |||
Sterling Bancorp | 7,033 | 103,385 | |||
Stock Yards Bancorp, Inc. | 1,229 | 46,444 | |||
Stonegate Bank | 892 | 26,466 | |||
Suffolk Bancorp | 896 | 22,991 | |||
Sun Bancorp, Inc.* | 618 | 11,896 | |||
Susquehanna Bancshares, Inc. | 14,070 | 198,668 | |||
Talmer Bancorp, Inc., Class A | 4,217 | 70,635 | |||
Texas Capital Bancshares, Inc.* | 3,533 | 219,894 | |||
Tompkins Financial Corp. | 1,247 | 66,989 | |||
TowneBank | 3,792 | 61,772 | |||
TriCo Bancshares | 1,995 | 47,980 | |||
TriState Capital Holdings, Inc.* | 1,979 | 25,588 | |||
Triumph Bancorp, Inc.* | 680 | 8,942 | |||
Trustmark Corp. | 5,214 | 130,246 | |||
UMB Financial Corp. | 3,038 | 173,227 | |||
Umpqua Holdings Corp. | 17,021 | 306,208 | |||
Union Bankshares Corp. | 3,482 | 80,922 | |||
United Bankshares, Inc. | 5,360 | 215,633 | |||
United Community Banks, Inc. | 3,877 | 80,913 | |||
Univest Corp. of Pennsylvania | 1,440 | 29,318 | |||
Valley National Bancorp | 17,945 | 185,013 | |||
Washington Trust Bancorp, Inc. | 1,232 | 48,639 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | ||||
Webster Financial Corp. | 7,006 | 277,087 | |||
WesBanco, Inc. | 2,789 | 94,882 | |||
West BanCorp., Inc. | 1,387 | 27,518 | |||
Westamerica BanCorp. | 1,972 | 99,882 | |||
Western Alliance Bancorp* | 6,622 | 223,542 | |||
Wilshire Bancorp, Inc. | 5,565 | 70,286 | |||
Wintrust Financial Corp. | 3,660 | 195,371 | |||
Yadkin Financial Corp.* | 1,832 | 38,380 | |||
12,700,158 | |||||
Beverages - 0.2% | |||||
Boston Beer Company, Inc. (The), Class A* | 702 | 162,857 | |||
Castle Brands, Inc.* | 5,139 | 7,143 | |||
Coca-Cola Bottling Co. Consolidated | 359 | 54,234 | |||
Craft Brew Alliance, Inc.* | 855 | 9,456 | |||
MGP Ingredients, Inc. | 826 | 13,893 | |||
National Beverage Corp.* | 1,154 | 25,954 | |||
273,537 | |||||
Biotechnology - 6.1% | |||||
Abeona Therapeutics, Inc.* | 806 | 4,078 | |||
ACADIA Pharmaceuticals, Inc.* | 6,151 | 257,604 | |||
Acceleron Pharma, Inc.* | 1,474 | 46,637 | |||
Achillion Pharmaceuticals, Inc.* | 9,072 | 80,378 | |||
Acorda Therapeutics, Inc.* | 3,302 | 110,056 | |||
Adamas Pharmaceuticals, Inc.* | 802 | 21,028 | |||
Aduro Biotech, Inc.* | 644 | 19,533 | |||
Advaxis, Inc.* | 2,339 | 47,552 | |||
Aegerion Pharmaceuticals, Inc.* | 1,935 | 36,707 | |||
Affimed NV* | 1,180 | 15,895 | |||
Agenus, Inc.* | 5,577 | 48,129 | |||
Akebia Therapeutics, Inc.* | 1,882 | 19,366 | |||
Alder Biopharmaceuticals, Inc.* | 1,588 | 84,116 | |||
Alexion Pharmaceuticals, Inc.* | — | 35 | |||
AMAG Pharmaceuticals, Inc.* | 2,298 | 158,700 | |||
Amicus Therapeutics, Inc.* | 7,441 | 105,290 | |||
Anacor Pharmaceuticals, Inc.* | 3,163 | 244,911 | |||
Anthera Pharmaceuticals, Inc.* | 2,764 | 23,826 | |||
Applied Genetic Technologies Corp.* | 435 | 6,673 | |||
Ardelyx, Inc.* | 923 | 14,740 | |||
Arena Pharmaceuticals, Inc.* | 19,683 | 91,329 | |||
ARIAD Pharmaceuticals, Inc.* | 12,921 | 106,857 | |||
Array BioPharma, Inc.* | 10,886 | 78,488 | |||
Arrowhead Research Corp.* | 4,648 | 33,233 | |||
Asterias Biotherapeutics, Inc.* | 815 | 3,749 | |||
Atara Biotherapeutics, Inc.* | 1,118 | 58,986 | |||
aTyr Pharma, Inc.* | 466 | 8,630 | |||
Avalanche Biotechnologies, Inc.* | 1,509 | 24,506 | |||
Bellicum Pharmaceuticals, Inc.* | 743 | 15,804 |
14 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
BioCryst Pharmaceuticals, Inc.* | 5,597 | 83,563 | |||
BioSpecifics Technologies Corp.* | 326 | 16,822 | |||
BioTime, Inc.* | 3,184 | 11,558 | |||
Blueprint Medicines Corp.* | 723 | 19,152 | |||
Calithera Biosciences, Inc.* | 700 | 4,998 | |||
Cara Therapeutics, Inc.* | 1,288 | 15,649 | |||
Catalyst Pharmaceuticals, Inc.* | 5,813 | 24,008 | |||
Celldex Therapeutics, Inc.* | 7,600 | 191,672 | |||
Cellular Biomedicine Group, Inc.* | 759 | 28,470 | |||
Cepheid* | 5,540 | 338,771 | |||
Chelsea Therapeutics International Ltd.(b)* | 5,785 | 686 | |||
ChemoCentryx, Inc.* | 2,120 | 17,448 | |||
Chimerix, Inc.* | 3,189 | 147,332 | |||
Cidara Therapeutics, Inc.* | 375 | 5,257 | |||
Clovis Oncology, Inc.* | 1,919 | 168,642 | |||
Coherus Biosciences, Inc.* | 1,820 | 52,598 | |||
Concert Pharmaceuticals, Inc.* | 1,187 | 17,674 | |||
CorMedix, Inc.* | 2,396 | 9,296 | |||
CTI BioPharma Corp.* | 12,809 | 24,978 | |||
Curis, Inc.* | 8,583 | 28,410 | |||
Cytokinetics, Inc.* | 2,136 | 14,354 | |||
CytRx Corp.* | 4,998 | 18,593 | |||
Dicerna Pharmaceuticals, Inc.* | 1,166 | 16,266 | |||
Dyax Corp.* | 11,242 | 297,913 | |||
Dynavax Technologies Corp.* | 2,338 | 54,768 | |||
Eagle Pharmaceuticals, Inc.* | 662 | 53,529 | |||
Emergent Biosolutions, Inc.* | 2,331 | 76,806 | |||
Enanta Pharmaceuticals, Inc.* | 1,235 | 55,563 | |||
Epizyme, Inc.* | 2,242 | 53,808 | |||
Esperion Therapeutics, Inc.* | 1,013 | 82,823 | |||
Exact Sciences Corp.* | 6,862 | 204,076 | |||
Exelixis, Inc.* | 16,302 | 61,295 | |||
Fibrocell Science, Inc.* | 1,895 | 9,987 | |||
FibroGen, Inc.* | 3,693 | 86,785 | |||
Five Prime Therapeutics, Inc.* | 1,545 | 38,378 | |||
Flexion Therapeutics, Inc.* | 1,074 | 23,510 | |||
Foundation Medicine, Inc.* | 920 | 31,133 | |||
Galena Biopharma, Inc.* | 8,878 | 15,093 | |||
Genocea Biosciences, Inc.* | 1,434 | 19,689 | |||
Genomic Health, Inc.* | 1,445 | 40,157 | |||
Geron Corp.* | 13,372 | 57,232 | |||
Halozyme Therapeutics, Inc.* | 8,185 | 184,817 | |||
Heron Therapeutics, Inc.* | 1,741 | 54,250 | |||
Idera Pharmaceuticals, Inc.* | 7,586 | 28,144 | |||
Ignyta, Inc.* | 1,416 | 21,367 | |||
Immune Design Corp.* | 874 | 18,048 | |||
ImmunoGen, Inc.* | 6,651 | 95,641 | |||
Immunomedics, Inc.* | 6,814 | 27,665 | |||
Infinity Pharmaceuticals, Inc.* | 4,129 | 45,213 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | ||||
Inovio Pharmaceuticals, Inc.* | 5,391 | 43,991 | |||
Insmed, Inc.* | 4,746 | 115,897 | |||
Insys Therapeutics, Inc.* | 1,760 | 63,219 | |||
Invitae Corp.* | 642 | 9,553 | |||
Ironwood Pharmaceuticals, Inc.* | 9,719 | 117,211 | |||
Karyopharm Therapeutics, Inc.* | 1,782 | 48,488 | |||
Keryx Biopharmaceuticals, Inc.* | 7,995 | 79,790 | |||
Kite Pharma, Inc.* | 2,226 | 135,719 | |||
KYTHERA Biopharmaceuticals, Inc.* | 1,992 | 150,017 | |||
La Jolla Pharmaceutical Co.* | 892 | 21,863 | |||
Lexicon Pharmaceuticals, Inc.* | 2,553 | 20,552 | |||
Ligand Pharmaceuticals, Inc.* | 1,354 | 136,619 | |||
Lion Biotechnologies, Inc.* | 3,475 | 31,866 | |||
Loxo Oncology, Inc.* | 319 | 5,752 | |||
MacroGenics, Inc.* | 2,170 | 82,395 | |||
MannKind Corp.* | 19,042 | 108,349 | |||
Medgenics, Inc.* | 1,299 | 7,963 | |||
Merrimack Pharmaceuticals, Inc.* | 8,667 | 107,167 | |||
MiMedx Group, Inc.* | 8,019 | 92,940 | |||
Mirati Therapeutics, Inc.* | 643 | 20,235 | |||
Momenta Pharmaceuticals, Inc.* | 4,757 | 108,507 | |||
Myriad Genetics, Inc.* | 5,360 | 182,186 | |||
Navidea Biopharmaceuticals, Inc.* | 10,313 | 16,604 | |||
Neurocrine Biosciences, Inc.* | 6,592 | 314,834 | |||
NewLink Genetics Corp.* | 1,605 | 71,053 | |||
Northwest Biotherapeutics, Inc.* | 3,184 | 31,617 | |||
Novavax, Inc.* | 20,685 | 230,431 | |||
Ocata Therapeutics, Inc.* | 2,753 | 14,508 | |||
OncoMed Pharmaceuticals, Inc.* | 1,132 | 25,470 | |||
Oncothyreon, Inc.* | 6,340 | 23,712 | |||
Ophthotech Corp.* | 1,829 | 95,218 | |||
Orexigen Therapeutics, Inc.* | 7,897 | 39,090 | |||
Organovo Holdings, Inc.* | 5,600 | 21,112 | |||
Osiris Therapeutics, Inc.* | 1,445 | 28,120 | |||
Otonomy, Inc.* | 1,140 | 26,209 | |||
OvaScience, Inc.* | 1,811 | 52,392 | |||
PDL BioPharma, Inc. | 12,664 | 81,429 | |||
Peregrine Pharmaceuticals, Inc.* | 11,824 | 15,489 | |||
Pfenex, Inc.* | 1,259 | 24,425 | |||
Portola Pharmaceuticals, Inc.* | 3,566 | 162,431 | |||
Progenics Pharmaceuticals, Inc.* | 5,151 | 38,426 | |||
Proteon Therapeutics, Inc.* | 595 | 10,627 | |||
Prothena Corp. plc* | 2,414 | 127,145 | |||
PTC Therapeutics, Inc.* | 2,612 | 125,716 | |||
Radius Health, Inc.* | 2,258 | 152,867 | |||
Raptor Pharmaceutical Corp.* | 6,081 | 96,019 | |||
Regulus Therapeutics, Inc.* | 2,183 | 23,926 | |||
Repligen Corp.* | 2,535 | 104,619 | |||
Retrophin, Inc.* | 2,698 | 89,439 |
16 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Rigel Pharmaceuticals, Inc.* | 7,590 | 24,364 | |||
Sage Therapeutics, Inc.* | 1,064 | 77,672 | |||
Sangamo BioSciences, Inc.* | 5,756 | 63,834 | |||
Sarepta Therapeutics, Inc.* | 3,200 | 97,376 | |||
Sorrento Therapeutics, Inc.* | 2,189 | 38,570 | |||
Spark Therapeutics, Inc.* | 707 | 42,611 | |||
Spectrum Pharmaceuticals, Inc.* | 5,050 | 34,542 | |||
Stemline Therapeutics, Inc.* | 1,313 | 15,454 | |||
Synergy Pharmaceuticals, Inc.* | 6,947 | 57,660 | |||
Synta Pharmaceuticals Corp.* | 5,731 | 12,780 | |||
T2 Biosystems, Inc.* | 524 | 8,505 | |||
TESARO, Inc.* | 1,877 | 110,349 | |||
TG Therapeutics, Inc.* | 2,728 | 45,258 | |||
Threshold Pharmaceuticals, Inc.* | 4,048 | 16,354 | |||
Tobira Therapeutics, Inc.* | 153 | 2,639 | |||
Tokai Pharmaceuticals, Inc.* | 500 | 6,650 | |||
Trevena, Inc.* | 1,911 | 11,963 | |||
Trius Therapeutics, Inc*(b) | 3,210 | 417 | |||
Trovagene, Inc.* | 1,887 | 19,153 | |||
Ultragenyx Pharmaceutical, Inc.* | 2,771 | 283,723 | |||
Vanda Pharmaceuticals, Inc.* | 3,487 | 44,250 | |||
Verastem, Inc.* | 2,484 | 18,729 | |||
Versartis, Inc.* | 1,736 | 26,422 | |||
Vitae Pharmaceuticals, Inc.* | 1,024 | 14,746 | |||
Vital Therapies, Inc.* | 1,295 | 27,324 | |||
XBiotech, Inc.* | 314 | 5,677 | |||
Xencor, Inc.* | 2,195 | 48,224 | |||
XOMA Corp.* | 6,130 | 23,784 | |||
Zafgen, Inc.* | 1,272 | 44,049 | |||
ZIOPHARM Oncology, Inc.* | 8,524 | 102,288 | |||
9,819,297 | |||||
Building Products - 0.8% | |||||
AAON, Inc. | 3,159 | 71,141 | |||
Advanced Drainage Systems, Inc. | 2,597 | 76,170 | |||
American Woodmark Corp.* | 1,038 | 56,934 | |||
Apogee Enterprises, Inc. | 2,253 | 118,598 | |||
Builders FirstSource, Inc.* | 3,852 | 49,460 | |||
Continental Building Products, Inc.* | 2,429 | 51,470 | |||
Gibraltar Industries, Inc.* | 2,647 | 53,919 | |||
Griffon Corp. | 2,639 | 42,013 | |||
Insteel Industries, Inc. | 1,631 | 30,500 | |||
Masonite International Corp.* | 2,330 | 163,356 | |||
NCI Building Systems, Inc.* | 2,515 | 37,901 | |||
Nortek, Inc.* | 776 | 64,509 | |||
Patrick Industries, Inc.* | 1,080 | 41,094 | |||
PGT, Inc.* | 3,685 | 53,469 | |||
Ply Gem Holdings, Inc.* | 1,362 | 16,058 | |||
Quanex Building Products Corp. | 2,614 | 56,018 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 17
SHARES | VALUE ($) | ||||
Simpson Manufacturing Co., Inc. | 3,250 | 110,500 | |||
Trex Co., Inc.* | 2,476 | 122,389 | |||
Universal Forest Products, Inc. | 1,553 | 80,803 | |||
1,296,302 | |||||
Capital Markets - 1.4% | |||||
Arlington Asset Investment Corp., Class A | 1,962 | 38,377 | |||
Ashford, Inc.* | 72 | 6,283 | |||
BGC Partners, Inc., Class A | 14,141 | 123,734 | |||
Calamos Asset Management, Inc., Class A | 1,559 | 19,098 | |||
CIFC Corp. | 974 | 7,724 | |||
Cohen & Steers, Inc. | 1,662 | 56,641 | |||
Cowen Group, Inc., Class A* | 8,597 | 55,021 | |||
Diamond Hill Investment Group, Inc. | 250 | 49,915 | |||
Evercore Partners, Inc., Class A | 2,671 | 144,127 | |||
Fifth Street Asset Management, Inc. | 520 | 5,346 | |||
Financial Engines, Inc. | 4,002 | 170,005 | |||
GAMCO Investors, Inc., Class A | 520 | 35,729 | |||
Greenhill & Co., Inc. | 2,260 | 93,406 | |||
HFF, Inc., Class A | 2,937 | 122,561 | |||
INTL. FCStone, Inc.* | 1,181 | 39,256 | |||
Investment Technology Group, Inc. | 2,642 | 65,521 | |||
Janus Capital Group, Inc. | 11,331 | 193,987 | |||
KCG Holdings, Inc., Class A* | 3,351 | 41,318 | |||
Ladenburg Thalmann Financial Services, Inc.* | 8,462 | 29,617 | |||
Medley Management, Inc., Class A | 520 | 6,157 | |||
Moelis & Co., Class A | 1,358 | 38,988 | |||
OM Asset Management plc | 2,120 | 37,715 | |||
Oppenheimer Holdings, Inc., Class A | 932 | 24,493 | |||
Piper Jaffray Cos.* | 1,333 | 58,172 | |||
Pzena Investment Management, Inc., Class A | 491 | 5,425 | |||
RCS Capital Corp., Class A | 3,801 | 29,116 | |||
Safeguard Scientifics, Inc.* | 1,902 | 37,013 | |||
Stifel Financial Corp.* | 5,239 | 302,500 | |||
Virtu Financial, Inc., Class A* | 1,467 | 34,445 | |||
Virtus Investment Partners, Inc. | 528 | 69,828 | |||
Walter Investment Management Corp.* | 3,180 | 72,726 | |||
Westwood Holdings Group, Inc. | 603 | 35,921 | |||
WisdomTree Investments, Inc. | 8,805 | 193,402 | |||
Zais Group Holdings, Inc.* | 295 | 3,215 | |||
2,246,782 | |||||
Chemicals - 1.8% | |||||
A Schulman, Inc. | 2,260 | 98,807 | |||
American Vanguard Corp. | 2,506 | 34,583 | |||
Axiall Corp. | 5,420 | 195,391 | |||
Balchem Corp. | 2,399 | 133,672 | |||
Calgon Carbon Corp. | 4,068 | 78,838 | |||
Chase Corp. | 526 | 20,908 |
18 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Chemtura Corp.* | 5,184 | 146,759 | |||
Core Molding Technologies, Inc.* | 592 | 13,521 | |||
Ferro Corp.* | 5,633 | 94,522 | |||
Flotek Industries, Inc.* | 4,128 | 51,724 | |||
FutureFuel Corp. | 1,874 | 24,118 | |||
Hawkins, Inc. | 939 | 37,926 | |||
HB Fuller Co. | 3,891 | 158,052 | |||
Innophos Holdings, Inc. | 1,613 | 84,908 | |||
Innospec, Inc. | 1,871 | 84,270 | |||
Intrepid Potash, Inc.* | 4,719 | 56,345 | |||
KMG Chemicals, Inc. | 568 | 14,450 | |||
Koppers Holdings, Inc. | 1,798 | 44,447 | |||
Kraton Performance Polymers, Inc.* | 2,418 | 57,742 | |||
Kronos Worldwide, Inc. | 1,877 | 20,572 | |||
LSB Industries, Inc.* | 1,588 | 64,854 | |||
Minerals Technologies, Inc. | 2,680 | 182,588 | |||
Olin Corp. | 5,982 | 161,215 | |||
OM Group, Inc. | 2,342 | 78,691 | |||
OMNOVA Solutions, Inc.* | 3,910 | 29,286 | |||
PolyOne Corp. | 6,883 | 269,607 | |||
Quaker Chemical Corp. | 1,029 | 91,416 | |||
Rayonier Advanced Materials, Inc. | 3,138 | 51,024 | |||
Rentech, Inc.* | 20,009 | 21,410 | |||
Senomyx, Inc.* | 3,810 | 20,422 | |||
Sensient Technologies Corp. | 3,607 | 246,502 | |||
Stepan Co. | 1,489 | 80,570 | |||
Trecora Resources* | 1,798 | 27,150 | |||
Tredegar Corp. | 2,145 | 47,426 | |||
Trinseo S.A.* | 1,009 | 27,082 | |||
Tronox Ltd., Class A | 4,908 | 71,804 | |||
Valhi, Inc. | 1,474 | 8,343 | |||
2,930,945 | |||||
Commercial Services & Supplies - 1.9% | |||||
ABM Industries, Inc. | 4,321 | 142,031 | |||
ACCO Brands Corp.* | 8,482 | 65,905 | |||
ARC Document Solutions, Inc.* | 3,218 | 24,489 | |||
Brady Corp., Class A | 3,687 | 91,216 | |||
Brink’s Co. (The) | 3,753 | 110,451 | |||
Casella Waste Systems, Inc., Class A* | 3,332 | 18,693 | |||
CECO Environmental Corp. | 1,551 | 17,573 | |||
Civeo Corp. | 8,414 | 25,831 | |||
Deluxe Corp. | 3,853 | 238,886 | |||
Ennis, Inc. | 2,271 | 42,218 | |||
Essendant, Inc. | 2,957 | 116,062 | |||
G&K Services, Inc., Class A | 1,543 | 106,683 | |||
Healthcare Services Group, Inc. | 5,517 | 182,337 | |||
Heritage-Crystal Clean, Inc.* | 692 | 10,172 | |||
Herman Miller, Inc. | 4,604 | 133,194 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 19
SHARES | VALUE ($) | ||||
HNI Corp. | 3,433 | 175,598 | |||
InnerWorkings, Inc.* | 3,823 | 25,499 | |||
Interface, Inc. | 5,099 | 127,730 | |||
Kimball International, Inc., Class B | 2,797 | 34,011 | |||
Knoll, Inc. | 3,767 | 94,288 | |||
Matthews International Corp., Class A | 2,671 | 141,937 | |||
McGrath RentCorp | 2,018 | 61,408 | |||
Mobile Mini, Inc. | 3,537 | 148,695 | |||
MSA Safety, Inc. | 2,261 | 109,681 | |||
Multi-Color Corp. | 1,079 | 68,926 | |||
NL Industries, Inc.* | 532 | 3,942 | |||
Quad/Graphics, Inc. | 2,476 | 45,831 | |||
SP Plus Corp.* | 1,439 | 37,572 | |||
Steelcase, Inc., Class A | 6,427 | 121,535 | |||
Team, Inc.* | 1,759 | 70,800 | |||
Tetra Tech, Inc. | 4,650 | 119,226 | |||
TRC Cos., Inc.* | 1,320 | 13,398 | |||
UniFirst Corp. | 1,147 | 128,292 | |||
US Ecology, Inc. | 1,672 | 81,460 | |||
Viad Corp. | 1,798 | 48,744 | |||
West Corp. | 4,028 | 121,243 | |||
3,105,557 | |||||
Communications Equipment - 1.3% | |||||
ADTRAN, Inc. | 4,115 | 66,869 | |||
Aerohive Networks, Inc.* | 1,801 | 12,571 | |||
Alliance Fiber Optic Products, Inc. | 992 | 18,402 | |||
Applied Optoelectronics, Inc.* | 1,325 | 23,002 | |||
Bel Fuse, Inc., Class B | 968 | 19,863 | |||
Black Box Corp. | 1,186 | 23,720 | |||
CalAmp Corp.* | 3,105 | 56,697 | |||
Calix, Inc.* | 3,092 | 23,530 | |||
Ciena Corp.* | 9,083 | 215,085 | |||
Clearfield, Inc.* | 1,022 | 16,260 | |||
Comtech Telecommunications Corp. | 1,254 | 36,429 | |||
Digi International, Inc.* | 2,313 | 22,089 | |||
EMCORE Corp.* | 1,917 | 11,540 | |||
Extreme Networks, Inc.* | 8,019 | 21,571 | |||
Finisar Corp.* | 8,019 | 143,300 | |||
Harmonic, Inc.* | 7,780 | 53,137 | |||
Infinera Corp.* | 10,004 | 209,884 | |||
InterDigital, Inc. | 2,783 | 158,325 | |||
Ixia* | 4,679 | 58,207 | |||
KVH Industries, Inc.* | 1,491 | 20,054 | |||
NETGEAR, Inc.* | 2,675 | 80,304 | |||
Novatel Wireless, Inc.* | 2,908 | 9,451 | |||
Oclaro, Inc.* | 8,388 | 18,957 | |||
Plantronics, Inc. | 3,022 | 170,169 | |||
Polycom, Inc.* | 10,423 | 119,239 |
20 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Ruckus Wireless, Inc.* | 5,810 | 60,075 | |||
ShoreTel, Inc.* | 5,065 | 34,341 | |||
Sonus Networks, Inc.* | 4,404 | 30,476 | |||
Ubiquiti Networks, Inc. | 2,363 | 75,415 | |||
ViaSat, Inc.* | 3,297 | 198,677 | |||
2,007,639 | |||||
Construction & Engineering - 0.7% | |||||
Aegion Corp.* | 2,830 | 53,600 | |||
Ameresco, Inc., Class A* | 1,452 | 11,108 | |||
Argan, Inc. | 1,001 | 40,370 | |||
Comfort Systems USA, Inc. | 2,879 | 66,073 | |||
Dycom Industries, Inc.* | 2,630 | 154,776 | |||
EMCOR Group, Inc. | 4,838 | 231,111 | |||
Furmanite Corp.* | 3,036 | 24,652 | |||
Granite Construction, Inc. | 3,036 | 107,808 | |||
Great Lakes Dredge & Dock Corp.* | 5,123 | 30,533 | |||
HC2 Holdings, Inc.* | 1,520 | 13,604 | |||
MasTec, Inc.* | 5,152 | 102,370 | |||
MYR Group, Inc.* | 1,740 | 53,870 | |||
Northwest Pipe Co.* | 929 | 18,924 | |||
NV5 Holdings, Inc.* | 395 | 9,583 | |||
Orion Marine Group, Inc.* | 2,350 | 16,967 | |||
Primoris Services Corp. | 2,993 | 59,262 | |||
Tutor Perini Corp.* | 2,896 | 62,496 | |||
1,057,107 | |||||
Construction Materials - 0.1% | |||||
Headwaters, Inc.* | 5,691 | 103,690 | |||
Summit Materials, Inc., Class A* | 1,972 | 50,286 | |||
United States Lime & Minerals, Inc. | 156 | 9,067 | |||
US Concrete, Inc.* | 1,160 | 43,952 | |||
206,995 | |||||
Consumer Finance - 0.5% | |||||
Cash America International, Inc. | 2,121 | 55,549 | |||
Encore Capital Group, Inc.* | 2,162 | 92,404 | |||
Enova International, Inc.* | 2,251 | 42,049 | |||
Ezcorp, Inc., Class A* | 4,319 | 32,090 | |||
First Cash Financial Services, Inc.* | 2,176 | 99,204 | |||
Green Dot Corp., Class A* | 3,541 | 67,704 | |||
Nelnet, Inc., Class A | 1,973 | 85,450 | |||
PRA Group, Inc.* | 3,729 | 232,354 | |||
Regional Management Corp.* | 935 | 16,699 | |||
The JG Wentworth Co., Class A* | 860 | 7,912 | |||
World Acceptance Corp.* | 581 | 35,737 | |||
767,152 | |||||
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 21
SHARES | VALUE ($) | ||||
Containers & Packaging - 0.3% | |||||
AEP Industries, Inc.* | 367 | 20,258 | |||
Berry Plastics Group, Inc.* | 9,215 | 298,566 | |||
Greif, Inc., Class A | 2,377 | 85,216 | |||
Myers Industries, Inc. | 1,882 | 35,758 | |||
439,798 | |||||
Distributors - 0.2% | |||||
Core-Mark Holding Co., Inc. | 1,782 | 105,583 | |||
Fenix Parts, Inc.* | 1,065 | 10,671 | |||
Pool Corp. | 3,359 | 235,735 | |||
VOXX International Corp.* | 1,390 | 11,509 | |||
Weyco Group, Inc. | 562 | 16,759 | |||
380,257 | |||||
Diversified Consumer Services - 1.1% | |||||
2U, Inc.* | 1,849 | 59,519 | |||
American Public Education, Inc.* | 1,323 | 34,028 | |||
Apollo Education Group, Inc.* | 7,281 | 93,779 | |||
Ascent Capital Group, Inc., Class A* | 1,027 | 43,894 | |||
Bridgepoint Education, Inc.* | 1,306 | 12,485 | |||
Bright Horizons Family Solutions, Inc.* | 2,885 | 166,753 | |||
Cambium Learning Group, Inc.* | 1,013 | 4,326 | |||
Capella Education Co. | 953 | 51,147 | |||
Career Education Corp.* | 5,930 | 19,569 | |||
Carriage Services, Inc. | 1,428 | 34,101 | |||
Chegg, Inc.* | 6,601 | 51,752 | |||
Collectors Universe, Inc. | 618 | 12,323 | |||
DeVry Education Group, Inc. | 4,918 | 147,442 | |||
Grand Canyon Education, Inc.* | 3,633 | 154,039 | |||
Houghton Mifflin Harcourt Co.* | 10,565 | 266,238 | |||
K12, Inc.* | 3,081 | 38,975 | |||
Liberty Tax, Inc. | 395 | 9,776 | |||
LifeLock, Inc.* | 7,212 | 118,277 | |||
Regis Corp.* | 3,158 | 49,770 | |||
Sotheby’s | 4,801 | 217,197 | |||
Steiner Leisure Ltd.* | 991 | 53,296 | |||
Strayer Education, Inc.* | 932 | 40,169 | |||
Universal Technical Institute, Inc. | 1,842 | 15,841 | |||
Weight Watchers International, Inc.* | 2,481 | 12,033 | |||
1,706,729 | |||||
Diversified Financial Services - 0.4% | |||||
FNFV Group* | 6,176 | 94,987 | |||
GAIN Capital Holdings, Inc. | 2,074 | 19,827 | |||
MarketAxess Holdings, Inc. | 2,880 | 267,178 | |||
Marlin Business Services Corp. | 795 | 13,420 | |||
NewStar Financial, Inc.* | 2,242 | 24,662 | |||
On Deck Capital, Inc.* | 1,011 | 11,707 |
22 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
PHH Corp.* | 3,832 | 99,747 | |||
PICO Holdings, Inc.* | 1,974 | 29,057 | |||
Resource America, Inc., Class A | 1,082 | 9,100 | |||
Tiptree Financial, Inc., Class A | 2,311 | 16,755 | |||
586,440 | |||||
Diversified Telecommunication Services - 0.7% | |||||
8x8, Inc.* | 6,803 | 60,955 | |||
Atlantic Tele-Network, Inc. | 816 | 56,369 | |||
Cincinnati Bell, Inc.* | 17,650 | 67,423 | |||
Cogent Communications Holdings, Inc. | 3,554 | 120,267 | |||
Consolidated Communications Holdings, Inc. | 3,898 | 81,897 | |||
FairPoint Communications, Inc.* | 1,772 | 32,286 | |||
General Communication, Inc., Class A* | 2,713 | 46,148 | |||
Globalstar, Inc.* | 36,744 | 77,530 | |||
Hawaiian Telcom Holdco, Inc.* | 922 | 24,064 | |||
IDT Corp., Class B | 1,313 | 23,739 | |||
inContact, Inc.* | 5,364 | 52,943 | |||
Inteliquent, Inc. | 2,529 | 46,534 | |||
Intelsat S.A.* | 2,452 | 24,324 | |||
Iridium Communications, Inc.* | 6,339 | 57,622 | |||
Lumos Networks Corp. | 1,756 | 25,971 | |||
ORBCOMM, Inc.* | 3,946 | 26,636 | |||
Pacific DataVision, Inc.* | 1,002 | 42,214 | |||
Premiere Global Services, Inc.* | 4,149 | 42,693 | |||
Straight Path Communications, Inc., Class B* | 722 | 23,674 | |||
Vonage Holdings Corp.* | 14,328 | 70,350 | |||
Winsdtream Holdings, Inc. | 7,781 | 49,643 | |||
1,053,282 | |||||
Electric Utilities - 1.0% | |||||
ALLETE, Inc. | 3,762 | 174,519 | |||
Cleco Corp. | 4,668 | 251,372 | |||
El Paso Electric Co. | 3,117 | 108,035 | |||
Empire District Electric Co. (The) | 3,365 | 73,357 | |||
Genie Energy Ltd., Class B* | 966 | 10,114 | |||
IDACORP, Inc. | 3,885 | 218,104 | |||
MGE Energy, Inc. | 2,675 | 103,603 | |||
Otter Tail Corp. | 3,144 | 83,630 | |||
PNM Resources, Inc. | 6,147 | 151,216 | |||
Portland General Electric Co. | 6,046 | 200,485 | |||
Spark Energy, Inc., Class A | 264 | 4,161 | |||
UIL Holdings Corp. | 4,369 | 200,188 | |||
Unitil Corp. | 1,238 | 40,879 | |||
1,619,663 | |||||
Electrical Equipment - 0.8% | |||||
Allied Motion Technologies, Inc. | 482 | 10,826 | |||
AZZ, Inc. | 1,988 | 102,979 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 23
SHARES | VALUE ($) | ||||
Encore Wire Corp. | 1,601 | 70,908 | |||
EnerSys | 3,431 | 241,165 | |||
Enphase Energy, Inc.* | 1,376 | 10,471 | |||
Franklin Electric Co., Inc. | 3,676 | 118,845 | |||
FuelCell Energy, Inc.* | 20,660 | 20,183 | |||
Generac Holdings, Inc.* | 5,337 | 212,146 | |||
General Cable Corp. | 3,773 | 74,441 | |||
GrafTech International Ltd.* | 10,077 | 49,982 | |||
LSI Industries, Inc. | 1,507 | 14,075 | |||
Plug Power, Inc.* | 14,972 | 36,681 | |||
Polypore International, Inc.* | 3,473 | 207,963 | |||
Powell Industries, Inc. | 811 | 28,523 | |||
Power Solutions International, Inc.* | 402 | 21,716 | |||
PowerSecure International, Inc.* | 1,635 | 24,133 | |||
Preformed Line Products Co. | 222 | 8,374 | |||
Thermon Group Holdings, Inc.* | 2,669 | 64,243 | |||
Vicor Corp.* | 1,707 | 20,808 | |||
1,338,462 | |||||
Electronic Equipment & Instruments - 2.3% | |||||
Agilysys, Inc.* | 1,316 | 12,081 | |||
Anixter International, Inc.* | 2,202 | 143,460 | |||
AVX Corp. | 3,566 | 47,998 | |||
Badger Meter, Inc. | 1,117 | 70,918 | |||
Belden, Inc. | 3,291 | 267,328 | |||
Benchmark Electronics, Inc.* | 4,044 | 88,078 | |||
Checkpoint Systems, Inc. | 3,461 | 35,233 | |||
Coherent, Inc.* | 1,839 | 116,740 | |||
Control4 Corp.* | 1,024 | 9,103 | |||
CTS Corp. | 2,562 | 49,370 | |||
Daktronics, Inc. | 2,960 | 35,106 | |||
DTS, Inc.* | 1,575 | 48,022 | |||
Electro Rent Corp. | 1,712 | 18,592 | |||
Fabrinet* | 2,734 | 51,208 | |||
FARO Technologies, Inc.* | 1,341 | 62,625 | |||
FEI Co. | 3,207 | 265,956 | |||
GSI Group, Inc.* | 2,626 | 39,469 | |||
II-VI, Inc.* | 4,403 | 83,569 | |||
Insight Enterprises, Inc.* | 2,991 | 89,461 | |||
InvenSense, Inc.* | 6,369 | 96,172 | |||
Itron, Inc.* | 2,967 | 102,183 | |||
Kimball Electronics, Inc.* | 2,097 | 30,595 | |||
Knowles Corp.* | 6,568 | 118,881 | |||
Littelfuse, Inc. | 1,742 | 165,298 | |||
Mercury Systems, Inc.* | 2,519 | 36,878 | |||
Mesa Laboratories, Inc. | 233 | 20,714 | |||
Methode Electronics, Inc. | 2,959 | 81,225 | |||
MTS Systems Corp. | 1,150 | 79,292 | |||
Multi-Fineline Electronix, Inc.* | 789 | 17,247 |
24 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Newport Corp.* | 3,209 | 60,843 | |||
OSI Systems, Inc.* | 1,529 | 108,238 | |||
Park Electrochemical Corp. | 1,804 | 34,565 | |||
PC Connection, Inc. | 756 | 18,703 | |||
Plexus Corp.* | 2,593 | 113,781 | |||
RealD, Inc.* | 3,490 | 43,032 | |||
Rofin-Sinar Technologies, Inc.* | 2,173 | 59,975 | |||
Rogers Corp.* | 1,437 | 95,043 | |||
Sanmina Corp.* | 6,377 | 128,560 | |||
ScanSource, Inc.* | 2,349 | 89,403 | |||
SYNNEX Corp. | 2,219 | 162,409 | |||
Tech Data Corp.* | 2,828 | 162,780 | |||
TTM Technologies, Inc.* | 5,067 | 50,619 | |||
Universal Display Corp.* | 3,104 | 160,570 | |||
Vishay Intertechnology, Inc. | 10,452 | 122,079 | |||
Vishay Precision Group, Inc.* | 1,011 | 15,226 | |||
3,708,628 | |||||
Energy Equipment & Services - 1.3% | |||||
Atwood Oceanics, Inc. | 4,989 | 131,909 | |||
Basic Energy Services, Inc.* | 2,777 | 20,966 | |||
Bristow Group, Inc. | 2,689 | 143,324 | |||
C&J Energy Services Ltd.* | 4,013 | 52,972 | |||
CARBO Ceramics, Inc. | 1,515 | 63,069 | |||
Dawson Geophysical Co.* | 1,180 | 5,546 | |||
Era Group, Inc.* | 1,735 | 35,533 | |||
Exterran Holdings, Inc. | 5,249 | 171,380 | |||
FMSA Holdings, Inc.* | 4,937 | 40,434 | |||
Forum Energy Technologies, Inc.* | 4,578 | 92,842 | |||
Geospace Technologies Corp.* | 1,271 | 29,296 | |||
Gulfmark Offshore, Inc., Class A | 2,302 | 26,703 | |||
Helix Energy Solutions Group, Inc.* | 8,174 | 103,238 | |||
Hornbeck Offshore Services, Inc.* | 2,469 | 50,689 | |||
Independence Contract Drilling, Inc.* | 903 | 8,010 | |||
ION Geophysical Corp.* | 11,881 | 12,713 | |||
Key Energy Services, Inc.* | 11,770 | 21,186 | |||
Matrix Service Co.* | 2,252 | 41,166 | |||
McDermott International, Inc.* | 18,414 | 98,331 | |||
Natural Gas Services Group, Inc.* | 1,066 | 24,326 | |||
Newpark Resources, Inc.* | 6,491 | 52,772 | |||
Nordic American Offshore Ltd.* | 1,600 | 13,024 | |||
North Atlantic Drilling Ltd. | 6,169 | 7,341 | |||
Oil States International, Inc.* | 3,982 | 148,250 | |||
Parker Drilling Co.* | 10,148 | 33,691 | |||
PHI, Inc.* | 1,085 | 32,572 | |||
Pioneer Energy Services Corp.* | 5,200 | 32,968 | |||
RigNet, Inc.* | 1,109 | 33,902 | |||
SEACOR Holdings, Inc.* | 1,408 | 99,883 | |||
Seventy Seven Energy, Inc.* | 4,338 | 18,610 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 25
SHARES | VALUE ($) | ||||
Tesco Corp. | 3,109 | 33,888 | |||
TETRA Technologies, Inc.* | 6,615 | 42,204 | |||
Tidewater, Inc. | 3,629 | 82,487 | |||
Unit Corp.* | 3,890 | 105,497 | |||
US Silica Holdings, Inc. | 4,120 | 120,963 | |||
2,031,685 | |||||
Food & Staples Retailing - 0.8% | |||||
Andersons, Inc. (The) | 2,192 | 85,488 | |||
Casey’s General Stores, Inc. | 2,998 | 287,029 | |||
Chefs’ Warehouse, Inc. (The)* | 1,456 | 30,925 | |||
Fairway Group Holdings Corp.* | 1,354 | 4,820 | |||
Fresh Market, Inc. (The)* | 3,326 | 106,898 | |||
Ingles Markets, Inc., Class A | 1,087 | 51,926 | |||
Natural Grocers by Vitamin Cottage, Inc.* | 875 | 21,542 | |||
PriceSmart, Inc. | 1,502 | 137,042 | |||
Smart & Final Stores, Inc.* | 1,874 | 33,488 | |||
SpartanNash Co. | 2,903 | 94,464 | |||
SUPERVALU, Inc.* | 20,203 | 163,442 | |||
United Natural Foods, Inc.* | 3,864 | 246,060 | |||
Village Super Market, Inc., Class A | 640 | 20,282 | |||
Weis Markets, Inc. | 958 | 40,380 | |||
1,323,786 | |||||
Food Products - 1.3% | |||||
Alico, Inc. | 267 | 12,111 | |||
Arcadia Biosciences, Inc.* | 634 | 4,039 | |||
B&G Foods, Inc. | 4,473 | 127,615 | |||
Boulder Brands, Inc.* | 4,219 | 29,280 | |||
Cal-Maine Foods, Inc. | 2,417 | 126,167 | |||
Calavo Growers, Inc. | 1,188 | 61,693 | |||
Darling Ingredients, Inc.* | 12,751 | 186,930 | |||
Dean Foods Co. | 7,282 | 117,750 | |||
Diamond Foods, Inc.* | 2,033 | 63,795 | |||
Farmer Bros Co.* | 538 | 12,643 | |||
Fresh Del Monte Produce, Inc. | 2,572 | 99,433 | |||
Freshpet, Inc.* | 1,604 | 29,834 | |||
Inventure Foods, Inc.* | 1,177 | 11,947 | |||
J&J Snack Foods Corp. | 1,149 | 127,160 | |||
John B Sanfilippo & Son, Inc. | 716 | 37,160 | |||
Lancaster Colony Corp. | 1,429 | 129,825 | |||
Landec Corp.* | 2,282 | 32,929 | |||
Lifeway Foods, Inc.* | 385 | 7,388 | |||
Limoneira Co. | 753 | 16,739 | |||
Omega Protein Corp.* | 1,591 | 21,876 | |||
Post Holdings, Inc.* | 4,233 | 228,286 | |||
Sanderson Farms, Inc. | 1,730 | 130,027 | |||
Seaboard Corp.* | 20 | 71,980 | |||
Seneca Foods Corp., Class A* | 794 | 22,049 |
26 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Snyder’s-Lance, Inc. | 3,769 | 121,626 | |||
Tootsie Roll Industries, Inc. | 1,438 | 46,462 | |||
TreeHouse Foods, Inc.* | 3,309 | 268,128 | |||
2,144,872 | |||||
Gas Utilities - 0.9% | |||||
Chesapeake Utilities Corp. | 1,240 | 66,774 | |||
Laclede Group, Inc. (The) | 3,343 | 174,036 | |||
New Jersey Resources Corp. | 6,605 | 181,968 | |||
Northwest Natural Gas Co. | 2,109 | 88,958 | |||
ONE Gas, Inc. | 4,059 | 172,751 | |||
Piedmont Natural Gas Co., Inc. | 6,080 | 214,685 | |||
South Jersey Industries, Inc. | 5,281 | 130,599 | |||
Southwest Gas Corp. | 3,615 | 192,354 | |||
WGL Holdings, Inc. | 3,838 | 208,365 | |||
1,430,490 | |||||
Health Care Equipment & Supplies - 3.2% | |||||
Abaxis, Inc. | 1,739 | 89,524 | |||
ABIOMED, Inc.* | 3,221 | 211,716 | |||
Accuray, Inc.* | 6,420 | 43,271 | |||
Analogic Corp. | 957 | 75,507 | |||
AngioDynamics, Inc.* | 2,155 | 35,342 | |||
Anika Therapeutics, Inc.* | 1,292 | 42,675 | |||
Antares Pharma, Inc.* | 9,495 | 19,750 | |||
AtriCure, Inc.* | 2,456 | 60,516 | |||
Atrion Corp. | 110 | 43,154 | |||
Cantel Medical Corp. | 2,651 | 142,279 | |||
Cardiovascular Systems, Inc.* | 2,478 | 65,543 | |||
Cerus Corp.* | 7,927 | 41,141 | |||
CONMED Corp. | 2,130 | 124,115 | |||
Corindus Vascular Robotics, Inc.* | 1,737 | 6,097 | |||
CryoLife, Inc. | 2,420 | 27,298 | |||
Cutera, Inc.* | 1,118 | 17,307 | |||
Cyberonics, Inc.* | 2,009 | 119,455 | |||
Cynosure, Inc., Class A* | 1,710 | 65,972 | |||
Endologix, Inc.* | 5,203 | 79,814 | |||
Entellus Medical, Inc.* | 465 | 12,030 | |||
Exactech, Inc.* | 863 | 17,976 | |||
GenMark Diagnostics, Inc.* | 3,729 | 33,785 | |||
Globus Medical, Inc., Class A* | 5,297 | 135,974 | |||
Greatbatch, Inc.* | 1,969 | 106,168 | |||
Haemonetics Corp.* | 3,989 | 164,985 | |||
Halyard Health, Inc.* | 3,591 | 145,436 | |||
HeartWare International, Inc.* | 1,332 | 96,823 | |||
ICU Medical, Inc.* | 1,127 | 107,809 | |||
Inogen, Inc.* | 1,214 | 54,144 | |||
Insulet Corp.* | 4,380 | 135,714 | |||
Integra LifeSciences Holdings Corp.* | 1,977 | 133,191 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 27
SHARES | VALUE ($) | ||||
Invacare Corp. | 2,498 | 54,032 | |||
InVivo Therapeutics Holdings Corp.* | 2,050 | 33,108 | |||
iRadimed Corp.* | 219 | 5,096 | |||
K2M Group Holdings, Inc.* | 1,359 | 32,643 | |||
LDR Holding Corp.* | 1,792 | 77,504 | |||
LeMaitre Vascular, Inc. | 917 | 11,059 | |||
Masimo Corp.* | 3,375 | 130,748 | |||
Meridian Bioscience, Inc. | 3,556 | 66,284 | |||
Merit Medical Systems, Inc.* | 3,534 | 76,122 | |||
Natus Medical, Inc.* | 2,544 | 108,273 | |||
