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)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant's telephone number)
December 31
Date of Fiscal Year End
June 30, 2018
Date of Reporting Period
Item 1. Report to Stockholders.
Calvert VP S&P 500 Index Portfolio
Calvert VP Investment Grade Bond Index Portfolio
Calvert VP S&P MidCap 400 Index Portfolio
Calvert VP Russell 2000 Small Cap Index Portfolio
Calvert VP EAFE International Index Portfolio
Calvert VP Volatility Managed Moderate Portfolio
Calvert VP Volatility Managed Moderate Growth Portfolio
Calvert VP Volatility Managed Growth Portfolio
Calvert VP Nasdaq 100 Index Portfolio
Calvert VP S&P 500 Index Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||||
% Average Annual Total Returns | Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Fund at NAV | 12/29/1995 | 12/29/1995 | 2.46 | % | 13.98 | % | 13.00 | % | 9.79 | % | ||||||
S&P 500 Index | — | — | 2.65 | % | 14.37 | % | 13.41 | % | 10.16 | % | ||||||
% Total Annual Operating Expense Ratios3 | ||||||||||||||||
Gross | 0.40 | % | ||||||||||||||
Net | 0.28 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST HOLDINGS (% of net assets)5 | ||||||
Information Technology | 25.2 | % | Apple, Inc. | 3.8 | % | ||
Health Care | 13.6 | % | Microsoft Corp. | 3.2 | % | ||
Financials | 13.4 | % | Amazon.com, Inc. | 2.9 | % | ||
Consumer Discretionary | 12.6 | % | Facebook, Inc., Class A | 2.0 | % | ||
Industrials | 9.3 | % | Berkshire Hathaway, Inc., Class B | 1.5 | % | ||
Consumer Staples | 6.7 | % | JPMorgan Chase & Co. | 1.5 | % | ||
Energy | 6.2 | % | Exxon Mobil Corp. | 1.5 | % | ||
Utilities | 2.9 | % | Alphabet, Inc., Class C | 1.4 | % | ||
Real Estate | 2.8 | % | Alphabet, Inc., Class A | 1.4 | % | ||
Materials | 2.5 | % | Johnson & Johnson | 1.4 | % | ||
Telecommunication Services | 1.9 | % | Total | 20.6 | % | ||
Time Deposit | 1.5 | % | |||||
Exchange-Traded Funds | 0.8 | % | |||||
U.S. Treasury Obligations | 0.6 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
5 Excludes cash and cash equivalents.
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
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 actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
$1,000.00 | $1,024.60 | $1.41** | 0.28% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,023.41 | $1.40** | 0.28% | |
* 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). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP S&P 500 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 97.1% | ||
Aerospace & Defense - 2.6% | ||
Arconic, Inc. | 8,087 | 137,560 |
Boeing Co. (The) | 10,316 | 3,461,121 |
General Dynamics Corp. | 5,174 | 964,485 |
Harris Corp. | 2,260 | 326,660 |
Huntington Ingalls Industries, Inc. | 864 | 187,307 |
L3 Technologies, Inc. | 1,489 | 286,365 |
Lockheed Martin Corp. | 4,653 | 1,374,636 |
Northrop Grumman Corp. | 3,314 | 1,019,718 |
Raytheon Co. | 5,380 | 1,039,308 |
Rockwell Collins, Inc. | 3,121 | 420,336 |
Textron, Inc. | 4,983 | 328,430 |
TransDigm Group, Inc. (1) | 924 | 318,909 |
United Technologies Corp. | 13,936 | 1,742,418 |
11,607,253 | ||
Air Freight & Logistics - 0.6% | ||
C.H. Robinson Worldwide, Inc. | 2,660 | 222,536 |
Expeditors International of Washington, Inc. | 3,361 | 245,689 |
FedEx Corp. | 4,604 | 1,045,384 |
United Parcel Service, Inc., Class B | 12,915 | 1,371,960 |
2,885,569 | ||
Airlines - 0.4% | ||
Alaska Air Group, Inc. | 2,341 | 141,373 |