Neogen Corp.* | 2,859 | 135,631 | |||
Nevro Corp.* | 1,170 | 62,888 | |||
NuVasive, Inc.* | 3,732 | 176,822 | |||
NxStage Medical, Inc.* | 5,151 | 73,582 | |||
OraSure Technologies, Inc.* | 4,811 | 25,931 | |||
Orthofix International NV* | 1,448 | 47,958 | |||
Oxford Immunotec Global plc* | 1,165 | 16,135 | |||
Quidel Corp.* | 2,221 | 50,972 | |||
Rockwell Medical, Inc.* | 3,471 | 55,953 | |||
RTI Surgical, Inc.* | 4,427 | 28,598 | |||
Second Sight Medical Products, Inc.* | 912 | 12,412 | |||
Sientra, Inc.* | 500 | 12,615 | |||
Spectranetics Corp. (The)* | 3,271 | 75,266 | |||
STAAR Surgical Co.* | 3,235 | 31,250 | |||
STERIS Corp. | 4,609 | 297,004 | |||
SurModics, Inc.* | 1,145 | 26,816 | |||
Tandem Diabetes Care, Inc.* | 810 | 8,780 | |||
Thoratec Corp.* | 4,183 | 186,436 | |||
Tornier NV* | 2,798 | 69,922 | |||
TransEnterix, Inc.* | 2,569 | 7,707 | |||
Unilife Corp.* | 11,004 | 23,659 | |||
Utah Medical Products, Inc. | 296 | 17,650 | |||
Vascular Solutions, Inc.* | 1,424 | 49,441 | |||
Veracyte, Inc.* | 444 | 4,946 | |||
West Pharmaceutical Services, Inc. | 5,553 | 322,518 | |||
Wright Medical Group, Inc.* | 3,967 | 104,173 | |||
Zeltiq Aesthetics, Inc.* | 2,605 | 76,769 | |||
5,051,214 | |||||
Health Care Providers & Services - 2.6% | |||||
AAC Holdings, Inc.* | 500 | 21,780 | |||
Aceto Corp. | 2,247 | 55,344 | |||
Addus HomeCare Corp.* | 471 | 13,122 | |||
Adeptus Health, Inc., Class A* | 494 | 46,925 | |||
Air Methods Corp.* | 3,030 | 125,260 | |||
Alliance HealthCare Services, Inc.* | 430 | 8,037 | |||
Almost Family, Inc.* | 554 | 22,110 | |||
Amedisys, Inc.* | 2,178 | 86,532 | |||
AMN Healthcare Services, Inc.* | 3,670 | 115,935 |
28 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Amsurg Corp.* | 3,725 | 260,564 | |||
Bio-Reference Laboratories, Inc.* | 1,903 | 78,499 | |||
BioScrip, Inc.: | |||||
Rights (strike price $0.00/share, expires 07/27/2015)* | 17 | — | |||
Common* | 6,131 | 22,255 | |||
BioTelemetry, Inc.* | 2,365 | 22,302 | |||
Capital Senior Living Corp.* | 2,506 | 61,397 | |||
Chemed Corp. | 1,318 | 172,790 | |||
Civitas Solutions, Inc.* | 1,020 | 21,757 | |||
CorVel Corp.* | 664 | 21,261 | |||
Cross Country Healthcare, Inc.* | 2,877 | 36,480 | |||
Diplomat Pharmacy, Inc.* | 2,792 | 124,942 | |||
Ensign Group, Inc. (The) | 1,989 | 101,558 | |||
ExamWorks Group, Inc.* | 3,163 | 123,673 | |||
Five Star Quality Care, Inc.* | 3,773 | 18,110 | |||
Genesis Healthcare, Inc.* | 2,829 | 18,671 | |||
Hanger, Inc.* | 2,724 | 63,850 | |||
HealthEquity, Inc.* | 2,799 | 89,708 | |||
HealthSouth Corp. | 7,194 | 331,356 | |||
Healthways, Inc.* | 2,396 | 28,704 | |||
IPC Healthcare, Inc.* | 1,420 | 78,654 | |||
Kindred Healthcare, Inc. | 6,440 | 130,668 | |||
Landauer, Inc. | 822 | 29,296 | |||
LHC Group, Inc.* | 1,040 | 39,780 | |||
Magellan Health, Inc.* | 2,109 | 147,778 | |||
Molina Healthcare, Inc.* | 2,706 | 190,232 | |||
National HealthCare Corp. | 778 | 50,562 | |||
National Research Corp., Class A | 681 | 9,677 | |||
Nobilis Health Corp.* | 2,467 | 16,776 | |||
Owens & Minor, Inc. | 4,870 | 165,580 | |||
PharMerica Corp.* | 2,345 | 78,088 | |||
Providence Service Corp. (The)* | 915 | 40,516 | |||
RadNet, Inc.* | 2,930 | 19,602 | |||
Select Medical Holdings Corp. | 8,104 | 131,285 | |||
Surgical Care Affiliates, Inc.* | 1,661 | 63,749 | |||
Team Health Holdings, Inc.* | 5,558 | 363,104 | |||
Triple-S Management Corp., Class B* | 2,042 | 52,398 | |||
Trupanion, Inc.* | 737 | 6,073 | |||
Universal American Corp.* | 3,383 | 34,236 | |||
US Physical Therapy, Inc. | 1,051 | 57,553 | |||
WellCare Health Plans, Inc.* | 3,399 | 288,337 | |||
4,086,866 | |||||
Health Care Technology - 0.5% | |||||
Castlight Health, Inc., Class B* | 2,604 | 21,196 | |||
Computer Programs & Systems, Inc. | 938 | 50,108 | |||
Connecture, Inc.* | 580 | 6,125 | |||
HealthStream, Inc.* | 1,758 | 53,478 | |||
HMS Holdings Corp.* | 6,833 | 117,323 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 29
SHARES | VALUE ($) | ||||
Imprivata, Inc.* | 521 | 8,524 | |||
MedAssets, Inc.* | 4,659 | 102,777 | |||
Medidata Solutions, Inc.* | 4,266 | 231,729 | |||
Merge Healthcare, Inc.* | 4,792 | 23,002 | |||
Omnicell, Inc.* | 2,797 | 105,475 | |||
Press Ganey Holdings, Inc.* | 790 | 22,649 | |||
Quality Systems, Inc. | 3,856 | 63,894 | |||
Vocera Communications, Inc.* | 1,818 | 20,816 | |||
827,096 | |||||
Hotels, Restaurants & Leisure - 3.1% | |||||
Belmond Ltd., Class A* | 7,476 | 93,375 | |||
Biglari Holdings, Inc.* | 130 | 53,788 | |||
BJ’s Restaurants, Inc.* | 1,658 | 80,330 | |||
Bloomin’ Brands, Inc. | 9,567 | 204,255 | |||
Bob Evans Farms, Inc. | 1,825 | 93,166 | |||
Bojangles’, Inc.* | 640 | 15,270 | |||
Boyd Gaming Corp.* | 6,158 | 92,062 | |||
Bravo Brio Restaurant Group, Inc.* | 1,583 | 21,450 | |||
Buffalo Wild Wings, Inc.* | 1,466 | 229,708 | |||
Caesars Acquisition Co., Class A* | 4,096 | 28,181 | |||
Caesars Entertainment Corp.* | 4,594 | 28,115 | |||
Carrols Restaurant Group, Inc.* | 3,096 | 32,198 | |||
Cheesecake Factory, Inc. (The) | 3,763 | 205,215 | |||
Churchill Downs, Inc. | 1,038 | 129,802 | |||
Chuy’s Holdings, Inc.* | 1,271 | 34,050 | |||
ClubCorp Holdings, Inc. | 3,390 | 80,953 | |||
Cracker Barrel Old Country Store, Inc. | 1,480 | 220,757 | |||
Dave & Buster’s Entertainment, Inc.* | 1,758 | 63,446 | |||
Del Frisco’s Restaurant Group, Inc.* | 2,117 | 39,440 | |||
Denny’s Corp.* | 6,511 | 75,593 | |||
Diamond Resorts International, Inc.* | 3,170 | 100,014 | |||
DineEquity, Inc. | 1,309 | 129,709 | |||
El Pollo Loco Holdings, Inc.* | 720 | 14,911 | |||
Eldorado Resorts, Inc.* | 2,176 | 17,016 | |||
Empire Resorts, Inc.* | 1,352 | 6,882 | |||
Fiesta Restaurant Group, Inc.* | 2,070 | 103,500 | |||
International Speedway Corp., Class A | 2,154 | 78,987 | |||
Interval Leisure Group, Inc. | 3,020 | 69,007 | |||
Intrawest Resorts Holdings, Inc.* | 1,551 | 18,023 | |||
Isle of Capri Casinos, Inc.* | 1,930 | 35,030 | |||
Jack in the Box, Inc. | 2,885 | 254,342 | |||
Jamba, Inc.* | 1,460 | 22,615 | |||
Kona Grill, Inc.* | 652 | 12,655 | |||
Krispy Kreme Doughnuts, Inc.* | 5,005 | 96,396 | |||
La Quinta Holdings, Inc.* | 7,226 | 165,114 | |||
Marcus Corp. (The) | 1,417 | 27,178 | |||
Marriott Vacations Worldwide Corp. | 1,995 | 183,041 | |||
Monarch Casino & Resort, Inc.* | 917 | 18,854 |
30 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Morgans Hotel Group Co.* | 2,245 | 15,131 | |||
Noodles & Co.* | 970 | 14,162 | |||
Papa John’s International, Inc. | 2,234 | 168,913 | |||
Papa Murphy’s Holdings, Inc.* | 523 | 10,837 | |||
Penn National Gaming, Inc.* | 6,159 | 113,018 | |||
Pinnacle Entertainment, Inc.* | 4,671 | 174,135 | |||
Popeyes Louisiana Kitchen, Inc.* | 1,787 | 107,202 | |||
Potbelly Corp.* | 1,684 | 20,629 | |||
Red Robin Gourmet Burgers, Inc.* | 1,090 | 93,544 | |||
Ruby Tuesday, Inc.* | 5,637 | 35,344 | |||
Ruth’s Hospitality Group, Inc. | 3,111 | 50,149 | |||
Scientific Games Corp., Class A* | 4,117 | 63,978 | |||
SeaWorld Entertainment, Inc. | 5,276 | 97,289 | |||
Shake Shack, Inc., Class A* | 505 | 30,436 | |||
Sonic Corp. | 4,013 | 115,574 | |||
Speedway Motorsports, Inc. | 1,049 | 23,760 | |||
Texas Roadhouse, Inc. | 5,402 | 202,197 | |||
The Habit Restaurants, Inc., Class A* | 887 | 27,754 | |||
Vail Resorts, Inc. | 2,805 | 306,306 | |||
Zoe’s Kitchen, Inc.* | 1,491 | 61,042 | |||
4,905,828 | |||||
Household Durables - 1.2% | |||||
Bassett Furniture Industries, Inc. | 830 | 23,580 | |||
Beazer Homes USA, Inc.* | 2,186 | 43,611 | |||
Cavco Industries, Inc.* | 684 | 51,601 | |||
Century Communities, Inc.* | 1,175 | 23,653 | |||
CSS Industries, Inc. | 772 | 23,353 | |||
Ethan Allen Interiors, Inc. | 2,160 | 56,894 | |||
Flexsteel Industries, Inc. | 405 | 17,451 | |||
Green Brick Partners, Inc.* | 1,109 | 12,144 | |||
Helen of Troy Ltd.* | 2,199 | 214,381 | |||
Hooker Furniture Corp. | 834 | 20,942 | |||
Hovnanian Enterprises, Inc., Class A* | 9,758 | 25,956 | |||
Installed Building Products, Inc.* | 1,536 | 37,601 | |||
iRobot Corp.* | 2,473 | 78,839 | |||
KB Home | 6,299 | 104,563 | |||
La-Z-Boy, Inc. | 3,950 | 104,043 | |||
LGI Homes, Inc.* | 1,281 | 25,338 | |||
Libbey, Inc. | 1,811 | 74,849 | |||
Lifetime Brands, Inc. | 858 | 12,673 | |||
M/I Homes, Inc.* | 2,148 | 52,991 | |||
MDC Holdings, Inc. | 3,015 | 90,360 | |||
Meritage Homes Corp.* | 3,060 | 144,095 | |||
NACCO Industries, Inc., Class A | 427 | 25,945 | |||
New Home Co., Inc. (The)* | 775 | 13,353 | |||
Ryland Group, Inc. (The) | 3,611 | 167,442 | |||
Skullcandy, Inc.* | 1,457 | 11,175 | |||
Standard Pacific Corp.* | 11,290 | 100,594 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 31
SHARES | VALUE ($) | ||||
Taylor Morrison Home Corp., Class A* | 2,509 | 51,083 | |||
TRI Pointe Homes, Inc.* | 12,890 | 197,217 | |||
Universal Electronics, Inc.* | 1,224 | 61,004 | |||
WCI Communities, Inc.* | 1,051 | 25,634 | |||
William Lyon Homes, Class A* | 1,572 | 40,353 | |||
ZAGG, Inc.* | 2,279 | 18,050 | |||
1,950,768 | |||||
Household Products - 0.2% | |||||
Central Garden & Pet Co., Class A* | 3,442 | 39,273 | |||
HRG Group, Inc.* | 6,069 | 78,897 | |||
Oil-Dri Corp. of America | 406 | 12,335 | |||
Orchids Paper Products Co. | 518 | 12,468 | |||
WD-40 Co. | 1,124 | 97,968 | |||
240,941 | |||||
Independent Power and Renewable Electricity Producers - 0.6% | |||||
Abengoa Yield plc | 3,786 | 118,578 | |||
Atlantic Power Corp. | 10,236 | 31,527 | |||
Dynegy, Inc.* | 9,890 | 289,283 | |||
NRG Yield, Inc.: | |||||
Class A | 2,663 | 58,559 | |||
Class C | 2,669 | 58,424 | |||
Ormat Technologies, Inc. | 2,907 | 109,536 | |||
Pattern Energy Group, Inc. | 3,871 | 109,859 | |||
Talen Energy Corp.* | 6,440 | 110,510 | |||
Vivint Solar, Inc.* | 1,800 | 21,906 | |||
908,182 | |||||
Industrial Conglomerates – 0.0% | |||||
Raven Industries, Inc. | 2,917 | 59,303 | |||
Insurance - 2.2% | |||||
Ambac Financial Group, Inc.* | 3,473 | 57,791 | |||
American Equity Investment Life Holding Co. | 5,947 | 160,450 | |||
AMERISAFE, Inc. | 1,465 | 68,943 | |||
Argo Group International Holdings Ltd. | 2,156 | 120,089 | |||
Atlas Financial Holdings, Inc.* | 1,031 | 20,445 | |||
Baldwin & Lyons, Inc., Class B | 853 | 19,636 | |||
Citizens, Inc.* | 3,380 | 25,215 | |||
CNO Financial Group, Inc. | 15,199 | 278,902 | |||
Crawford & Co., Class B | 2,478 | 20,890 | |||
Donegal Group, Inc., Class A | 916 | 13,951 | |||
eHealth, Inc.* | 1,593 | 20,215 | |||
EMC Insurance Group, Inc. | 746 | 18,690 | |||
Employers Holdings, Inc. | 2,669 | 60,800 | |||
Enstar Group Ltd.* | 701 | 108,620 | |||
FBL Financial Group, Inc., Class A | 766 | 44,214 | |||
Federated National Holding Co. | 1,014 | 24,539 |
32 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Fidelity & Guaranty Life | 987 | 23,323 | |||
First American Financial Corp. | 8,365 | 311,262 | |||
Global Indemnity plc* | 810 | 22,745 | |||
Greenlight Capital Re Ltd., Class A* | 2,232 | 65,107 | |||
Hallmark Financial Services, Inc.* | 1,205 | 13,713 | |||
HCI Group, Inc. | 801 | 35,412 | |||
Heritage Insurance Holdings, Inc.* | 1,906 | 43,819 | |||
Horace Mann Educators Corp. | 3,175 | 115,506 | |||
Independence Holding Co. | 665 | 8,771 | |||
Infinity Property & Casualty Corp. | 885 | 67,118 | |||
James River Group Holdings Ltd. | 967 | 25,016 | |||
Kansas City Life Insurance Co. | 365 | 16,684 | |||
Kemper Corp. | 3,357 | 129,412 | |||
Maiden Holdings Ltd. | 4,341 | 68,501 | |||
MBIA, Inc.* | 12,047 | 72,402 | |||
Meadowbrook Insurance Group, Inc. | 3,882 | 33,385 | |||
Montpelier Re Holdings Ltd. | 2,792 | 110,284 | |||
National General Holdings Corp. | 2,752 | 57,324 | |||
National Interstate Corp. | 681 | 18,605 | |||
National Western Life Insurance Co., Class A | 193 | 46,222 | |||
Navigators Group, Inc. (The)* | 819 | 63,522 | |||
OneBeacon Insurance Group Ltd., Class A | 1,823 | 26,452 | |||
Patriot National, Inc.* | 731 | 11,696 | |||
Primerica, Inc. | 3,963 | 181,069 | |||
RLI Corp. | 3,333 | 171,283 | |||
Safety Insurance Group, Inc. | 1,103 | 63,654 | |||
Selective Insurance Group, Inc. | 4,395 | 123,280 | |||
State Auto Financial Corp. | 1,338 | 32,045 | |||
State National Cos., Inc. | 2,290 | 24,801 | |||
Stewart Information Services Corp. | 1,793 | 71,361 | |||
Symetra Financial Corp. | 5,796 | 140,089 | |||
Third Point Reinsurance Ltd.* | 6,514 | 96,081 | |||
United Fire Group, Inc. | 1,562 | 51,171 | |||
United Insurance Holdings Corp. | 1,490 | 23,155 | |||
Universal Insurance Holdings, Inc. | 2,530 | 61,226 | |||
3,488,886 | |||||
Internet & Catalog Retail - 0.7% | |||||
1-800-Flowers.com, Inc., Class A* | 2,081 | 21,767 | |||
Blue Nile, Inc.* | 1,104 | 33,551 | |||
Etsy, Inc.* | 1,543 | 21,679 | |||
EVINE Live, Inc.* | 3,387 | 9,111 | |||
FTD Cos., Inc.* | 1,526 | 43,018 | |||
HSN, Inc. | 2,509 | 176,107 | |||
Lands’ End, Inc.* | 1,477 | 36,674 | |||
Liberty TripAdvisor Holdings, Inc., Class A* | 5,772 | 185,974 | |||
Nutrisystem, Inc. | 2,351 | 58,493 | |||
Orbitz Worldwide, Inc.* | 8,622 | 98,463 | |||
Overstock.com, Inc.* | 951 | 21,435 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 33
SHARES | VALUE ($) | ||||
PetMed Express, Inc. | 1,778 | 30,706 | |||
Shutterfly, Inc.* | 2,901 | 138,697 | |||
Travelport Worldwide Ltd. | 8,146 | 112,252 | |||
Wayfair, Inc., Class A* | 1,548 | 58,267 | |||
zulily, Inc., Class A* | 5,064 | 66,034 | |||
1,112,228 | |||||
Internet Software & Services - 2.4% | |||||
Actua Corp.* | 3,133 | 44,677 | |||
Amber Road, Inc.* | 800 | 5,616 | |||
Angie’s List, Inc.* | 4,167 | 25,669 | |||
Apigee Corp.* | 399 | 3,962 | |||
Bankrate, Inc.* | 5,150 | 54,024 | |||
Bazaarvoice, Inc.* | 4,145 | 24,414 | |||
Benefitfocus, Inc.* | 608 | 26,661 | |||
Blucora, Inc.* | 3,157 | 50,986 | |||
Box, Inc., Class A* | 1,099 | 20,485 | |||
Brightcove, Inc.* | 2,425 | 16,636 | |||
Carbonite, Inc.* | 1,044 | 12,330 | |||
Care.com, Inc.* | 566 | 3,351 | |||
ChannelAdvisor Corp.* | 1,855 | 22,167 | |||
Cimpress NV* | 2,532 | 213,093 | |||
comScore, Inc.* | 2,656 | 141,459 | |||
Constant Contact, Inc.* | 2,482 | 71,382 | |||
Cornerstone OnDemand, Inc.* | 4,163 | 144,872 | |||
Coupons.com, Inc.* | 4,711 | 50,832 | |||
Cvent, Inc.* | 1,607 | 41,428 | |||
Dealertrack Technologies, Inc.* | 4,229 | 265,539 | |||
Demandware, Inc.* | 2,577 | 183,173 | |||
DHI Group, Inc.* | 3,501 | 31,124 | |||
EarthLink Holdings Corp. | 7,956 | 59,590 | |||
Endurance International Group Holdings, Inc.* | 4,524 | 93,466 | |||
Envestnet, Inc.* | 2,724 | 110,131 | |||
Everyday Health, Inc.* | 1,666 | 21,291 | |||
Five9, Inc.* | 1,093 | 5,716 | |||
Gogo, Inc.* | 4,336 | 92,920 | |||
GrubHub, Inc.* | 5,802 | 197,674 | |||
GTT Communications, Inc.* | 1,887 | 45,043 | |||
Hortonworks, Inc.* | 632 | 16,002 | |||
Internap Corp.* | 4,533 | 41,930 | |||
Intralinks Holdings, Inc.* | 3,311 | 39,434 | |||
j2 Global, Inc. | 3,720 | 252,737 | |||
Limelight Networks, Inc.* | 4,616 | 18,187 | |||
Liquidity Services, Inc.* | 2,122 | 20,435 | |||
LivePerson, Inc.* | 4,955 | 48,609 | |||
LogMeIn, Inc.* | 1,900 | 122,531 | |||
Marchex, Inc., Class B | 2,943 | 14,568 | |||
Marin Software, Inc.* | 2,360 | 15,906 | |||
Marketo, Inc.* | 2,685 | 75,341 |
34 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
MaxPoint Interactive, Inc.* | 534 | 4,315 | |||
Millennial Media, Inc.* | 6,754 | 10,941 | |||
Monster Worldwide, Inc.* | 7,023 | 45,930 | |||
New Relic, Inc.* | 505 | 17,771 | |||
NIC, Inc. | 5,058 | 92,460 | |||
OPOWER, Inc.* | 2,018 | 23,227 | |||
Q2 Holdings, Inc.* | 1,503 | 42,460 | |||
QuinStreet, Inc.* | 2,943 | 18,982 | |||
RealNetworks, Inc.* | 1,733 | 9,376 | |||
Reis, Inc. | 719 | 15,947 | |||
RetailMeNot, Inc.* | 2,759 | 49,193 | |||
Rocket Fuel, Inc.* | 1,645 | 13,489 | |||
SciQuest, Inc.* | 2,242 | 33,204 | |||
Shutterstock, Inc.* | 1,515 | 88,840 | |||
SPS Commerce, Inc.* | 1,276 | 83,961 | |||
Stamps.com, Inc.* | 1,100 | 80,927 | |||
TechTarget, Inc.* | 1,109 | 9,903 | |||
Textura Corp.* | 1,671 | 46,504 | |||
Travelzoo, Inc.* | 642 | 7,242 | |||
TrueCar, Inc.* | 3,777 | 45,286 | |||
United Online, Inc.* | 1,133 | 17,754 | |||
Web.com Group, Inc.* | 3,382 | 81,912 | |||
WebMD Health Corp.* | 2,916 | 129,121 | |||
Wix.com Ltd.* | 1,243 | 29,360 | |||
XO Group, Inc.* | 2,474 | 40,450 | |||
Xoom Corp.* | 2,770 | 58,322 | |||
3,842,268 | |||||
IT Services - 2.1% | |||||
6D Global Technologies, Inc.* | 1,527 | 9,987 | |||
Acxiom Corp.* | 6,033 | 106,060 | |||
Blackhawk Network Holdings, Inc.* | 4,190 | 172,628 | |||
CACI International, Inc., Class A* | 1,866 | 150,941 | |||
Cardtronics, Inc.* | 3,463 | 128,304 | |||
Cass Information Systems, Inc. | 943 | 53,015 | |||
Ciber, Inc.* | 6,559 | 22,629 | |||
Convergys Corp. | 7,627 | 194,412 | |||
CSG Systems International, Inc. | 2,527 | 80,005 | |||
Datalink Corp.* | 1,373 | 12,275 | |||
EPAM Systems, Inc.* | 3,774 | 268,822 | |||
Euronet Worldwide, Inc.* | 4,004 | 247,047 | |||
EVERTEC, Inc. | 5,077 | 107,835 | |||
ExlService Holdings, Inc.* | 2,570 | 88,871 | |||
Forrester Research, Inc. | 776 | 27,952 | |||
Global Cash Access Holdings, Inc.* | 5,479 | 42,407 | |||
Hackett Group, Inc. (The) | 1,931 | 25,933 | |||
Heartland Payment Systems, Inc. | 2,824 | 152,637 | |||
IGATE Corp.* | 2,790 | 133,055 | |||
Lionbridge Technologies, Inc.* | 5,129 | 31,646 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 35
SHARES | VALUE ($) | ||||
Luxoft Holding, Inc.* | 1,416 | 80,075 | |||
ManTech International Corp., Class A | 1,948 | 56,492 | |||
MAXIMUS, Inc. | 5,085 | 334,237 | |||
ModusLink Global Solutions, Inc.* | 3,259 | 11,081 | |||
MoneyGram International, Inc.* | 2,614 | 24,023 | |||
NeuStar, Inc., Class A* | 4,273 | 124,814 | |||
Perficient, Inc.* | 2,876 | 55,334 | |||
PFSweb, Inc.* | 930 | 12,890 | |||
Science Applications International Corp. | 3,506 | 185,292 | |||
ServiceSource International, Inc.* | 5,266 | 28,805 | |||
Sykes Enterprises, Inc.* | 3,008 | 72,944 | |||
Syntel, Inc.* | 2,422 | 114,997 | |||
TeleTech Holdings, Inc. | 1,255 | 33,985 | |||
Unisys Corp.* | 3,852 | 77,001 | |||
Virtusa Corp.* | 2,330 | 119,762 | |||
3,388,193 | |||||
Leisure Products - 0.3% | |||||
Arctic Cat, Inc. | 1,125 | 37,361 | |||
Black Diamond, Inc.* | 1,890 | 17,464 | |||
Callaway Golf Co. | 6,676 | 59,684 | |||
Escalade, Inc. | 888 | 16,330 | |||
JAKKS Pacific, Inc.* | 1,960 | 19,384 | |||
Johnson Outdoors, Inc., Class A | 405 | 9,538 | |||
Malibu Boats, Inc., Class A* | 1,378 | 27,684 | |||
Marine Products Corp. | 813 | 5,073 | |||
Nautilus, Inc.* | 2,675 | 57,539 | |||
Performance Sports Group Ltd.* | 3,499 | 62,982 | |||
Smith & Wesson Holding Corp.* | 4,149 | 68,832 | |||
Sturm Ruger & Co., Inc. | 1,443 | 82,900 | |||
464,771 | |||||
Life Sciences - Tools & Services - 0.5% | |||||
Accelerate Diagnostics, Inc.* | 1,660 | 42,845 | |||
Affymetrix, Inc.* | 6,207 | 67,781 | |||
Albany Molecular Research, Inc.* | 2,006 | 40,561 | |||
Cambrex Corp.* | 2,416 | 106,159 | |||
Fluidigm Corp.* | 2,221 | 53,748 | |||
Harvard Bioscience, Inc.* | 2,582 | 14,717 | |||
INC Research Holdings, Inc., Class A* | 1,001 | 40,160 | |||
Luminex Corp.* | 3,221 | 55,595 | |||
NanoString Technologies, Inc.* | 900 | 13,878 | |||
NeoGenomics, Inc.* | 4,132 | 22,354 | |||
Pacific Biosciences of California, Inc.* | 5,069 | 29,197 | |||
PAREXEL International Corp.* | 4,258 | 273,832 | |||
PRA Health Sciences, Inc.* | 1,700 | 61,761 | |||
Sequenom, Inc.* | 10,313 | 31,352 | |||
853,940 | |||||
36 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Machinery - 2.6% | |||||
Accuride Corp.* | 4,261 | 16,405 | |||
Actuant Corp., Class A | 4,596 | 106,122 | |||
Alamo Group, Inc. | 670 | 36,609 | |||
Albany International Corp., Class A | 2,184 | 86,923 | |||
Altra Industrial Motion Corp. | 2,038 | 55,393 | |||
American Railcar Industries, Inc. | 842 | 40,955 | |||
Astec Industries, Inc. | 1,463 | 61,183 | |||
Barnes Group, Inc. | 4,228 | 164,850 | |||
Blount International, Inc.* | 4,185 | 45,700 | |||
Blue Bird Corp.* | 396 | 5,144 | |||
Briggs & Stratton Corp. | 3,442 | 66,293 | |||
Chart Industries, Inc.* | 2,357 | 84,263 | |||
CIRCOR International, Inc. | 1,323 | 72,143 | |||
CLARCOR, Inc. | 3,871 | 240,931 | |||
Columbus McKinnon Corp. | 1,673 | 41,825 | |||
Commercial Vehicle Group, Inc.* | 2,272 | 16,381 | |||
Douglas Dynamics, Inc. | 1,993 | 42,810 | |||
EnPro Industries, Inc. | 1,761 | 100,764 | |||
ESCO Technologies, Inc. | 2,013 | 75,306 | |||
ExOne Co. (The)* | 889 | 9,868 | |||
Federal Signal Corp. | 4,825 | 71,941 | |||
FreightCar America, Inc. | 1,042 | 21,757 | |||
Gerber Scientific, Inc.(b)* | 2,334 | — | |||
Global Brass & Copper Holdings, Inc. | 1,912 | 32,523 | |||
Gorman-Rupp Co. (The) | 1,593 | 44,731 | |||
Graham Corp. | 863 | 17,683 | |||
Greenbrier Cos., Inc. (The) | 2,037 | 95,433 | |||
Harsco Corp. | 6,181 | 101,986 | |||
Hillenbrand, Inc. | 4,856 | 149,079 | |||
Hurco Cos., Inc. | 529 | 18,314 | |||
Hyster-Yale Materials Handling, Inc. | 732 | 50,713 | |||
John Bean Technologies Corp. | 2,255 | 84,765 | |||
Kadant, Inc. | 966 | 45,595 | |||
LB Foster Co., Class A | 815 | 28,207 | |||
Lindsay Corp. | 911 | 80,086 | |||
Lydall, Inc.* | 1,313 | 38,812 | |||
Meritor, Inc.* | 7,535 | 98,859 | |||
Miller Industries, Inc. | 1,050 | 20,947 | |||
Mueller Industries, Inc. | 4,397 | 152,664 | |||
Mueller Water Products, Inc., Class A | 12,416 | 112,986 | |||
Navistar International Corp.* | 3,937 | 89,094 | |||
NN, Inc. | 1,381 | 35,243 | |||
Omega Flex, Inc. | 248 | 9,340 | |||
Proto Labs, Inc.* | 1,797 | 121,262 | |||
RBC Bearings, Inc.* | 1,805 | 129,527 | |||
Rexnord Corp.* | 7,858 | 187,885 | |||
Standex International Corp. | 986 | 78,811 | |||
Sun Hydraulics Corp. | 1,860 | 70,885 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 37
SHARES | VALUE ($) | ||||
Tennant Co. | 1,420 | 92,783 | |||
Titan International, Inc. | 3,947 | 42,391 | |||
TriMas Corp.* | 3,495 | 103,452 | |||
Twin Disc, Inc. | 694 | 12,936 | |||
Wabash National Corp.* | 5,241 | 65,722 | |||
Watts Water Technologies, Inc., Class A | 2,174 | 112,722 | |||
Woodward, Inc. | 5,041 | 277,205 | |||
Xerium Technologies, Inc.* | 941 | 17,126 | |||
4,083,333 | |||||
Marine - 0.1% | |||||
Eagle Bulk Shipping, Inc.* | 1,715 | 11,953 | |||
Golden Ocean Group Ltd. | 6,107 | 23,512 | |||
Matson, Inc. | 3,354 | 141,002 | |||
Navios Maritime Holdings, Inc. | 7,110 | 26,449 | |||
Safe Bulkers, Inc. | 3,487 | 11,228 | |||
Scorpio Bulkers, Inc.* | 11,398 | 18,579 | |||
Ultrapetrol Bahamas Ltd.* | 1,843 | 2,083 | |||
234,806 | |||||
Media - 1.5% | |||||
AMC Entertainment Holdings, Inc., Class A | 1,817 | 55,746 | |||
Carmike Cinemas, Inc.* | 1,988 | 52,762 | |||
Central European Media Enterprises Ltd., Class A* | 6,603 | 14,395 | |||
Crown Media Holdings, Inc., Class A* | 3,539 | 15,996 | |||
Cumulus Media, Inc., Class A* | 12,148 | 24,660 | |||
Daily Journal Corp.* | 88 | 17,293 | |||
DreamWorks Animation SKG, Inc., Class A* | 5,861 | 154,613 | |||
Entercom Communications Corp., Class A* | 2,183 | 24,930 | |||
Entravision Communications Corp., Class A | 4,508 | 37,101 | |||
Eros International plc* | 2,183 | 54,837 | |||
Global Eagle Entertainment, Inc.* | 3,417 | 44,489 | |||
Gray Television, Inc.* | 4,872 | 76,393 | |||
Harte-Hanks, Inc. | 4,010 | 23,900 | |||
Hemisphere Media Group, Inc.* | 742 | 8,830 | |||
IMAX Corp.* | 4,661 | 187,698 | |||
Journal Media Group, Inc. | 1,479 | 12,261 | |||
Loral Space & Communications, Inc.* | 1,011 | 63,814 | |||
Martha Stewart Living Omnimedia, Inc., Class A* | 2,756 | 17,197 | |||
MDC Partners, Inc., Class A | 3,353 | 66,054 | |||
Media General, Inc.* | 7,023 | 116,020 | |||
Meredith Corp. | 2,836 | 147,897 | |||
National CineMedia, Inc. | 5,048 | 80,566 | |||
New Media Investment Group, Inc. | 3,448 | 61,823 | |||
New York Times Co., Class A | 10,612 | 144,854 | |||
Nexstar Broadcasting Group, Inc., Class A | 2,415 | 135,240 | |||
Reading International, Inc., Class A* | 1,506 | 20,858 | |||
Rentrak Corp.* | 979 | 68,334 | |||
Saga Communications, Inc., Class A | 394 | 14,913 |
38 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Scholastic Corp. | 2,058 | 90,820 | |||
SFX Entertainment, Inc.* | 3,959 | 17,776 | |||
Sinclair Broadcast Group, Inc., Class A | 5,114 | 142,732 | |||
Sizmek, Inc.* | 2,184 | 15,506 | |||
The EW Scripps Co., Class A | 4,564 | 104,287 | |||
The McClatchy Co., Class A* | 5,532 | 5,975 | |||
Time, Inc. | 8,452 | 194,481 | |||
Townsquare Media, Inc., Class A* | 783 | 10,633 | |||
Tribune Publishing Co. | 2,030 | 31,546 | |||
World Wrestling Entertainment, Inc., Class A | 2,503 | 41,299 | |||
2,398,529 | |||||
Metals & Mining - 0.9% | |||||
AK Steel Holding Corp.* | 13,722 | 53,104 | |||
Carpenter Technology Corp. | 3,890 | 150,465 | |||
Century Aluminum Co.* | 3,803 | 39,665 | |||
Cliffs Natural Resources, Inc. | 11,829 | 51,220 | |||
Coeur Mining, Inc.* | 10,492 | 59,909 | |||
Commercial Metals Co. | 8,931 | 143,611 | |||
Globe Specialty Metals, Inc. | 5,015 | 88,766 | |||
Handy & Harman Ltd.* | 202 | 6,999 | |||
Haynes International, Inc. | 1,062 | 52,378 | |||
Hecla Mining Co. | 28,581 | 75,168 | |||
Horsehead Holding Corp.* | 4,443 | 52,072 | |||
Kaiser Aluminum Corp. | 1,324 | 109,998 | |||
Materion Corp. | 1,555 | 54,814 | |||
Olympic Steel, Inc. | 846 | 14,754 | |||
Real Industry, Inc.* | 1,889 | 21,440 | |||
RTI International Metals, Inc.* | 2,377 | 74,923 | |||
Ryerson Holding Corp.* | 965 | 8,782 | |||
Schnitzer Steel Industries, Inc., Class A | 2,273 | 39,709 | |||
Stillwater Mining Co.* | 9,314 | 107,949 | |||
SunCoke Energy, Inc. | 5,034 | 65,442 | |||
TimkenSteel Corp. | 3,081 | 83,156 | |||
Worthington Industries, Inc. | 3,705 | 111,372 | |||
1,465,696 | |||||
Multi-Utilities - 0.3% | |||||
Avista Corp. | 4,806 | 147,304 | |||
Black Hills Corp. | 3,459 | 150,985 | |||
NorthWestern Corp. | 3,630 | 176,963 | |||
475,252 | |||||
Multiline Retail - 0.4% | |||||
Big Lots, Inc. | 4,162 | 187,248 | |||
Burlington Stores, Inc.* | 5,819 | 297,933 | |||
Fred’s, Inc., Class A | 3,167 | 61,092 | |||
Tuesday Morning Corp.* | 3,766 | 42,424 | |||
588,697 | |||||
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 39
SHARES | VALUE ($) | ||||
Oil, Gas & Consumable Fuels - 2.3% | |||||
Abraxas Petroleum Corp.* | 7,685 | 22,671 | |||
Adams Resources & Energy, Inc. | 189 | 8,429 | |||
Alon USA Energy, Inc. | 2,410 | 45,549 | |||
Approach Resources, Inc.* | 3,528 | 24,167 | |||
Ardmore Shipping Corp. | 1,617 | 19,582 | |||
Bill Barrett Corp.* | 4,332 | 37,212 | |||
Bonanza Creek Energy, Inc.* | 3,836 | 70,007 | |||
Callon Petroleum Co.* | 4,852 | 40,369 | |||
Carrizo Oil & Gas, Inc.* | 3,971 | 195,532 | |||
Clayton Williams Energy, Inc.* | 515 | 33,861 | |||
Clean Energy Fuels Corp.* | 5,949 | 33,433 | |||
Cloud Peak Energy, Inc.* | 5,496 | 25,611 | |||
Contango Oil & Gas Co.* | 1,560 | 19,141 | |||
Delek US Holdings, Inc. | 4,427 | 163,002 | |||
DHT Holdings, Inc. | 7,166 | 55,680 | |||
Dorian LPG Ltd.* | 1,932 | 32,226 | |||
Earthstone Energy, Inc.* | 101 | 1,973 | |||
Eclipse Resources Corp.* | 2,658 | 13,981 | |||
Energy Fuels, Inc.* | 3,400 | 15,130 | |||
Energy XXI Ltd. | 8,400 | 22,092 | |||
Erin Energy Corp.* | 1,082 | 4,231 | |||
Evolution Petroleum Corp. | 1,370 | 9,028 | |||
EXCO Resources, Inc. | 14,704 | 17,351 | |||
Frontline Ltd.* | 8,340 | 20,350 | |||
GasLog Ltd. | 3,212 | 64,079 | |||
Gastar Exploration, Inc.* | 6,157 | 19,025 | |||
Green Plains, Inc. | 2,929 | 80,694 | |||
Halcon Resources Corp.* | 23,366 | 27,105 | |||
Hallador Energy Co. | 353 | 2,944 | |||
Isramco, Inc.* | 85 | 11,732 | |||
Jones Energy, Inc., Class A* | 2,235 | 20,227 | |||
Magnum Hunter Resources Corp.: | |||||
Warrants (strike price $8.50/share, expires 04/15/2016)(b)* | 1,482 | — | |||
Common* | 16,925 | 31,650 | |||
Matador Resources Co.* | 5,646 | 141,150 | |||
Navios Maritime Acquisition Corp. | 7,368 | 26,451 | |||
Nordic American Tankers Ltd. | 6,883 | 97,945 | |||
Northern Oil and Gas, Inc.* | 5,718 | 38,711 | |||
Oasis Petroleum, Inc.* | 10,743 | 170,277 | |||
Pacific Ethanol, Inc.* | 1,816 | 18,741 | |||
Panhandle Oil and Gas, Inc., Class A | 1,238 | 25,614 | |||
Par Petroleum Corp.* | 1,236 | 23,138 | |||
Parsley Energy, Inc., Class A* | 6,441 | 112,202 | |||
PDC Energy, Inc.* | 3,091 | 165,801 | |||
Peabody Energy Corp. | 21,437 | 46,947 | |||
Penn Virginia Corp.* | 5,878 | 25,746 | |||
Renewable Energy Group, Inc.* | 3,095 | 35,778 | |||
REX American Resources Corp.* | 552 | 35,129 |
40 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Rex Energy Corp.* | 4,308 | 24,082 | |||
Ring Energy, Inc.* | 1,669 | 18,676 | |||
Rosetta Resources, Inc.* | 5,842 | 135,184 | |||
RSP Permian, Inc.* | 4,223 | 118,709 | |||
Sanchez Energy Corp.* | 4,490 | 44,002 | |||
SandRidge Energy, Inc.* | 33,414 | 29,304 | |||
Scorpio Tankers, Inc. | 13,801 | 139,252 | |||
SemGroup Corp., Class A | 3,388 | 269,278 | |||
Ship Finance International Ltd. | 4,576 | 74,680 | |||
Solazyme, Inc.* | 6,808 | 21,377 | |||
Stone Energy Corp.* | 4,921 | 61,955 | |||
Synergy Resources Corp.* | 8,031 | 91,794 | |||
Teekay Tankers Ltd., Class A | 7,096 | 46,905 | |||
TransAtlantic Petroleum Ltd.* | 2,028 | 10,363 | |||
Triangle Petroleum Corp.* | 3,599 | 18,067 | |||
Ultra Petroleum Corp.* | 11,823 | 148,024 | |||
Uranium Energy Corp.* | 7,100 | 11,289 | |||
W&T Offshore, Inc. | 3,057 | 16,752 | |||
Western Refining, Inc. | 5,490 | 239,474 | |||
Westmoreland Coal Co.* | 1,194 | 24,811 | |||
3,695,672 | |||||
Paper & Forest Products - 0.5% | |||||
Boise Cascade Co.* | 3,051 | 111,911 | |||
Clearwater Paper Corp.* | 1,471 | 84,288 | |||
Deltic Timber Corp. | 942 | 63,717 | |||
KapStone Paper and Packaging Corp. | 6,572 | 151,945 | |||
Louisiana-Pacific Corp.* | 10,994 | 187,228 | |||
Neenah Paper, Inc. | 1,291 | 76,117 | |||
PH Glatfelter Co. | 3,337 | 73,381 | |||
Schweitzer-Mauduit International, Inc. | 2,352 | 93,798 | |||
Wausau Paper Corp. | 3,164 | 29,045 | |||
871,430 | |||||
Personal Products - 0.2% | |||||
Elizabeth Arden, Inc.* | 2,269 | 32,356 | |||
Inter Parfums, Inc. | 1,484 | 50,352 | |||
Medifast, Inc.* | 838 | 27,084 | |||
Natural Health Trends Corp. | 608 | 25,208 | |||
Nature’s Sunshine Products, Inc. | 1,018 | 13,998 | |||
Nutraceutical International Corp.* | 861 | 21,301 | |||
Revlon, Inc., Class A* | 936 | 34,361 | |||
Synutra International, Inc.* | 1,867 | 13,349 | |||
USANA Health Sciences, Inc.* | 481 | 65,733 | |||
283,742 | |||||
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 41
SHARES | VALUE ($) | ||||
Pharmaceuticals - 1.8% | |||||
Aerie Pharmaceuticals, Inc.* | 1,583 | 27,940 | |||
Agile Therapeutics, Inc.* | 803 | 6,898 | |||
Alimera Sciences, Inc.* | 1,462 | 6,740 | |||
Amphastar Pharmaceuticals, Inc.* | 2,452 | 43,106 | |||
ANI Pharmaceuticals, Inc.* | 616 | 38,223 | |||
Aratana Therapeutics, Inc.* | 2,189 | 33,098 | |||
Assembly Biosciences, Inc.* | 1,107 | 21,321 | |||
BioDelivery Sciences International, Inc.* | 3,714 | 29,563 | |||
Carbylan Therapeutics, Inc.* | 957 | 6,843 | |||
Catalent, Inc.* | 6,454 | 189,296 | |||
Cempra, Inc.* | 2,640 | 90,710 | |||
Collegium Pharmaceutical, Inc.* | 515 | 9,188 | |||
Corcept Therapeutics, Inc.* | 3,942 | 23,691 | |||
Corium International, Inc.* | 671 | 9,186 | |||
Depomed, Inc.* | 4,628 | 99,317 | |||
Dermira, Inc.* | 690 | 12,109 | |||
Durect Corp.* | 8,677 | 20,738 | |||
Endocyte, Inc.* | 2,665 | 13,831 | |||
Flex Pharma, Inc.* | 474 | 8,153 | |||
Foamix Pharmaceuticals Ltd.* | 1,746 | 17,896 | |||
Forest Laboratories, Inc.*(b) | 1,024 | — | |||
Heska Corp.* | 439 | 13,034 | |||
IGI Laboratories, Inc.* | 2,576 | 16,229 | |||
Impax Laboratories, Inc.* | 5,534 | 254,121 | |||
Intersect ENT, Inc.* | 1,082 | 30,978 | |||
Intra-Cellular Therapies, Inc.* | 1,532 | 48,947 | |||
Lannett Co., Inc.* | 2,047 | 121,674 | |||
Medicines Co. (The)* | 5,111 | 146,226 | |||
Nektar Therapeutics* | 10,150 | 126,976 | |||
Ocular Therapeutix, Inc.* | 1,006 | 21,156 | |||
Omeros Corp.* | 3,039 | 54,672 | |||
Omthera Pharmaceutical, Inc.*(b) | 508 | 305 | |||
Pacira Pharmaceuticals, Inc.* | 2,812 | 198,865 | |||
Paratek Pharmaceuticals, Inc. | 941 | 24,250 | |||
Pernix Therapeutics Holdings, Inc.* | 2,981 | 17,648 | |||
Phibro Animal Health Corp., Class A | 1,313 | 51,128 | |||
POZEN, Inc.* | 2,758 | 28,435 | |||
Prestige Brands Holdings, Inc.* | 4,036 | 186,625 | |||
Relypsa, Inc.* | 2,516 | 83,254 | |||
Revance Therapeutics, Inc.* | 1,207 | 38,600 | |||
Sagent Pharmaceuticals, Inc.* | 1,961 | 47,672 | |||
SciClone Pharmaceuticals, Inc.* | 3,828 | 37,591 | |||
Sucampo Pharmaceuticals, Inc., Class A* | 1,564 | 25,696 | |||
Supernus Pharmaceuticals, Inc.* | 2,624 | 44,555 | |||
Tetraphase Pharmaceuticals, Inc.* | 2,696 | 127,898 | |||
TherapeuticsMD, Inc.* | 10,413 | 81,846 | |||
Theravance Biopharma, Inc.* | 2,108 | 27,446 | |||
Theravance, Inc. | 6,571 | 118,738 |
42 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
VIVUS, Inc.* | 8,977 | 21,186 | |||
XenoPort, Inc.* | 5,108 | 31,312 | |||
Zogenix, Inc.* | 8,716 | 14,643 | |||
ZS Pharma, Inc.* | 1,402 | 73,451 | |||
2,823,004 | |||||
Professional Services - 1.3% | |||||
Acacia Research Corp. | 4,242 | 37,202 | |||
Advisory Board Co. (The)* | 3,275 | 179,044 | |||
Barrett Business Services, Inc. | 606 | 22,010 | |||
CBIZ, Inc.* | 3,612 | 34,820 | |||
CDI Corp. | 1,164 | 15,132 | |||
CEB, Inc. | 2,582 | 224,789 | |||
CRA International, Inc.* | 707 | 19,704 | |||
Exponent, Inc. | 2,005 | 89,784 | |||
Franklin Covey Co.* | 1,007 | 20,432 | |||
FTI Consulting, Inc.* | 3,210 | 132,380 | |||
GP Strategies Corp.* | 1,007 | 33,473 | |||
Heidrick & Struggles International, Inc. | 1,525 | 39,772 | |||
Hill International, Inc.* | 2,159 | 11,356 | |||
Huron Consulting Group, Inc.* | 1,787 | 125,251 | |||
ICF International, Inc.* | 1,507 | 52,534 | |||
Insperity, Inc. | 1,495 | 76,096 | |||
Kelly Services, Inc., Class A | 2,314 | 35,520 | |||
Kforce, Inc. | 1,903 | 43,522 | |||
Korn/Ferry International | 3,891 | 135,290 | |||
Mistras Group, Inc.* | 1,338 | 25,395 | |||
Navigant Consulting, Inc.* | 3,723 | 55,361 | |||
On Assignment, Inc.* | 3,992 | 156,806 | |||
Pendrell Corp.* | 12,424 | 17,021 | |||
Resources Connection, Inc. | 2,900 | 46,661 | |||
RPX Corp.* | 4,188 | 70,777 | |||
TriNet Group, Inc.* | 3,176 | 80,512 | |||
TrueBlue, Inc.* | 3,417 | 102,168 | |||
Volt Information Sciences, Inc.* | 744 | 7,224 | |||
VSE Corp. | 430 | 23,009 | |||
WageWorks, Inc.* | 2,758 | 111,561 | |||
2,024,606 | |||||
Real Estate Investment Trusts - 7.8% | |||||
Acadia Realty Trust | 5,308 | 154,516 | |||
AG Mortgage Investment Trust, Inc. | 2,395 | 41,386 | |||
Agree Realty Corp. | 1,546 | 45,097 | |||
Alexander’s, Inc. | 162 | 66,420 | |||
Altisource Residential Corp. | 4,415 | 74,393 | |||
American Assets Trust, Inc. | 2,868 | 112,454 | |||
American Capital Mortgage Investment Corp. | 3,949 | 63,144 | |||
American Residential Properties, Inc.* | 2,485 | 45,972 | |||
Anworth Mortgage Asset Corp. | 8,089 | 39,879 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 43
SHARES | VALUE ($) | ||||
Apollo Commercial Real Estate Finance, Inc. | 4,509 | 74,083 | |||
Apollo Residential Mortgage, Inc. | 2,739 | 40,236 | |||
Ares Commercial Real Estate Corp. | 2,562 | 29,181 | |||
Armada Hoffler Properties, Inc. | 1,639 | 16,374 | |||
ARMOUR Residential REIT, Inc. | 27,195 | 76,418 | |||
Ashford Hospitality Prime, Inc. | 2,274 | 34,155 | |||
Ashford Hospitality Trust, Inc. | 6,276 | 53,095 | |||
Associated Estates Realty Corp. | 4,468 | 127,919 | |||
Bluerock Residential Growth REIT, Inc. | 1,454 | 18,408 | |||
Campus Crest Communities, Inc. | 5,690 | 31,523 | |||
Capstead Mortgage Corp. | 7,394 | 82,073 | |||
CareTrust REIT, Inc. | 2,304 | 29,192 | |||
CatchMark Timber Trust, Inc., Class A | 3,052 | 35,312 | |||
Cedar Realty Trust, Inc. | 7,099 | 45,434 | |||
Chambers Street Properties | 18,280 | 145,326 | |||
Chatham Lodging Trust | 2,956 | 78,245 | |||
Chesapeake Lodging Trust | 4,604 | 140,330 | |||
Colony Capital, Inc., Class A | 8,620 | 195,243 | |||
CorEnergy Infrastructure Trust, Inc. | 4,105 | 25,944 | |||
CoreSite Realty Corp. | 1,850 | 84,064 | |||
Cousins Properties, Inc. | 16,716 | 173,512 | |||
CubeSmart | 12,838 | 297,328 | |||
CyrusOne, Inc. | 3,986 | 117,388 | |||
CYS Investments, Inc. | 12,204 | 94,337 | |||
DCT Industrial Trust, Inc. | 6,857 | 215,584 | |||
DiamondRock Hospitality Co. | 15,490 | 198,427 | |||
DuPont Fabros Technology, Inc. | 4,873 | 143,510 | |||
Dynex Capital, Inc. | 4,570 | 34,823 | |||
Easterly Government Properties, Inc. | 1,213 | 19,311 | |||
EastGroup Properties, Inc. | 2,493 | 140,181 | |||
Education Realty Trust, Inc. | 3,732 | 117,035 | |||
EPR Properties | 4,413 | 241,744 | |||
Equity One, Inc. | 5,797 | 135,302 | |||
Excel Trust, Inc. | 4,893 | 77,163 | |||
FelCor Lodging Trust, Inc. | 11,057 | 109,243 | |||
First Industrial Realty Trust, Inc. | 8,545 | 160,048 | |||
First Potomac Realty Trust | 5,123 | 52,767 | |||
Franklin Street Properties Corp. | 6,941 | 78,503 | |||
GEO Group, Inc. (The) | 5,761 | 196,796 | |||
Getty Realty Corp. | 2,309 | 37,775 | |||
Gladstone Commercial Corp. | 1,672 | 27,688 | |||
Government Properties Income Trust | 5,430 | 100,726 | |||
Gramercy Property Trust, Inc. | 4,421 | 103,319 | |||
Great Ajax Corp. | 338 | 4,793 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 2,851 | 57,163 | |||
Hatteras Financial Corp. | 7,470 | 121,761 | |||
Healthcare Realty Trust, Inc. | 7,748 | 180,218 | |||
Hersha Hospitality Trust | 3,789 | 97,144 | |||
Highwoods Properties, Inc. | 7,258 | 289,957 |
44 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Hudson Pacific Properties, Inc. | 5,745 | 162,986 | |||
Independence Realty Trust, Inc. | 1,890 | 14,232 | |||
InfraREIT, Inc. | 1,690 | 47,928 | |||
Inland Real Estate Corp. | 7,356 | 69,293 | |||
Invesco Mortgage Capital, Inc. | 9,503 | 136,083 | |||
Investors Real Estate Trust | 9,894 | 70,643 | |||
iStar Financial, Inc.* | 6,600 | 87,912 | |||
Kite Realty Group Trust | 6,450 | 157,831 | |||
LaSalle Hotel Properties | 8,718 | 309,140 | |||
Lexington Realty Trust | 15,856 | 134,459 | |||
LTC Properties, Inc. | 2,743 | 114,109 | |||
Mack-Cali Realty Corp. | 6,878 | 126,761 | |||
Medical Properties Trust, Inc. | 16,123 | 211,372 | |||
Monmouth Real Estate Investment Corp. | 5,012 | 48,717 | |||
Monogram Residential Trust, Inc. | 12,851 | 115,916 | |||
National Health Investors, Inc. | 2,899 | 180,608 | |||
National Storage Affiliates Trust | 1,767 | 21,911 | |||
New Residential Investment Corp. | 15,353 | 233,980 | |||
New Senior Investment Group, Inc. | 5,126 | 68,535 | |||
New York Mortgage Trust, Inc. | 9,264 | 69,295 | |||
New York REIT, Inc. | 12,538 | 124,753 | |||
NexPoint Residential Trust, Inc. | 1,463 | 19,648 | |||
One Liberty Properties, Inc. | 1,012 | 21,535 | |||
Orchid Island Capital, Inc. | 1,416 | 15,873 | |||
Parkway Properties Inc/Md | 6,906 | 120,441 | |||
Pebblebrook Hotel Trust | 5,545 | 237,770 | |||
Pennsylvania Real Estate Investment Trust | 5,334 | 113,828 | |||
PennyMac Mortgage Investment Trust | 5,756 | 100,327 | |||
Physicians Realty Trust | 5,426 | 83,343 | |||
Potlatch Corp. | 3,139 | 110,869 | |||
Preferred Apartment Communities, Inc., Class A | 1,715 | 17,064 | |||
PS Business Parks, Inc. | 1,504 | 108,514 | |||
QTS Realty Trust, Inc., Class A | 1,852 | 67,505 | |||
RAIT Financial Trust | 7,053 | 43,094 | |||
Ramco-Gershenson Properties Trust | 6,108 | 99,683 | |||
Redwood Trust, Inc. | 6,503 | 102,097 | |||
Resource Capital Corp. | 11,065 | 42,822 | |||
Retail Opportunity Investments Corp. | 7,252 | 113,276 | |||
Rexford Industrial Realty, Inc. | 4,272 | 62,286 | |||
RLJ Lodging Trust | 10,201 | 303,786 | |||
Rouse Properties, Inc. | 2,824 | 46,172 | |||
Ryman Hospitality Properties, Inc. | 3,356 | 178,237 | |||
Sabra Health Care REIT, Inc. | 4,571 | 117,657 | |||
Saul Centers, Inc. | 873 | 42,943 | |||
Select Income REIT | 4,836 | 99,815 | |||
Silver Bay Realty Trust Corp. | 2,806 | 45,710 | |||
Sovran Self Storage, Inc. | 2,745 | 238,568 | |||
STAG Industrial, Inc. | 4,997 | 99,940 | |||
Starwood Waypoint Residential Trust | 2,946 | 69,997 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 45
SHARES | VALUE ($) | ||||
STORE Capital Corp. | 2,770 | 55,677 | |||
Strategic Hotels & Resorts, Inc.* | 21,247 | 257,514 | |||
Summit Hotel Properties, Inc. | 6,735 | 87,622 | |||
Sun Communities, Inc. | 3,596 | 222,341 | |||
Sunstone Hotel Investors, Inc. | 16,105 | 241,736 | |||
Terreno Realty Corp. | 3,319 | 65,384 | |||
Trade Street Residential, Inc. | 1,663 | 11,076 | |||
UMH Properties, Inc. | 1,825 | 17,885 | |||
United Development Funding IV | 2,365 | 41,340 | |||
Universal Health Realty Income Trust | 985 | 45,763 | |||
Urban Edge Properties | 6,851 | 142,432 | |||
Urstadt Biddle Properties, Inc., Class A | 2,125 | 39,695 | |||
Washington Real Estate Investment Trust | 5,259 | 136,471 | |||
Western Asset Mortgage Capital Corp. | 3,699 | 54,634 | |||
Whitestone REIT | 1,829 | 23,814 | |||
Xenia Hotels & Resorts, Inc. | 8,618 | 187,355 | |||
12,489,365 | |||||
Real Estate Management & Development - 0.4% | |||||
Alexander & Baldwin, Inc. | 3,770 | 148,538 | |||
Altisource Asset Management Corp.* | 70 | 10,100 | |||
Altisource Portfolio Solutions S.A.* | 1,173 | 36,117 | |||
AV Homes, Inc.* | 824 | 11,841 | |||
Consolidated-Tomoka Land Co. | 377 | 21,730 | |||
Forestar Group, Inc.* | 2,595 | 34,150 | |||
FRP Holdings, Inc.* | 453 | 14,691 | |||
Kennedy-Wilson Holdings, Inc. | 7,230 | 177,786 | |||
Marcus & Millichap, Inc.* | 1,049 | 48,401 | |||
RE/MAX Holdings, Inc., Class A | 1,023 | 36,327 | |||
St Joe Co. (The)* | 5,188 | 80,569 | |||
Tejon Ranch Co.* | 1,147 | 29,489 | |||
649,739 | |||||
Road & Rail - 0.6% | |||||
ArcBest Corp. | 2,213 | 70,373 | |||
Celadon Group, Inc. | 1,805 | 37,327 | |||
Con-way, Inc. | 4,448 | 170,670 | |||
Covenant Transportation Group, Inc., Class A* | 905 | 22,679 | |||
Heartland Express, Inc. | 3,887 | 78,634 | |||
Knight Transportation, Inc. | 4,827 | 129,074 | |||
Marten Transport Ltd. | 2,020 | 43,834 | |||
PAM Transportation Services, Inc.* | 289 | 16,777 | |||
Quality Distribution, Inc.* | 2,068 | 31,971 | |||
Roadrunner Transportation Systems, Inc.* | 2,171 | 56,012 | |||
Saia, Inc.* | 1,936 | 76,066 | |||
Swift Transportation Co.* | 6,796 | 154,065 | |||
Universal Truckload Services, Inc. | 475 | 10,431 | |||
USA Truck, Inc.* | 561 | 11,910 |
46 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Werner Enterprises, Inc. | 3,424 | 89,880 | |||
YRC Worldwide, Inc.* | 2,802 | 36,370 | |||
1,036,073 | |||||
Semiconductors & Semiconductor Equipment - 2.9% | |||||
Advanced Energy Industries, Inc.* | 3,385 | 93,054 | |||
Advanced Micro Devices, Inc.* | 49,090 | 117,816 | |||
Alpha & Omega Semiconductor Ltd.* | 1,207 | 10,549 | |||
Ambarella, Inc.* | 2,418 | 248,304 | |||
Amkor Technology, Inc.* | 7,647 | 45,729 | |||
Applied Micro Circuits Corp.* | 6,307 | 42,572 | |||
Axcelis Technologies, Inc.* | 9,665 | 28,608 | |||
Brooks Automation, Inc. | 5,690 | 65,150 | |||
Cabot Microelectronics Corp.* | 1,908 | 89,886 | |||
Cascade Microtech, Inc.* | 1,145 | 17,433 | |||
Cavium, Inc.* | 4,268 | 293,681 | |||
CEVA, Inc.* | 1,590 | 30,894 | |||
Cirrus Logic, Inc.* | 4,894 | 166,543 | |||
Cohu, Inc. | 2,037 | 26,950 | |||
Diodes, Inc.* | 2,893 | 69,750 | |||
DSP Group, Inc.* | 1,705 | 17,613 | |||
Entegris, Inc.* | 10,823 | 157,691 | |||
Exar Corp.* | 3,348 | 32,743 | |||
Fairchild Semiconductor International, Inc.* | 8,986 | 156,177 | |||
FormFactor, Inc.* | 4,374 | 40,241 | |||
Inphi Corp.* | 2,806 | 64,145 | |||
Integrated Device Technology, Inc.* | 11,449 | 248,443 | |||
Integrated Silicon Solution, Inc. | 2,404 | 53,225 | |||
Intersil Corp., Class A | 10,174 | 127,277 | |||
IXYS Corp. | 2,094 | 32,038 | |||
Kopin Corp.* | 6,180 | 21,321 | |||
Lattice Semiconductor Corp.* | 9,014 | 53,092 | |||
M/A-COM Technology Solutions Holdings, Inc.* | 1,810 | 69,232 | |||
Mattson Technology, Inc.* | 5,778 | 19,356 | |||
MaxLinear, Inc., Class A* | 3,543 | 42,870 | |||
Micrel, Inc. | 3,924 | 54,544 | |||
Microsemi Corp.* | 7,345 | 256,708 | |||
MKS Instruments, Inc. | 4,119 | 156,275 | |||
Monolithic Power Systems, Inc. | 3,051 | 154,716 | |||
Nanometrics, Inc.* | 2,115 | 34,094 | |||
NeoPhotonics Corp.* | 2,155 | 19,675 | |||
NVE Corp. | 408 | 31,987 | |||
OmniVision Technologies, Inc.* | 4,484 | 117,458 | |||
PDF Solutions, Inc.* | 2,083 | 33,328 | |||
Pericom Semiconductor Corp. | 1,727 | 22,710 | |||
Photronics, Inc.* | 5,437 | 51,706 | |||
PMC-Sierra, Inc.* | 13,463 | 115,243 | |||
Power Integrations, Inc. | 2,271 | 102,604 | |||
Rambus, Inc.* | 8,912 | 129,135 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 47
SHARES | VALUE ($) | ||||
Rudolph Technologies, Inc.* | 2,894 | 34,757 | |||
Semtech Corp.* | 5,124 | 101,711 | |||
Sigma Designs, Inc.* | 2,732 | 32,593 | |||
Silicon Laboratories, Inc.* | 3,296 | 178,017 | |||
Synaptics, Inc.* | 2,842 | 246,501 | |||
Tessera Technologies, Inc. | 4,061 | 154,237 | |||
Ultra Clean Holdings, Inc.* | 2,008 | 12,510 | |||
Ultratech, Inc.* | 2,360 | 43,802 | |||
Veeco Instruments, Inc.* | 3,117 | 89,583 | |||
Xcerra Corp.* | 4,282 | 32,415 | |||
4,688,692 | |||||
Software - 4.1% | |||||
A10 Networks, Inc.* | 2,617 | 16,853 | |||
ACI Worldwide, Inc.* | 9,010 | 221,376 | |||
Advent Software, Inc. | 4,066 | 179,758 | |||
American Software, Inc., Class A | 1,795 | 17,053 | |||
Aspen Technology, Inc.* | 6,589 | 300,129 | |||
AVG Technologies NV* | 3,122 | 84,950 | |||
Barracuda Networks, Inc.* | 711 | 28,170 | |||
Blackbaud, Inc. | 3,617 | 205,988 | |||
Bottomline Technologies de, Inc.* | 3,347 | 93,080 | |||
BroadSoft, Inc.* | 2,249 | 77,748 | |||
Callidus Software, Inc.* | 4,118 | 64,158 | |||
Code Rebel Corp.* | 83 | 2,687 | |||
Commvault Systems, Inc.* | 3,491 | 148,053 | |||
Comverse, Inc.* | 1,972 | 39,598 | |||
Cyan, Inc.* | 2,216 | 11,612 | |||
Digimarc Corp.* | 626 | 28,258 | |||
Digital Turbine, Inc.* | 3,758 | 11,349 | |||
Ebix, Inc. | 2,069 | 67,470 | |||
Ellie Mae, Inc.* | 2,269 | 158,354 | |||
EnerNOC, Inc.* | 2,044 | 19,827 | |||
Epiq Systems, Inc. | 2,837 | 47,889 | |||
ePlus, Inc.* | 467 | 35,796 | |||
Fair Isaac Corp. | 2,396 | 217,509 | |||
Fleetmatics Group plc* | 2,950 | 138,148 | |||
Gigamon, Inc.* | 2,167 | 71,489 | |||
Globant S.A.* | 1,179 | 35,877 | |||
Glu Mobile, Inc.* | 9,287 | 57,672 | |||
Guidance Software, Inc.* | 1,234 | 10,452 | |||
Guidewire Software, Inc.* | 5,415 | 286,616 | |||
HubSpot, Inc.* | 1,452 | 71,990 | |||
Imperva, Inc.* | 2,048 | 138,650 | |||
Infoblox, Inc.* | 4,373 | 114,616 | |||
Interactive Intelligence Group, Inc.* | 1,335 | 59,367 | |||
Jive Software, Inc.* | 3,414 | 17,923 | |||
Manhattan Associates, Inc.* | 5,694 | 339,647 | |||
Mentor Graphics Corp. | 7,718 | 203,987 |
48 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
MicroStrategy, Inc., Class A* | 717 | 121,947 | |||
MobileIron, Inc.* | 3,001 | 17,736 | |||
Model N, Inc.* | 1,727 | 20,569 | |||
Monotype Imaging Holdings, Inc. | 3,293 | 79,394 | |||
NetScout Systems, Inc.* | 2,882 | 105,683 | |||
Park City Group, Inc.* | 855 | 10,593 | |||
Paycom Software, Inc.* | 2,435 | 83,155 | |||
Paylocity Holding Corp.* | 1,195 | 42,841 | |||
Pegasystems, Inc. | 2,759 | 63,154 | |||
Progress Software Corp.* | 3,905 | 107,387 | |||
Proofpoint, Inc.* | 3,042 | 193,684 | |||
PROS Holdings, Inc.* | 1,967 | 41,523 | |||
QAD, Inc., Class A | 789 | 20,853 | |||
Qlik Technologies, Inc.* | 7,049 | 246,433 | |||
Qualys, Inc.* | 1,802 | 72,711 | |||
Rally Software Development Corp.* | 2,228 | 43,335 | |||
RealPage, Inc.* | 4,073 | 77,672 | |||
Rovi Corp.* | 6,823 | 108,827 | |||
Rubicon Project, Inc. (The)* | 1,981 | 29,636 | |||
Sapiens International Corp. NV | 2,130 | 22,109 | |||
Seachange International, Inc.* | 2,824 | 19,796 | |||
Silver Spring Networks, Inc.* | 3,137 | 38,930 | |||
Synchronoss Technologies, Inc.* | 2,992 | 136,824 | |||
Take-Two Interactive Software, Inc.* | 6,530 | 180,032 | |||
Tangoe, Inc.* | 3,466 | 43,602 | |||
TeleCommunication Systems, Inc., Class A* | 4,102 | 13,578 | |||
Telenav, Inc.* | 2,354 | 18,950 | |||
TiVo, Inc.* | 7,493 | 75,979 | |||
TubeMogul, Inc.* | 1,078 | 15,405 | |||
Tyler Technologies, Inc.* | 2,599 | 336,259 | |||
Varonis Systems, Inc.* | 522 | 11,531 | |||
VASCO Data Security International, Inc.* | 2,265 | 68,380 | |||
Verint Systems, Inc.* | 4,735 | 287,628 | |||
VirnetX Holding Corp.* | 3,778 | 15,868 | |||
Workiva, Inc.* | 633 | 8,754 | |||
Yodlee, Inc.* | 1,403 | 20,259 | |||
Zendesk, Inc.* | 4,147 | 92,105 | |||
Zix Corp.* | 5,001 | 25,855 | |||
6,543,076 | |||||
Specialty Retail - 3.0% | |||||
Abercrombie & Fitch Co., Class A | 5,368 | 115,466 | |||
America’s Car-Mart, Inc.* | 726 | 35,806 | |||
American Eagle Outfitters, Inc. | 15,081 | 259,695 | |||
ANN, Inc.* | 3,549 | 171,381 | |||
Asbury Automotive Group, Inc.* | 2,103 | 190,574 | |||
Ascena Retail Group, Inc.* | 10,832 | 180,407 | |||
Barnes & Noble, Inc.* | 3,916 | 101,659 | |||
bebe stores, Inc. | 3,035 | 6,070 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 49
SHARES | VALUE ($) | ||||
Big 5 Sporting Goods Corp. | 1,497 | 21,272 | |||
Boot Barn Holdings, Inc.* | 922 | 29,504 | |||
Build-A-Bear Workshop, Inc.* | 1,105 | 17,669 | |||
Caleres, Inc. | 3,380 | 107,416 | |||
Chico’s FAS, Inc. | 11,063 | 183,978 | |||
Children’s Place, Inc. (The) | 1,591 | 104,067 | |||
Christopher & Banks Corp.* | 3,132 | 12,559 | |||
Citi Trends, Inc.* | 1,298 | 31,412 | |||
Conn’s, Inc.* | 2,111 | 83,807 | |||
Container Store Group, Inc. (The)* | 1,542 | 26,014 | |||
Destination XL Group, Inc.* | 3,868 | 19,379 | |||
Express, Inc.* | 6,521 | 118,095 | |||
Five Below, Inc.* | 4,204 | 166,184 | |||
Francesca’s Holdings Corp.* | 3,266 | 43,993 | |||
Genesco, Inc.* | 1,856 | 122,552 | |||
Group 1 Automotive, Inc. | 1,801 | 163,585 | |||
Guess?, Inc. | 4,778 | 91,594 | |||
Haverty Furniture Cos., Inc. | 1,689 | 36,516 | |||
Hibbett Sports, Inc.* | 1,921 | 89,480 | |||
Kirkland’s, Inc. | 1,302 | 36,287 | |||
Lithia Motors, Inc., Class A | 1,757 | 198,822 | |||
Lumber Liquidators Holdings, Inc.* | 2,090 | 43,284 | |||
MarineMax, Inc.* | 2,047 | 48,125 | |||
Mattress Firm Holding Corp.* | 1,582 | 96,423 | |||
Men’s Wearhouse, Inc. (The) | 3,729 | 238,917 | |||
Monro Muffler Brake, Inc. | 2,456 | 152,665 | |||
Outerwall, Inc. | 1,424 | 108,381 | |||
Party City Holdco, Inc.* | 1,941 | 39,344 | |||
Pep Boys-Manny Moe & Jack (The)* | 4,589 | 56,307 | |||
Pier 1 Imports, Inc. | 6,957 | 87,867 | |||
Rent-A-Center, Inc. | 4,092 | 116,008 | |||
Restoration Hardware Holdings, Inc.* | 2,577 | 251,593 | |||
Select Comfort Corp.* | 4,036 | 121,363 | |||
Shoe Carnival, Inc. | 1,156 | 33,362 | |||
Sonic Automotive, Inc., Class A | 2,540 | 60,528 | |||
Sportsman’s Warehouse Holdings, Inc.* | 872 | 9,915 | |||
Stage Stores, Inc. | 2,464 | 43,194 | |||
Stein Mart, Inc. | 2,386 | 24,981 | |||
Systemax, Inc.* | 1,000 | 8,640 | |||
The Buckle, Inc. | 2,185 | 100,007 | |||
The Cato Corp., Class A | 2,030 | 78,683 | |||
The Finish Line, Inc., Class A | 3,554 | 98,872 | |||
Tile Shop Holdings, Inc.* | 2,513 | 35,659 | |||
Tilly’s, Inc., Class A* | 827 | 7,997 | |||
Vitamin Shoppe, Inc.* | 2,295 | 85,535 | |||
West Marine, Inc.* | 1,507 | 14,527 | |||
Winmark Corp. | 223 | 21,966 | |||
Zumiez, Inc.* | 1,698 | 45,218 | |||
4,794,604 | |||||
50 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Technology Hardware, Storage & Peripherals - 0.7% | |||||
Avid Technology, Inc.* | 2,494 | 33,270 | |||
Cray, Inc.* | 3,150 | 92,957 | |||
Diebold, Inc. | 5,004 | 175,140 | |||
Dot Hill Systems Corp.* | 5,376 | 32,901 | |||
Eastman Kodak Co.* | 1,582 | 26,578 | |||
Electronics For Imaging, Inc.* | 3,618 | 157,419 | |||
Imation Corp.* | 2,711 | 11,007 | |||
Immersion Corp.* | 2,323 | 29,432 | |||
Nimble Storage, Inc.* | 3,910 | 109,715 | |||
QLogic Corp.* | 6,734 | 95,555 | |||
Quantum Corp.* | 19,651 | 33,014 | |||
Silicon Graphics International Corp.* | 2,677 | 17,320 | |||
Stratasys Ltd.* | 3,930 | 137,275 | |||
Super Micro Computer, Inc.* | 2,845 | 84,155 | |||
Violin Memory, Inc.* | 7,183 | 17,598 | |||
1,053,336 | |||||
Textiles, Apparel & Luxury Goods - 1.0% | |||||
Cherokee, Inc. | 661 | 18,627 | |||
Columbia Sportswear Co. | 2,214 | 133,858 | |||
Crocs, Inc.* | 5,941 | 87,392 | |||
Culp, Inc. | 785 | 24,335 | |||
Deckers Outdoor Corp.* | 2,668 | 192,016 | |||
G-III Apparel Group Ltd.* | 3,078 | 216,537 | |||
Iconix Brand Group, Inc.* | 3,684 | 91,989 | |||
Movado Group, Inc. | 1,238 | 33,624 | |||
Oxford Industries, Inc. | 1,130 | 98,819 | |||
Perry Ellis International, Inc.* | 933 | 22,177 | |||
Quiksilver, Inc.* | 11,336 | 7,514 | |||
Sequential Brands Group, Inc.* | 1,513 | 23,134 | |||
Steven Madden Ltd.* | 4,343 | 185,794 | |||
Superior Uniform Group, Inc. | 573 | 9,477 | |||
Tumi Holdings, Inc.* | 4,539 | 93,140 | |||
Unifi, Inc.* | 1,199 | 40,167 | |||
Vera Bradley, Inc.* | 1,814 | 20,444 | |||
Vince Holding Corp.* | 1,135 | 13,597 | |||
Wolverine World Wide, Inc. | 7,966 | 226,872 | |||
1,539,513 | |||||
Thrifts & Mortgage Finance - 1.9% | |||||
Anchor BanCorp Wisconsin, Inc.* | 570 | 21,649 | |||
Astoria Financial Corp. | 6,944 | 95,758 | |||
Bank Mutual Corp. | 3,599 | 27,604 | |||
BankFinancial Corp. | 1,984 | 23,371 | |||
BBX Capital Corp., Class A* | 622 | 10,101 | |||
Bear State Financial, Inc.* | 1,029 | 9,611 | |||
Beneficial Bancorp, Inc.* | 6,383 | 79,724 | |||
BofI Holding, Inc.* | 1,185 | 125,266 |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 51
SHARES | VALUE ($) | ||||
Brookline Bancorp, Inc. | 5,406 | 61,034 | |||
Capitol Federal Financial, Inc. | 10,856 | 130,706 | |||
Charter Financial Corp. | 1,280 | 15,885 | |||
Clifton Bancorp, Inc. | 2,373 | 33,198 | |||
Dime Community Bancshares, Inc. | 2,402 | 40,690 | |||
Essent Group Ltd.* | 4,289 | 117,304 | |||
EverBank Financial Corp. | 7,468 | 146,746 | |||
Federal Agricultural Mortgage Corp., Class C | 895 | 26,009 | |||
First Defiance Financial Corp. | 799 | 29,986 | |||
Flagstar Bancorp, Inc.* | 1,712 | 31,638 | |||
Fox Chase Bancorp, Inc. | 1,196 | 20,236 | |||
Heritage Financial Group, Inc. | 714 | 21,548 | |||
Hingham Institution for Savings | 102 | 11,741 | |||
HomeStreet, Inc.* | 1,967 | 44,887 | |||
Impac Mortgage Holdings, Inc.* | 665 | 12,728 | |||
Kearny Financial Corp.* | 7,218 | 80,553 | |||
Ladder Capital Corp. | 3,069 | 53,247 | |||
LendingTree, Inc.* | 447 | 35,139 | |||
Meridian Bancorp, Inc.* | 4,240 | 56,858 | |||
Meta Financial Group, Inc. | 474 | 20,344 | |||
MGIC Investment Corp.* | 26,211 | 298,281 | |||
Nationstar Mortgage Holdings, Inc.* | 3,032 | 50,938 | |||
NMI Holdings, Inc., Class A* | 4,529 | 36,323 | |||
Northfield Bancorp, Inc. | 3,620 | 54,481 | |||
Northwest Bancshares, Inc. | 7,290 | 93,458 | |||
OceanFirst Financial Corp. | 1,187 | 22,138 | |||
Ocwen Financial Corp.* | 8,291 | 84,568 | |||
Oritani Financial Corp. | 3,396 | 54,506 | |||
PennyMac Financial Services, Inc., Class A* | 1,102 | 19,968 | |||
Provident Financial Services, Inc. | 5,242 | 99,546 | |||
Radian Group, Inc. | 14,773 | 277,141 | |||
Stonegate Mortgage Corp.* | 1,281 | 12,900 | |||
Territorial Bancorp, Inc. | 940 | 22,804 | |||
TrustCo Bank Corp. | 7,825 | 55,010 | |||
United Community Financial Corp. | 3,416 | 18,276 | |||
United Financial Bancorp, Inc. | 3,817 | 51,339 | |||
Walker & Dunlop, Inc.* | 2,042 | 54,603 | |||
Washington Federal, Inc. | 7,319 | 170,899 | |||
Waterstone Financial, Inc. | 2,330 | 30,756 | |||
WSFS Financial Corp. | 2,397 | 65,558 | |||
2,957,054 | |||||
Tobacco - 0.2% | |||||
Alliance One International, Inc.* | 779 | 18,633 | |||
Universal Corp. | 1,744 | 99,966 | |||
Vector Group Ltd. | 6,305 | 147,915 | |||
266,514 | |||||
52 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Trading Companies & Distributors - 0.6% | |||||
Aircastle Ltd. | 4,816 | 109,179 | |||
Applied Industrial Technologies, Inc. | 3,099 | 122,875 | |||
Beacon Roofing Supply, Inc.* | 3,830 | 127,233 | |||
CAI International, Inc.* | 1,481 | 30,494 | |||
DXP Enterprises, Inc.* | 972 | 45,198 | |||
H&E Equipment Services, Inc. | 2,409 | 48,108 | |||
Kaman Corp. | 2,101 | 88,116 | |||
Lawson Products, Inc.* | 447 | 10,496 | |||
MRC Global, Inc.* | 7,949 | 122,732 | |||
Neff Corp., Class A* | 900 | 9,081 | |||
Rush Enterprises, Inc., Class A* | 2,992 | 78,420 | |||
Stock Building Supply Holdings, Inc.* | 1,306 | 25,532 | |||
TAL International Group, Inc.* | 2,566 | 81,086 | |||
Textainer Group Holdings Ltd. | 1,837 | 47,780 | |||
Titan Machinery, Inc.* | 1,521 | 22,404 | |||
Veritiv Corp.* | 629 | 22,933 | |||
991,667 | |||||
Transportation Infrastructure – 0.0% | |||||
Wesco Aircraft Holdings, Inc.* | 4,699 | 71,190 | |||
Water Utilities - 0.2% | |||||
American States Water Co. | 2,916 | 109,029 | |||
Artesian Resources Corp., Class A | 490 | 10,334 | |||
California Water Service Group | 3,695 | 84,431 | |||
Connecticut Water Service, Inc. | 883 | 30,163 | |||
Consolidated Water Co., Ltd. | 1,137 | 14,326 | |||
Middlesex Water Co. | 1,246 | 28,110 | |||
SJW Corp. | 1,344 | 41,248 | |||
York Water Co. (The) | 992 | 20,693 | |||
338,334 | |||||
Wireless Telecommunication Services - 0.1% | |||||
Boingo Wireless, Inc.* | 2,827 | 23,351 | |||
Contra Leap Wireless, Inc.*(b) | 4,674 | 11,779 | |||
NTELOS Holdings Corp. | 1,286 | 5,941 | |||
RingCentral, Inc., Class A* | 4,135 | 76,456 | |||
Shenandoah Telecommunications Co. | 1,866 | 63,873 | |||
Spok Holdings, Inc. | 1,934 | 32,569 | |||
213,969 | |||||
Total Equity Securities (Cost $114,330,226) | 147,236,770 | ||||
EXCHANGE-TRADED PRODUCTS - 1.2% | |||||
iShares Russell 2000 ETF | 15,600 | 1,947,816 | |||
Total Exchange-Traded Products (Cost $1,989,156) | 1,947,816 | ||||
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 53
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
U.S. TREASURY OBLIGATIONS - 0.6% | |||||
United States Treasury Bills, 0.11%, 7/23/15 ^ | 1,000,000 | 999,933 | |||
Total U.S. Treasury Obligations (Cost $999,933) | 999,933 | ||||
TIME DEPOSIT - 0.2% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 378,626 | 378,626 | |||
Total Time Deposit (Cost $378,626) | 378,626 | ||||
TOTAL INVESTMENTS (Cost $117,697,941) - 94.2% | 150,563,145 | ||||
Other assets and liabilities, net - 5.8% | 9,202,353 | ||||
NET ASSETS - 100.0% | $159,765,498 | ||||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini Russell 2000 Index^ | 84 | 9/15 | $10,503,360 | ($188,590 | ) |
^ | Futures collateralized by $1,000,000 par value of U.S. Treasury Bills. |
* | Non-income producing security. |
(b) | This security was valued under the direction of the Board of Directors. See Note A. |
Abbreviations: | |
ETF: | Exchange Traded Fund |
plc: | Public Limited Company |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
54 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2015
ASSETS | |||
Investments in securities, at value (Cost $117,697,941) - see accompanying schedule | $150,563,145 | ||
Receivable for securities sold | 24,883,599 | ||
Receivable for shares sold | 124,091 | ||
Dividends and interest receivable | 180,740 | ||
Receivable for futures variation margin | 41,160 | ||
Total assets | 175,792,735 | ||
LIABILITIES | |||
Payable for securities purchased | 15,700,315 | ||
Payable for shares redeemed | 171,919 | ||
Payable to Calvert Investment Management, Inc. | 46,714 | ||
Payable to Calvert Investment Distributors, Inc. | 3,237 | ||
Payable to Calvert Investment Administrative Services, Inc. | 13,347 | ||
Payable to Calvert Investment Services, Inc. | 1,028 | ||
Accrued expenses and other liabilities | 90,677 | ||
Total liabilities | 16,027,237 | ||
NET ASSETS | $159,765,498 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to the following shares of common stock outstanding; | |||
$0.10 par value, 20,000,000 shares authorized: | |||
Class I: 1,773,527 shares outstanding | $93,868,599 | ||
Class F: 245,044 shares outstanding | 15,487,640 | ||
Undistributed net investment income | 685,877 | ||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 17,046,768 | ||
Net unrealized appreciation (depreciation) | 32,676,614 | ||
NET ASSETS | $159,765,498 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $140,281,265) | $79.10 | ||
Class F (based on net assets of $19,484,233) | $79.51 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 55
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income (net of foreign tax withheld of $526) | $1,154,458 | ||
Interest income | 2,380 | ||
Total investment income | 1,156,838 | ||
Expenses: | |||
Investment advisory fee | 289,499 | ||
Administrative fees | 82,714 | ||
Transfer agency fees and expenses | 10,796 | ||
Distribution Plan expenses: | |||
Class F | 18,643 | ||
Directors’ fees and expenses | 13,536 | ||
Accounting fees | 16,367 | ||
Custodian fees | 83,028 | ||
Professional fees | 17,166 | ||
Reports to shareholders | 32,465 | ||
Licensing fees | 29,753 | ||
Miscellaneous | 27,008 | ||
Total expenses | 620,975 | ||
NET INVESTMENT INCOME | 535,863 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 12,891,390 | ||
Foreign currency transactions | (4) | ||
Futures | 269,140 | ||
13,160,526 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | (6,320,784) | ||
Futures | (390,580) | ||
(6,711,364) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 6,449,162 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $6,985,025 | ||
See notes to financial statements. |
56 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $535,863 | $993,442 | |||||
Net realized gain (loss) | 13,160,526 | 18,576,316 | |||||
Change in unrealized appreciation (depreciation) | (6,711,364) | (12,247,733) | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 6,985,025 | 7,322,025 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (841,383) | |||||
Class F shares | — | (56,269) | |||||
Net realized gain: | |||||||
Class I shares | — | (16,740,646) | |||||
Class F shares | — | (1,895,122) | |||||
Total Distributions | — | (19,533,420 | ) | ||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class I shares | 5,254,838 | 12,312,897 | |||||
Class F shares | 4,047,235 | 4,903,319 | |||||
Shares issued from merger (See Note E): | |||||||
Class I shares | — | 25,315,650 | |||||
Reinvestment of distributions: | |||||||
Class I shares | — | 17,582,029 | |||||
Class F shares | — | 1,951,391 | |||||
Shares redeemed: | |||||||
Class I shares | (21,693,957) | (34,849,885) | |||||
Class F shares | (2,512,418) | (3,436,958) | |||||
Total capital share transactions | (14,904,302) | 23,778,443 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (7,919,277) | 11,567,048 | |||||
NET ASSETS | |||||||
Beginning of period | 167,684,775 | 156,117,727 | |||||
End of period (including undistributed net investment income of $685,877 and $150,014, respectively) | $159,765,498 | $167,684,775 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold: | |||||||
Class I shares | 67,870 | 150,830 | |||||
Class F shares | 52,452 | 59,942 | |||||
Shares issued from merger (See Note E): | |||||||
Class I shares | — | 316,884 | |||||
Reinvestment of distributions: | |||||||
Class I shares | — | 230,252 | |||||
Class F shares | — | 25,396 |
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STATEMENTS OF CHANGES IN NET ASSETS
CAPITAL SHARE ACTIVITY - CONT’D | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |
Shares redeemed: | |||
Class I shares | (279,381) | (426,697) | |
Class F shares | (32,183) | (41,839) | |
Total capital share activity | (191,242) | 314,768 | |
See notes to financial statements. |
58 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP Russell 2000 Small Cap Index Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio offers Class F and Class I shares. Class F shares are subject to Distribution Plan expenses, while Class I shares are not. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges, and (c) class-specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. At June 30, 2015, $722 transferred out of Level 3 into Level 2. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or the last available price and are categorized as Level 2 in the hierarchy. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. For
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restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.
Exchange traded products and closed-end funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, securities valued at $13,187, or 0.0% of net assets were fair valued in good faith under the direction of the Board.
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The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities* | $147,223,583 | $13,187 | $** | $147,236,770 | ||||||||
Exchange-Traded Products | 1,947,816 | — | — | 1,947,816 | ||||||||
U.S. Treasury Obligations | — | 999,933 | — | 999,933 | ||||||||
Time Deposit | — | 378,626 | — | 378,626 | ||||||||
TOTAL | $149,171,399 | $1,391,746 | $** | $150,563,145 | ||||||||
Other financial instruments*** | ($188,590 | ) | $— | $— | ($188,590 | ) |
* For further breakdown of equity securities by industry type, please refer to the Schedule of Investments.
** Level 3 securities represent 0.0% of net assets.
*** Other financial instruments are derivative instruments not reflected in the Total Investments in the Schedule of Investmentss, such as futures, which are valued at the unrealized appreciation/(depreciation) on the instrument.
Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge, or to provide market exposure to the Portfolio’s uncommitted cash balances. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives and may use futures contracts to hedge against changes in the value of securities. The Portfolio may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Portfolio’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio. During the period, futures contracts were used to hedge the lack of equity market exposure inherent in a cash position. The Portfolio’s futures contracts at period end are presented in the Schedule of Investments.
During the six months ended June 30, 2015, the Fund invested in E-Mini Russell 2000 Index futures. The volume of outstanding contracts has varied throughout the period with an average of number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures contracts long | 52 |
*Averages are based on activity levels during the period ended June 30, 2015. |
Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of
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each class. Expenses arising in connection with a specific class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets.
Foreign Currency Transactions: The Portfolio’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss in investments and assets and liabilities denominated in foreign currencies.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .35%, of the Portfolio’s average daily net assets.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap are .95% for Class F and .74% for Class I. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit acquired fund fees and expenses, if any.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets.
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Portfolio has adopted a Distribution Plan that permits the Portfolio to pay certain expenses associated with the distribution and servicing of its Class F shares. The expenses paid may not exceed .20% annually of average daily net assets of Class F.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $6,209 for the six months ended June 30, 2015. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $17,874,491 and $34,878,271, respectively.
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As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $43,859,949 | ||
Unrealized (depreciation) | (10,975,577) | ||
Net unrealized appreciation/(depreciation) | $32,884,372 | ||
Federal income tax cost of investments | $117,678,773 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — REORGANIZATION
On December 11, 2013, the Board of Directors of Calvert Variable Series, Inc. approved the reorganization of the Calvert VP Small Cap Growth Portfolio (“VP Small Cap”) into the Calvert VP Russell 2000 Small Cap Index (“VP Russell”). Shareholders approved the reorganization at a meeting on April 11, 2014 and the reorganization took place on April 30, 2014.
The acquisition was accomplished by a tax-free exchange of the following shares:
Merged Portfolio | Shares | Acquiring Portfolio | Shares | Value |
VP SMALL CAP | 525,988 | VP RUSSELL, CLASS I | 316,884 | $25,315,650 |
For financial reporting purposes, assets received and shares issued by VP Russell were recorded at fair value; however, the cost basis of the investments received from VP Small Cap were carried forward to align ongoing reporting of VP Russell’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The net assets and net unrealized appreciation (depreciation) immediately before the acquisition were as follows:
Merged Portfolio | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Portfolio | Net Assets |
VP SMALL CAP | $25,315,650 | 6,095,146 | VP RUSSELL | $148,811,142 |
Assuming the acquisition had been completed on January 1, 2014, VP Russell’s results of operations for the year ended December 31, 2014 would have been as follows:
Net investment income | $949,473 (a) |
Net realized and change in unrealized gain (loss) on investments | $5,364,591 (b) |
Net increase (decrease) in assets from operations | $6,314,064 |
Because VP Small Cap and VP Russell sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of VP Small Cap that have been included in VP Russell’s Statement of Operations since April 30, 2014.
(a) $993,442 as reported, plus ($43,969) from VP Small Cap pre-merger.
(b) $6,328,583 as reported, plus ($963,992) from VP Small Cap pre-merger.
NOTE F — REORGANIZATION
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
CLASS I SHARES | 2015 (z) | 2014 | 2013 | 2012 (z) | 2011 | 2010 (z) | |||||||||||||||||
Net asset value, beginning | $75.83 | $82.34 | $62.39 | $57.44 | $62.98 | $50.19 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.26 | 0.50 | 0.56 | 0.87 | 0.44 | 0.43 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.01 | 2.99 | 22.96 | 7.95 | (3.50 | ) | 12.66 | ||||||||||||||||
Total from investment operations | 3.27 | 3.49 | 23.52 | 8.82 | (3.06 | ) | 13.09 | ||||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (0.48 | ) | (0.58 | ) | (0.63 | ) | (0.33 | ) | (0.30 | ) | ||||||||||||
Net realized gain | — | (9.52 | ) | (2.99 | ) | (3.24 | ) | (2.15 | ) | — | |||||||||||||
Total distributions | — | (10.00 | ) | (3.57 | ) | (3.87 | ) | (2.48 | ) | (0.30 | ) | ||||||||||||
Total increase (decrease) in net asset value | 3.27 | (6.51 | ) | 19.95 | 4.95 | (5.54 | ) | 12.79 | |||||||||||||||
Net asset value, ending | $79.10 | $75.83 | $82.34 | $62.39 | $57.44 | $62.98 | |||||||||||||||||
Total return* | 4.31 | % | 4.15 | % | 37.89 | % | 15.50 | % | (4.89 | )% | 26.08 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 0.67 | % (a) | 0.63 | % | 0.75 | % | 1.40 | % | 0.60 | % | 0.79 | % | |||||||||||
Total expenses | 0.73 | % (a) | 0.75 | % | 0.69 | % | 0.76 | % | 0.79 | % | 0.82 | % | |||||||||||
Expenses before offsets | 0.73 | % (a) | 0.74 | % | 0.69 | % | 0.73 | % | 0.71 | % | 0.70 | % | |||||||||||
Net expenses | 0.73 | % (a) | 0.74 | % | 0.69 | % | 0.73 | % | 0.71 | % | 0.70 | % | |||||||||||
Portfolio turnover | 11 | % | 21 | % | 11 | % | 13 | % | 17 | % | 42 | % | |||||||||||
Net assets, ending (in thousands) | $140,281 | $150,532 | $141,111 | $106,827 | $90,325 | $119,223 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
CLASS F SHARES | 2015 (z) | 2014 | 2013 | 2012 (z) | 2011 | 2010 (z) | |||||||||||||||||
Net asset value, beginning | $76.31 | $82.79 | $62.68 | $57.69 | $63.21 | $50.38 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.18 | 0.31 | 0.36 | 0.77 | 0.25 | 0.32 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.02 | 3.01 | 23.11 | 7.94 | (3.44 | ) | 12.70 | ||||||||||||||||
Total from investment operations | 3.20 | 3.32 | 23.47 | 8.71 | (3.19 | ) | 13.02 | ||||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (0.28 | ) | (0.37 | ) | (0.48 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||
Net realized gain | — | (9.52 | ) | (2.99 | ) | (3.24 | ) | (2.15 | ) | — | |||||||||||||
Total distributions | — | (9.80 | ) | (3.36 | ) | (3.72 | ) | (2.33 | ) | (0.19 | ) | ||||||||||||
Total increase (decrease) in net asset value | 3.20 | (6.48 | ) | 20.11 | 4.99 | (5.52 | ) | 12.83 | |||||||||||||||
Net asset value, ending | $79.51 | $76.31 | $82.79 | $62.68 | $57.69 | $63.21 | |||||||||||||||||
Total return* | 4.19 | % | 3.93 | % | 37.62 | % | 15.23 | % | (5.07 | )% | 25.83 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 0.47 | % (a) | 0.43 | % | 0.55 | % | 1.23 | % | 0.42 | % | 0.58 | % | |||||||||||
Total expenses | 0.94 | % (a) | 0.98 | % | 0.90 | % | 0.99 | % | 1.03 | % | 1.06 | % | |||||||||||
Expenses before offsets | 0.94 | % (a) | 0.95 | % | 0.90 | % | 0.94 | % | 0.92 | % | 0.91 | % | |||||||||||
Net expenses | 0.94 | % (a) | 0.95 | % | 0.90 | % | 0.94 | % | 0.92 | % | 0.91 | % | |||||||||||
Portfolio turnover | 11 | % | 21 | % | 11 | % | 13 | % | 17 | % | 42 | % | |||||||||||
Net assets, ending (in thousands) | $19,484 | $17,153 | $15,007 | $9,323 | $6,638 | $6,085 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements are used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
66 www.calvert.com CALVERT VP RUSSELL 2000 SMALL CAP INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP EAFE International Index Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 5
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by World Asset Management, Inc., Subadvisor
Performance
For the six months ended June 30, 2015, the Portfolio (Class I shares) returned 6.05 percent, compared with the MSCI EAFE Index (the MSCI Index), which returned 5.88 percent.
Investment Process
The Calvert VP EAFE International Index Portfolio seeks to match as closely as possible, before fees and expenses, the performance of the MSCI Index. As an index fund, the Portfolio uses a passive management approach. All investment decisions are based on the goal of producing returns equivalent to the Index. The unmanaged MSCI Index is made up of a wide range of foreign securities trading in developed foreign markets, including in Europe, Australia, New Zealand, Singapore, and countries in the Far East.
Market Review
International equities had good positive performance in the first half as the low interest-rate environment and flat inflationary trends helped drive economic growth overseas and enhanced corporate profit margins worldwide. Developed markets peaked late in the period and declined as prospects for Greece, China, Spain, and Italy became more worrisome. Despite the worries, a strengthening U.S. dollar has helped make non-U.S. products more attractive relative to U.S. exports and so helped the profit margins of non-U.S. companies. In an ominous sign in the commodity sector, base metal prices fell 22 percent in the first half, hurting the emerging market equity sector. China continued to show weakening growth and investors are increasingly looking at a sharp decline in the equity markets there.
Portfolio Strategy
Foreign stock markets had good absolute returns for the first half, slightly stronger than the S&P 500. There were 21 countries in the EAFE universe as of June 30. Japan and the U.K. were the most heavily weighted, accounting, respectively, for 22.9 percent and 20.3 percent of the Index, and a total of 43.2 percent of the Index.
The strongest returns during the first half of 2015 came from Denmark, Japan, and Ireland. New Zealand, Australia, and Spain were the weakest performing countries in the EAFE universe.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||||
Class I | Class F* | |||||
Six month** | 6.05 | % | 5.90 | % | ||
One year | -4.93 | % | -5.14 | % | ||
Five year | 8.77 | % | 8.53 | % | ||
Ten year | 4.25 | % | 4.02 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 0.99%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * Class F share performance prior to October 1, 2007 is based on Class I performance, adjusted to reflect Class F expenses. ** Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
For the first half, the strongest sector returns were in health care, followed by consumer discretionary and information technology. The weakest sectors were utilities, energy, and materials.
Outlook
We expect continued economic growth in the United States as the second quarter U.S. economic data suggests an increase in jobs, consumer spending, and housing prices. The U.S. Federal Reserve continues to maintain a supportive interest rate environment although there is a strong possibility of an interest rate increase in September. Continued high levels of oil production and storage will keep pressure on oil and gasoline prices globally, and resulting lower prices will help increase consumer and investor confidence. We do, however, see a mixed environment internationally with increasing volatility in the European and Asian equity markets as Greece, Russian geopolitical concerns, and overvalued Chinese equities cause markets to re-evaluate.
The environment is likely to improve in Europe in the second half of 2015 as the region addresses Greece’s financial situation and economic growth picks up. Increasing financial, monetary, and regulatory support from the Chinese government will go a long way toward supporting Asian equity markets.
July 2015
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Consumer Discretionary | 12.9 | % | |
Consumer Staples | 10.7 | % | |
Energy | 5.1 | % | |
Exchange-Traded Products | 1.9 | % | |
Financials | 25.6 | % | |
Health Care | 11.0 | % | |
Industrials | 12.4 | % | |
Information Technology | 4.6 | % | |
Materials | 7.2 | % | |
Short-Term Investments | 0.3 | % | |
Telecommunication Services | 4.8 | % | |
Utilities | 3.5 | % | |
Total | 100 | % | |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 7
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Class I | ||||
Actual | 0.91% | $1,000.00 | $1,060.50 | $4.65 |
Hypothetical (5% return per year before expenses) | 0.91% | $1,000.00 | $1,020.28 | $4.56 |
Class F | ||||
Actual | 1.19% | $1,000.00 | $1,058.90 | $6.07 |
Hypothetical (5% return per year before expenses) | 1.19% | $1,000.00 | $1,018.89 | $5.96 |
* Expenses are equal to the Portfolio’s annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
8 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EQUITY SECURITIES - 97.3% | |||||
Australia - 6.6% | |||||
AGL Energy Ltd. | 8,863 | 106,163 | |||
Alumina Ltd. | 33,251 | 39,188 | |||
Amcor Ltd. | 15,789 | 166,866 | |||
AMP Ltd. | 38,702 | 179,469 | |||
APA Group | 14,671 | 93,121 | |||
Aristocrat Leisure Ltd. | 7,049 | 41,538 | |||
Asciano Ltd. | 12,841 | 65,778 | |||
ASX Ltd. | 2,548 | 78,313 | |||
Aurizon Holdings Ltd. | 27,791 | 109,820 | |||
AusNet Services | 22,548 | 24,229 | |||
Australia & New Zealand Banking Group Ltd. | 36,193 | 897,719 | |||
Bank of Queensland Ltd. | 4,831 | 47,521 | |||
Bendigo & Adelaide Bank Ltd. | 5,936 | 56,059 | |||
BGP Holdings plc(b)* | 77,172 | — | |||
BHP Billiton Ltd. | 42,025 | 875,658 | |||
Boral Ltd. | 10,305 | 46,437 | |||
Brambles Ltd. | 20,495 | 167,345 | |||
Caltex Australia Ltd. | 3,554 | 87,194 | |||
CIMIC Group Ltd. | 1,337 | 22,400 | |||
Coca-Cola Amatil Ltd. | 7,540 | 53,144 | |||
Cochlear Ltd. | 751 | 46,366 | |||
Commonwealth Bank of Australia | 21,215 | 1,391,187 | |||
Computershare Ltd. | 6,224 | 56,142 | |||
Crown Resorts Ltd. | 4,794 | 45,052 | |||
CSL Ltd. | 6,200 | 412,969 | |||
Dexus Property Group REIT | 12,641 | 71,083 | |||
Federation Centres REIT | 41,918 | 94,285 | |||
Flight Centre Travel Group Ltd. | 729 | 19,154 | |||
Fortescue Metals Group Ltd. | 20,497 | 30,157 | |||
Goodman Group REIT | 22,980 | 110,988 | |||
GPT Group (The) REIT | 23,088 | 76,118 | |||
Harvey Norman Holdings Ltd. | 7,311 | 25,399 | |||
Healthscope Ltd. | 14,822 | 31,055 | |||
Iluka Resources Ltd. | 5,512 | 32,609 | |||
Incitec Pivot Ltd. | 21,789 | 64,619 | |||
Insurance Australia Group Ltd. | 30,829 | 132,512 | |||
Lend Lease Group | 7,249 | 83,926 | |||
Macquarie Group Ltd. | 3,807 | 238,708 | |||
Medibank Pvt Ltd.* | 36,258 | 56,138 | |||
Mirvac Group REIT | 48,676 | 69,366 | |||
National Australia Bank Ltd. | 34,214 | 877,886 | |||
Newcrest Mining Ltd.* | 10,091 | 101,206 | |||
Orica Ltd. | 4,907 | 80,435 | |||
Origin Energy Ltd. | 14,565 | 134,296 |
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SHARES | VALUE ($) | ||||
Platinum Asset Management Ltd. | 3,064 | 17,654 | |||
Qantas Airways Ltd.* | 7,229 | 17,597 | |||
QBE Insurance Group Ltd. | 17,860 | 188,066 | |||
Ramsay Health Care Ltd. | 1,850 | 87,598 | |||
REA Group Ltd. | 693 | 20,931 | |||
Rio Tinto Ltd. | 5,701 | 236,042 | |||
Santos Ltd. | 12,951 | 78,113 | |||
Scentre Group REIT | 69,668 | 201,245 | |||
Seek Ltd. | 4,281 | 46,365 | |||
Sonic Healthcare Ltd. | 5,017 | 82,586 | |||
South32 Ltd.: | |||||
London Stock Exchange* | 27,807 | 37,606 | |||
ASE Stock Exchange* | 42,284 | 58,303 | |||
Stockland REIT | 30,923 | 97,662 | |||
Suncorp Group Ltd. | 16,835 | 174,160 | |||
Sydney Airport | 14,297 | 54,845 | |||
TABCORP Holdings Ltd. | 10,920 | 38,273 | |||
Tatts Group Ltd. | 19,034 | 54,542 | |||
Telstra Corp. Ltd. | 55,990 | 264,813 | |||
TPG Telecom Ltd. | 3,657 | 25,268 | |||
Transurban Group | 25,050 | 179,453 | |||
Treasury Wine Estates Ltd. | 8,574 | 32,957 | |||
Wesfarmers Ltd. | 14,704 | 442,073 | |||
Westfield Corp. REIT | 25,832 | 181,473 | |||
Westpac Banking Corp. | 40,827 | 1,011,086 | |||
Woodside Petroleum Ltd. | 9,702 | 255,816 | |||
Woolworths Ltd. | 16,528 | 343,242 | |||
WorleyParsons Ltd. | 2,733 | 21,915 | |||
11,689,302 | |||||
Austria - 0.2% | |||||
Andritz AG | 1,020 | 56,485 | |||
Erste Group Bank AG* | 3,678 | 104,505 | |||
OMV AG | 1,938 | 53,347 | |||
Raiffeisen Bank International AG | 1,542 | 22,444 | |||
Voestalpine AG | 1,475 | 61,413 | |||
298,194 | |||||
Belgium - 1.3% | |||||
Ageas SA/NV | 2,720 | 104,831 | |||
Anheuser-Busch InBev NV | 10,522 | 1,261,589 | |||
Colruyt SA | 925 | 41,438 | |||
Delhaize Group SA | 1,352 | 111,679 | |||
Groupe Bruxelles Lambert SA | 1,062 | 85,521 | |||
KBC Groep NV | 3,280 | 219,281 | |||
Proximus | 2,002 | 70,717 | |||
Solvay SA | 780 | 107,355 | |||
Telenet Group Holding NV* | 691 | 37,603 |
10 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
UCB SA | 1,664 | 119,504 | |||
Umicore SA | 1,253 | 59,437 | |||
2,218,955 | |||||
Denmark - 1.6% | |||||
AP Moeller - Maersk A/S: | |||||
Class A | 50 | 87,838 | |||
Class B | 93 | 168,523 | |||
Carlsberg A/S, Class B | 1,408 | 127,886 | |||
Coloplast A/S, Class B | 1,462 | 95,981 | |||
Danske Bank A/S | 9,238 | 271,818 | |||
DSV A/S | 2,330 | 75,525 | |||
ISS A/S | 1,943 | 64,143 | |||
Novo Nordisk A/S, Class B | 24,878 | 1,356,147 | |||
Novozymes A/S, Class B | 3,151 | 149,860 | |||
Pandora A/S | 1,508 | 162,108 | |||
TDC A/S | 10,690 | 78,427 | |||
Tryg A/S | 1,562 | 32,578 | |||
Vestas Wind Systems A/S | 2,950 | 147,314 | |||
William Demant Holding A/S* | 333 | 25,416 | |||
2,843,564 | |||||
Finland - 0.8% | |||||
Elisa Oyj | 1,872 | 59,360 | |||
Fortum Oyj | 5,848 | 103,970 | |||
Kone Oyj, Class B | 4,125 | 167,470 | |||
Metso Oyj | 1,484 | 40,784 | |||
Neste Oil Oyj | 1,687 | 43,013 | |||
Nokia Oyj | 48,128 | 326,908 | |||
Nokian Renkaat Oyj | 1,493 | 46,809 | |||
Orion Oyj, Class B | 1,325 | 46,375 | |||
Sampo Oyj, Class A | 5,849 | 275,625 | |||
Stora Enso Oyj, Class R | 7,246 | 74,716 | |||
UPM-Kymmene Oyj | 7,027 | 124,382 | |||
Wartsila Oyj Abp | 1,947 | 91,250 | |||
1,400,662 | |||||
France - 9.0% | |||||
Accor SA | 2,761 | 139,408 | |||
Aeroports de Paris | 390 | 44,086 | |||
Air Liquide SA | 4,514 | 571,185 | |||
Alcatel-Lucent* | 37,050 | 135,046 | |||
Alstom SA* | 2,851 | 80,927 | |||
Arkema SA | 862 | 62,137 | |||
Atos SE | 1,127 | 84,194 | |||
AXA SA | 25,565 | 645,270 | |||
BNP Paribas SA | 13,857 | 836,910 | |||
Bollore SA | 11,403 | 60,730 | |||
Bouygues SA | 2,638 | 98,670 |
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SHARES | VALUE ($) | ||||
Bureau Veritas SA | 3,491 | 80,444 | |||
Cap Gemini SA | 2,033 | 179,972 | |||
Carrefour SA | 7,212 | 231,021 | |||
Casino Guichard-Perrachon SA | 744 | 56,386 | |||
Christian Dior SE | 717 | 140,028 | |||
Cie de Saint-Gobain | 6,249 | 280,675 | |||
Cie Generale des Etablissements Michelin | 2,430 | 254,741 | |||
CNP Assurances | 2,259 | 37,743 | |||
Credit Agricole SA | 13,484 | 200,625 | |||
Danone SA | 7,581 | 490,332 | |||
Dassault Systemes | 1,683 | 122,427 | |||
Edenred | 2,711 | 67,021 | |||
Electricite de France SA | 3,183 | 71,003 | |||
Essilor International SA | 2,690 | 321,031 | |||
Eurazeo SA | 526 | 34,819 | |||
Eutelsat Communications SA | 2,227 | 71,908 | |||
Fonciere Des Regions REIT | 394 | 33,495 | |||
GDF Suez | 19,119 | 354,837 | |||
Gecina SA REIT | 454 | 55,979 | |||
Groupe Eurotunnel SE | 6,155 | 89,176 | |||
Hermes International | 347 | 129,499 | |||
Icade SA REIT | 435 | 31,080 | |||
Iliad SA | 344 | 76,295 | |||
Imerys SA | 451 | 34,507 | |||
JC Decaux SA | 1,025 | 42,791 | |||
Kering | 991 | 177,016 | |||
Klepierre REIT | 2,209 | 97,210 | |||
L’Oreal SA | 3,309 | 590,511 | |||
Lafarge SA | 2,445 | 161,549 | |||
Lagardere SCA | 1,553 | 45,313 | |||
Legrand SA | 3,464 | 194,569 | |||
LVMH Moet Hennessy Louis Vuitton SE | 3,653 | 640,288 | |||
Natixis SA | 12,309 | 88,620 | |||
Numericable-SFR SAS* | 1,282 | 67,984 | |||
Orange SA | 24,262 | 373,707 | |||
Pernod-Ricard SA | 2,778 | 320,998 | |||
Peugeot SA* | 5,660 | 116,441 | |||
Publicis Groupe SA | 2,459 | 181,892 | |||
Remy Cointreau SA | 320 | 23,074 | |||
Renault SA | 2,515 | 262,053 | |||
Rexel SA | 3,820 | 61,609 | |||
Safran SA | 3,819 | 258,936 | |||
Sanofi SA | 15,537 | 1,529,127 | |||
Schneider Electric SE | 7,266 | 501,889 | |||
SCOR SE | 2,022 | 71,367 | |||
Societe BIC SA | 376 | 59,970 | |||
Societe Generale SA | 9,482 | 442,806 | |||
Sodexo SA | 1,241 | 117,902 | |||
Suez Environnement Co. | 3,911 | 72,782 |
12 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Technip SA | 1,349 | 83,536 | |||
Thales SA | 1,353 | 81,731 | |||
Total SA | 28,008 | 1,361,071 | |||
Unibail-Rodamco SE REIT | 1,283 | 324,406 | |||
Valeo SA | 1,039 | 163,803 | |||
Vallourec SA | 1,440 | 29,424 | |||
Veolia Environnement SA | 5,886 | 120,073 | |||
Vinci SA | 6,182 | 357,717 | |||
Vivendi SA | 15,049 | 379,758 | |||
Wendel SA | 375 | 45,987 | |||
Zodiac Aerospace | 2,639 | 85,948 | |||
15,737,465 | |||||
Germany - 8.7% | |||||
adidas AG | 2,737 | 209,569 | |||
Allianz SE | 5,979 | 931,614 | |||
Axel Springer SE | 582 | 30,568 | |||
BASF SE | 12,018 | 1,056,525 | |||
Bayer AG | 10,820 | 1,515,148 | |||
Bayerische Motoren Werke AG: | |||||
Common | 4,332 | 474,376 | |||
Preferred | 714 | 60,468 | |||
Beiersdorf AG | 1,327 | 111,212 | |||
Brenntag AG | 2,034 | 116,675 | |||
Commerzbank AG* | 13,929 | 178,117 | |||
Continental AG | 1,439 | 340,659 | |||
Daimler AG | 12,599 | 1,147,229 | |||
Deutsche Annington Immobilien SE | 5,902 | 166,545 | |||
Deutsche Bank AG | 18,047 | 542,469 | |||
Deutsche Boerse AG | 2,525 | 209,107 | |||
Deutsche Lufthansa AG* | 3,046 | 39,290 | |||
Deutsche Post AG | 12,678 | 370,549 | |||
Deutsche Telekom AG | 41,543 | 715,875 | |||
Deutsche Wohnen AG | 3,822 | 87,623 | |||
E.ON SE | 26,183 | 348,978 | |||
Evonik Industries AG | 1,219 | 46,533 | |||
Fraport AG Frankfurt Airport Services Worldwide | 543 | 34,121 | |||
Fresenius Medical Care AG & Co. KGaA | 2,850 | 235,354 | |||
Fresenius SE & Co. KGaA | 4,963 | 318,567 | |||
Fuchs Petrolub SE, Preferred | 915 | 38,663 | |||
GEA Group AG | 2,407 | 107,413 | |||
Hannover Rueck SE | 793 | 76,763 | |||
HeidelbergCement AG | 1,855 | 147,166 | |||
Henkel AG & Co. KGaA: | |||||
Common | 1,359 | 129,582 | |||
Preferred | 2,331 | 261,548 | |||
Hugo Boss AG | 880 | 98,396 | |||
Infineon Technologies AG | 14,756 | 183,179 | |||
K+S AG | 2,504 | 105,527 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | ||||
Kabel Deutschland Holding AG* | 291 | 38,948 | |||
Lanxess AG | 1,204 | 71,025 | |||
Linde AG | 2,430 | 460,480 | |||
MAN SE | 464 | 47,814 | |||
Merck KGAA | 1,691 | 168,576 | |||
Metro AG | 2,133 | 67,279 | |||
Muenchener Rueckversicherungs-Gesellschaft AG | 2,262 | 401,144 | |||
OSRAM Licht AG | 1,171 | 56,102 | |||
Porsche Automobil Holding SE, Preferred | 2,003 | 168,827 | |||
ProSiebenSat.1 Media AG | 2,880 | 142,301 | |||
RTL Group SA* | 509 | 46,019 | |||
RWE AG | 6,443 | 138,586 | |||
SAP SE | 12,860 | 897,896 | |||
Siemens AG | 10,375 | 1,045,508 | |||
Symrise AG | 1,623 | 100,775 | |||
Telefonica Deutschland Holding AG | 7,832 | 45,162 | |||
ThyssenKrupp AG | 4,813 | 125,266 | |||
TUI AG | 5,959 | 96,519 | |||
United Internet AG | 1,619 | 72,004 | |||
Volkswagen AG: | |||||
Common | 463 | 107,180 | |||
Preferred | 2,127 | 493,448 | |||
15,226,267 | |||||
Hong Kong - 3.2% | |||||
AIA Group Ltd. | 157,611 | 1,027,785 | |||
ASM Pacific Technology Ltd. | 3,164 | 31,265 | |||
Bank of East Asia Ltd. (The) | 15,482 | 67,705 | |||
BOC Hong Kong Holdings Ltd. | 48,421 | 202,383 | |||
Cathay Pacific Airways Ltd. | 15,537 | 38,202 | |||
Cheung Kong Infrastructure Holdings Ltd. | 8,242 | 63,953 | |||
Cheung Kong Property Holdings Ltd.* | 37,492 | 310,021 | |||
CK Hutchison Holdings Ltd. | 37,492 | 553,298 | |||
CLP Holdings Ltd. | 24,794 | 210,459 | |||
First Pacific Co. Ltd. | 31,118 | 26,213 | |||
Galaxy Entertainment Group Ltd. | 30,729 | 122,094 | |||
Genting Singapore plc | 80,182 | 53,270 | |||
Hang Lung Properties Ltd. | 29,526 | 87,986 | |||
Hang Seng Bank Ltd. | 10,006 | 195,555 | |||
Henderson Land Development Co. Ltd. | 15,207 | 104,462 | |||
HKT Trust & HKT Ltd. | 34,891 | 40,959 | |||
Hong Kong & China Gas Co. Ltd. | 90,784 | 190,660 | |||
Hong Kong Exchanges and Clearing Ltd. | 14,523 | 512,586 | |||
Hysan Development Co. Ltd. | 8,404 | 36,373 | |||
Kerry Properties Ltd. | 8,558 | 33,561 | |||
Li & Fung Ltd. | 77,050 | 61,128 | |||
Link REIT (The) | 29,988 | 175,823 | |||
MGM China Holdings Ltd. | 12,507 | 20,458 | |||
MTR Corp. Ltd. | 19,170 | 89,150 |
14 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
New World Development Co. Ltd. | 69,822 | 91,693 | |||
Noble Group Ltd. | 61,959 | 34,954 | |||
NWS Holdings Ltd. | 19,706 | 28,624 | |||
PCCW Ltd. | 53,970 | 32,165 | |||
Power Assets Holdings Ltd. | 18,152 | 165,319 | |||
Sands China Ltd. | 31,861 | 106,863 | |||
Shangri-La Asia Ltd. | 16,395 | 22,842 | |||
Sino Land Co. Ltd. | 39,600 | 66,308 | |||
SJM Holdings Ltd. | 26,062 | 28,140 | |||
Sun Hung Kai Properties Ltd. | 22,300 | 362,181 | |||
Swire Pacific Ltd. Class A | 7,702 | 96,923 | |||
Swire Properties Ltd. | 15,404 | 49,082 | |||
Techtronic Industries Co. Ltd. | 18,080 | 59,475 | |||
WH Group Ltd.*(e) | 76,670 | 52,321 | |||
Wharf Holdings Ltd. (The) | 17,847 | 118,798 | |||
Wheelock & Co. Ltd. | 12,037 | 61,723 | |||
Wynn Macau Ltd. | 20,521 | 34,097 | |||
Yue Yuen Industrial Holdings Ltd. | 9,769 | 32,577 | |||
5,699,434 | |||||
Ireland - 0.9% | |||||
Bank of Ireland* | 362,177 | 146,231 | |||
CRH plc | 10,664 | 301,158 | |||
Experian plc | 12,947 | 235,970 | |||
James Hardie Industries plc | 5,913 | 78,889 | |||
Kerry Group plc Class A | 2,083 | 154,474 | |||
Ryanair Holdings plc | 2,271 | 29,940 | |||
Shire plc | 7,723 | 618,778 | |||
1,565,440 | |||||
Israel - 0.6% | |||||
Azrieli Group | 476 | 19,007 | |||
Bank Hapoalim BM | 13,921 | 74,990 | |||
Bank Leumi Le-Israel BM* | 18,317 | 77,461 | |||
Bezeq The Israeli Telecommunication Corp. Ltd. | 25,255 | 43,029 | |||
Delek Group Ltd. | 61 | 17,990 | |||
Israel Chemicals Ltd. | 6,654 | 46,493 | |||
Israel Corp. Ltd. (The) | 40 | 14,107 | |||
Mizrahi Tefahot Bank Ltd. | 1,822 | 22,599 | |||
NICE-Systems Ltd. | 754 | 47,949 | |||
Teva Pharmaceutical Industries Ltd. | 11,264 | 666,170 | |||
1,029,795 | |||||
Italy - 2.1% | |||||
Assicurazioni Generali SpA | 15,278 | 275,371 | |||
Atlantia SpA | 5,436 | 134,357 | |||
Banca Monte dei Paschi di Siena SpA* | 33,150 | 64,556 | |||
Banco Popolare SC* | 4,768 | 78,494 | |||
Enel Green Power SpA | 23,040 | 45,048 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | ||||
Enel SpA | 92,282 | 418,294 | |||
Eni SpA | 33,287 | 591,056 | |||
Exor SpA | 1,296 | 61,896 | |||
Finmeccanica SpA* | 5,328 | 67,032 | |||
Intesa Sanpaolo SpA: | |||||
Milano Stock Exchange | 165,878 | 601,659 | |||
OTC | 12,277 | 39,190 | |||
Luxottica Group SpA | 2,218 | 147,565 | |||
Mediobanca SpA | 7,345 | 72,051 | |||
Pirelli & C. SpA | 3,423 | 57,802 | |||
Prysmian SpA | 2,552 | 55,163 | |||
Saipem SpA* | 3,486 | 36,840 | |||
Snam SpA | 27,653 | 131,637 | |||
Telecom Italia SpA* | 132,201 | 167,799 | |||
Telecom Italia SpA - RSP | 79,339 | 81,013 | |||
Terna Rete Elettrica Nazionale SpA | 19,847 | 87,748 | |||
UniCredit SpA | 62,605 | 420,704 | |||
Unione di Banche Italiane SCPA | 11,799 | 94,686 | |||
UnipolSai SpA | 10,421 | 25,826 | |||
3,755,787 | |||||
Japan - 22.3% | |||||
ABC-Mart, Inc. | 346 | 21,224 | |||
Acom Co. Ltd.* | 5,254 | 20,223 | |||
Advantest Corp. | 1,958 | 20,429 | |||
Aeon Co. Ltd. | 8,609 | 122,502 | |||
Aeon Financial Service Co. Ltd. | 1,363 | 37,953 | |||
Aeon Mall Co. Ltd. | 1,500 | 28,181 | |||
Air Water, Inc. | 2,080 | 38,174 | |||
Aisin Seiki Co. Ltd. | 2,521 | 107,567 | |||
Ajinomoto Co. Inc. | 7,435 | 161,450 | |||
Alfresa Holdings Corp. | 2,320 | 36,214 | |||
Amada Holdings Co. Ltd. | 4,579 | 48,526 | |||
ANA Holdings, Inc. | 15,277 | 41,550 | |||
Aozora Bank Ltd. | 15,207 | 57,538 | |||
Asahi Glass Co. Ltd. | 12,422 | 74,773 | |||
Asahi Group Holdings Ltd. | 5,062 | 161,368 | |||
Asahi Kasei Corp. | 16,620 | 136,861 | |||
Asics Corp. | 2,106 | 54,588 | |||
Astellas Pharma, Inc. | 28,091 | 401,563 | |||
Bandai Namco Holdings, Inc. | 2,338 | 45,341 | |||
Bank of Kyoto Ltd. (The) | 4,493 | 51,883 | |||
Bank of Yokohama Ltd. (The) | 14,768 | 90,781 | |||
Benesse Holdings, Inc. | 876 | 22,025 | |||
Bridgestone Corp. | 8,511 | 315,577 | |||
Brother Industries Ltd. | 3,105 | 44,094 | |||
Calbee, Inc. | 967 | 40,864 | |||
Canon, Inc. | 13,961 | 455,343 | |||
Casio Computer Co. Ltd. | 2,656 | 52,552 |
16 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Central Japan Railway Co. | 1,886 | 341,428 | |||
Chiba Bank Ltd. (The) | 9,165 | 70,029 | |||
Chiyoda Corp. | 2,056 | 18,252 | |||
Chubu Electric Power Co., Inc. | 8,482 | 126,739 | |||
Chugai Pharmaceutical Co. Ltd. | 2,947 | 101,970 | |||
Chugoku Bank Ltd. (The) | 2,141 | 33,858 | |||
Chugoku Electric Power Co., Inc. (The) | 3,908 | 57,161 | |||
Citizen Holdings Co. Ltd. | 3,479 | 24,332 | |||
COLOPL, Inc. | 650 | 13,165 | |||
Credit Saison Co. Ltd. | 1,953 | 41,969 | |||
Dai Nippon Printing Co. Ltd. | 7,377 | 76,395 | |||
Dai-ichi Life Insurance Co., Ltd. (The) | 14,107 | 278,027 | |||
Daicel Corp. | 3,820 | 49,179 | |||
Daihatsu Motor Co. Ltd. | 2,530 | 36,115 | |||
Daiichi Sankyo Co. Ltd. | 8,401 | 155,766 | |||
Daikin Industries Ltd. | 3,068 | 221,334 | |||
Daito Trust Construction Co. Ltd. | 955 | 99,172 | |||
Daiwa House Industry Co. Ltd. | 7,777 | 181,711 | |||
Daiwa Securities Group, Inc. | 21,746 | 163,347 | |||
Denso Corp. | 6,362 | 317,618 | |||
Dentsu, Inc. | 2,847 | 147,823 | |||
Don Quijote Holdings Co. Ltd. | 1,550 | 66,136 | |||
East Japan Railway Co. | 4,376 | 394,576 | |||
Eisai Co. Ltd. | 3,298 | 221,910 | |||
Electric Power Development Co. Ltd. | 1,891 | 66,980 | |||
FamilyMart Co. Ltd. | 771 | 35,549 | |||
FANUC Corp. | 2,663 | 546,972 | |||
Fast Retailing Co. Ltd. | 693 | 315,328 | |||
Fuji Electric Co. Ltd. | 7,371 | 31,813 | |||
Fuji Heavy Industries Ltd. | 7,682 | 283,612 | |||
FUJIFILM Holdings Corp. | 6,060 | 217,054 | |||
Fujitsu Ltd. | 24,528 | 137,480 | |||
Fukuoka Financial Group, Inc. | 10,187 | 52,977 | |||
GungHo Online Entertainment, Inc. | 5,308 | 20,692 | |||
Gunma Bank Ltd. (The) | 4,959 | 36,714 | |||
Hachijuni Bank Ltd. (The) | 5,383 | 40,735 | |||
Hakuhodo DY Holdings, Inc. | 3,069 | 32,951 | |||
Hamamatsu Photonics KK | 1,874 | 55,404 | |||
Hankyu Hanshin Holdings, Inc. | 15,065 | 89,202 | |||
Hikari Tsushin, Inc. | 249 | 16,844 | |||
Hino Motors Ltd. | 3,404 | 42,207 | |||
Hirose Electric Co. Ltd. | 395 | 56,708 | |||
Hiroshima Bank Ltd. (The) | 6,585 | 39,476 | |||
Hisamitsu Pharmaceutical Co., Inc. | 751 | 29,245 | |||
Hitachi Chemical Co. Ltd. | 1,371 | 24,792 | |||
Hitachi Construction Machinery Co. Ltd. | 1,416 | 24,863 | |||
Hitachi High-Technologies Corp. | 901 | 25,420 | |||
Hitachi Ltd. | 63,246 | 417,893 | |||
Hitachi Metals Ltd. | 2,823 | 43,488 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 17
SHARES | VALUE ($) | ||||
Hokuhoku Financial Group, Inc. | 16,015 | 37,905 | |||
Hokuriku Electric Power Co. | 2,215 | 33,088 | |||
Honda Motor Co. Ltd. | 21,332 | 692,082 | |||
HOYA Corp. | 5,571 | 223,880 | |||
Hulic Co. Ltd. | 3,885 | 34,553 | |||
Ibiden Co. Ltd. | 1,588 | 26,921 | |||
Idemitsu Kosan Co. Ltd. | 1,158 | 22,789 | |||
IHI Corp. | 18,328 | 85,557 | |||
Iida Group Holdings Co. Ltd. | 1,926 | 30,758 | |||
INPEX Corp. | 12,437 | 141,731 | |||
Isetan Mitsukoshi Holdings Ltd. | 4,650 | 83,323 | |||
Isuzu Motors Ltd. | 7,819 | 102,936 | |||
ITOCHU Corp. | 20,671 | 273,740 | |||
Itochu Techno-Solutions Corp. | 631 | 15,761 | |||
Iyo Bank Ltd. (The) | 3,197 | 39,378 | |||
J Front Retailing Co. Ltd. | 3,177 | 59,947 | |||
Japan Airlines Co. Ltd. | 1,575 | 55,078 | |||
Japan Airport Terminal Co. Ltd. | 552 | 30,153 | |||
Japan Display, Inc.* | 4,750 | 17,933 | |||
Japan Exchange Group, Inc. | 3,592 | 116,934 | |||
Japan Prime Realty Investment Corp. REIT | 10 | 31,162 | |||
Japan Real Estate Investment Corp. REIT | 16 | 72,855 | |||
Japan Retail Fund Investment Corp. REIT | 31 | 62,175 | |||
Japan Tobacco, Inc. | 14,393 | 513,989 | |||
JFE Holdings, Inc. | 6,471 | 143,962 | |||
JGC Corp. | 2,728 | 51,653 | |||
Joyo Bank Ltd. (The) | 8,020 | 45,057 | |||
JSR Corp. | 2,491 | 44,147 | |||
JTEKT Corp. | 2,711 | 51,465 | |||
JX Holdings, Inc. | 29,569 | 127,909 | |||
Kajima Corp. | 11,136 | 52,440 | |||
Kakaku.com, Inc. | 1,915 | 27,791 | |||
Kamigumi Co. Ltd. | 3,070 | 28,914 | |||
Kaneka Corp. | 3,686 | 27,017 | |||
Kansai Electric Power Co., Inc. (The)* | 9,269 | 102,896 | |||
Kansai Paint Co. Ltd. | 3,050 | 47,384 | |||
Kao Corp. | 6,594 | 307,437 | |||
Kawasaki Heavy Industries Ltd. | 18,710 | 87,494 | |||
KDDI Corp. | 22,886 | 553,665 | |||
Keihan Electric Railway Co. Ltd. | 6,705 | 39,152 | |||
Keikyu Corp. | 6,172 | 46,705 | |||
Keio Corp. | 7,616 | 54,638 | |||
Keisei Electric Railway Co. Ltd. | 3,631 | 43,297 | |||
Keyence Corp. | 596 | 322,442 | |||
Kikkoman Corp. | 1,938 | 60,709 | |||
Kintetsu Group Holdings Co. Ltd. | 23,847 | 81,440 | |||
Kirin Holdings Co. Ltd. | 10,799 | 149,110 | |||
Kobe Steel Ltd. | 40,775 | 68,790 | |||
Koito Manufacturing Co. Ltd. | 1,367 | 53,457 |
18 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Komatsu Ltd. | 12,221 | 245,911 | |||
Konami Corp. | 1,220 | 22,740 | |||
Konica Minolta, Inc. | 6,062 | 70,944 | |||
Kubota Corp. | 14,723 | 234,099 | |||
Kuraray Co. Ltd. | 4,536 | 55,611 | |||
Kurita Water Industries Ltd. | 1,403 | 32,793 | |||
Kyocera Corp. | 4,199 | 218,814 | |||
Kyowa Hakko Kirin Co. Ltd. | 3,035 | 39,794 | |||
Kyushu Electric Power Co., Inc.* | 5,618 | 65,334 | |||
Lawson, Inc. | 858 | 58,884 | |||
LIXIL Group Corp. | 3,503 | 69,713 | |||
M3, Inc. | 2,554 | 51,496 | |||
Mabuchi Motor Co. Ltd. | 648 | 41,075 | |||
Makita Corp. | 1,566 | 85,158 | |||
Marubeni Corp. | 21,737 | 125,023 | |||
Marui Group Co. Ltd. | 3,146 | 42,615 | |||
Maruichi Steel Tube Ltd. | 618 | 15,386 | |||
Mazda Motor Corp. | 7,108 | 139,593 | |||
McDonald’s Holdings Company (Japan), Ltd. | 875 | 18,524 | |||
Medipal Holdings Corp. | 1,770 | 28,948 | |||
MEIJI Holdings Co. Ltd. | 804 | 104,035 | |||
Minebea Co. Ltd. | 4,204 | 69,582 | |||
Miraca Holdings, Inc. | 737 | 36,939 | |||
Mitsubishi Chemical Holdings Corp. | 17,848 | 112,623 | |||
Mitsubishi Corp. | 18,063 | 398,228 | |||
Mitsubishi Electric Corp. | 25,286 | 327,607 | |||
Mitsubishi Estate Co. Ltd. | 16,374 | 353,549 | |||
Mitsubishi Gas Chemical Co., Inc. | 5,092 | 28,607 | |||
Mitsubishi Heavy Industries Ltd. | 39,730 | 242,307 | |||
Mitsubishi Logistics Corp. | 1,621 | 21,347 | |||
Mitsubishi Materials Corp. | 14,714 | 56,636 | |||
Mitsubishi Motors Corp. | 8,417 | 71,828 | |||
Mitsubishi Tanabe Pharma Corp. | 2,956 | 44,423 | |||
Mitsubishi UFJ Financial Group, Inc. | 166,860 | 1,202,272 | |||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 6,486 | 35,589 | |||
Mitsui & Co. Ltd. | 22,332 | 304,058 | |||
Mitsui Chemicals, Inc. | 10,764 | 40,110 | |||
Mitsui Fudosan Co. Ltd. | 12,324 | 345,886 | |||
Mitsui OSK Lines Ltd. | 14,995 | 48,139 | |||
Mixi, Inc. | 544 | 27,088 | |||
Mizuho Financial Group, Inc. | 304,208 | 660,211 | |||
MS&AD Insurance Group Holdings, Inc. | 6,629 | 207,005 | |||
Murata Manufacturing Co. Ltd. | 2,652 | 463,918 | |||
Nabtesco Corp. | 1,594 | 40,077 | |||
Nagoya Railroad Co. Ltd. | 11,361 | 42,614 | |||
NEC Corp. | 33,100 | 100,570 | |||
Nexon Co. Ltd. | 1,699 | 23,432 | |||
NGK Insulators Ltd. | 3,450 | 89,143 | |||
NGK Spark Plug Co. Ltd. | 2,354 | 65,450 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 19
SHARES | VALUE ($) | ||||
NH Foods Ltd. | 2,282 | 52,217 | |||
NHK Spring Co. Ltd. | 2,088 | 23,068 | |||
Nidec Corp. | 2,847 | 213,691 | |||
Nikon Corp. | 4,486 | 52,022 | |||
Nintendo Co. Ltd. | 1,390 | 233,023 | |||
Nippon Building Fund, Inc. REIT | 18 | 79,014 | |||
Nippon Electric Glass Co. Ltd. | 5,241 | 26,612 | |||
Nippon Express Co. Ltd. | 11,188 | 55,159 | |||
Nippon Paint Holdings Co. Ltd. | 1,927 | 54,525 | |||
Nippon Prologis REIT, Inc. | 19 | 35,073 | |||
Nippon Steel & Sumitomo Metal Corp. | 99,480 | 258,589 | |||
Nippon Telegraph & Telephone Corp. | 9,816 | 356,408 | |||
Nippon Yusen KK | 21,269 | 59,397 | |||
Nissan Motor Co. Ltd. | 32,534 | 339,715 | |||
Nisshin Seifun Group, Inc. | 2,805 | 37,398 | |||
Nissin Foods Holdings Co. Ltd. | 845 | 37,162 | |||
Nitori Holdings Co. Ltd. | 973 | 79,526 | |||
Nitto Denko Corp. | 2,159 | 177,876 | |||
NOK Corp. | 1,253 | 38,994 | |||
Nomura Holdings, Inc. | 47,517 | 323,227 | |||
Nomura Real Estate Holdings, Inc. | 1,634 | 34,392 | |||
Nomura Research Institute Ltd. | 1,481 | 58,097 | |||
NSK Ltd. | 6,169 | 95,537 | |||
NTT Data Corp. | 1,661 | 72,776 | |||
NTT DoCoMo, Inc. | 19,990 | 383,740 | |||
NTT Urban Development Corp. | 1,516 | 15,122 | |||
Obayashi Corp. | 8,549 | 62,522 | |||
Odakyu Electric Railway Co. Ltd. | 8,247 | 77,198 | |||
Oji Holdings Corp. | 10,510 | 45,791 | |||
Olympus Corp. | 3,362 | 116,467 | |||
Omron Corp. | 2,560 | 111,537 | |||
Ono Pharmaceutical Co. Ltd. | 1,086 | 118,913 | |||
Oracle Corp. Japan | 502 | 21,049 | |||
Oriental Land Co. Ltd. | 2,617 | 167,494 | |||
ORIX Corp. | 17,319 | 258,285 | |||
Osaka Gas Co. Ltd. | 24,686 | 97,709 | |||
Otsuka Corp. | 683 | 31,995 | |||
Otsuka Holdings Co. Ltd. | 5,109 | 163,327 | |||
Panasonic Corp. | 28,888 | 397,815 | |||
Park24 Co. Ltd. | 1,242 | 21,330 | |||
Rakuten, Inc. | 10,488 | 169,854 | |||
Recruit Holdings Co. Ltd. | 1,860 | 56,894 | |||
Resona Holdings, Inc. | 29,069 | 159,147 | |||
Ricoh Co. Ltd. | 9,317 | 96,905 | |||
Rinnai Corp. | 481 | 38,014 | |||
Rohm Co. Ltd. | 1,269 | 85,324 | |||
Sankyo Co. Ltd. | 642 | 22,792 | |||
Sanrio Co. Ltd. | 644 | 17,537 | |||
Santen Pharmaceutical Co. Ltd. | 4,894 | 69,459 |
20 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
SBI Holdings, Inc. | 2,791 | 38,538 | |||
Secom Co. Ltd. | 2,747 | 178,739 | |||
Sega Sammy Holdings, Inc. | 2,453 | 32,143 | |||
Seibu Holdings, Inc. | 1,576 | 36,604 | |||
Seiko Epson Corp. | 3,660 | 65,074 | |||
Sekisui Chemical Co. Ltd. | 5,448 | 67,060 | |||
Sekisui House Ltd. | 7,783 | 123,911 | |||
Seven & I Holdings Co. Ltd. | 9,859 | 424,703 | |||
Seven Bank Ltd. | 7,840 | 36,405 | |||
Sharp Corp.* | 18,921 | 23,089 | |||
Shikoku Electric Power Co., Inc. | 2,349 | 35,262 | |||
Shimadzu Corp. | 3,292 | 44,835 | |||
Shimamura Co. Ltd. | 291 | 30,648 | |||
Shimano, Inc. | 1,037 | 141,828 | |||
Shimizu Corp. | 7,786 | 65,742 | |||
Shin-Etsu Chemical Co. Ltd. | 5,371 | 334,255 | |||
Shinsei Bank Ltd. | 23,392 | 47,319 | |||
Shionogi & Co. Ltd. | 3,929 | 152,681 | |||
Shiseido Co. Ltd. | 4,739 | 107,817 | |||
Shizuoka Bank Ltd. (The) | 7,005 | 73,375 | |||
Showa Shell Sekiyu KK | 2,480 | 21,732 | |||
SMC Corp. | 705 | 212,848 | |||
SoftBank Corp. | 12,568 | 742,007 | |||
Sompo Japan Nipponkoa Holdings, Inc. | 4,374 | 160,893 | |||
Sony Corp.* | 15,300 | 433,733 | |||
Sony Financial Holdings, Inc. | 2,290 | 40,247 | |||
Stanley Electric Co. Ltd. | 1,879 | 39,271 | |||
Sumitomo Chemical Co. Ltd. | 19,615 | 118,231 | |||
Sumitomo Corp. | 14,727 | 171,748 | |||
Sumitomo Dainippon Pharma Co. Ltd. | 2,095 | 23,145 | |||
Sumitomo Electric Industries Ltd. | 9,930 | 154,271 | |||
Sumitomo Heavy Industries Ltd. | 7,281 | 42,575 | |||
Sumitomo Metal Mining Co. Ltd. | 6,469 | 98,726 | |||
Sumitomo Mitsui Financial Group, Inc. | 16,652 | 744,468 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 43,415 | 199,324 | |||
Sumitomo Realty & Development Co. Ltd. | 4,672 | 164,279 | |||
Sumitomo Rubber Industries Ltd. | 2,251 | 34,971 | |||
Suntory Beverage & Food Ltd. | 1,830 | 73,062 | |||
Suruga Bank Ltd. | 2,379 | 51,182 | |||
Suzuken Co. Ltd. | 1,020 | 32,746 | |||
Suzuki Motor Corp. | 4,771 | 161,567 | |||
Sysmex Corp. | 1,914 | 114,428 | |||
T&D Holdings, Inc. | 7,626 | 113,979 | |||
Taiheiyo Cement Corp. | 15,481 | 45,389 | |||
Taisei Corp. | 13,511 | 77,787 | |||
Taisho Pharmaceutical Holdings Co. Ltd. | 415 | 28,107 | |||
Taiyo Nippon Sanso Corp. | 1,995 | 24,197 | |||
Takashimaya Co. Ltd. | 3,744 | 34,035 | |||
Takeda Pharmaceutical Co. Ltd. | 10,335 | 500,309 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 21
SHARES | VALUE ($) | ||||
TDK Corp. | 1,620 | 124,314 | |||
Teijin Ltd. | 12,316 | 47,910 | |||
Terumo Corp. | 3,999 | 96,188 | |||
THK Co. Ltd. | 1,576 | 34,152 | |||
Tobu Railway Co. Ltd. | 13,452 | 57,948 | |||
Toho Co. Ltd. | 1,492 | 37,207 | |||
Toho Gas Co. Ltd. | 5,391 | 32,009 | |||
Tohoku Electric Power Co., Inc. | 5,958 | 80,901 | |||
Tokio Marine Holdings, Inc. | 9,062 | 378,050 | |||
Tokyo Electric Power Co., Inc.* | 19,042 | 104,017 | |||
Tokyo Electron Ltd. | 2,259 | 143,323 | |||
Tokyo Gas Co. Ltd. | 30,415 | 161,908 | |||
Tokyo Tatemono Co. Ltd. | 2,708 | 37,702 | |||
Tokyu Corp. | 14,808 | 99,444 | |||
Tokyu Fudosan Holdings Corp. | 6,708 | 51,860 | |||
TonenGeneral Sekiyu KK | 3,720 | 34,700 | |||
Toppan Printing Co. Ltd. | 6,863 | 57,555 | |||
Toray Industries, Inc. | 19,331 | 163,935 | |||
Toshiba Corp. | 52,676 | 181,619 | |||
TOTO Ltd. | 3,728 | 67,352 | |||
Toyo Seikan Group Holdings Ltd. | 2,150 | 34,547 | |||
Toyo Suisan Kaisha Ltd. | 1,167 | 42,674 | |||
Toyoda Gosei Co. Ltd. | 855 | 20,677 | |||
Toyota Industries Corp. | 2,144 | 122,559 | |||
Toyota Motor Corp. | 35,779 | 2,403,629 | |||
Toyota Tsusho Corp. | 2,796 | 75,221 | |||
Trend Micro, Inc. | 1,385 | 47,526 | |||
Unicharm Corp. | 4,904 | 116,852 | |||
United Urban Investment Corp. REIT | 34 | 48,200 | |||
USS Co. Ltd. | 2,886 | 52,234 | |||
West Japan Railway Co. | 2,168 | 139,112 | |||
Yahoo Japan Corp. | 18,744 | 75,833 | |||
Yakult Honsha Co. Ltd. | 1,158 | 68,851 | |||
Yamada Denki Co. Ltd. | 8,852 | 35,523 | |||
Yamaguchi Financial Group, Inc. | 2,594 | 32,397 | |||
Yamaha Corp. | 2,207 | 44,644 | |||
Yamaha Motor Co. Ltd. | 3,454 | 75,725 | |||
Yamato Holdings Co. Ltd. | 4,587 | 89,013 | |||
Yamazaki Baking Co. Ltd. | 1,450 | 24,213 | |||
Yaskawa Electric Corp. | 2,989 | 38,383 | |||
Yokogawa Electric Corp. | 2,987 | 38,504 | |||
Yokohama Rubber Co. Ltd. (The) | 1,353 | 27,236 | |||
39,225,532 | |||||
Luxembourg - 0.3% | |||||
Altice SA* | 1,142 | 157,369 | |||
ArcelorMittal | 13,155 | 128,134 | |||
Millicom International Cellular SA (SDR) | 870 | 64,134 |
22 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
SES SA (FDR) | 4,196 | 141,032 | |||
Tenaris SA | 6,217 | 83,764 | |||
574,433 | |||||
Netherlands - 4.5% | |||||
Aegon NV | 23,706 | 174,296 | |||
Airbus Group NV | 7,702 | 499,963 | |||
Akzo Nobel NV | 3,211 | 233,757 | |||
ASML Holding NV | 4,587 | 474,263 | |||
Boskalis Westminster NV | 1,133 | 55,476 | |||
CNH Industrial NV | 12,480 | 113,862 | |||
Delta Lloyd NV | 2,886 | 47,398 | |||
Fiat Chrysler Automobiles NV* | 11,769 | 172,483 | |||
Gemalto NV | 1,042 | 92,836 | |||
Heineken Holding NV | 1,327 | 93,170 | |||
Heineken NV | 3,014 | 228,828 | |||
ING Groep NV (CVA) | 50,486 | 833,944 | |||
Koninklijke Ahold NV | 11,702 | 219,271 | |||
Koninklijke DSM NV | 2,373 | 137,630 | |||
Koninklijke KPN NV | 42,166 | 161,312 | |||
Koninklijke Philips NV | 12,232 | 311,332 | |||
Koninklijke Vopak NV | 925 | 46,700 | |||
NN Group NV | 2,523 | 70,956 | |||
OCI NV* | 1,109 | 31,356 | |||
QIAGEN NV* | 2,884 | 70,879 | |||
Randstad Holding NV | 1,659 | 108,080 | |||
Reed Elsevier NV | 8,666 | 205,636 | |||
Royal Dutch Shell plc: | |||||
Class A | 50,961 | 1,431,678 | |||
Class B | 31,933 | 907,407 | |||
STMicroelectronics NV | 8,391 | 68,835 | |||
TNT Express NV | 6,456 | 54,790 | |||
Unilever NV, NY Shares | 21,315 | 888,066 | |||
Wolters Kluwer NV | 3,974 | 118,101 | |||
7,852,305 | |||||
New Zealand - 0.1% | |||||
Auckland International Airport Ltd. | 12,539 | 41,933 | |||
Contact Energy Ltd. | 4,827 | 16,388 | |||
Fletcher Building Ltd. | 9,056 | 49,831 | |||
Meridian Energy Ltd. | 16,872 | 24,696 | |||
Mighty River Power Ltd. | 9,216 | 17,424 | |||
Ryman Healthcare Ltd. | 4,937 | 26,497 | |||
Spark New Zealand Ltd. | 24,156 | 45,752 | |||
222,521 | |||||
Norway - 0.6% | |||||
DNB ASA | 12,787 | 212,758 | |||
Gjensidige Forsikring ASA | 2,633 | 42,336 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 23
SHARES | VALUE ($) | ||||
Norsk Hydro ASA | 17,706 | 74,439 | |||
Orkla ASA | 10,732 | 84,231 | |||
Seadrill Ltd. | 4,835 | 50,249 | |||
Statoil ASA | 14,603 | 260,249 | |||
Telenor ASA | 9,823 | 214,672 | |||
Yara International ASA | 2,363 | 122,760 | |||
1,061,694 | |||||
Portugal - 0.2% | |||||
Banco Comercial Portugues SA* | 496,400 | 43,186 | |||
Banco Espirito Santo SA*(b) | 34,023 | — | |||
EDP - Energias de Portugal SA | 30,489 | 115,790 | |||
Galp Energia SGPS SA | 5,076 | 59,559 | |||
Jeronimo Martins SGPS SA | 3,314 | 42,507 | |||
261,042 | |||||
Singapore - 1.3% | |||||
Ascendas Real Estate Investment Trust REIT | 26,903 | 49,127 | |||
CapitaLand Commercial Trust REIT | 27,140 | 31,428 | |||
CapitaLand Ltd. | 33,750 | 87,685 | |||
CapitaLand Mall Trust REIT | 31,907 | 50,922 | |||
City Developments Ltd. | 5,387 | 39,109 | |||
ComfortDelGro Corp. Ltd. | 28,011 | 65,082 | |||
DBS Group Holdings Ltd. | 22,710 | 348,788 | |||
Global Logistic Properties Ltd. | 41,415 | 77,779 | |||
Golden Agri-Resources Ltd. | 92,959 | 28,292 | |||
Hutchison Port Holdings Trust | 74,548 | 46,965 | |||
Jardine Cycle & Carriage Ltd.: | |||||
Common | 1,404 | 34,497 | |||
Right*(b) | 156 | 822 | |||
Keppel Corp. Ltd. | 19,145 | 116,819 | |||
Oversea-Chinese Banking Corp. Ltd. | 39,185 | 296,109 | |||
SembCorp Industries Ltd. | 12,944 | 37,377 | |||
SembCorp Marine Ltd. | 11,005 | 23,200 | |||
Singapore Airlines Ltd. | 7,108 | 56,615 | |||
Singapore Exchange Ltd. | 10,581 | 61,500 | |||
Singapore Press Holdings Ltd. | 21,073 | 63,822 | |||
Singapore Technologies Engineering Ltd. | 20,536 | 50,305 | |||
Singapore Telecommunications Ltd. | 104,311 | 325,984 | |||
StarHub Ltd. | 7,954 | 23,322 | |||
Suntec Real Estate Investment Trust REIT | 31,243 | 40,006 | |||
United Overseas Bank Ltd. | 16,901 | 289,430 | |||
UOL Group Ltd. | 6,217 | 31,935 | |||
Wilmar International Ltd. | 25,291 | 61,578 | |||
Yangzijiang Shipbuilding Holdings Ltd. | 25,259 | 26,531 | |||
2,365,029 | |||||
24 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Spain - 3.4% | |||||
Abertis Infraestructuras SA | 5,877 | 96,423 | |||
ACS Actividades de Construccion y Servicios SA | 2,470 | 79,493 | |||
Aena SA*(e) | 883 | 92,320 | |||
Amadeus IT Holding SA Class A | 5,856 | 233,533 | |||
Banco Bilbao Vizcaya Argentaria SA | 82,617 | 810,155 | |||
Banco de Sabadell SA | 63,950 | 154,422 | |||
Banco Popular Espanol SA | 22,194 | 107,581 | |||
Banco Santander SA | 187,983 | 1,313,352 | |||
Bankia SA* | 60,654 | 76,986 | |||
Bankinter SA | 8,875 | 65,619 | |||
CaixaBank SA | 29,912 | 138,654 | |||
Distribuidora Internacional de Alimentacion SA | 8,143 | 62,214 | |||
Enagas SA | 2,811 | 76,484 | |||
Endesa SA | 4,181 | 80,045 | |||
Ferrovial SA | 5,921 | 128,447 | |||
Gas Natural SDG SA | 4,611 | 104,606 | |||
Grifols SA | 1,963 | 79,104 | |||
Iberdrola SA | 71,054 | 478,829 | |||
Inditex SA | 14,273 | 464,130 | |||
International Consolidated Airlines Group SA* | 10,743 | 83,588 | |||
Mapfre SA | 14,103 | 48,558 | |||
Red Electrica Corp. SA | 1,424 | 114,164 | |||
Repsol SA: | |||||
Common | 13,491 | 236,993 | |||
Right* | 13,491 | 6,997 | |||
Telefonica SA | 58,273 | 828,683 | |||
Zardoya Otis SA | 2,290 | 24,954 | |||
5,986,334 | |||||
Sweden - 2.8% | |||||
Alfa Laval AB | 3,842 | 67,575 | |||
Assa Abloy AB Class B | 13,113 | 246,760 | |||
Atlas Copco AB: | |||||
Class A | 8,786 | 245,725 | |||
Class B | 5,137 | 127,879 | |||
Boliden AB | 3,601 | 65,593 | |||
Electrolux AB, Series B | 3,167 | 99,188 | |||
Elekta AB Class B | 4,852 | 30,415 | |||
Getinge AB Class B | 2,635 | 63,372 | |||
Hennes & Mauritz AB Class B | 12,423 | 478,035 | |||
Hexagon AB Class B | 3,364 | 121,822 | |||
Husqvarna AB Class B | 5,378 | 40,488 | |||
ICA Gruppen AB | 1,019 | 36,128 | |||
Industrivarden AB Class C | 2,161 | 40,692 | |||
Investment AB Kinnevik Class B | 3,099 | 97,917 | |||
Investor AB Class B | 5,960 | 221,940 | |||
Lundin Petroleum AB* | 2,866 | 49,061 | |||
Nordea Bank AB | 39,745 | 495,420 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 25
SHARES | VALUE ($) | ||||
Sandvik AB | 13,951 | 154,138 | |||
Securitas AB Class B | 4,122 | 54,461 | |||
Skandinaviska Enskilda Banken AB Class A | 19,876 | 253,983 | |||
Skanska AB Class B | 5,003 | 101,324 | |||
SKF AB Class B | 5,224 | 119,087 | |||
Svenska Cellulosa AB SCA Class B | 7,699 | 195,648 | |||
Svenska Handelsbanken AB Class A | 19,593 | 285,796 | |||
Swedbank AB Class A | 11,849 | 276,111 | |||
Swedish Match AB | 2,639 | 75,016 | |||
Tele2 AB Class B | 4,201 | 48,820 | |||
Telefonaktiebolaget LM Ericsson Class B | 39,821 | 412,359 | |||
TeliaSonera AB | 33,995 | 200,030 | |||
Volvo AB Class B | 20,079 | 249,074 | |||
4,953,857 | |||||
Switzerland - 9.4% | |||||
ABB Ltd.* | 28,774 | 602,755 | |||
Actelion Ltd.* | 1,344 | 196,704 | |||
Adecco SA* | 2,226 | 180,757 | |||
Aryzta AG* | 1,148 | 56,620 | |||
Baloise Holding AG | 654 | 79,765 | |||
Barry Callebaut AG* | 28 | 31,903 | |||
Chocoladefabriken Lindt & Sprungli AG: | |||||
Participation Certificate | 12 | 63,473 | |||
Registered Shares | 1 | 62,566 | |||
Cie Financiere Richemont SA | 6,830 | 555,709 | |||
Coca-Cola HBC AG* | 2,638 | 56,750 | |||
Credit Suisse Group AG* | 19,978 | 549,304 | |||
Dufry AG* | 354 | 49,311 | |||
EMS-Chemie Holding AG | 107 | 45,218 | |||
Geberit AG | 494 | 164,737 | |||
Givaudan SA* | 120 | 207,724 | |||
Glencore plc* | 145,535 | 584,282 | |||
Holcim Ltd.* | 2,995 | 221,092 | |||
Julius Baer Group Ltd.* | 2,946 | 165,313 | |||
Kuehne + Nagel International AG | 710 | 94,267 | |||
Lonza Group AG* | 696 | 93,004 | |||
Nestle SA | 42,196 | 3,047,213 | |||
Novartis AG | 30,099 | 2,967,394 | |||
Pargesa Holding SA | 406 | 27,321 | |||
Partners Group Holding AG | 209 | 62,497 | |||
Roche Holding AG | 9,193 | 2,576,833 | |||
Schindler Holding AG: | |||||
Participation Certificate | 587 | 96,023 | |||
Registered Shares | 269 | 43,946 | |||
SGS SA | 71 | 129,588 | |||
Sika AG | 28 | 98,795 | |||
Sonova Holding AG | 707 | 95,608 | |||
Sulzer AG | 315 | 32,403 |
26 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Swatch Group AG (The): | |||||
Bearer Shares | 403 | 156,983 | |||
Registered Shares | 653 | 49,043 | |||
Swiss Life Holding AG* | 422 | 96,662 | |||
Swiss Prime Site AG* | 865 | 65,659 | |||
Swiss Re AG | 4,608 | 407,951 | |||
Swisscom AG | 338 | 189,485 | |||
Syngenta AG | 1,216 | 494,362 | |||
Transocean Ltd. | 4,769 | 77,145 | |||
UBS Group AG* | 47,785 | 1,013,776 | |||
Wolseley plc | 3,402 | 217,363 | |||
Zurich Insurance Group AG* | 1,958 | 596,177 | |||
16,603,481 | |||||
United Kingdom - 17.4% | |||||
3i Group plc | 12,799 | 103,956 | |||
Aberdeen Asset Management plc | 12,112 | 76,949 | |||
Admiral Group plc | 2,735 | 59,654 | |||
Aggreko plc | 3,371 | 76,282 | |||
Amec Foster Wheeler plc | 5,048 | 64,895 | |||
Anglo American plc | 18,275 | 263,962 | |||
Antofagasta plc | 5,191 | 56,285 | |||
ARM Holdings plc | 18,477 | 301,311 | |||
Ashtead Group plc | 6,626 | 114,513 | |||
Associated British Foods plc | 4,661 | 210,434 | |||
AstraZeneca plc | 16,530 | 1,044,709 | |||
Aviva plc | 52,363 | 405,541 | |||
Babcock International Group plc | 3,391 | 57,591 | |||
BAE Systems plc | 41,275 | 292,860 | |||
Barclays plc | 215,934 | 884,572 | |||
Barratt Developments plc | 12,980 | 125,430 | |||
BG Group plc | 44,677 | 744,371 | |||
BHP Billiton plc | 27,636 | 542,803 | |||
BP plc | 238,710 | 1,577,173 | |||
British American Tobacco plc | 24,392 | 1,309,913 | |||
British Land Co. plc (The) REIT | 12,742 | 158,997 | |||
BT Group plc | 109,512 | 775,303 | |||
Bunzl plc | 4,403 | 120,338 | |||
Burberry Group plc | 5,852 | 144,572 | |||
Capita plc | 8,711 | 169,587 | |||
Carnival plc | 2,423 | 123,796 | |||
Centrica plc | 65,020 | 269,728 | |||
Cobham plc | 14,990 | 61,996 | |||
Compass Group plc | 21,796 | 360,919 | |||
Croda International plc | 1,787 | 77,335 | |||
Diageo plc | 32,918 | 952,997 | |||
Direct Line Insurance Group plc | 18,102 | 95,592 | |||
Dixons Carphone plc | 12,881 | 91,861 | |||
easyJet plc | 2,090 | 50,811 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 27
SHARES | VALUE ($) | ||||
Fresnillo plc | 2,910 | 31,758 | |||
G4S plc | 20,428 | 86,285 | |||
GKN plc | 21,626 | 113,757 | |||
GlaxoSmithKline plc | 63,656 | 1,323,852 | |||
Hammerson plc REIT | 10,325 | 99,936 | |||
Hargreaves Lansdown plc | 3,413 | 61,883 | |||
HSBC Holdings plc | 251,489 | 2,254,625 | |||
ICAP plc | 7,255 | 60,410 | |||
IMI plc | 3,578 | 63,299 | |||
Imperial Tobacco Group plc | 12,523 | 603,985 | |||
Inmarsat plc | 5,866 | 84,451 | |||
InterContinental Hotels Group plc | 3,108 | 125,413 | |||
Intertek Group plc | 2,124 | 81,832 | |||
Intu Properties plc REIT | 12,136 | 58,704 | |||
Investec plc | 7,270 | 65,393 | |||
ITV plc | 50,120 | 207,523 | |||
J Sainsbury plc | 17,536 | 73,160 | |||
Johnson Matthey plc | 2,697 | 128,847 | |||
Kingfisher plc | 30,693 | 167,629 | |||
Land Securities Group plc REIT | 10,344 | 195,848 | |||
Legal & General Group plc | 77,755 | 304,339 | |||
Lloyds Banking Group plc | 747,146 | 1,001,505 | |||
London Stock Exchange Group plc | 4,111 | 153,215 | |||
Marks & Spencer Group plc | 21,528 | 181,457 | |||
Meggitt plc | 10,445 | 76,607 | |||
Melrose Industries plc | 13,102 | 50,994 | |||
Merlin Entertainments plc(e) | 9,342 | 62,744 | |||
Mondi plc | 4,805 | 103,594 | |||
National Grid plc | 48,921 | 628,678 | |||
Next plc | 1,900 | 222,594 | |||
Old Mutual plc | 64,599 | 204,694 | |||
Pearson plc | 10,733 | 203,382 | |||
Persimmon plc* | 4,027 | 125,070 | |||
Petrofac Ltd. | 3,415 | 49,702 | |||
Prudential plc | 33,601 | 809,761 | |||
Randgold Resources Ltd. | 1,214 | 81,804 | |||
Reckitt Benckiser Group plc | 8,450 | 729,248 | |||
Reed Elsevier plc | 14,788 | 240,688 | |||
Rexam plc | 9,272 | 80,485 | |||
Rio Tinto plc | 16,649 | 684,381 | |||
Rolls-Royce Holdings plc* | 24,315 | 332,658 | |||
Royal Bank of Scotland Group plc* | 33,420 | 184,729 | |||
Royal Mail plc | 8,557 | 69,233 | |||
RSA Insurance Group plc | 13,354 | 83,411 | |||
SABMiller plc | 12,685 | 659,075 | |||
Sage Group plc (The) | 14,172 | 114,217 | |||
Schroders plc | 1,636 | 81,709 | |||
Segro plc REIT | 9,773 | 62,365 | |||
Severn Trent plc | 3,154 | 103,214 |
28 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||||
Sky plc | 13,510 | 220,312 | |||
Smith & Nephew plc | 11,761 | 198,634 | |||
Smiths Group plc | 5,196 | 92,250 | |||
Sports Direct International plc* | 3,545 | 40,054 | |||
SSE plc | 12,923 | 312,147 | |||
Standard Chartered plc | 32,355 | 518,466 | |||
Standard Life plc | 25,761 | 179,866 | |||
Subsea 7 SA* | 3,477 | 33,946 | |||
Tate & Lyle plc | 6,153 | 50,266 | |||
Taylor Wimpey plc | 42,571 | 124,384 | |||
Tesco plc | 106,290 | 355,269 | |||
Travis Perkins plc | 3,251 | 107,871 | |||
Tullow Oil plc | 11,989 | 64,045 | |||
Unilever plc | 16,794 | 720,977 | |||
United Utilities Group plc | 8,977 | 125,922 | |||
Vodafone Group plc | 346,903 | 1,253,883 | |||
Weir Group plc (The) | 2,809 | 74,961 | |||
Whitbread plc | 2,389 | 185,812 | |||
William Hill plc | 11,544 | 73,177 | |||
WM Morrison Supermarkets plc | 29,027 | 82,529 | |||
WPP plc | 17,181 | 385,276 | |||
30,541,226 | |||||
Total Equity Securities (Cost $143,959,545) | 171,112,319 | ||||
EXCHANGE-TRADED PRODUCTS - 1.9% | |||||
iShares MSCI EAFE ETF | 51,478 | 3,268,338 | |||
Total Exchange-Traded Products (Cost $3,456,646) | 3,268,338 | ||||
PRINCIPAL AMOUNT ($) | |||||
TIME DEPOSIT - 0.3% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 624,091 | 624,091 | |||
Total Time Deposit (Cost $624,091) | 624,091 | ||||
TOTAL INVESTMENTS (Cost $148,040,282) - 99.5% | 175,004,748 | ||||
Other assets and liabilities, net - 0.5% | 855,965 | ||||
NET ASSETS - 100% | $175,860,713 | ||||
See notes to financial statements. |
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NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to the following shares of common stock outstanding; | |||
$0.10 par value, 20,000,000 shares authorized: | |||
Class I: 2,070,567 shares outstanding | $159,436,337 | ||
Class F: 46,153 shares outstanding | 2,958,755 | ||
Undistributed net investment income | 2,931,205 | ||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (16,393,799) | ||
Net unrealized appreciation (depreciation) on investments, foreign currencies, and assets and liabilities denominated in foreign currencies | 26,928,215 | ||
NET ASSETS | $175,860,713 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $172,002,958) | $83.07 | ||
Class F (based on net assets of $3,857,755) | $83.59 | ||
* | Non-income producing security. |
(b) | This security was valued under the direction of the Board of Directors. See Note A. |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
Abbreviations: | |
CVA: | Certificaten Van Aandelen |
ETF: | Exchange Traded Fund |
FDR: | Fiduciary Depositary Receipts |
plc: | Public Limited Company |
REIT: | Real Estate Investment Trust |
SDR: | Swedish Depositary Receipts |
See notes to financial statements. |
30 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income (net of foreign tax withheld of $297,713) | $3,649,350 | ||
Total investment income | 3,649,350 | ||
Expenses: | |||
Investment advisory fee | 502,800 | ||
Administrative fees | 89,786 | ||
Transfer agency fees and expenses | 10,040 | ||
Distribution Plan expenses: | |||
Class F | 4,024 | ||
Directors’ fees and expenses | 14,482 | ||
Accounting fees | 17,686 | ||
Custodian fees | 91,610 | ||
Professional fees | 17,866 | ||
Reports to shareholders | 19,323 | ||
Licensing fees | 27,859 | ||
Miscellaneous | 25,328 | ||
Total expenses | 820,804 | ||
Reimbursement from Advisor: | |||
Class F | (152) | ||
Net expenses | 820,652 | ||
NET INVESTMENT INCOME | 2,828,698 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 2,040,240 | ||
Foreign currency transactions | (2,452) | ||
2,037,788 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | 5,895,576 | ||
Assets and liabilities denominated in foreign currencies | 2,461 | ||
5,898,037 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 7,935,825 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $10,764,523 | ||
See notes to financial statements. |
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STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $2,828,698 | $4,502,246 | |||||
Net realized gain (loss) | 2,037,788 | 1,433,985 | |||||
Change in unrealized appreciation (depreciation) | 5,898,037 | (18,712,828) | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 10,764,523 | (12,776,597) | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (4,488,001) | |||||
Class F shares | — | (86,279) | |||||
Total distributions | — | (4,574,280) | |||||
Capital share transactions: | |||||||
Shares sold: | |||||||
Class I shares | 9,720,630 | 43,703,214 | |||||
Class F shares | 421,541 | 2,027,994 | |||||
Reinvestments of distributions: | |||||||
Class I shares | — | 4,488,001 | |||||
Class F shares | — | 86,279 | |||||
Shares redeemed: | |||||||
Class I shares | (18,674,631) | (19,976,029) | |||||
Class F shares | (722,224) | (940,769) | |||||
Total capital share transactions | (9,254,684) | 29,388,690 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 1,509,839 | 12,037,813 | |||||
NET ASSETS | |||||||
Beginning of period | 174,350,874 | 162,313,061 | |||||
End of period (including undistributed net investment income of $2,931,205 and $102,507, respectively) | $175,860,713 | $174,350,874 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold: | |||||||
Class I shares | 116,747 | 503,078 | |||||
Class F shares | 5,063 | 23,454 | |||||
Reinvestment of distributions: | |||||||
Class I shares | — | 56,753 | |||||
Class F shares | — | 1,082 | |||||
Shares redeemed: | |||||||
Class I shares | (221,819) | (235,815) | |||||
Class F shares | (8,651) | (11,029) | |||||
Total capital share activity | (108,660) | 337,523 | |||||
See notes to financial statements. |
32 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP EAFE International Index Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio offers Class F and Class I shares. Class F shares are subject to Distribution Plan Expenses, while Class I shares are not. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges; and (c) class-specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or the last available price and are categorized as Level 2 in the hierarchy. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. The Portfolio has retained a third party fair value pricing service to quantitatively analyze the price movement of its holdings on foreign exchanges and to automatically fair value if the variation from the prior dayís closing price
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exceeds specified parameters. Such securities would be categorized as Level 2 in the hierarchy in these circumstances. Utilizing this technique may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and such securities are categorized as Level 3 in the hierarchy.
Exchange traded products are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, securities valued at $822, or 0.0% of net assets, were fair valued in good faith under the direction of the Board.
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | |||||||||||
INVESTMENTS IN SECURITIES | Level 1 | Level 2 | Level 3 | Total | |||||||
Equity Securities* | $171,111,497 | $822 | $** | $171,112,319 | |||||||
Exchange-Traded Products | 3,268,338 | — | — | 3,268,338 | |||||||
Time Deposit | — | 624,091 | — | 624,091 | |||||||
TOTAL | $174,379,835 | $624,913 | $** | $175,004,748 |
* For further breakdown of equity securities by country, please refer to the Statement of Net Assets.
** Level 3 securities are valued at $0 and represent 0.0% of net assets.
On June 30, 2015, price movements did not exceed specified parameters and the third party fair value pricing service did not quantitatively fair valued the affected securities. At June 30, 2015, securities valued at $166,429,921 were transferred out of Level 2 and into Level 1.
34 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Distributions received on securities that represent a return of capital or capital gain, are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a specific class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets.
Foreign Currency Transactions: The Portfolio’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are translated into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included in the net realized and unrealized gain or loss in investments and assets and liabilities denominated in foreign currencies.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .56%, of the Portfolio’s average daily net assets. Under the terms of the agreement, $82,933 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense caps are 1.19% for Class F and .99% for Class I. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit acquired fund fees and expenses, if any. Under the terms of the agreement, $148 was receivable at period end.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $14,809 was payable at period end.
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Portfolio has adopted a Distribution Plan that permits the Portfolio to pay certain expenses associated with the distribution and servicing of its Class F shares.
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The expenses paid may not exceed .20% annually of average daily net assets of Class F. Under the terms of the agreement, $665 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $6,621 for the period ended June 30, 2015. Under the terms of the agreement, $1,116 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $9,586,929 and $16,016,558, respectively.
CAPITAL LOSS CARRYFORWARDS
EXPIRATION DATE
31-Dec-15 ($112,767)
31-Dec-16 (15,302,273)
31-Dec-17 (15,978)
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward to offset future capital gains for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their character as either long-term or short-term. Capital losses incurred in pre-enactment taxable years can be utilized until expiration. The Portfolio’s use of net capital losses acquired from reorganizations may be limited under certain tax provisions.
As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $36,741,535 | ||
Unrealized (depreciation) | (12,727,478) | ||
Net unrealized appreciation/(depreciation) | $24,014,057 | ||
Federal income tax cost of investments | $150,990,691 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2015.
For the six months ended June 30, 2015, borrowing information by the Portfolio under the Agreement was as follows:
Average Daily Balance | Weighted Average Interest Rate | Maximum Amount Borrowed | Month of Maximum Amount Borrowed |
$127,097 | 1.382% | $5,499,001 | May 2015 |
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
36 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
CLASS I SHARES | 2015 (z) | 2014 (z) | 2013 (z) | 2012 (z) | 2011 (z) | 2010 (z) | |||||||||||||||||
Net asset value, beginning | $78.33 | $85.97 | $72.87 | $63.54 | $74.78 | $70.89 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 1.30 | 2.24 | 1.70 | 1.70 | 1.85 | 1.27 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.44 | (7.75 | ) | 13.34 | 9.30 | (11.37 | ) | 3.49 | |||||||||||||||
Total from investment operations | 4.74 | (5.51 | ) | 15.04 | 11.00 | (9.52 | ) | 4.76 | |||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (2.13 | ) | (1.94 | ) | (1.67 | ) | (1.72 | ) | (0.87 | ) | ||||||||||||
Net realized gain | — | — | — | — | — | — | |||||||||||||||||
Total distributions | — | (2.13 | ) | (1.94 | ) | (1.67 | ) | (1.72 | ) | (0.87 | ) | ||||||||||||
Total increase (decrease) in net asset value | 4.74 | (7.64 | ) | 13.10 | 9.33 | (11.24 | ) | 3.89 | |||||||||||||||
Net asset value, ending | $83.07 | $78.33 | $85.97 | $72.87 | $63.54 | $74.78 | |||||||||||||||||
Total return* | 6.05 | % | (6.44 | %) | 20.72 | % | 17.34 | % | (12.71 | %) | 6.71 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 3.16 | % (a) | 2.63 | % | 2.15 | % | 2.51 | % | 2.53 | % | 1.84 | % | |||||||||||
Total expenses | 0.91 | % (a) | 0.98 | % | 0.97 | % | 0.96 | % | 1.00 | % | 1.07 | % | |||||||||||
Expenses before offsets | 0.91 | % (a) | 0.98 | % | 0.97 | % | 0.96 | % | 0.95 | % | 0.95 | % | |||||||||||
Net expenses | 0.91 | % (a) | 0.98 | % | 0.97 | % | 0.96 | % | 0.95 | % | 0.95 | % | |||||||||||
Portfolio turnover | 5 | % | 28 | % | 12 | % | 16 | % | 24 | % | 77 | % | |||||||||||
Net assets, ending (in thousands) | $172,003 | $170,425 | $159,182 | $142,443 | $122,329 | $182,192 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
CLASS F SHARES | 2015 (z) | 2014 (z) | 2013 (z) | 2012 (z) | 2011 (z) | 2010 (z) | |||||||||||||||||
Net asset value, beginning | $78.93 | $86.41 | $73.19 | $65.66 | $76.90 | $73.19 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 1.20 | 2.03 | 1.49 | 1.80 | 1.67 | 1.33 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.46 | (7.74 | ) | 13.44 | 9.36 | (11.60 | ) | 3.42 | |||||||||||||||
Total from investment operations | 4.66 | (5.71 | ) | 14.93 | 11.16 | (9.93 | ) | 4.75 | |||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (1.77 | ) | (1.71 | ) | (3.63 | ) | (1.31 | ) | (1.04 | ) | ||||||||||||
Net realized gain | — | — | — | — | — | — | |||||||||||||||||
Total distributions | — | (1.77 | ) | (1.71 | ) | (3.63 | ) | (1.31 | ) | (1.04 | ) | ||||||||||||
Total increase (decrease) in net asset value | 4.66 | (7.48 | ) | 13.22 | 7.53 | (11.24 | ) | 3.71 | |||||||||||||||
Net asset value, ending | $83.59 | $78.93 | $86.41 | $73.19 | $65.66 | $76.90 | |||||||||||||||||
Total return* | 5.90 | % | (6.62 | %) | 20.47 | % | 17.05 | % | (12.90 | %) | 6.50 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 2.88 | % (a) | 2.37 | % | 1.85 | % | 2.66 | % | 2.24 | % | 1.86 | % | |||||||||||
Total expenses | 1.20 | % (a) | 1.32 | % | 1.26 | % | 1.25 | % | 1.25 | % | 1.30 | % | |||||||||||
Expenses before offsets | 1.19 | % (a) | 1.19 | % | 1.19 | % | 1.18 | % | 1.16 | % | 1.15 | % | |||||||||||
Net expenses | 1.19 | % (a) | 1.19 | % | 1.19 | % | 1.18 | % | 1.16 | % | 1.15 | % | |||||||||||
Portfolio turnover | 5 | % | 28 | % | 12 | % | 16 | % | 24 | % | 77 | % | |||||||||||
Net assets, ending (in thousands) | $3,858 | $3,926 | $3,131 | $2,150 | $6,429 | $7,152 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
38 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements are used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 39
FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
40 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP Investment Grade Bond Index Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 5
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., Subadvisor
Performance
For the six months ended June 30, 2015, the Calvert VP Investment Grade Bond Index Portfolio declined 0.20 percent compared with the Barclays U.S. Aggregate Bond Index, which declined 0.10 percent. The slight underperformance was due to operating expenses, which the Index does not incur.
Investment Process
The Portfolio employs a passive management approach in an effort to mirror, as closely as possible, the performance of the Barclays U.S. Aggregate Bond Index. However, with more than 9,000 securities in the Index, full replication is not feasible. Therefore, we use a stratified sampling strategy to create a portfolio of securities with similar characteristics to the Index, including duration1, sector allocation, and quality. Stratified sampling requires the Portfolio manager to select securities to represent each sector in the Index. Since the Barclays U.S. Aggregate Index is not an actual mutual fund, it is not possible to invest in it directly.
Market Review
With the anticipation of the beginning of interest rate increases by the U.S. Federal Reserve possibly as early as the fourth quarter of this year, the yield curve steepened. As a result, shorter duration securities outperformed during the period.
Portfolio Strategy
During the period, the securitized sector had the best returns, at 0.35 percent, largely on the strength of asset-backed securities. Corporates were the worst performers, producing a negative return of 0.92 percent as a result of their longer durations relative to other sectors and their spreads widening a modest 10-15 basis points over the period. Within corporates, higher quality securities outperformed as a result of the relatively more appreciable widening of spreads of lower-rated securities. The Treasury sector had slightly positive returns of 0.03 percent.
______________________________
1 Duration measures a portfolio’s sensitivity to changes in interest rates. Generally, the longer the duration, the greater the change in value in response to a given change in interest rates.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month* | -0.20 | % | ||
One year | 1.68 | % | ||
Five year | 3.15 | % | ||
Ten year | 4.27 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 0.50%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Outlook
We believe that markets will remain volatile and laser-focused on global economic data releases for hints as to when the Federal Reserve will begin raising short-term rates. Concerns about the decline in liquidity across the fixed-income markets will further increase volatility as investors and portfolio managers look for non-cash (derivative) alternative tools for risk positioning. While the Federal Reserve would like to slowly begin raising short-term rates in 2015, we would not be surprised if it held off until next year because of either conflicting data or global market events.
A small rate rise in late 2015 would not change our investment outlook. However, periods of de-risking in the face of expectations for higher rates could create very compressed periods of market stress. This could present attractive buying opportunities for portfolio managers in sectors and securities in which they have high conviction.
U.S. economic growth, as measured by GDP, will pick up strength in the second half, driven by improving home and auto sales, low energy prices, and an uptick in household spending, in our view. The latter will help offset any negative export drag resulting from the strong U.S. dollar. We will be closely monitoring the employment picture, in particular the labor force participation rate and aggregate income growth.
The Calvert fixed-income team feels strongly that it will be increasingly important to understand that markets are changing the way they assess a company’s future valuation and capital costs. Their assessments will be driven not only by factors that have an impact on a company’s own financial strength but also by the impacts a company’s business model and activities have on society as a whole.
Investment-grade corporate issuance is on pace to reach $1.3 trillion and surpass last year’s record issuance. Hedging-induced Treasury selling could further add to interest-rate market volatility for the remainder of 2015. As we get closer to a move by the Fed, the U.S. dollar most likely will continue to strengthen, even after its 7 percent appreciation versus the euro year-to-date.
July 2015
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Asset-Backed Securities | 0.6 | % | |
Basic Materials | 1.9 | % | |
Communications | 2.4 | % | |
Consumer, Cyclical | 1.6 | % | |
Consumer, Non-cyclical | 2.5 | % | |
Energy | 3.3 | % | |
Financials | 8.0 | % | |
Government | 44.7 | % | |
Industrials | 3.7 | % | |
Mortgage Securities | 28.9 | % | |
Short-Term Investments | 0.5 | % | |
Technology | 1.3 | % | |
Utilities | 0.6 | % | |
Total | 100 | % | |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 7
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.51% | $1,000.00 | $998.00 | $2.53 |
Hypothetical (5% return per year before expenses) | 0.51% | $1,000.00 | $1,022.27 | $2.56 |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
8 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENT OF NET ASSETS
JUNE 30, 2015
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
ASSET-BACKED SECURITIES - 0.6% | |||||
American Credit Acceptance Receivables Trust, 2.84%, 5/15/19 (e) | 88,380 | 88,740 | |||
Avis Budget Rental Car Funding AESOP LLC, 2.50%, 2/20/21 (e) | 150,000 | 149,823 | |||
Citibank Credit Card Issuance Trust, 1.02%, 2/22/19 | 75,000 | 74,965 | |||
MVW Owner Trust, 2.15%, 4/22/30 (e) | 54,674 | 54,830 | |||
Santander Drive Auto Receivables Trust, 1.94%, 3/15/18 | 75,000 | 75,331 | |||
Synchrony Credit Card Master Note Trust, 1.36%, 8/17/20 | 200,000 | 199,864 | |||
World Financial Network Credit Card Master Trust, 3.14%, 1/17/23 | 250,000 | 259,838 | |||
World Omni Auto Receivables Trust, 0.87%, 7/15/19 | 300,000 | 299,644 | |||
Total Asset-Backed Securities (Cost $1,201,625) | 1,203,035 | ||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.0% | |||||
Banc of America Commercial Mortgage Trust, 5.783%, 4/10/49 (r) | 550,000 | 575,395 | |||
Citigroup Commercial Mortgage Trust: | |||||
4.131%, 11/10/46 | 422,000 | 451,038 | |||
3.855%, 5/10/47 | 645,000 | 674,592 | |||
DBUBS Mortgage Trust: | |||||
3.386%, 7/10/44 (e) | 404,134 | 411,461 | |||
3.742%, 11/10/46 (e) | 786,264 | 794,890 | |||
Morgan Stanley Capital I Trust, 3.476%, 6/15/44 (e) | 490,396 | 498,503 | |||
UBS-Barclays Commercial Mortgage Trust, 2.85%, 12/10/45 | 625,000 | 618,854 | |||
Total Commercial Mortgage-Backed Securities (Cost $3,925,159) | 4,024,733 | ||||
CORPORATE BONDS- 25.1% | |||||
21st Century Fox America, Inc., 5.40%, 10/1/43 | 100,000 | 106,743 | |||
AbbVie, Inc., 2.90%, 11/6/22 | 200,000 | 193,660 | |||
Alcoa, Inc., 5.72%, 2/23/19 | 149,000 | 159,117 | |||
Alliance Mortgage Investments, Inc., 12.61%, 6/1/10 (b)(r)(x)* | 96,336 | — | |||
Amazon.com, Inc., 2.50%, 11/29/22 | 200,000 | 189,426 | |||
America Movil SAB de CV, 2.375%, 9/8/16 | 100,000 | 101,262 | |||
American International Group, Inc., 4.875%, 6/1/22 | 250,000 | 274,229 | |||
Amgen, Inc., 4.10%, 6/15/21 | 700,000 | 745,641 | |||
Anheuser-Busch InBev Finance, Inc.: | |||||
2.625%, 1/17/23 | 100,000 | 95,974 | |||
4.00%, 1/17/43 | 100,000 | 91,584 | |||
4.625%, 2/1/44 | 1,000,000 | 1,006,557 | |||
Apple, Inc., 3.85%, 5/4/43 | 1,100,000 | 1,001,198 | |||
AT&T, Inc.: | |||||
2.95%, 5/15/16 | 100,000 | 101,670 | |||
3.90%, 3/11/24 | 200,000 | 201,696 | |||
Australia & New Zealand Banking Group Ltd., 4.875%, 1/12/21 (e) | 800,000 | 898,145 |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 9
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
Bank of America Corp.: | |||||
5.25%, 12/1/15 | 200,000 | 203,480 | |||
5.65%, 5/1/18 | 250,000 | 274,627 | |||
4.125%, 1/22/24 | 300,000 | 307,461 | |||
Bank of America NA, 5.30%, 3/15/17 | 650,000 | 688,457 | |||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 100,000 | 96,192 | |||
Berkshire Hathaway Finance Corp.: | |||||
2.90%, 10/15/20 | 500,000 | 515,023 | |||
3.00%, 5/15/22 | 200,000 | 202,256 | |||
4.30%, 5/15/43 | 1,000,000 | 967,847 | |||
BNSF Funding Trust I, 6.613%, 12/15/55 (c)(r) | 540,000 | 616,918 | |||
BorgWarner, Inc., 5.75%, 11/1/16 | 500,000 | 527,522 | |||
Boston Properties LP, 3.85%, 2/1/23 | 100,000 | 102,397 | |||
BP Capital Markets plc, 2.50%, 11/6/22 | 500,000 | 475,334 | |||
CA, Inc., 5.375%, 12/1/19 | 200,000 | 222,633 | |||
Capital One Bank, 3.375%, 2/15/23 | 200,000 | 194,276 | |||
Chevron Corp., 3.191%, 6/24/23 | 100,000 | 100,475 | |||
Cigna Corp., 4.00%, 2/15/22 | 400,000 | 412,202 | |||
Cintas Corp. No. 2, 3.25%, 6/1/22 | 350,000 | 352,618 | |||
Citigroup, Inc.: | |||||
1.75%, 5/1/18 | 450,000 | 447,956 | |||
6.125%, 5/15/18 | 200,000 | 223,182 | |||
2.50%, 9/26/18 | 500,000 | 505,631 | |||
5.50%, 9/13/25 | 80,000 | 86,464 | |||
CNOOC Curtis Funding No. 1 Pty. Ltd., 4.50%, 10/3/23 (e) | 100,000 | 105,078 | |||
Colonial Pipeline Co., 6.58%, 8/28/32 (e) | 100,000 | 116,917 | |||
Comcast Corp., 3.125%, 7/15/22 | 100,000 | 99,522 | |||
Crown Castle Towers LLC, 4.883%, 8/15/20 (e) | 300,000 | 325,606 | |||
Cummins, Inc., 4.875%, 10/1/43 | 100,000 | 106,339 | |||
CVS Pass-Through Trust, 6.036%, 12/10/28 | 98,265 | 111,832 | |||
DDR Corp., 4.75%, 4/15/18 | 300,000 | 320,091 | |||
Deere & Co., 6.55%, 10/1/28 | 250,000 | 316,898 | |||
DIRECTV Holdings LLC, 5.20%, 3/15/20 | 200,000 | 220,583 | |||
Discover Financial Services, 3.85%, 11/21/22 | 200,000 | 198,579 | |||
Discovery Communications LLC, 5.05%, 6/1/20 | 200,000 | 219,020 | |||
Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21 | 75,000 | 76,795 | |||
Ecolab, Inc., 4.35%, 12/8/21 | 150,000 | 161,826 | |||
Emerson Electric Co., 4.75%, 10/15/15 | 200,000 | 202,339 | |||
Enbridge Energy Partners LP, 5.20%, 3/15/20 | 300,000 | 323,480 | |||
Energizer Holdings, Inc., 4.70%, 5/19/21 | 900,000 | 911,158 | |||
Energy Transfer Partners LP, 4.65%, 6/1/21 | 1,000,000 | 1,026,344 | |||
Ensco plc, 4.70%, 3/15/21 | 700,000 | 713,020 | |||
Enterprise Products Operating LLC, 7.034%, 1/15/68 (c)(r) | 400,000 | 430,000 | |||
Equifax, Inc., 3.30%, 12/15/22 | 450,000 | 447,600 | |||
ERP Operating LP, 4.625%, 12/15/21 | 100,000 | 109,088 | |||
Excalibur One 77B LLC, 1.492%, 1/1/25 | 36,476 | 35,459 |
10 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
Ford Motor Credit Co. LLC: | |||||
4.207%, 4/15/16 | 200,000 | 204,547 | |||
4.25%, 2/3/17 | 100,000 | 103,938 | |||
5.875%, 8/2/21 | 200,000 | 227,691 | |||
Freeport-McMoRan, Inc.: | |||||
3.10%, 3/15/20 | 100,000 | 98,592 | |||
5.45%, 3/15/43 | 50,000 | 41,743 | |||
GATX Corp., 4.85%, 6/1/21 | 900,000 | 986,448 | |||
General Electric Capital Corp., 4.625%, 1/7/21 | 100,000 | 110,100 | |||
General Electric Capital Corp. / LJ VP Holdings LLC, 3.80%, 6/18/19 (e) | 400,000 | 422,982 | |||
General Electric Co., 4.50%, 3/11/44 | 100,000 | 101,559 | |||
Genworth Holdings, Inc., 4.80%, 2/15/24 | 100,000 | 87,250 | |||
Gilead Sciences, Inc., 3.70%, 4/1/24 | 100,000 | 102,184 | |||
Glencore Finance Canada Ltd., 3.60%, 1/15/17 (e) | 125,000 | 128,303 | |||
Health Care REIT, Inc., 5.25%, 1/15/22 | 800,000 | 875,090 | |||
International Business Machines Corp.: | |||||
2.90%, 11/1/21 | 100,000 | 101,643 | |||
3.625%, 2/12/24 | 100,000 | 101,279 | |||
John Deere Capital Corp., 1.20%, 10/10/17 | 250,000 | 249,667 | |||
JPMorgan Chase & Co.: | |||||
2.35%, 1/28/19 | 300,000 | 301,156 | |||
4.50%, 1/24/22 | 400,000 | 428,669 | |||
3.375%, 5/1/23 | 700,000 | 679,713 | |||
Kennametal, Inc., 2.65%, 11/1/19 | 950,000 | 944,151 | |||
Kern River Funding Corp., 6.676%, 7/31/16 (e) | 20,794 | 21,668 | |||
Kimco Realty Corp., 4.30%, 2/1/18 | 300,000 | 318,856 | |||
Kraft Foods Group, Inc., 3.50%, 6/6/22 | 100,000 | 100,245 | |||
L-3 Communications Corp.: | |||||
5.20%, 10/15/19 | 400,000 | 433,446 | |||
4.75%, 7/15/20 | 800,000 | 844,324 | |||
Laboratory Corporation of America Holdings, 4.00%, 11/1/23 | 100,000 | 102,103 | |||
Liberty Property LP, 3.375%, 6/15/23 | 350,000 | 338,097 | |||
Life Technologies Corp., 6.00%, 3/1/20 | 100,000 | 112,486 | |||
Lowe’s Co.’s, Inc., 3.875%, 9/15/23 | 100,000 | 106,131 | |||
LYB International Finance BV, 5.25%, 7/15/43 | 100,000 | 101,871 | |||
LyondellBasell Industries NV, 6.00%, 11/15/21 | 100,000 | 114,466 | |||
MetLife, Inc., 4.875%, 11/13/43 | 100,000 | 103,786 | |||
Molson Coors Brewing Co., 5.00%, 5/1/42 | 100,000 | 97,351 | |||
Morgan Stanley: | |||||
2.125%, 4/25/18 | 300,000 | 302,027 | |||
4.10%, 5/22/23 | 500,000 | 500,935 | |||
5.00%, 11/24/25 | 150,000 | 157,029 | |||
NBCUniversal Media LLC: | |||||
2.875%, 1/15/23 | 100,000 | 97,113 | |||
4.45%, 1/15/43 | 200,000 | 192,219 | |||
NetApp, Inc., 3.25%, 12/15/22 | 100,000 | 94,708 | |||
Northrop Grumman Corp., 3.25%, 8/1/23 | 150,000 | 146,952 | |||
NYSE Holdings LLC, 2.00%, 10/5/17 | 450,000 | 455,408 |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 11
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
Oracle Corp.: | |||||
5.75%, 4/15/18 | 250,000 | 278,146 | |||
2.375%, 1/15/19 | 900,000 | 913,378 | |||
PacifiCorp, 4.10%, 2/1/42 | 100,000 | 95,726 | |||
Pearson Funding Two plc, 4.00%, 5/17/16 (e) | 250,000 | 255,879 | |||
PepsiCo, Inc., 2.75%, 3/5/22 | 100,000 | 99,747 | |||
Petroleos Mexicanos, 6.375%, 1/23/45 | 1,000,000 | 1,026,250 | |||
Pfizer, Inc., 4.40%, 5/15/44 | 1,000,000 | 986,522 | |||
Pioneer Natural Resources Co., 5.875%, 7/15/16 | 250,000 | 261,267 | |||
PNC Bank NA, 2.70%, 11/1/22 | 850,000 | 818,050 | |||
Prologis LP, 6.875%, 3/15/20 | 37,000 | 42,741 | |||
Public Service Electric & Gas Co., 3.95%, 5/1/42 | 1,000,000 | 948,622 | |||
Regions Bank, 7.50%, 5/15/18 | 100,000 | 114,783 | |||
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 200,000 | 196,749 | |||
Rio Tinto Finance USA Ltd.: | |||||
2.25%, 9/20/16 | 400,000 | 405,892 | |||
3.75%, 9/20/21 | 400,000 | 414,528 | |||
Rio Tinto Finance USA plc, 3.50%, 3/22/22 | 150,000 | 151,284 | |||
Sanofi SA, 1.25%, 4/10/18 | 100,000 | 99,633 | |||
Shell International Finance BV: | |||||
2.25%, 1/6/23 | 200,000 | 189,069 | |||
4.125%, 5/11/35 | 1,350,000 | 1,321,541 | |||
4.55%, 8/12/43 | 100,000 | 102,183 | |||
Stanley Black & Decker, Inc., 2.90%, 11/1/22 | 650,000 | 639,373 | |||
Teck Resources Ltd., 4.75%, 1/15/22 | 500,000 | 464,573 | |||
Telefonica Emisiones SAU, 3.992%, 2/16/16 | 100,000 | 101,719 | |||
Texas Eastern Transmission LP, 2.80%, 10/15/22 (e) | 400,000 | 374,369 | |||
The Bank of New York Mellon Corp.: | |||||
2.40%, 1/17/17 | 1,050,000 | 1,070,695 | |||
1.30%, 1/25/18 | 850,000 | 846,939 | |||
The Connecticut Light & Power Co., 5.65%, 5/1/18 | 200,000 | 223,000 | |||
The Dow Chemical Co., 4.375%, 11/15/42 | 100,000 | 91,101 | |||
The Goldman Sachs Group, Inc.: | |||||
5.35%, 1/15/16 | 200,000 | 204,770 | |||
2.375%, 1/22/18 | 200,000 | 203,042 | |||
2.625%, 1/31/19 | 200,000 | 202,475 | |||
5.375%, 3/15/20 | 150,000 | 167,028 | |||
4.00%, 3/3/24 | 500,000 | 508,724 | |||
The Hartford Financial Services Group, Inc., 5.125%, 4/15/22 | 100,000 | 110,903 | |||
The Hershey Co., 1.50%, 11/1/16 | 50,000 | 50,531 | |||
The Kroger Co., 3.85%, 8/1/23 | 100,000 | 102,574 | |||
The Mosaic Co., 5.625%, 11/15/43 | 400,000 | 426,165 | |||
The Toronto-Dominion Bank, 2.375%, 10/19/16 | 100,000 | 101,888 | |||
The Valspar Corp., 4.20%, 1/15/22 | 300,000 | 312,237 | |||
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 500,000 | 508,961 |
12 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
Time Warner, Inc.: | |||||
4.875%, 3/15/20 | 100,000 | 109,121 | |||
4.00%, 1/15/22 | 290,000 | 296,827 | |||
5.375%, 10/15/41 | 100,000 | 102,579 | |||
4.90%, 6/15/42 | 200,000 | 196,807 | |||
Toyota Motor Credit Corp., 2.05%, 1/12/17 | 100,000 | 101,585 | |||
TransContinental Gas Pipe Line Co. LLC, 4.45%, 8/1/42 | 100,000 | 83,780 | |||
United Parcel Service, Inc., 6.20%, 1/15/38 | 250,000 | 312,514 | |||
United Technologies Corp., 4.50%, 6/1/42 | 100,000 | 101,590 | |||
Vale Overseas Ltd., 4.375%, 1/11/22 | 500,000 | 488,476 | |||
Ventas Realty LP / Ventas Capital Corp., 3.25%, 8/15/22 | 250,000 | 241,453 | |||
Verizon Communications, Inc.: | |||||
5.15%, 9/15/23 | 300,000 | 328,452 | |||
5.05%, 3/15/34 | 200,000 | 201,346 | |||
6.55%, 9/15/43 | 350,000 | 409,414 | |||
Viacom, Inc., 3.875%, 4/1/24 | 100,000 | 97,915 | |||
Wal-Mart Stores, Inc.: | |||||
2.55%, 4/11/23 | 100,000 | 96,554 | |||
6.50%, 8/15/37 | 250,000 | 321,278 | |||
WPP Finance 2010, 3.75%, 9/19/24 | 1,000,000 | 996,762 | |||
Yum! Brands, Inc., 3.75%, 11/1/21 | 1,000,000 | 1,006,662 | |||
Zoetis, Inc., 4.70%, 2/1/43 | 100,000 | 95,342 | |||
Total Corporate Bonds (Cost $50,450,586) | 51,326,867 | ||||
MUNICIPAL OBLIGATIONS- 0.5% | |||||
New York City GO Bonds, 3.60%, 8/1/28 | 1,000,000 | 969,060 | |||
Owen Withee Wisconsin School District GO Bonds, 5.64%, 3/1/16 | 20,000 | 20,522 | |||
Total Municipal Obligations (Cost $1,008,021) | 989,582 | ||||
SOVEREIGN GOVERNMENT BONDS - 0.5% | |||||
Mexico Government International Bond, 5.55%, 1/21/45 | 500,000 | 531,875 | |||
Province of Ontario Canada, 2.45%, 6/29/22 | 400,000 | 400,342 | |||
Province of Quebec Canada, 2.625%, 2/13/23 | 75,000 | 75,432 | |||
Total Sovereign Government Bonds (Cost $971,045) | 1,007,649 | ||||
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 8.2% | |||||
Fannie Mae: | |||||
4.875%, 12/15/16 | 1,000,000 | 1,062,941 | |||
6.25%, 5/15/29 | 1,300,000 | 1,775,843 | |||
Federal Home Loan Bank, 4.875%, 5/17/17 | 1,000,000 | 1,078,067 | |||
Freddie Mac: | |||||
2.00%, 8/25/16 | 1,000,000 | 1,017,723 | |||
5.00%, 2/16/17 | 1,000,000 | 1,070,846 | |||
5.125%, 11/17/17 | 1,000,000 | 1,100,215 | |||
4.875%, 6/13/18 | 3,500,000 | 3,887,215 |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 13
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
3.75%, 3/27/19 | 3,200,000 | 3,476,573 | |||
2.375%, 1/13/22 | 500,000 | 506,235 | |||
6.75%, 3/15/31 | 1,300,000 | 1,863,519 | |||
Total U.S. Government Agencies and Instrumentalities (Cost $16,259,765) | 16,839,177 | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 26.7% | |||||
Fannie Mae: | |||||
5.00%, 12/1/16 | 46,557 | 48,736 | |||
5.00%, 11/1/17 | 11,479 | 12,017 | |||
5.50%, 8/1/18 | 47,709 | 49,865 | |||
6.50%, 4/1/23 | 43,078 | 44,682 | |||
2.50%, 12/1/27 | 673,010 | 676,706 | |||
4.50%, 5/1/31 | 579,568 | 630,133 | |||
6.50%, 8/1/32 | 73,492 | 84,399 | |||
5.50%, 7/1/33 | 168,122 | 190,251 | |||
5.50%, 7/1/33 | 70,696 | 79,713 | |||
6.00%, 8/1/33 | 20,044 | 22,737 | |||
5.50%, 11/1/33 | 93,619 | 105,677 | |||
5.50%, 3/1/34 | 165,944 | 186,644 | |||
6.00%, 6/1/34 | 103,632 | 118,475 | |||
5.00%, 7/1/34 | 165,490 | 183,558 | |||
5.00%, 10/1/34 | 158,011 | 174,710 | |||
5.50%, 3/1/35 | 187,931 | 211,609 | |||
5.50%, 6/1/35 | 73,128 | 82,012 | |||
5.50%, 9/1/35 | 91,033 | 102,377 | |||
5.50%, 2/1/36 | 39,077 | 43,911 | |||
5.50%, 4/1/36 | 221,908 | 242,508 | |||
6.50%, 9/1/36 | 105,334 | 120,966 | |||
5.50%, 11/1/36 | 63,388 | 71,118 | |||
6.00%, 8/1/37 | 739,258 | 841,170 | |||
6.00%, 5/1/38 | 78,107 | 88,550 | |||
5.50%, 6/1/38 | 92,131 | 104,241 | |||
6.00%, 7/1/38 | 407,791 | 466,235 | |||
2.257%, 9/1/38(r) | 328,389 | 350,652 | |||
4.00%, 3/1/39 | 144,700 | 153,321 | |||
4.50%, 5/1/40 | 671,106 | 730,729 | |||
4.50%, 7/1/40 | 294,039 | 318,728 | |||
4.50%, 10/1/40 | 1,194,182 | 1,293,166 | |||
3.50%, 2/1/41 | 788,841 | 814,991 | |||
3.50%, 3/1/41 | 813,808 | 840,788 | |||
4.00%, 3/1/41 | 465,273 | 495,542 | |||
4.50%, 6/1/41 | 1,317,909 | 1,425,241 | |||
3.50%, 3/1/42 | 1,434,202 | 1,482,644 | |||
4.00%, 8/1/42 | 1,170,694 | 1,249,246 | |||
3.50%, 12/1/42 | 1,547,775 | 1,600,120 | |||
2.50%, 1/1/43 | 1,217,415 | 1,169,265 | |||
3.00%, 1/1/43 | 1,703,426 | 1,705,710 | |||
3.00%, 5/1/43 | 2,436,928 | 2,439,435 |
14 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
3.00%, 8/1/43 | 1,887,093 | 1,887,871 | |||
3.00%, 8/1/43 | 2,916,698 | 2,917,898 | |||
3.50%, 8/1/43 | 1,744,501 | 1,800,557 | |||
4.50%, 11/1/43 | 2,037,942 | 2,205,519 | |||
4.00%, 5/1/44 | 3,011,356 | 3,190,752 | |||
4.50%, 11/1/44 | 1,925,912 | 2,087,937 | |||
Freddie Mac: | |||||
4.50%, 9/1/18 | 49,725 | 51,786 | |||
5.00%, 11/1/20 | 63,351 | 67,547 | |||
4.00%, 3/1/25 | 570,376 | 603,186 | |||
3.50%, 11/1/25 | 556,210 | 587,507 | |||
3.50%, 7/1/26 | 426,000 | 450,023 | |||
2.50%, 3/1/28 | 229,292 | 234,239 | |||
5.00%, 2/1/33 | 46,040 | 50,632 | |||
5.00%, 4/1/35 | 76,874 | 85,234 | |||
5.00%, 12/1/35 | 169,446 | 187,040 | |||
6.00%, 8/1/36 | 53,833 | 61,350 | |||
5.00%, 10/1/36 | 318,609 | 351,213 | |||
6.50%, 10/1/37 | 61,123 | 65,827 | |||
5.00%, 1/1/38 | 580,763 | 638,582 | |||
5.00%, 7/1/39 | 230,577 | 254,829 | |||
4.00%, 11/1/39 | 638,362 | 677,112 | |||
4.50%, 1/1/40 | 286,981 | 310,558 | |||
5.00%, 1/1/40 | 1,074,950 | 1,193,802 | |||
4.50%, 4/1/40 | 706,427 | 765,140 | |||
6.00%, 4/1/40 | 131,827 | 149,171 | |||
4.50%, 5/1/40 | 234,328 | 253,082 | |||
4.50%, 5/1/40 | 508,213 | 549,193 | |||
4.50%, 6/1/41 | 395,348 | 428,148 | |||
3.50%, 10/1/41 | 958,072 | 987,552 | |||
3.00%, 7/1/42 | 485,273 | 483,941 | |||
3.50%, 7/1/42 | 1,169,523 | 1,205,997 | |||
3.00%, 1/1/43 | 1,562,804 | 1,558,512 | |||
4.50%, 9/1/44 | 1,330,824 | 1,438,914 | |||
Ginnie Mae: | |||||
4.50%, 7/20/33 | 325,658 | 354,393 | |||
5.50%, 7/20/34 | 139,012 | 158,594 | |||
6.00%, 11/20/37 | 181,059 | 208,071 | |||
6.00%, 10/15/38 | 833,866 | 953,243 | |||
5.00%, 12/15/38 | 330,960 | 367,143 | |||
5.00%, 5/15/39 | 427,754 | 481,857 | |||
5.00%, 10/15/39 | 632,657 | 712,680 | |||
4.00%, 12/20/40 | 1,277,526 | 1,381,146 | |||
4.00%, 11/20/41 | 139,936 | 149,802 | |||
4.00%, 8/20/42 | 1,001,482 | 1,066,143 | |||
Total U.S. Government Agency Mortgage-Backed Securities (Cost $53,554,273) | 54,666,301 | ||||
U.S. TREASURY OBLIGATIONS - 35.2% |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 15
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
United States Treasury Bonds: | |||||
8.125%, 5/15/21 | 1,000,000 | 1,349,844 | |||
8.00%, 11/15/21 | 1,000,000 | 1,365,000 | |||
6.25%, 8/15/23 | 1,000,000 | 1,305,234 | |||
5.375%, 2/15/31 | 2,000,000 | 2,688,594 | |||
3.875%, 8/15/40 | 1,000,000 | 1,142,031 | |||
4.375%, 5/15/41 | 2,000,000 | 2,471,876 | |||
3.125%, 11/15/41 | 1,000,000 | 1,006,797 | |||
3.00%, 5/15/42 | 1,000,000 | 979,766 | |||
3.75%, 11/15/43 | 1,045,000 | 1,175,462 | |||
3.125%, 8/15/44 | 1,600,000 | 1,602,626 | |||
United States Treasury Notes: | |||||
4.50%, 11/15/15 | 200,000 | 203,250 | |||
2.00%, 1/31/16 | 1,500,000 | 1,515,938 | |||
2.375%, 3/31/16 | 1,000,000 | 1,015,938 | |||
0.375%, 4/30/16 | 1,045,000 | 1,045,735 | |||
2.00%, 4/30/16 | 2,000,000 | 2,028,124 | |||
1.50%, 7/31/16 | 1,000,000 | 1,012,188 | |||
4.875%, 8/15/16 | 2,000,000 | 2,100,312 | |||
2.75%, 11/30/16 | 1,000,000 | 1,032,109 | |||
0.875%, 1/31/17 | 7,400,000 | 7,441,048 | |||
3.00%, 2/28/17 | 1,000,000 | 1,040,703 | |||
0.875%, 4/15/17 | 520,000 | 522,762 | |||
4.50%, 5/15/17 | 2,000,000 | 2,144,688 | |||
2.375%, 7/31/17 | 2,000,000 | 2,069,532 | |||
1.875%, 9/30/17 | 2,000,000 | 2,050,624 | |||
4.25%, 11/15/17 | 1,000,000 | 1,081,328 | |||
2.625%, 1/31/18 | 1,000,000 | 1,045,078 | |||
3.50%, 2/15/18 | 2,000,000 | 2,135,312 | |||
2.375%, 5/31/18 | 1,000,000 | 1,040,234 | |||
4.00%, 8/15/18 | 2,000,000 | 2,184,688 | |||
3.75%, 11/15/18 | 1,000,000 | 1,086,172 | |||
1.625%, 3/31/19 | 947,000 | 958,319 | |||
3.125%, 5/15/19 | 2,000,000 | 2,134,218 | |||
3.625%, 8/15/19 | 1,000,000 | 1,088,594 | |||
1.00%, 8/31/19 | 2,000,000 | 1,965,312 | |||
3.375%, 11/15/19 | 1,100,000 | 1,187,570 | |||
3.625%, 2/15/20 | 1,000,000 | 1,092,109 | |||
1.125%, 4/30/20 | 1,000,000 | 977,031 | |||
2.625%, 8/15/20 | 2,000,000 | 2,091,406 | |||
2.625%, 11/15/20 | 1,000,000 | 1,044,453 | |||
3.625%, 2/15/21 | 1,000,000 | 1,097,109 | |||
2.25%, 3/31/21 | 200,000 | 204,312 | |||
3.125%, 5/15/21 | 500,000 | 534,805 | |||
1.75%, 5/15/22 | 1,000,000 | 980,703 | |||
1.625%, 11/15/22 | 1,000,000 | 966,641 | |||
2.75%, 11/15/23 | 1,000,000 | 1,039,531 | |||
2.75%, 2/15/24 | 3,000,000 | 3,114,609 |
16 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | ||||
2.25%, 11/15/24 | 2,000,000 | 1,987,812 | |||
2.00%, 2/15/25 | 700,000 | 680,093 | |||
Total U.S. Treasury Obligations (Cost $70,301,914) | 72,027,620 | ||||
TIME DEPOSIT - 0.5% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 982,636 | 982,636 | |||
Total Time Deposit (Cost $982,636) | 982,636 | ||||
TOTAL INVESTMENTS (Cost $198,655,024) - 99.3% | 203,067,600 | ||||
Other assets and liabilities, net - 0.7% | 1,432,902 | ||||
NET ASSETS - 100% | $204,500,502 | ||||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 3,732,381 shares of common stock outstanding; | |||
$0.10 par value, 20,000,000 shares authorized | $201,635,269 | ||
Undistributed net investment income | 2,479,822 | ||
Accumulated net realized gain (loss) | (4,027,165) | ||
Net unrealized appreciation (depreciation) | 4,412,576 | ||
NET ASSETS | $204,500,502 | ||
NET ASSET VALUE PER SHARE | $54.79 | ||
* | Non-income producing security. |
(b) | This security was valued under the direction of the Board of Directors. See Note A. |
(c) | The coupon rate changes periodically based upon a predetermined schedule. The interest rate disclosed is that which is in effect on June 30, 2015. |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(r) | The coupon rate shown on floating or adjustable rate securities represents the rate in effect on June 30, 2015. |
(x) | Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. |
Abbreviations: | |
GO: | General Obligation |
LLC: | Limited Liability Corporation |
LP: | Limited Partnership |
plc: | Public Limited Company |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 17
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Interest income | $2,723,627 | ||
Total investment income | 2,723,627 | ||
Expenses: | |||
Investment advisory fee | 309,450 | ||
Administrative fees | 103,150 | ||
Transfer agency fees and expenses | 9,324 | ||
Directors’ fees and expenses | 17,622 | ||
Accounting fees | 19,611 | ||
Custodian fees | 29,012 | ||
Professional fees | 23,745 | ||
Reports to shareholders | 13,410 | ||
Miscellaneous | 2,048 | ||
Total expenses | 527,372 | ||
NET INVESTMENT INCOME | 2,196,255 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on investments | 168,926 | ||
Change in unrealized appreciation (depreciation) on investments | (2,677,849) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (2,508,923) | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | ($312,668 | ) | |
See notes to financial statements. |
18 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $2,196,255 | $4,493,498 | |||||
Net realized gain (loss) | 168,926 | 628,500 | |||||
Change in unrealized appreciation (depreciation) | (2,677,849) | 6,885,546 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (312,668) | 12,007,544 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (5,135,063) | |||||
Net realized gain | — | — | |||||
Total distributions | — | (5,135,063) | |||||
Capital share transactions: | |||||||
Shares sold | 9,051,469 | 18,293,381 | |||||
Reinvestment of distributions | — | 5,135,063 | |||||
Shares issued from merger (See Note E) | — | 43,577,155 | |||||
Shares redeemed | (16,168,227) | (61,581,147) | |||||
Total capital share transactions | (7,116,758) | 5,424,452 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (7,429,426) | 12,296,933 | |||||
NET ASSETS | |||||||
Beginning of period | 211,929,928 | 199,632,995 | |||||
End of period (including undistributed net investment income of $2,479,822 and $283,567, respectively) | $204,500,502 | $211,929,928 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 163,892 | 332,134 | |||||
Reinvestment of distributions | — | 93,603 | |||||
Shares issued from merger (See Note E) | — | 793,764 | |||||
Shares redeemed | (291,664) | (1,118,449) | |||||
Total capital share activity | (127,772) | 101,052 | |||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP Investment Grade Bond Index Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, sovereign government bonds, and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy. For asset-backed securities, commercial mortgage-backed securities, and U.S. government agency mortgage-backed securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. For municipal securities, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and such securities are generally categorized as Level 2 in the hierarchy.
20 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, securities valued at $0, or 0% of net assets, were fair valued in good faith under the direction of the Board.
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES* | Level 1 | Level 2 | Level 3 | Total | ||||||||
Asset-Backed Securities | $— | $1,203,035 | $— | $1,203,035 | ||||||||
Commercial Mortgage-Backed Securities | — | 4,024,733 | — | 4,024,733 | ||||||||
Corporate Bonds | — | 51,326,867 | ** | 51,326,867 | ||||||||
Municipal Obligations | — | 989,582 | — | 989,582 | ||||||||
Sovereign Government Bonds | — | 1,007,649 | — | 1,007,649 | ||||||||
U.S. Government Agencies and Instrumentalities | — | 16,839,177 | — | 16,839,177 | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 54,666,301 | — | 54,666,301 | ||||||||
U.S. Treasury Obligations | — | 72,027,620 | — | 72,027,620 | ||||||||
Time Deposit | 982,636 | 982,636 | ||||||||||
TOTAL | $— | $203,067,600 | $** | $203,067,600 |
* For a complete listing of investments, please refer to the Statement of Net Assets.
** Level 3 securities are valued at $0 and represent 0.0% of net assets.
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Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .30%, of the Portfolio’s average daily net assets. Under the terms of the agreement, $50,197 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is .60%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit acquired fund fees and expenses, if any.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $16,732 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $7,860 for the six months ended June 30, 2015. Under the terms of the agreement, $1,282 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than U.S. government and short-term securities, were $2,340,144 and $2,473,646, respectively. U.S. government security purchases and sales were $3,573,059 and $8,194,307, respectively.
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CAPITAL LOSS CARRYFORWARD
EXPIRATION DATE | |||
31-Dec-15 | ($947,599 | ) | |
31-Dec-16 | (1,654,294) | ||
31-Dec-17 | (175,128) |
NO EXPIRATION DATE | |||
Short-term | ($199,619 | ) | |
Long-term | (667,515) |
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred in taxable years beginning after December 22, 2010 can be carried forward to offset future capital gains for an unlimited period. These losses are required to be utilized prior to the losses incurred in pre-enactment taxable years and will retain their character as either long-term or short-term. Capital losses incurred in pre-enactment taxable years can be utilized until expiration. The Portfolio’s use of net capital losses acquired from reorganizations may be limited under certain tax provisions.
As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $4,994,630 | ||
Unrealized (depreciation) | (1,133,990) | ||
Net unrealized appreciation/(depreciation) | $3,860,640 | ||
Federal income tax cost of investments | $199,206,960 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — REORGANIZATION
On June 4, 2014, the Board of Directors of Calvert Variable Products, Inc. approved the reorganization of the Calvert VP Inflation Protected Plus Portfolio (“VP Inflation”) into the Calvert VP Investment Grade Bond Index Portfolio (“VP Bond Index”). Shareholders approved the reorganization at a meeting on October 31, 2014 and the reorganization took place on November 14, 2014.
The acquisition was accomplished by a taxable exchange of the following shares:
Merged Portfolio | Shares | Acquiring Portfolio | Shares | Value |
VP INFLATION | 211,356 | VP BOND INDEX | 201,744 | $11,267,111 |
For financial reporting purposes, assets received and shares issued by VP Bond Index were recorded at fair value.
The net assets immediately before the acquisitions were as follows:
Merged Portfolio | Net Assets | Acquiring Portfolio | Net Assets |
VP INFLATION | $11,267,111 | VP BOND INDEX | $203,877,715 |
Assuming the acquisition had been completed on January 1, 2014, VP Bond Index’s results of operations for the year ended December 31, 2014 would have been as follows:
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Net investment income | $5,376,920 (a) | ||
Net realized and change in unrealized gain (loss) on investments | $11,081,684 (b) | ||
Net increase (decrease) in assets from operations | $16,458,604 |
Because VP Bond Index and VP Inflation sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of VP Inflation that have been included in VP Bond Index’s Statement of Operations since November 14, 2014.
(a) $4,493,498 as reported, plus $883,422 from VP Inflation pre-merger.
(b) $7,514,046 as reported plus $3,567,688 from VP Inflation pre-merger.
On December 11, 2013, the Board of Directors of Calvert Variable Products, Inc. approved the reorganization of the Calvert VP Income Portfolio (“VP Income”) into the Calvert VP Investment Grade Bond Index Portfolio (“VP Bond Index”). Shareholders approved the reorganization at a meeting on April 11, 2014 and the reorganization took place on April 30, 2014.
The acquisition was accomplished by a tax-free exchange of the following shares:
Merged Portfolio | Shares | Acquiring Portfolio | Shares | Value |
VP INCOME | 1,995,827 | VP BOND INDEX | 592,020 | $32,310,044 |
For financial reporting purposes, assets received and shares issued by VP Bond Index were recorded at fair value; however, the cost basis of the investments received from VP Income were carried forward to align ongoing reporting of VP Bond Index’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The net assets and net unrealized appreciation (depreciation) immediately before the acquisitions were as follows:
Merged Portfolio | Net Assets | Unrealized Appreciation (Depreciation) | Acquiring Portfolio | Net Assets |
VP INCOME | $32,310,044 | $552,102 | VP BOND INDEX | $200,923,845 |
Assuming the acquisition had been completed on January 1, 2014, VP Bond Index’s results of operations for the year ended December 31, 2014 would have been as follows:
Net investment income | $4,792,097 (a) | ||
Net realized and change in unrealized gain (loss) on investments | $8,348,371 (b) | ||
Net increase (decrease) in assets from operations | $13,140,468 |
Because VP Bond Index and VP Income sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of VP Income that have been included in VP Bond Index’s Statement of Operations since April 30, 2014.
(a) $4,493,498 as reported, plus $298,599 from VP Income pre-merger.
(b) $7,514,046 as reported, plus $834,325 from VP Income pre-merger.
NOTE F — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
2015 (z) | 2014 | 2013 | 2012 | 2011 (z) | 2010 (z) | ||||||||||||||||||
Net asset value, beginning | $54.90 | $53.11 | $56.06 | $55.50 | $52.80 | $50.82 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.58 | 1.19 | 1.03 | 1.08 | 1.42 | 1.56 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.69 | ) | 1.96 | (2.59 | ) | 1.04 | 3.01 | 1.67 | |||||||||||||||
Total from investment operations | (0.11 | ) | 3.15 | (1.56 | ) | 2.12 | 4.43 | 3.23 | |||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (1.36 | ) | (1.31 | ) | (1.28 | ) | (1.35 | ) | (1.08 | ) | ||||||||||||
Net realized gain | — | — | (0.08 | ) | (0.28 | ) | (0.38 | ) | (0.17 | ) | |||||||||||||
Total distributions | — | (1.36 | ) | (1.39 | ) | (1.56 | ) | (1.73 | ) | (1.25 | ) | ||||||||||||
Total increase (decrease) in net asset value | (0.11 | ) | 1.79 | (2.95 | ) | 0.56 | 2.70 | 1.98 | |||||||||||||||
Net asset value, ending | $54.79 | $54.90 | $53.11 | $56.06 | $55.50 | $52.80 | |||||||||||||||||
Total return* | (0.20 | %) | 5.93 | % | (2.80 | %) | 3.83 | % | 8.39 | % | 6.37 | % | |||||||||||
Ratios to average net assets: A | |||||||||||||||||||||||
Net investment income | 2.13 | % (a) | 2.17 | % | 1.84 | % | 2.07 | % | 2.58 | % | 2.89 | % | |||||||||||
Total expenses | 0.51 | % (a) | 0.50 | % | 0.50 | % | 0.49 | % | 0.50 | % | 0.53 | % | |||||||||||
Expenses before offsets | 0.51 | % (a) | 0.50 | % | 0.50 | % | 0.49 | % | 0.50 | % | 0.53 | % | |||||||||||
Net expenses | 0.51 | % (a) | 0.50 | % | 0.50 | % | 0.49 | % | 0.50 | % | 0.52 | % | |||||||||||
Portfolio turnover | 3 | % | 24 | % | 41 | % | 43 | % | 40 | % | 99 | % | |||||||||||
Net assets, ending (in thousands) | $204,501 | $211,930 | $199,633 | $203,442 | $168,830 | $109,616 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
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EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements are used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
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FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP Natural Resources Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP NATURAL RESOURCES PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
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CALVERT VP NATURAL RESOURCES PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., Subadvisor
Performance
In the six months ended June 30, 2015, the Portfolio declined 3.98 percent compared with its benchmark, the S&P 500, which rose 1.23 percent. The more relevant secondary custom benchmark, a blend of 35 percent Bloomberg Commodity Index Total Return and 65 percent S&P North American Natural Resources Sector Index, against which the Portfolio is managed, declined 3.11 percent. Portfolio operating expenses accounted for about half of the performance shortfall relative to the custom benchmark. The other half of the shortfall was caused by an overweight in energy-related exposures.
Investment Process
The Portfolio managers use a fund of funds approach, investing in a basket of exchange-traded funds (ETFs) and exchange-traded notes (ETNs) that track various commodity, natural resources, raw materials, real estate, and utility indices.
Market Review
The supply and demand forces affecting energy prices have a major impact on the Portfolio’s overall performance over the long term. After partially recovering and then retrenching in the first quarter, oil prices again appreciated and leveled off in the second quarter, with West Texas Intermediate hovering around the $60/barrel mark. During the period, the performance of energy stocks and the underlying commodity prices diverged, with short-dated energy commodity futures generally outperforming both longer-dated futures and energy-related common stocks.
Portfolio Strategy
Early in the period, anticipating a broad energy market recovery, we moved to an overweight in energy stocks and longer-dated commodities. Energy stocks represented about 55 percent of the custom benchmark and by the end of the period, energy in total represented about two-thirds (68.6 percent) of the Portfolio. While we correctly anticipated the oil price recovery, energy stocks did not recover as aggressively as oil prices did in the second quarter and short-dated rather than long-dated commodities offered the strongest performance in the period. Short-dated commodities can be more expensive to hold because of the need to continually roll futures—replacing contracts as they approach delivery date with longer-dated contracts. During periods of sharp price adjustments, however, they can have the strongest performance moves.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month** | -3.98 | % | ||
One year | -24.32 | % | ||
Five year | 0.35 | % | ||
Since inception (12/28/2006) | -1.71 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 1.25% (includes Acquired Fund fees). This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * The Natural Resources Composite benchmark is an internally constructed index comprised of a blend of 35% Bloomberg Commodity Index and 65% S&P North American Sector/Natural Resources Index. ** Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP NATURAL RESOURCES PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Also during the period, we raised cash by reducing our modest grain overweight to only a slight overweight. Grain prices had recovered during 2014 and we viewed the holdings as a source of cash for adding to the depressed energy sector. Our overweight to the subsector modestly benefited performance as grains proved to be the strongest performing subsector in the period. Our grain ETF, iPath Bloomberg Grains Subindex Total Return ETN, returned 1.04 percent and was the only holding with a positive return.
Our underweight to the metals and mining subsector, the weakest performer, also modestly benefited the Portfolio’s performance. Nevertheless, company exposures supporting the energy sector as well as sensitivity to China’s economy weighed on the holdings of the metals and mining ETF, which declined 20.7 percent. The positive impact of the underweight to metals and mining was largely offset by a slight overweight to steel stocks.
Outlook
We continue to hold a positive outlook on energy over the longer term and to expect short-term market volatility.
We are maintaining our overweight exposure to energy stocks and long-dated energy commodities as we anticipate they will offer attractive performance relative to short-dated energy commodities. It appears the near-term recovery in energy prices may have moderated, and if so, our positioning should be beneficial.
July 2015
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Metals Stocks | 3.7 | % | |
Energy Stocks | 60.8 | % | |
Industry Stocks | 1.8 | % | |
Steel and Other Stocks | 1.0 | % | |
Energy Commodities | 7.8 | % | |
Grain Commodities | 8.4 | % | |
Industrial Metals Commodities | 6.3 | % | |
Precious Metals Commodities | 6.0 | % | |
Soft Commodities | 2.6 | % | |
Livestock Commodities | 1.6 | % | |
Total | 100 | % | |
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SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.79% | $1,000.00 | $960.20 | $3.84 |
Hypothetical (5% return per year before expenses) | 0.79% | $1,000.00 | $1,020.88 | $3.96 |
* Expenses are equal to the Portfolio’s annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratio. |
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STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EXCHANGE-TRADED PRODUCTS - 99.3% | |||||
Energy Select Sector SPDR Fund | 96,000 | 7,215,360 | |||
GreenHaven Continuous Commodity Index Fund* | 156,900 | 3,462,783 | |||
iPath Bloomberg Commodity Index Total Return ETN* | 366,300 | 10,644,678 | |||
iPath Bloomberg Grains Subindex Total Return ETN* | 45,100 | 1,758,449 | |||
iShares North American Natural Resources ETF | 345,100 | 12,520,228 | |||
iShares U.S. Oil & Gas Exploration & Production ETF | 62,700 | 4,429,128 | |||
Market Vectors Gold Miners ETF | 30,500 | 541,680 | |||
Market Vectors Oil Service ETF | 101,700 | 3,549,330 | |||
PowerShares DB Base Metals Fund* | 116,000 | 1,669,240 | |||
PowerShares DB Precious Metals Fund* | 31,100 | 1,122,399 | |||
SPDR S&P Metals & Mining ETF | 47,600 | 1,158,108 | |||
Vanguard Energy ETF | 67,300 | 7,197,735 | |||
Total Exchange-Traded Products (Cost $66,229,667) | 55,269,118 | ||||
PRINCIPAL AMOUNT ($) | |||||
TIME DEPOSIT - 1.2% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 654,704 | 654,704 | |||
Total Time Deposit (Cost $654,704) | 654,704 | ||||
TOTAL INVESTMENTS (Cost $66,884,371) - 100.5% | 55,923,822 | ||||
Other assets and liabilities, net - (0.5)% | (261,453) | ||||
NET ASSETS - 100.0% | $55,662,369 | ||||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 1,348,889 shares of common stock outstanding; | |||
$0.10 par value, 20,000,000 shares authorized | $68,090,130 | ||
Undistributed net investment income | 206,092 | ||
Accumulated net realized gain (loss) | (1,673,304) | ||
Net unrealized appreciation (depreciation) | (10,960,549) | ||
NET ASSETS | $55,662,369 | ||
NET ASSET VALUE PER SHARE | $41.27 | ||
* | Non-income producing security. |
Abbreviations: | |
ETF: | Exchange Traded Fund |
ETN: | Exchange Traded Note |
See notes to financial statements. |
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STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income | $267,579 | ||
Interest income | 307 | ||
Total investment income | 267,886 | ||
Expenses: | |||
Investment advisory fee | 166,170 | ||
Administrative fees | 30,213 | ||
Transfer agency fees and expenses | 3,786 | ||
Directors’ fees and expenses | 5,527 | ||
Accounting fees | 8,252 | ||
Custodian fees | 4,872 | ||
Professional fees | 12,863 | ||
Reports to shareholders | 10,725 | ||
Miscellaneous | 2,337 | ||
Total expenses | 244,745 | ||
Reimbursement from Advisor | (6,065) | ||
Net expenses | 238,680 | ||
NET INVESTMENT INCOME | 29,206 | ||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||
Net realized gain (loss) | (2,389,884) | ||
Change in unrealized appreciation (depreciation) | 45,415 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | (2,344,469) | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | ($2,315,263 | ) | |
See notes to financial statements. |
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STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $29,206 | $246,244 | |||||
Net realized gain (loss) | (2,389,884) | 1,847,242 | |||||
Change in unrealized appreciation (depreciation) | 45,415 | (12,346,464) | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (2,315,263) | (10,252,978) | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (62,226) | |||||
Net realized gain | — | — | |||||
Total distributions | — | (62,226) | |||||
Capital share transactions: | |||||||
Shares sold | 4,704,049 | 10,742,802 | |||||
Reinvestment of distributions | — | 62,226 | |||||
Shares redeemed | (7,208,850) | (9,956,940) | |||||
Total capital share transactions | (2,504,801) | 848,088 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (4,820,064) | (9,467,116) | |||||
NET ASSETS | |||||||
Beginning of period | 60,482,433 | 69,949,549 | |||||
End of period (including undistributed net investment income of $206,092 and $176,886, respectively) | $55,662,369 | $60,482,433 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 111,903 | 226,478 | |||||
Reinvestment of distributions | — | 1,434 | |||||
Shares redeemed | (170,149) | (192,542) | |||||
Total capital share activity | (58,246) | 35,370 | |||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP Natural Resources Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in exchange traded funds and exchange traded notes (the “Underlying Funds”) representing different natural resources exposure.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Exchange-traded products are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
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The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, no securities were fair valued in good faith under the direction of the Board.
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES* | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Products | $55,269,118 | $— | $— | $55,269,118 | ||||||||
Time Deposit | — | 654,704 | — | 654,704 | ||||||||
TOTAL | $55,269,118 | $654,704 | $— | $55,923,822 |
* For a complete listing of investments, please refer to the Statement of Net Assets.
Security Transactions and Investment Income: Security transactions, normally related to shares of the Underlying Funds, are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Income and capital gain distributions from the Underlying Funds, if any, are recorded on ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
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Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .55% of the Portfolio’s average daily net assets. Under the terms of the agreement, $26,168 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is .79%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit fees and expenses associated with the Underlying Funds. Under the terms of the agreement, $1,539 was receivable at period end.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $4,758 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $2,308 for the six months ended June 30, 2015. Under the terms of the agreement, $376 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $7,064,268 and $8,988,638, respectively.
As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $155,445 | ||
Unrealized (depreciation) | (10,773,146) | ||
Net unrealized appreciation/(depreciation) | ($10,617,701 | ) | |
Federal income tax cost of investments | $66,541,523 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
14 www.calvert.com CALVERT VP NATURAL RESOURCES PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
FINANCIAL HIGHLIGHTS | |||||||||||||||||||||||
PERIODS ENDED | |||||||||||||||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||||||||||||||
2015 (z) | 2014 | 2013 (z) | 2012 | 2011 | 2010 (z) | ||||||||||||||||||
Net asset value, beginning | $42.98 | $50.99 | $50.98 | $49.84 | $55.64 | $47.61 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.02 | 0.17 | 0.17 | 0.08 | 0.10 | 0.47 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.73 | ) | (8.14 | ) | 0.19 | 2.35 | (5.74 | ) | 7.73 | ||||||||||||||
Total from investment operations | (1.71 | ) | (7.97 | ) | 0.36 | 2.43 | (5.64 | ) | 8.20 | ||||||||||||||
Distributions from: | |||||||||||||||||||||||
Net investment income | — | (0.04 | ) | — | (0.01 | ) | (0.16 | ) | (0.17 | ) | |||||||||||||
Net realized gain | — | — | (0.35 | ) | (1.28 | ) | — | — | |||||||||||||||
Total distributions | — | (0.04 | ) | (0.35 | ) | (1.29 | ) | (0.16 | ) | (0.17 | ) | ||||||||||||
Total increase (decrease) in net asset value | (1.71 | ) | (8.01 | ) | 0.01 | 1.14 | (5.80 | ) | 8.03 | ||||||||||||||
Net asset value, ending | $41.27 | $42.98 | $50.99 | $50.98 | $49.84 | $55.64 | |||||||||||||||||
Total return* | (3.98 | %) | (15.62 | %) | 0.72 | % | 4.90 | % | (10.13 | )% | 17.22 | % | |||||||||||
Ratios to average net assets: A, B | |||||||||||||||||||||||
Net investment income | 0.10 | % (a) | 0.37 | % | 0.33 | % | 0.19 | % | 0.29 | % | 0.98 | % | |||||||||||
Total expenses | 0.81 | % (a) | 0.79 | % | 0.79 | % | 0.79 | % | 0.84 | % | 0.87 | % | |||||||||||
Expenses before offsets | 0.79 | % (a) | 0.79 | % | 0.79 | % | 0.78 | % | 0.76 | % | 0.75 | % | |||||||||||
Net expenses | 0.79 | % (a) | 0.79 | % | 0.79 | % | 0.78 | % | 0.76 | % | 0.75 | % | |||||||||||
Portfolio turnover | 12 | % | 112 | % | 31 | % | 37 | % | 28 | % | 30 | % | |||||||||||
Net assets, ending (in thousands) | $55,662 | $60,482 | $69,950 | $54,665 | $48,746 | $42,368 | |||||||||||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. B Amounts do not include the activity of the Underlying Funds. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT VP NATURAL RESOURCES PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 15
EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements may be used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
16 www.calvert.com CALVERT VP NATURAL RESOURCES PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP Volatility Managed Moderate Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
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CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., and Milliman, Inc., Subadvisors
Performance
For the six-month period ended June 30, 2015, the Calvert VP Volatility Managed Moderate Portfolio returned 0.81 percent, outperforming its benchmark, the S&P 500 Daily Risk Control 7.5% Total Return Index, which returned 0.06 percent. We outperformed as a result of strong performance by our diversified equity allocation, especially our international equity exchange-traded funds (ETFs), which outperformed the benchmark’s equity allocation consisting only of the S&P 500. This more than offset performance drag from our fixed-income allocation, which produced negative returns as interest rates rose during the period, causing bond prices to decline.
The S&P 500 Daily Risk Control 7.5% Total Return Index targets a constant volatility level of 7.5 percent by dynamically adjusting exposure to the S&P 500 and cash. This is similar to our Portfolio, which targets a constant volatility level of 8 percent, making the Index a suitable benchmark for assessing our volatility management strategy. We compare the high-risk component of the benchmark (S&P 500) with our diversified equity allocation, and compare the low-risk component of the benchmark (cash) with our fixed-income allocation.
Investment Process
The Portfolio uses a derivatives-based risk management strategy in conjunction with an asset-allocated portfolio in an effort to reduce the negative effects of high market volatility1. By targeting a portfolio volatility level of 8 percent, our goal is to participate in up markets as much as possible, while defending against significant losses during market downturns.
Our asset allocation process is designed to target a volatility level of 8 percent over the long term while also providing current income and modest growth. This results in a target asset allocation model of 48 percent to stocks and 52 percent to bonds. We implement the asset allocation strategy by investing in a portfolio of ETFs, diversified across multiple sub-asset classes.
Our risk management strategy buys (goes “long”) and sells (goes “short”) equity index futures contracts to help keep the Portfolio’s volatility level close to 8 percent over shorter time horizons.
______________________________
1 Volatility refers to the annualized standard deviation of portfolio returns.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month** | 0.81 | % | ||
One year | 2.44 | % | ||
Since inception (4/30/2013) | 4.60 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit www.calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 1.03% (includes Acquired Fund fees). This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * The Volatility Managed Moderate Composite Benchmark is an internally constructed index comprised of a blend of 36% Russell 3000 Index, 2% MSCI U.S. REIT, 10% MSCI EAFE Index, 48% Barclays U.S. Aggregate Bond Index, and 4% Barclays 3 Month T-Bill Bellwether Index. ** Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
When our one-month forecast of the Portfolio’s volatility is below 8 percent, we increase the Portfolio’s equity allocation by buying futures, increasing risk; when our volatility forecast for the Portfolio is greater than 8 percent, we reduce the Portfolio’s equity allocation by selling futures, thus de-risking or hedging.
Portfolio Strategy
Activity
Volatility increased in all major asset classes during the period, but remained relatively low by historical standards. In this low volatility environment, our risk management strategy led us to increase the Portfolio’s equity allocation by buying futures. We maintained a long equities futures allocation for the entire period.
From an asset allocation perspective, we deviated very little from our target model, allocating 48 percent to bonds, 10 percent to international equity, 36 percent to U.S. equity, 2 percent to real estate investment trusts, and 4 percent to cash.
Performance
The primary driver of our outperformance during the period was strong returns from our diversified equity allocation, which beat the benchmark’s equity allocation. The increase in equity exposure effected by the volatility management strategy also contributed to our diversified equity allocation relative to the benchmark’s singular U.S. large-cap S&P 500 Index equity allocation. The outperformance of our Portfolio’s equity allocation more than offset underperformance by our fixed-income allocation relative to the benchmark’s low risk component of cash. We benefited from holding U.S. small and midcap ETFs, and international equity ETFs, which posted strong returns following the European Central Bank’s announcement that it would initiate quantitative easing. All of these equity holdings outperformed U.S. large-cap stocks over the first six months of the year.
The Portfolio’s realized level of volatility over the period was 6.76 percent, below our 8 percent target. We limit the total equity exposure of the Portfolio to 55 percent of net assets. This ensures that the Portfolio adheres to its downside protection objective.
Even though we increased the equity allocation over the first six months by buying futures, the continued low volatility environment in conjunction with our downside protection policies prevented us from reaching the 8 percent target level. Our strategy continues to perform as expected. During sustained periods of low volatility, the Portfolio undershoots its volatility target because it is not able to increase the equity allocation high enough as doing so would cause the Portfolio to diverge from its downside protection objective. Similarly, since the equity market
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Exchange-Traded Products | 95.5 | % | |
Short-Term Investments | 4.5 | % | |
Total | 100 | % | |
tends to rise during periods of low volatility, the increased equity exposure helped performance during the period. That benefit was limited by our downside protection policy.
With volatility still below historical averages, we are maintaining the maximum allowable long equity position using futures. However, if volatility increases, the strategy will respond by lowering the Portfolio’s equity exposure.
We do not foresee any significant changes to our target asset allocation model. Although there may be periods characterized by dominant performance from a single asset class, which was the case in 2014 for large-cap U.S. stocks, over longer time horizons diversification should produce better risk-adjusted returns than investing in any single asset class.
Outlook
We see the U.S. economy accelerating in the second half of the year, in a similar pattern to that we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will also provide an economic boost.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors around the world are starting to get nervous about rich valuations across many risky asset categories, including equities. Some of the negative catalysts currently in the system, such as uncertainty about Greece’s status in the eurozone and a potential bubble burst in China, make markets more vulnerable to shocks given current valuations.
We continue to be concerned that concurrent easing efforts in multiple global economies in Europe and Asia will be less potent than that carried out in the U.S. in response to the financial crisis because these efforts will cancel each other out to some extent. As such, market enthusiasm for global easing may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally. We continue to be less aggressive than consensus with respect to the timing
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of a Fed rate hike, believing that hikes are more likely to occur in December or early 2016 than earlier. Equally as important, we continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual. We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above-average multiples.
When market volatility increases and risky assets underperform, we expect our strategy to protect against large drawdowns, which is what this Portfolio is designed to do.
July 2015
8 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.83% | $1,000.00 | $1,008.10 | $4.13 |
Hypothetical (5% return per year before expenses) | 0.83% | $1,000.00 | $1,020.68 | $4.16 |
* Expenses are equal to the Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratio. |
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STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EXCHANGE-TRADED PRODUCTS - 95.3% | |||||
Consumer Discretionary Select Sector SPDR Fund | 4,700 | 359,456 | |||
Consumer Staples Select Sector SPDR Fund | 6,800 | 323,680 | |||
Financial Select Sector SPDR Fund | 20,400 | 497,352 | |||
Health Care Select Sector SPDR Fund | 5,800 | 431,462 | |||
Industrial Select Sector SPDR Fund | 6,000 | 324,360 | |||
iShares Core S&P Mid-Cap ETF | 6,300 | 944,874 | |||
iShares Core U.S. Aggregate Bond ETF | 205,000 | 22,299,900 | |||
iShares North American Natural Resources ETF | 9,000 | 326,520 | |||
iShares Russell 2000 ETF | 23,000 | 2,871,780 | |||
iShares S&P 500 Growth ETF | 41,800 | 4,759,348 | |||
iShares S&P 500 Value ETF | 52,100 | 4,804,141 | |||
iShares S&P Mid-Cap 400 Growth ETF | 5,600 | 949,200 | |||
iShares S&P Mid-Cap 400 Value ETF | 7,300 | 941,408 | |||
SPDR Barclays High Yield Bond ETF | 25,200 | 968,436 | |||
Technology Select Sector SPDR Fund | 14,000 | 579,600 | |||
Vanguard FTSE Developed Markets ETF | 229,300 | 9,091,745 | |||
Vanguard FTSE Emerging Markets ETF | 23,500 | 960,680 | |||
Vanguard REIT ETF | 25,000 | 1,867,250 | |||
Vanguard S&P 500 ETF | 84,000 | 15,862,560 | |||
Vanguard Short-Term Corporate Bond ETF | 12,000 | 954,960 | |||
Vanguard Total Bond Market ETF | 273,200 | 22,200,232 | |||
Total Exchange-Traded Products (Cost $91,430,343) | 92,318,944 | ||||
PRINCIPAL AMOUNT ($) | |||||
TIME DEPOSIT - 4.5% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 4,317,145 | 4,317,145 | |||
Total Time Deposit (Cost $4,317,145) | 4,317,145 | ||||
TOTAL INVESTMENTS (Cost $95,747,488) - 99.8% | 96,636,089 | ||||
Other assets and liabilities, net - 0.2% | 177,450 | ||||
NET ASSETS - 100.0% | $96,813,539 | ||||
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 5,997,639 shares of common stock outstanding; | |||
$0.10 par value, 100,000,000 shares authorized | $94,526,873 | ||
Undistributed net investment income | 555,292 | ||
Accumulated net realized gain (loss) | 961,140 | ||
Net unrealized appreciation (depreciation) | 770,234 | ||
NET ASSETS | $96,813,539 | ||
NET ASSET VALUE PER SHARE | $16.14 | ||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini MSCI EAFE Index | 17 | 9/15 | $1,558,900 | ($41,749 | ) | ||||
E-Mini Russell 2000 Index | 8 | 9/15 | 1,000,320 | (7,846 | ) | ||||
E-Mini S&P 400 Index | 4 | 9/15 | 599,240 | (11,363 | ) | ||||
E-Mini S&P 500 Index | 38 | 9/15 | 3,903,360 | (57,409 | ) | ||||
Total Purchased | ($118,367 | ) |
Abbreviations: | |
ETF: | Exchange Traded Fund |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
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STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income | $953,963 | ||
Interest income | 1,638 | ||
Total investment income | 955,601 | ||
Expenses: | |||
Investment advisory fee | 203,403 | ||
Administrative fees | 48,429 | ||
Transfer agency fees and expenses | 4,545 | ||
Distribution Plan expenses | 121,073 | ||
Directors’ fees and expenses | 5,420 | ||
Accounting fees | 9,272 | ||
Custodian fees | 9,009 | ||
Professional fees | 10,748 | ||
Reports to shareholders | 6,355 | ||
Miscellaneous | 2,514 | ||
Total expenses | 420,768 | ||
Reimbursement from Advisor | (18,805) | ||
Net expenses | 401,963 | ||
NET INVESTMENT INCOME | 553,638 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 357,961 | ||
Futures | 497,443 | ||
855,404 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | (331,595) | ||
Futures | (296,931) | ||
(628,526) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 226,878 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $780,516 | ||
See notes to financial statements. |
12 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $553,638 | $1,039,123 | |||||
Net realized gain (loss) | 855,404 | 676,692 | |||||
Change in unrealized appreciation (depreciation) | (628,526) | 1,223,709 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 780,516 | 2,939,524 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (986,377) | |||||
Net realized gain | — | (609,792) | |||||
Total distributions | — | (1,596,169) | |||||
Capital share transactions: | |||||||
Shares sold | 4,350,533 | 92,545,266 | |||||
Reinvestment of distributions | — | 1,561,442 | |||||
Shares redeemed | (8,082,843) | (4,848,684) | |||||
Total capital share transactions | (3,732,310) | 89,258,024 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (2,951,794) | 90,601,379 | |||||
NET ASSETS | |||||||
Beginning of period | 99,765,333 | 9,163,954 | |||||
End of period (including undistributed net investment income of $555,292 and $1,654, respectively) | $96,813,539 | $99,765,333 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 266,897 | 5,832,817 | |||||
Reinvestment of distributions | — | 97,044 | |||||
Shares redeemed | (499,890) | (303,338) | |||||
Total capital share activity | (232,993) | 5,626,523 | |||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP Volatility Managed Moderate Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. The Portfolio offers Class F shares, which are subject to Distribution Plan expenses. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in exchange-traded funds representing a broad range of asset classes (the “Underlying Funds”) and derivatives to manage overall portfolio volatility.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Exchange-traded products are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
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If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, no securities were fair valued in good faith under the direction of the Board.
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES* | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Products | $92,318,944 | $— | $— | $92,318,944 | ||||||||
Time Deposit | — | 4,317,145 | — | 4,317,145 | ||||||||
TOTAL | $92,318,944 | $4,317,145 | $— | $96,636,089 | ||||||||
Other financial instruments** | ($118,367 | ) | $— | $— | ($118,367 | ) |
* For a complete listing of investments, please refer to the Statement of Net Assets.
** Other financial instruments are derivative instruments not reflected in the Total Investments in the Statement of Net Assets, such as futures, which are valued at the unrealized appreciation/depreciation of the instrument.
Futures Contracts: The Portfolio may purchase and sell futures contracts to manage overall portfolio volatility. These futures contracts may include, but are not limited to, futures contracts based on U.S. government obligations and market index futures contracts. The Portfolio may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Portfolio’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades
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on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio. During the period, futures contracts were used to adjust the Portfolio’s overall equity exposure in an effort to stabilize portfolio volatility around a target level. The Portfolio’s futures contracts at period end are presented in the Statement of Net Assets.
During the six months ended June 30, 2015, the Fund invested in E-Mini MSCI EAFE Index, E-Mini Russell 2000 Index, E-Mini S&P 400 Index and E-Mini S&P 500 Index futures. The volume of outstanding contracts has varied throughout the period with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures contracts long | 67 |
*Averages are based on activity levels during the six months ended June 30, 2015. |
Security Transactions and Investment Income: Security transactions, normally related to shares of the Underlying Funds, are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Income and capital gain distributions from the Underlying Funds, if any, are recorded on ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .42% of the Portfolio’s average daily net assets. Under the terms of the agreement, $33,618 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is .83%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit fees and expenses associated with the Underlying Funds. Under the terms of the agreement, $2,404 was receivable at period end.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $8,004 was payable at period end.
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Portfolio has adopted a Distribution
16 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Plan that permits the Portfolio to pay certain expenses associated with the distribution and servicing of its Class F shares. The expenses paid may not exceed .25% annually of the average daily net assets of Class F. Under the terms of the agreement, $20,011 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $3,396 for the six months ended June 30, 2015. Under the terms of the agreement, $602 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $8,128,548 and $11,482,571, respectively.
As of June 30, 2015, the tax basis components of appreciation/(depreciation) and the federal tax cost were as follows:
Unrealized appreciation | $1,726,827 | ||
Unrealized (depreciation) | (886,689) | ||
Net unrealized appreciation/(depreciation) | $840,138 | ||
Federal income tax cost of investments | $95,795,951 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||
PERIODS ENDED | |||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||
2015 (z) | 2014 (z) | 2013 #(z) | |||||||||
Net asset value, beginning | $16.01 | $15.17 | $15.00 | ||||||||
Income from investment operations: | |||||||||||
Net investment income | 0.09 | 0.29 | 0.21 | ||||||||
Net realized and unrealized gain (loss) | 0.04 | 0.81 | 0.08 | ||||||||
Total from investment operations | 0.13 | 1.10 | 0.29 | ||||||||
Distributions from: | �� | ||||||||||
Net investment income | — | (0.16 | ) | (0.12 | ) | ||||||
Net realized gain | — | (0.10 | ) | — | |||||||
Total distributions | — | (0.26 | ) | (0.12 | ) | ||||||
Total increase (decrease) in net asset value | 0.13 | 0.84 | 0.17 | ||||||||
Net asset value, ending | $16.14 | $16.01 | $15.17 | ||||||||
Total return* | 0.81 | % | 7.25 | % | 1.97 | % | |||||
Ratios to average net assets: A, B | |||||||||||
Net investment income | 1.14 | % (a) | 1.80 | % (a) | 2.10% (a | ||||||
Total expenses | 0.87 | % (a) | 0.93 | % (a) | 1.60% (a | ||||||
Expenses before offsets | 0.83 | % (a) | 0.83 | % (a) | 0.83% (a | ||||||
Net expenses | 0.83 | % (a) | 0.83 | % (a) | 0.83% (a | ||||||
Portfolio turnover | 9 | % | 36 | % | 3 | % | |||||
Net assets, ending (in thousands) | $96,814 | $99,765 | $9,164 | ||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. B Amounts do not include the activity of the Underlying Funds. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. # From April 30, 2013 inception. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||
See notes to financial statements. |
18 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements may be used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
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FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP Volatility Managed Moderate Growth Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
4 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
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CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., and Milliman, Inc., Subadvisors
Performance
For the six-month period ended June 30, 2015, the Calvert VP Volatility Managed Moderate Growth Portfolio returned 1.17 percent, outperforming its benchmark, the S&P 500 Daily Risk Control 10% Total Return Index, which returned 0.12 percent. We outperformed as a result of strong performance by our diversified equity allocation, especially our international equity exchange-traded funds (ETFs), which outperformed the benchmark’s equity allocation consisting only of the S&P 500. This more than offset performance drag from our fixed-income allocation, which produced negative returns as interest rates rose during the period.
The S&P 500 Daily Risk Control 10% Total Return Index, like our Portfolio, targets a constant volatility level of 10 percent by dynamically adjusting exposure to the S&P 500 and cash, making it a suitable benchmark for assessing our volatility management strategy. We compare the high-risk component of the benchmark (S&P 500) with our diversified equity allocation, and compare the low-risk component of the benchmark (cash) with our fixed-income allocation.
Investment Process
The Portfolio uses a derivatives-based risk management strategy in conjunction with an asset-allocated portfolio in an effort to reduce the negative effects of high market volatility1. By targeting a portfolio volatility level of 10 percent, our goal is to participate in up markets as much as possible, while defending against significant losses during market downturns.
Our asset allocation process is designed to target a volatility level of 10 percent over the long-term while also providing current income and modest growth. This results in a target asset allocation model of 63 percent to stocks and 37 percent to bonds. We implement the asset allocation strategy by investing in a portfolio of ETFs, diversified across multiple sub-asset classes.
Our risk management strategy buys (goes “long”) and sells (goes “short”) equity index futures contracts to help keep the Portfolio’s volatility level close to 10 percent over shorter time horizons.
______________________________
1 Volatility refers to the annualized standard deviation of portfolio returns.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month** | 1.17 | % | ||
One year | 2.67 | % | ||
Since inception (4/30/2013) | 5.59 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 1.17% (includes Acquired Fund fees). This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * The Volatility Managed Moderate Growth Composite Benchmark is an internally constructed index comprised of a blend of 47% Russell 3000 Index, 3% MSCI U.S. REIT, 13% MSCI EAFE Index, 33% Barclays U.S. Aggregate Bond Index, and 4% Barclays 3 Month T-Bill Bellwether Index. ** Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
When our one-month forecast of the Portfolio’s volatility is below 10 percent, we increase the Portfolio’s equity allocation by buying futures, increasing risk; when our volatility forecast for the Portfolio is greater than 10 percent, we reduce the Portfolio’s equity allocation by selling futures, thus de-risking or hedging.
Portfolio Strategy
Activity
Volatility increased in all major asset classes during the period, but remained relatively low by historical standards. In this low volatility environment, our risk management strategy led us to increase the Portfolio’s equity allocation by buying futures. We maintained a long equities futures allocation for the entire period.
From an asset allocation perspective, we deviated very little from our target model, allocating 33 percent to bonds, 13 percent to international equity, 47 percent to U.S. equity, 3 percent to real estate investment trusts, and 4 percent to cash.
Performance
The primary driver of our outperformance during the period was strong returns from our diversified equity allocation. The increase in equity exposure effected by the volatility management strategy also contributed to our diversified equity allocation relative to the benchmark’s singular U.S. large-cap S&P 500 Index equity allocation. The outperformance of our Portfolio’s equity allocation more than offset underperformance by our fixed-income allocation relative to the benchmark’s low risk component of cash. We benefited from holding U.S. small and midcap ETFs, and international equity ETFs, which posted strong returns following the European Central Bank’s announcement that it would initiate quantitative easing. All of these equity holdings outperformed U.S. large-cap stocks over the first six months of the year.
The Portfolio’s realized level of volatility over the period was 8.32 percent, below our 10 percent target. We limit the total equity exposure of the Portfolio to 70 percent of net assets. This ensures that the Portfolio adheres to its downside protection objective. Even though we increased the equity allocation over the first six months by buying futures, the continued low volatility environment in conjunction with our downside protection policies prevented us from reaching the 10 percent target level.
Our strategy continues to perform as expected. During sustained periods of low volatility, the Portfolio undershoots its volatility target because it is not able to increase the equity allocation high enough as doing so would cause the Portfolio to diverge from its downside protection objective. Similarly, since the equity market tends to rise during periods of low volatility, the increased
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Exchange-Traded Products | 93.3 | % | |
Short-Term Investments | 6.7 | % | |
Total | 100 | % | |
equity exposure helped performance during the period. That benefit was limited by our downside protection policy.
With volatility still below historical averages, we are maintaining the maximum allowable long equity position using futures. However, if volatility increases, the strategy will respond by lowering the Portfolio’s equity exposure.
We do not foresee any significant changes to our target asset allocation model. Although there may be periods characterized by dominant performance from a single asset class, which was the case in 2014 for large-cap U.S. stocks, over longer time horizons diversification should produce better risk-adjusted returns than investing in any single asset class.
Outlook
We see the U.S. economy accelerating in the second half of the year, in a similar pattern to that we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will also provide an economic boost.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors around the world are starting to get nervous about rich valuations across many risky asset categories, including equities. Some of the negative catalysts currently in the system, such as uncertainty about Greece’s status in the eurozone and a potential bubble burst in China, make markets more vulnerable to shocks given current valuations.
We continue to be concerned that concurrent easing efforts in multiple global economies in Europe and Asia will be less potent than that carried out in the U.S. in response to the financial crisis because these efforts will cancel each other out to some extent. As such, market enthusiasm for global easing may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally. We continue to be less aggressive than consensus with respect to the timing of a Fed rate hike, believing that hikes are more likely to
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 7
occur in December or early 2016 than earlier. Equally as important, we continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual. We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above-average multiples.
When market volatility increases and risky assets underperform, we expect our strategy to protect against large drawdowns, which is what this Portfolio is designed to do.
July 2015
8 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution (12 b-1) fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015)
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.83% | $1,000.00 | $1,011.70 | $4.14 |
Hypothetical (5% return per year before expenses) | 0.83% | $1,000.00 | $1,020.68 | $4.16 |
* Expenses are equal to the Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratio. |
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STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EXCHANGE-TRADED PRODUCTS - 93.1% | |||||
Consumer Discretionary Select Sector SPDR Fund | 2,700 | 206,496 | |||
Consumer Staples Select Sector SPDR Fund | 3,600 | 171,360 | |||
Financial Select Sector SPDR Fund | 10,700 | 260,866 | |||
Health Care Select Sector SPDR Fund | 3,200 | 238,048 | |||
Industrial Select Sector SPDR Fund | 3,400 | 183,804 | |||
iShares Core S&P Mid-Cap ETF | 7,000 | 1,049,860 | |||
iShares Core U.S. Aggregate Bond ETF | 102,700 | 11,171,706 | |||
iShares North American Natural Resources ETF | 5,100 | 185,028 | |||
iShares Russell 2000 ETF | 17,000 | 2,122,620 | |||
iShares S&P 500 Growth ETF | 37,400 | 4,258,364 | |||
iShares S&P 500 Value ETF | 46,700 | 4,306,207 | |||
iShares S&P Mid-Cap 400 Growth ETF | 3,100 | 525,450 | |||
iShares S&P Mid-Cap 400 Value ETF | 3,900 | 502,944 | |||
SPDR Barclays High Yield Bond ETF | 6,800 | 261,324 | |||
Technology Select Sector SPDR Fund | 7,800 | 322,920 | |||
Vanguard FTSE Developed Markets ETF | 170,200 | 6,748,430 | |||
Vanguard FTSE Emerging Markets ETF | 12,800 | 523,264 | |||
Vanguard REIT ETF | 21,000 | 1,568,490 | |||
Vanguard S&P 500 ETF | 55,500 | 10,480,620 | |||
Vanguard Short-Term Corporate Bond ETF | 6,600 | 525,228 | |||
Vanguard Total Bond Market ETF | 72,200 | 5,866,972 | |||
Total Exchange-Traded Products (Cost $50,829,286) | 51,480,001 | ||||
PRINCIPAL AMOUNT ($) | |||||
TIME DEPOSIT - 6.7% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 3,693,908 | 3,693,908 | |||
Total Time Deposit (Cost $3,693,908) | 3,693,908 | ||||
TOTAL INVESTMENTS (Cost $54,523,194) - 99.8% | 55,173,909 | ||||
Other assets and liabilities, net - 0.2% | 99,092 | ||||
NET ASSETS - 100.0% | $55,273,001 | ||||
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 3,372,037 shares of common stock outstanding; | |||
$0.10 par value, 100,000,000 shares authorized | $53,882,193 | ||
Undistributed net investment income | 275,009 | ||
Accumulated net realized gain (loss) | 518,663 | ||
Net unrealized appreciation (depreciation) | 597,136 | ||
NET ASSETS | $55,273,001 | ||
NET ASSET VALUE PER SHARE | $16.39 | ||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini MSCI EAFE Index | 8 | 9/15 | $733,600 | ($19,686 | ) | ||||
E-Mini Russell 2000 Index | 4 | 9/15 | 500,160 | (3,923 | ) | ||||
E-Mini S&P 400 Index | 1 | 9/15 | 149,810 | (2,821 | ) | ||||
E-Mini S&P 500 Index | 18 | 9/15 | 1,848,960 | (27,149 | ) | ||||
Total Purchased | ($53,579 | ) |
Abbreviations: | |
ETF: | Exchange Traded Fund |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
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STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income | $444,630 | ||
Interest income | 971 | ||
Total investment income | 445,601 | ||
Expenses: | |||
Investment advisory fee | 86,324 | ||
Administrative fees | 20,553 | ||
Transfer agency fees and expenses | 2,350 | ||
Distribution Plan expenses | 51,383 | ||
Directors’ fees and expenses | 2,162 | ||
Accounting fees | 5,086 | ||
Custodian fees | 7,799 | ||
Professional fees | 9,593 | ||
Reports to shareholders | 5,608 | ||
Miscellaneous | 2,177 | ||
Total expenses | 193,035 | ||
Reimbursement from Advisor | (22,443) | ||
Net expenses | 170,592 | ||
NET INVESTMENT INCOME | 275,009 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 321,484 | ||
Futures | 161,579 | ||
483,063 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | (564,966) | ||
Futures | (104,584) | ||
(669,550) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (186,487) | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $88,522 | ||
See notes to financial statements. |
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STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $275,009 | $379,167 | |||||
Net realized gain (loss) | 483,063 | 422,838 | |||||
Change in unrealized appreciation (depreciation) | (669,550) | 789,111 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 88,522 | 1,591,116 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (365,942) | |||||
Net realized gain | — | (386,762) | |||||
Total distributions | — | (752,704) | |||||
Capital share transactions: | |||||||
Shares sold | 22,290,877 | 22,105,955 | |||||
Reinvestment of distributions | — | 705,557 | |||||
Shares redeemed | (2,534,604) | (1,880,670) | |||||
Total capital share transactions | 19,756,273 | 20,930,842 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 19,844,795 | 21,769,254 | |||||
NET ASSETS | |||||||
Beginning of period | 35,428,206 | 13,658,952 | |||||
End of period (including undistributed net investment income of $275,009 and $0, respectively) | $55,273,001 | $35,428,206 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 1,342,835 | 1,376,925 | |||||
Reinvestment of distributions | — | 43,259 | |||||
Shares redeemed | (157,562) | (116,147) | |||||
Total capital share activity | 1,185,273 | 1,304,037 | |||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP Volatility Managed Moderate Growth Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. The Portfolio offers Class F shares, which are subject to Distribution Plan expenses. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in exchange-traded funds representing a broad range of asset classes (the “Underlying Funds”) and derivatives to manage overall portfolio volatility.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Exchange-traded products are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
14 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, no securities were fair valued in good faith under the direction of the Board.
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES* | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Products | $51,480,001 | $— | $— | $51,480,001 | ||||||||
Time Deposit | — | 3,693,908 | — | 3,693,908 | ||||||||
TOTAL | $51,480,001 | $3,693,908 | $— | $55,173,909 | ||||||||
Other financial instruments** | ($53,579 | ) | $— | $— | ($53,579 | ) |
* For a complete listing of investments, please refer to the Statement of Net Assets.
** Other financial instruments are derivative instruments not reflected in the Total Investments in the Statement of Net Assets, such as futures, which are valued at the unrealized appreciation/depreciation of the instrument.
Futures Contracts: The Portfolio may purchase and sell futures contracts to manage overall portfolio volatility. These futures contracts may include, but are not limited to, futures contracts based on U.S. government obligations and market index futures contracts. The Portfolio may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Portfolio’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades
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on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio. During the period, futures contracts were used to adjust the Portfolio’s overall equity exposure in an effort to stabilize portfolio volatility around a target level. The Portfolio’s futures contracts at period end are presented in the Statement of Net Assets.
During the six months ended June 30, 2015, the Fund invested in E-Mini MSCI EAFE Index, E-Mini Russell 2000 Index, E-Mini S&P 400 Index and E-Mini S&P 500 Index futures. The volume of outstanding contracts has varied throughout the period with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures contracts long | 26 |
* Averages are based on activity levels during the six months ended June 30, 2015. |
Security Transactions and Investment Income: Security transactions, normally related to shares of the Underlying Funds, are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Income and capital gain distributions from the Underlying Funds, if any, are recorded on ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .42% of the Portfolio’s average daily net assets. Under the terms of the agreement, $18,003 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is .83%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes and extraordinary expenses. This expense limitation does not limit fees and expenses asociated with the Underlying Funds. Under the terms of the agreement, $3,082 was receivable at period end.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $4,286 was payable at period end.
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Portfolio has adopted a Distribution
16 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Plan that permits the Portfolio to pay certain expenses associated with the distribution and servicing of its Class F shares. The expenses paid may not exceed .25% annually of the average daily net assets of Class F. Under the terms of the agreement, $10,716 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $1,274 for the six months ended June 30, 2015. Under the terms of the agreement, $256 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $21,597,568 and $3,708,571, respectively.
As of June 30, 2015 the tax basis components of appreciation/depreciation and the federal tax cost were as follows:
Unrealized appreciation | $942,124 | ||
Unrealized (depreciation) | (300,149) | ||
Net unrealized appreciation/(depreciation) | $641,975 | ||
Federal income tax cost of investments | $54,531,934 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||
PERIODS ENDED | |||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||
2015 (z) | 2014 (z) | 2013 #(z) | |||||||||
Net asset value, beginning | $16.20 | $15.47 | $15.00 | ||||||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.26 | 0.20 | ||||||||
Net realized and unrealized gain (loss) | 0.08 | 0.82 | 0.39 | ||||||||
Total from investment operations | 0.19 | 1.08 | 0.59 | ||||||||
Distributions from: | |||||||||||
Net investment income | — | (0.17 | ) | (0.12 | ) | ||||||
Net realized gain | — | (0.18 | ) | — | |||||||
Total distributions | — | (0.35 | ) | (0.12 | ) | ||||||
Total increase (decrease) in net asset value | 0.19 | 0.73 | 0.47 | ||||||||
Net asset value, ending | $16.39 | $16.20 | $15.47 | ||||||||
Total return* | 1.17 | % | 6.99 | % | 3.94 | % | |||||
Ratios to average net assets: A, B | |||||||||||
Net investment income | 1.34 | % (a) | 1.64 | % | 2.06 | % (a) | |||||
Total expenses | 0.94 | % (a) | 1.06 | % | 1.41 | % (a) | |||||
Expenses before offsets | 0.83 | % (a) | 0.83 | % | 0.83 | % (a) | |||||
Net expenses | 0.83 | % (a) | 0.83 | % | 0.83 | % (a) | |||||
Portfolio turnover | 9 | % | 46 | % | 6 | % | |||||
Net assets, ending (in thousands) | $55,273 | $35,428 | $13,659 | ||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. B Amounts do not include the activity of the Underlying Funds. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. # From April 30, 2013 inception. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||
See notes to financial statements. |
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EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements may be used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
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FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Calvert VP Volatility Managed Growth Portfolio | |
Semi-Annual Report June 30, 2015 |
TABLE OF CONTENTS | ||||
President’s Letter | ||||
Manager Commentary | ||||
Shareholder Expense Example | ||||
Statement of Net Assets | ||||
Statement of Operations | ||||
Statements of Changes in Net Assets | ||||
Notes to Financial Statements | ||||
Financial Highlights | ||||
Explanation of Financial Tables | ||||
Proxy Voting | ||||
Availability of Quarterly Portfolio Holdings |
John Streur President and Chief Executive Officer, Calvert Investments, Inc. |
Dear Shareowners and Clients,
The global stock market produced modestly positive returns in most regions for the first half of 2015, while minor declines were experienced throughout bond markets. The most notable change from the recent past is the superior performance of non-U.S. stocks so far this year, despite uncertainty over a resolution to Greece’s long-running
debt crisis. (see table below)
Investors may have been attracted to non-U.S. equities during this period because of their relatively attractive valuations and the perception that the U.S. Federal Reserve (the Fed) is closer to raising interest rates than its central bank counterparts in other regions. The second half of 2015 is likely to see greater market volatility as events in Greece continue to unfold, the Chinese government and populace come to grips with the margin loan-driven Chinese stock market, and the U.S. Fed either does or does not raise interest rates in September.
Calvert’s investment results across our equity, fixed income, index, asset allocation and volatility-managed strategies ranged from acceptable to somewhat above benchmark, with our best results coming in our asset allocation, small cap, index and international equity strategies.
As a shareholder of Calvert Funds, you are involved with us in our growing and evolving role as a leader in responsible investing. Consistent with our role as a steward of your investments in Calvert Funds, we are happy to report progress
on two ongoing priorities—reducing fund fees and expenses to our shareholders and strengthening our investment research processes. As of the date of this letter in mid-July, expenses were reduced on Calvert International Equity Fund, Calvert Emerging Markets Equity Fund, Calvert U.S. Large Cap Core Responsible Index Fund, and Calvert Tax-Free Bond Fund (now Calvert Tax-Free Responsible Impact Bond Fund) which results in immediate lower costs to shareholders in those funds.
Annual Returns | ||||||||
INDICES | 2015 YTD (as of 6/30/2015) | 2014 | 2013 | 2012 | ||||
Equities | ||||||||
S&P 500 Index | 1.23 | % | 13.69 | % | 32.39 | % | 16.00 | % |
MSCI EAFE Investable Market Index | 6.45 | % | -4.50 | % | 24.04 | % | 18.20 | % |
MSCI Emerging Markets Index | 3.12 | % | -1.82 | % | -2.27 | % | 18.63 | % |
Fixed Income | ||||||||
Barclays U.S. Credit Index | -0.78 | % | 7.53 | % | -2.01 | % | 9.37 | % |
Barclays U.S. Aggregate Bond Index | -0.10 | % | 5.97 | % | -2.02 | % | 4.21 | % |
Barclays Global Aggregate Index | -3.08 | % | 0.59 | % | -2.60 | % | 4.32 | % |
– EX-USD (USD Hedged) | -0.71 | % | 8.79 | % | 1.18 | % | 6.46 | % |
– EX-USD (Unhedged) | -5.43 | % | -3.08 | % | -3.08 | % | 4.09 | % |
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With regard to our investment processes, we have fully developed the Calvert Principles for Responsible Investment, which guide our investment research and management efforts for the Calvert Responsible Index Funds. These Principles (see http://www.calvert.com/NRC/literature/documents/TL10194.pdf) are the over-arching framework through which Calvert Investments evaluates corporations for investment and will be implemented on a rolling basis going forward across Calvert’s fund family.
The application of the Principles allows us to move to an in-depth research process and system that uses detailed information about corporate behavior worldwide. A key objective of our research is to identify companies that are solving problems and driving positive change, in addition to companies that do no harm. We believe that it is urgent to solve major challenges faced by our society related to environmental sustainability and a set of social matters such as income inequality. Our Principles are designed to facilitate the research needed to find companies that make a contribution to positive change.
Through our research, we find that companies able to demonstrate expertise and leadership in environmental, social, and governance practices that are material to their financial results have an increased potential to be rewarded by the financial markets. We are pleased to publish two original research papers related to both equities and fixed-income investing on this topic this summer (see http://www.calvert.com/perspective/equity-markets/perspectives-on-esg-integration-in-equity-investing and http://www.calvert.com/perspective/fixed-income-markets/the-esg-advantage-in-fixed-income, respectively).
Additionally, Calvert’s research system and processes are an important part of our active ownership and engagement efforts, as we are able to identify corporate behaviors that are material to social and environmental outcomes and present our case to corporate management in a way that ties back to economic value. Currently we have ongoing, direct engagement with over 200 corporations and to date have filed 33 shareholder resolutions. Our agenda covers a range of urgent issues, some long-standing, such as human rights, equality, and the environment—as well as more recent, emerging concerns, including internet privacy and the fair and equitable use of data.
Calvert’s team is buoyed by what we observe to be powerful trends that point to the type of long-term, positive change that is urgently needed to improve and sustain our society and world. We see companies and institutions that we may never have expected to join our efforts now coming to learn about responsible investing. In fact, today over 1,400 large asset owners, representing $59 trillion of investable assets, have signed the United Nations Principles of Responsible Investing, which Calvert was a founding signatory to in 2006. We observe powerful leaders, like Pope Francis and the Vatican, publishing a compelling case for stewardship of the world’s natural resources as a fundamental obligation, and calling for actions to address instances of environmental degradation, inequality and social injustice throughout the world.
Through our Principles for Responsible Investment, Calvert seeks to foster enduring values that drive positive change—through an investment strategy that strives to produce excellent financial results through companies making positive contributions to the evolving needs of society.
We appreciate the confidence and trust you have placed in us, and your loyalty and share ownership of Calvert Funds.
Respectfully,
John Streur
President and Trustee, Calvert Funds
President and Chief Executive Officer, Calvert Investments, Inc.
July 2015
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money.
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CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
Portfolio within Calvert Variable Products, Inc.
Managed by Ameritas Investment Partners, Inc., and Milliman, Inc., Subadvisors
Performance
For the six-month period ended June 30, 2015, the Calvert VP Volatility Managed Growth Portfolio returned 1.14 percent, outperforming its benchmark, the S&P 500 Daily Risk Control 12% Total Return Index, which returned 0.07 percent. We outperformed as a result of strong performance by our diversified equity allocation, especially our international equity exchange-traded funds (ETFs), which outperformed the benchmark’s equity allocation consisting only of the S&P 500. This more than offset performance drag from our fixed-income allocation, which produced negative returns as interest rates rose during the period.
The S&P 500 Daily Risk Control 12% Total Return Index, like our Portfolio, targets a constant volatility level of 12 percent by dynamically adjusting exposure to the S&P 500 and cash, making it a suitable benchmark for assessing our volatility management strategy. We compare the high-risk component of the benchmark (S&P 500) with our diversified equity allocation, and compare the low-risk component of the benchmark (cash) with our fixed-income allocation.
Investment Process
The Portfolio uses a derivatives-based risk management strategy in conjunction with an asset-allocated portfolio in an effort to reduce the negative effects of high market volatility1. By targeting a portfolio volatility level of 12 percent, our goal is to participate in up markets as much as possible, while defending against significant losses during market downturns.
Our asset allocation process is designed to target a volatility level of 12 percent over the long-term while also providing current income and modest growth. This results in a target asset allocation model of 78 percent to stocks and 22 percent to bonds. We implement the asset allocation strategy by investing in a portfolio of ETFs, diversified across multiple sub-asset classes.
Our risk management strategy buys (goes “long”) and sells (goes “short”) equity index futures contracts to help keep the Portfolio’s volatility level close to 12 percent over shorter time horizons.
______________________________
1 Volatility refers to the annualized standard deviation of portfolio returns.
AVERAGE ANNUAL TOTAL RETURN (period ended 6.30.15) | ||||
Six month** | 1.14 | % | ||
One year | 2.06 | % | ||
Since inception (4/30/2013) | 6.17 | % | ||
The performance data shown represents past performance, does not guarantee future results, and assumes reinvestment of all dividends and distributions. All performance data reflects fee waivers and/or expense limitations, if any are in effect; in their absence performance would be lower. See Note B in Notes to Financial Statements. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Visit calvert.com/institutional-VP-performance.html for current performance data. The gross expense ratio from the current prospectus for the Portfolio is 1.06% (includes Acquired Fund fees). This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. The performance data and expense ratio reflect deduction of Portfolio operating expenses, but do not reflect charges and expenses imposed under the variable annuity or life insurance contract. * The Volatility Managed Growth Composite Benchmark is an internally constructed index comprised of a blend of 58% Russell 3000 Index, 4% MSCI U.S. REIT, 16% MSCI EAFE Index, 18% Barclays U.S. Aggregate Bond Index, and 4% Barclays 3 Month T-Bill Bellwether Index. ** Total Return is not annualized for periods of less than one year. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
When our one-month forecast of the Portfolio’s volatility is below 12 percent, we increase the Portfolio’s equity allocation by buying futures, increasing risk; when our volatility forecast for the Portfolio is greater than 12 percent, we reduce the Portfolio’s equity allocation by selling futures, thus de-risking or hedging.
Portfolio Strategy
Activity
Volatility increased in all major asset classes during the period, but remained relatively low by historical standards. In this low volatility environment, our risk management strategy led us to increase the Portfolio’s equity allocation by buying futures. We maintained a long equities futures allocation for the entire period.
From an asset allocation perspective, we deviated very little from our target model, allocating 18 percent to bonds, 16 percent to international equity, 58 percent to U.S. equity, 4 percent to real estate investment trusts, and 4 percent to cash.
Performance
The primary driver of our outperformance during the period was strong returns from our diversified equity allocation. Over the period, the volatility management strategy detracted from performance because it reduced equity exposure in response to brief episodes of increased volatility and market declines and thus was not able to participate in the abrupt market recovery that followed. Despite creating a modest drag on returns, the risk management strategy reacted as expected by reducing equity exposure to defend against further losses as volatility increased during temporary market downturns in January. Had equity markets continued to decline, the strategy would have been well positioned to protect against further losses, a scenario which should benefit the Portfolio over the long term. The outperformance of our Portfolio’s equity allocation more than offset this drag as well as underperformance by our fixed-income allocation relative to the benchmark’s low risk component of cash. We benefited from holding U.S. small and midcap ETFs, and international equity ETFs, which posted strong returns following the European Central Bank’s announcement that it would initiate quantitative easing. All of these equity holdings outperformed U.S. large-cap stocks over the first six months of the year.
The Portfolio’s realized level of volatility over the period was 10.04 percent, below our 12 percent target. We limit the total equity exposure of the Portfolio to 85 percent of net assets. This ensures that the Portfolio adheres to its downside protection objective. Even though we increased the equity allocation over the first six months by buying futures, the continued low volatility environment in
ECONOMIC SECTORS | % OF TOTAL INVESTMENTS | ||
Exchange-Traded Products | 95.1 | % | |
Short-Term Investments | 4.9 | % | |
Total | 100 | % | |
conjunction with our downside protection policies prevented us from reaching the 12 percent target level.
Our strategy continues to perform as expected. During sustained periods of low volatility, the Portfolio undershoots its volatility target because it is not able to increase the equity allocation high enough as doing so would cause the Portfolio to diverge from its downside protection objective. Similarly, since the equity market tends to rise during periods of low volatility, the increased equity exposure helped performance during the period. That benefit was limited by our downside protection policy.
With volatility still below historical averages, we are maintaining the maximum allowable long equity position using futures. However, if volatility increases, the strategy will respond by lowering the Portfolio’s equity exposure.
We do not foresee any significant changes to our target asset allocation model. Although there may be periods characterized by dominant performance from a single asset class, which was the case in 2014 for large-cap U.S. stocks, over longer time horizons diversification should produce better risk-adjusted returns than investing in any single asset class.
Outlook
We see the U.S. economy accelerating in the second half of the year, in a similar pattern to that we observed in 2014 after a tough first quarter caused by severe weather. Lower oil prices will also provide an economic boost.
Despite being positive on the U.S. economy in the medium to long run, we continue to be concerned about potential market jitters in the short term. Recent macroeconomic data have indicated softness globally, and stock investors around the world are starting to get nervous about rich valuations across many risky asset categories, including equities. Some of the negative catalysts currently in the system, such as uncertainty about Greece’s status in the eurozone and a potential bubble burst in China, make markets more vulnerable to shocks given current valuations.
We continue to be concerned that concurrent easing efforts in multiple global economies in Europe and Asia will be less potent than that carried out in the U.S. in response to the financial crisis because these efforts will cancel each other out to some extent. As such, market enthusiasm for
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global easing may wane if robust economic recovery doesn’t follow, hindered by underlying structural economic and fiscal challenges in many economies.
With lower commodity prices, a strong dollar, and little wage growth, inflation in the U.S. is likely to remain at historically low levels for some time to come, while deflationary pressures continue globally. We continue to be less aggressive than consensus with respect to the timing of a Fed rate hike, believing that hikes are more likely to occur in December or early 2016 than earlier. Equally as important, we continue to believe that when the Fed does raise rates, it will be focused as much on resulting rate volatility as on the level of interest rates, with the tightening process likely to be slow and gradual. We expect market volatility to pick up as we approach this inevitability, especially among higher-priced securities and sectors with above-average multiples.
When market volatility increases and risky assets underperform, we expect our strategy to protect against large drawdowns, which is what this Portfolio is designed to do.
July 2015
8 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution (12 b-1) fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED EXPENSE RATIO | BEGINNING ACCOUNT VALUE 1/1/15 | ENDING ACCOUNT VALUE 6/30/15 | EXPENSES PAID DURING PERIOD* 1/1/15 - 6/30/15 | |
Actual | 0.83% | $1,000.00 | $1,011.40 | $4.14 |
Hypothetical (5% return per year before expenses) | 0.83% | $1,000.00 | $1,020.68 | $4.16 |
* Expenses are equal to the Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratio. |
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STATEMENT OF NET ASSETS
JUNE 30, 2015
SHARES | VALUE ($) | ||||
EXCHANGE-TRADED PRODUCTS - 94.8% | |||||
Consumer Discretionary Select Sector SPDR Fund | 5,200 | 397,696 | |||
Consumer Staples Select Sector SPDR Fund | 7,300 | 347,480 | |||
Financial Select Sector SPDR Fund | 21,900 | 533,922 | |||
Health Care Select Sector SPDR Fund | 6,400 | 476,096 | |||
Industrial Select Sector SPDR Fund | 6,900 | 373,014 | |||
iShares Core S&P Mid-Cap ETF | 20,900 | 3,134,582 | |||
iShares Core U.S. Aggregate Bond ETF | 162,300 | 17,654,994 | |||
iShares North American Natural Resources ETF | 9,800 | 355,544 | |||
iShares Russell 2000 ETF | 42,300 | 5,281,578 | |||
iShares S&P 500 Growth ETF | 111,200 | 12,661,232 | |||
iShares S&P 500 Value ETF | 138,100 | 12,734,201 | |||
iShares S&P Mid-Cap 400 Growth ETF | 6,200 | 1,050,900 | |||
iShares S&P Mid-Cap 400 Value ETF | 8,100 | 1,044,576 | |||
SPDR Barclays High Yield Bond ETF | 13,300 | 511,119 | |||
Technology Select Sector SPDR Fund | 15,700 | 649,980 | |||
Vanguard FTSE Developed Markets ETF | 413,300 | 16,387,345 | |||
Vanguard FTSE Emerging Markets ETF | 25,700 | 1,050,616 | |||
Vanguard REIT ETF | 56,000 | 4,182,640 | |||
Vanguard S&P 500 ETF | 115,100 | 21,735,484 | |||
Vanguard Short-Term Corporate Bond ETF | 13,300 | 1,058,414 | |||
Total Exchange-Traded Products (Cost $98,404,071) | 101,621,413 | ||||
PRINCIPAL AMOUNT ($) | |||||
TIME DEPOSIT - 4.9% | |||||
State Street Bank Time Deposit, 0.088%, 7/1/15 | 5,250,842 | 5,250,842 | |||
Total Time Deposit (Cost $5,250,842) | 5,250,842 | ||||
TOTAL INVESTMENTS (Cost $103,654,913) - 99.7% | 106,872,255 | ||||
Other assets and liabilities, net - 0.3% | 290,928 | ||||
NET ASSETS - 100.0% | $107,163,183 | ||||
See notes to financial statements. |
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NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to 6,384,350 shares of common stock outstanding; | |||
$0.10 par value, 100,000,000 shares authorized | $102,975,497 | ||
Undistributed net investment income | 615,428 | ||
Accumulated net realized gain (loss) | 467,825 | ||
Net unrealized appreciation (depreciation) | 3,104,433 | ||
NET ASSETS | $107,163,183 | ||
NET ASSET VALUE PER SHARE | $16.79 | ||
FUTURES | NUMBER OF CONTRACTS | EXPIRATION DATE | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Purchased: | |||||||||
E-Mini MSCI EAFE Index | 16 | 9/15 | $1,467,200 | ($39,293 | ) | ||||
E-Mini Russell 2000 Index | 8 | 9/15 | 1,000,320 | (7,846 | ) | ||||
E-Mini S&P 400 Index | 4 | 9/15 | 599,240 | (11,383 | ) | ||||
E-Mini S&P 500 Index | 36 | 9/15 | 3,697,920 | (54,387 | ) | ||||
Total Purchased | ($112,909 | ) |
Abbreviations: | |
ETF: | Exchange Traded Fund |
REIT: | Real Estate Investment Trust |
See notes to financial statements. |
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STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2015
NET INVESTMENT INCOME | |||
Investment Income: | |||
Dividend income | $1,011,139 | ||
Interest income | 1,956 | ||
Total investment income | 1,013,095 | ||
Expenses: | |||
Investment advisory fee | 201,228 | ||
Administrative fees | 47,912 | ||
Transfer agency fees and expenses | 4,395 | ||
Distribution Plan expenses | 119,779 | ||
Directors’ fees and expenses | 5,127 | ||
Accounting fees | 7,946 | ||
Custodian fees | 10,902 | ||
Professional fees | 11,158 | ||
Reports to shareholders | 5,915 | ||
Miscellaneous | 2,367 | ||
Total expenses | 416,729 | ||
Reimbursement from Advisor | (19,062) | ||
Net expenses | 397,667 | ||
NET INVESTMENT INCOME | 615,428 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments | 592,822 | ||
Futures | (11,516) | ||
581,306 | |||
Change in unrealized appreciation (depreciation) on: | |||
Investments | (294,236) | ||
Futures | (249,556) | ||
(543,792) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 37,514 | ||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $652,942 | ||
See notes to financial statements. |
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STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | SIX MONTHS ENDED JUNE 30, 2015 | YEAR ENDED DECEMBER 31, 2014 | |||||
Operations: | |||||||
Net investment income | $615,428 | $861,514 | |||||
Net realized gain (loss) | 581,306 | 14,535 | |||||
Change in unrealized appreciation (depreciation) | (543,792) | 2,301,678 | |||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 652,942 | 3,177,727 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (843,131) | |||||
Total distributions | — | (843,131) | |||||
Capital share transactions: | |||||||
Shares sold | 27,658,134 | 55,107,214 | |||||
Reinvestment of distributions | — | 820,131 | |||||
Shares redeemed | (3,536,525) | (1,582,718) | |||||
Total capital share transactions | 24,121,609 | 54,344,627 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 24,774,551 | 56,679,223 | |||||
NET ASSETS | |||||||
Beginning of period | 82,388,632 | 25,709,409 | |||||
End of period (including undistributed net investment income of $615,428 and $0, respectively) | $107,163,183 | $82,388,632 | |||||
CAPITAL SHARE ACTIVITY | |||||||
Shares sold | 1,635,975 | 3,390,227 | |||||
Reinvestment of distributions | — | 48,992 | |||||
Shares redeemed | (213,340) | (96,423) | |||||
Total capital share activity | 1,422,635 | 3,342,796 | |||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE A — SIGNIFICANT ACCOUNTING POLICIES
General: Calvert VP Volatility Managed Growth Portfolio (the “Portfolio”), a series of Calvert Variable Products, Inc. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of eleven separate portfolios. The operations of each series of the Fund are accounted for separately. The Portfolio offers Class F shares, which are subject to Distribution Plan expenses. Shares of the Portfolio are sold without sales charge to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in exchange-traded funds representing a broad range of asset classes (the “Underlying Funds”) and derivatives to manage overall portfolio volatility.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Portfolio uses independent pricing services approved by the Board of Directors (“the Board”) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
The Board has adopted Valuation Procedures (the “Procedures”) to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. The Board has delegated the day-to-day responsibility for determining the fair value of assets of the Portfolio to Calvert Investment Management, Inc. (the “Advisor” or “Calvert”) and has provided these Procedures to govern Calvert in its valuation duties.
Calvert has chartered an internal Valuation Committee to oversee the implementation of these Procedures and to assist it in carrying out the valuation responsibilities that the Board has delegated.
The Valuation Committee meets on a regular basis to review illiquid securities and other investments which may not have readily available market prices. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
The Valuation Committee utilizes various methods to measure the fair value of the Portfolio’s investments. Generally Accepted Accounting Principles (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 Portfolio’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.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. There were no such transfers during the period. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
Exchange-traded products are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
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If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Advisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by the Valuation Committee.
The Valuation Committee considers a number of factors, including significant unobservable valuation inputs when arriving at fair value. It considers all significant facts that are reasonably available and relevant to the determination of fair value.
The Valuation Committee primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. When more appropriate, the Portfolio may employ an income-based or cost approach. An income-based valuation approach discounts anticipated future cash flows of the investment to calculate a present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. A cost based approach is based on the amount that currently would be required to replace the service capacity of an asset (current replacement cost). From the seller’s perspective, the price that would be received for the asset is determined based on the cost to a buyer to acquire or construct a substitute asset of comparable utility, adjusted for obsolescence.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of key inputs and assumptions, transactional back-testing or disposition analysis and reviews of any related market activity.
At June 30, 2015, no securities were fair valued in good faith under the direction of the Board.
The following table summarizes the market value of the Portfolio’s holdings as of June 30, 2015, based on the inputs used to value them:
VALUATION INPUTS | ||||||||||||
INVESTMENTS IN SECURITIES* | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Products | $101,621,413 | $— | $— | $101,621,413 | ||||||||
Time Deposit | — | 5,250,842 | — | 5,250,842 | ||||||||
TOTAL | $101,621,413 | $5,250,842 | $— | $106,872,255 | ||||||||
Other financial instruments** | ($112,909 | ) | $— | $— | ($112,909 | ) |
* For a complete listing of investments, please refer to the Statement of Net Assets.
** Other financial instruments are derivative instruments not reflected in the Total Investments in the Statement of Net Assets, such as futures, which are valued at the unrealized appreciation/depreciation of the instrument.
Futures Contracts: The Portfolio may purchase and sell futures contracts to manage overall portfolio volatility. These futures contracts may include, but are not limited to, futures contracts based on U.S. government obligations and market index futures contracts. The Portfolio may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Portfolio’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades
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on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio. During the period, futures contracts were used to adjust the Portfolio’s overall equity exposure in an effort to stabilize portfolio volatility around a target level. The Portfolio’s futures contracts at period end are presented in the Statement of Net Assets.
During the six months ended June 30, 2015, the Portfolio invested in E-Mini S&P 500 Index, MSCI EAFE Mini Index, E-Mini S&P 400 Index, and E-Mini Russell 2000 Index futures. The volume of outstanding contracts has varied throughout the period with an average number of contracts as in the following table:
Derivative Description | Average Number of Contracts* |
Futures contracts long | 53 |
*Averages are based on activity levels during the six months ended June 30, 2015. |
Security Transactions and Investment Income: Security transactions, normally related to shares of the Underlying Funds, are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Income and capital gain distributions from the Underlying Funds, if any, are recorded on ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.
Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio’s capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Federal Income Taxes: No provision for federal income or excise tax is required since the Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. A Portfolio’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years.
NOTE B — RELATED PARTY TRANSACTIONS
Calvert Investment Management, Inc. (the “Advisor”) is wholly-owned by Calvert Investments, Inc., which is indirectly wholly-owned by Ameritas Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .42% of the Portfolio’s average daily net assets. Under the terms of the agreement, $36,943 was payable at period end.
The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2016. The contractual expense cap is .83%. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. This expense limitation does not limit fees and expenses associated with the Underlying Funds. Under the terms of the agreement, $2,364 was receivable at period end.
Calvert Investment Administrative Services, Inc., an affiliate of the Advisor, provides administrative services to the Portfolio for an annual fee, payable monthly, of .10% of the Portfolio’s average daily net assets. Under the terms of the agreement, $8,796 was payable at period end.
Calvert Investment Distributors, Inc. (“CID”), an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Pursuant to Rule 12b-1 under the Investment Company Act of 1940, the Portfolio has adopted a Distribution
16 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
Plan that permits the Portfolio to pay certain expenses associated with the distribution and servicing of its Class F shares. The expenses paid may not exceed .25% annually of the average daily net assets of Class F. Under the terms of the agreement, $21,990 was payable at period end.
Calvert Investment Services, Inc. (“CIS”), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CIS received a fee of $3,111 for the period ended June 30, 2015. Under the terms of the agreement, $596 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $44,000. Committee chairs receive an additional $5,000 annual retainer. Directors’ fees are allocated to each of the portfolios served.
NOTE C — INVESTMENT ACTIVITY AND TAX INFORMATION
During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $28,026,514 and $5,166,388, respectively.
As of June 30, 2015 the tax basis components of appreciation/depreciation and the federal tax cost were as follows:
Unrealized appreciation | $3,551,324 | ||
Unrealized (depreciation) | (354,656) | ||
Net unrealized appreciation/(depreciation) | $3,196,668 | ||
Federal income tax cost of investments | $103,675,587 |
NOTE D — LINE OF CREDIT
A financing agreement is in place with the Calvert Funds and State Street Corporation (“SSC”). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings bear interest at the higher of the London Interbank Offered Rate (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .125% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2015.
NOTE E — SUBSEQUENT EVENTS
In preparing the financial statements as of June 30, 2015, no subsequent events or transactions occurred that would have required recognition or disclosure in these financial statements.
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FINANCIAL HIGHLIGHTS | |||||||||||
PERIODS ENDED | |||||||||||
JUNE 30, | DECEMBER 31, | ||||||||||
2015 (z) | 2014 (z) | 2013 #(z) | |||||||||
Net asset value, beginning | $16.60 | $15.88 | $15.00 | ||||||||
Income from investment operations: | |||||||||||
Net investment income | 0.11 | 0.26 | 0.21 | ||||||||
Net realized and unrealized gain (loss) | 0.08 | 0.63 | 0.78 | ||||||||
Total from investment operations | 0.19 | 0.89 | 0.99 | ||||||||
Distributions from: | |||||||||||
Net investment income | — | (0.17 | ) | (0.11 | ) | ||||||
Net realized gain | — | — | — | ||||||||
Total distributions | — | (0.17 | ) | (0.11 | ) | ||||||
Total increase (decrease) in net asset value | 0.19 | 0.72 | 0.88 | ||||||||
Net asset value, ending | $16.79 | $16.60 | $15.88 | ||||||||
Total return* | 1.14 | % | 5.61 | % | 6.59 | % | |||||
Ratios to average net assets: A, B | |||||||||||
Net investment income | 1.28 | % (a) | 1.57 | % | 2.12 | % (a) | |||||
Total expenses | 0.87 | % (a) | 0.94 | % | 1.25 | % (a) | |||||
Expenses before offsets | 0.83 | % (a) | 0.83 | % | 0.83 | % (a) | |||||
Net expenses | 0.83 | % (a) | 0.83 | % | 0.83 | % (a) | |||||
Portfolio turnover | 6 | % | 30 | % | 1 | % | |||||
Net assets, ending (in thousands) | $107,163 | $82,389 | $25,709 | ||||||||
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio. B Amounts do not include the activity of the Underlying Funds. (a) Annualized. (z) Per share figures are calculated using the Average Shares Method. # From April 30, 2013 inception. * Total return is not annualized for periods of less than one year and does not reflect charges and expenses of the variable annuity or variable universal life contract. | |||||||||||
See notes to financial statements. |
18 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
EXPLANATION OF FINANCIAL TABLES
SCHEDULE OF INVESTMENTS
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
STATEMENT OF ASSETS AND LIABILITIES
The Statement of Assets and Liabilities is often referred to as the fund’s balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund’s assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund’s liabilities typically include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund’s net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund’s net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
STATEMENT OF NET ASSETS
The Statement of Net Assets provides a detailed list of the fund’s holdings, including each security’s market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund’s net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund’s net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund’s investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
STATEMENT OF OPERATIONS
The Statement of Operations summarizes the fund’s investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) may also be shown. Credits earned from offset arrangements may be used to reduce the fund’s expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
STATEMENT OF CHANGES IN NET ASSETS
The Statement of Changes in Net Assets shows how the fund’s total net assets changed during the two most recent reporting periods. Changes in the fund’s net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED) 19
FINANCIAL HIGHLIGHTS
The Financial Highlights table provides a per-share breakdown by class of the components that affect the fund’s net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund’s performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund’s cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund’s investment portfolio – how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund’s investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling the Fund, by visiting the Calvert website at www.calvert.com or visiting the SEC’s website at www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO HOLDINGS
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
20 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMI-ANNUAL REPORT (UNAUDITED)
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This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert Funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call Calvert at 800/368-2745.
Printed on recycled paper using soy ink.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | This Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Directors since registrant last provided disclosure in response to this Item.
Item 11. Controls and Procedures.
(a) The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, based on the evaluation of these controls and procedures required by Rule 30a-
3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act, as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).
Attached hereto.
(a)(3) Not applicable.
(b) A certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. The certification furnished pursuant to this paragraph is not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be
incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT VARIABLE PRODUCTS, INC.
By: /s/ John H. Streur
John H. Streur
Chair -- Principal Executive Officer
Date: August 31, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ John H. Streur
John H. Streur
Chair -- Principal Executive Officer
Date: August 31, 2015
/s/ Vicki L. Benjamin
Vicki L. Benjamin
Treasurer -- Principal Financial Officer
Date: August 31, 2015