American Airlines Group, Inc. (1) | 8,016 | 304,287 |
Delta Air Lines, Inc. | 12,380 | 613,305 |
Southwest Airlines Co. | 10,296 | 523,861 |
United Continental Holdings, Inc. (2) | 4,606 | 321,176 |
1,904,002 | ||
Auto Components - 0.2% | ||
Aptiv plc | 5,060 | 463,648 |
BorgWarner, Inc. | 3,767 | 162,584 |
Goodyear Tire & Rubber Co. (The) | 5,094 | 118,639 |
744,871 | ||
Automobiles - 0.4% | ||
Ford Motor Co. | 74,285 | 822,335 |
General Motors Co. | 24,037 | 947,058 |
Harley-Davidson, Inc. | 3,206 | 134,908 |
1,904,301 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Banks - 5.9% | ||
Bank of America Corp. | 177,632 | 5,007,446 |
BB&T Corp. | 14,797 | 746,361 |
Citigroup, Inc. | 48,099 | 3,218,785 |
Citizens Financial Group, Inc. | 9,276 | 360,836 |
Comerica, Inc. | 3,290 | 299,127 |
Fifth Third Bancorp | 13,207 | 379,041 |
Huntington Bancshares, Inc. | 20,983 | 309,709 |
JPMorgan Chase & Co. | 64,303 | 6,700,373 |
KeyCorp | 20,191 | 394,532 |
M&T Bank Corp. | 2,720 | 462,808 |
People's United Financial, Inc. | 6,516 | 117,874 |
PNC Financial Services Group, Inc. (The) | 8,793 | 1,187,934 |
Regions Financial Corp. | 21,368 | 379,923 |
SunTrust Banks, Inc. | 8,914 | 588,502 |
SVB Financial Group (2) | 1,006 | 290,493 |
U.S. Bancorp | 29,224 | 1,461,785 |
Wells Fargo & Co. | 82,614 | 4,580,120 |
Zions Bancorporation | 3,741 | 197,113 |
26,682,762 | ||
Beverages - 1.7% | ||
Brown-Forman Corp., Class B | 4,979 | 244,020 |
Coca-Cola Co. (The) | 72,229 | 3,167,964 |
Constellation Brands, Inc., Class A | 3,147 | 688,784 |
Molson Coors Brewing Co., Class B | 3,520 | 239,501 |
Monster Beverage Corp. (2) | 7,871 | 451,008 |
PepsiCo, Inc. | 26,763 | 2,913,688 |
7,704,965 | ||
Biotechnology - 2.4% | ||
AbbVie, Inc. | 28,584 | 2,648,308 |
Alexion Pharmaceuticals, Inc. (2) | 4,220 | 523,913 |
Amgen, Inc. | 12,569 | 2,320,112 |
Biogen, Inc. (2) | 3,952 | 1,147,028 |
Celgene Corp. (2) | 13,239 | 1,051,441 |
Gilead Sciences, Inc. | 24,353 | 1,725,167 |
Incyte Corp. (1)(2) | 3,344 | 224,048 |
Regeneron Pharmaceuticals, Inc. (2) | 1,470 | 507,135 |
Vertex Pharmaceuticals, Inc. (2) | 4,833 | 821,417 |
10,968,569 | ||
Building Products - 0.3% | ||
A.O. Smith Corp. | 2,717 | 160,711 |
Allegion plc (1) | 1,812 | 140,176 |
6 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Fortune Brands Home & Security, Inc. | 2,892 | 155,271 |
Johnson Controls International plc | 17,629 | 589,690 |
Masco Corp. | 5,966 | 223,248 |
1,269,096 | ||
Capital Markets - 2.9% | ||
Affiliated Managers Group, Inc. | 1,037 | 154,171 |
Ameriprise Financial, Inc. | 2,785 | 389,566 |
Bank of New York Mellon Corp. (The) | 18,929 | 1,020,841 |
BlackRock, Inc. | 2,310 | 1,152,782 |
Cboe Global Markets, Inc. | 2,145 | 223,230 |
Charles Schwab Corp. (The) | 22,490 | 1,149,239 |
CME Group, Inc. | 6,378 | 1,045,482 |
E*Trade Financial Corp. (2) | 5,070 | 310,081 |
Franklin Resources, Inc. | 6,196 | 198,582 |
Goldman Sachs Group, Inc. (The) | 6,579 | 1,451,130 |
Intercontinental Exchange, Inc. | 10,849 | 797,944 |
Invesco Ltd. | 7,750 | 205,840 |
Moody's Corp. | 3,165 | 539,822 |
Morgan Stanley | 25,530 | 1,210,122 |
MSCI, Inc. | 1,712 | 283,216 |
Nasdaq, Inc. | 2,219 | 202,528 |
Northern Trust Corp. | 4,050 | 416,705 |
Raymond James Financial, Inc. | 2,473 | 220,963 |
S&P Global, Inc. | 4,707 | 959,710 |
State Street Corp. | 6,998 | 651,444 |
T. Rowe Price Group, Inc. | 4,656 | 540,515 |
13,123,913 | ||
Chemicals - 1.8% | ||
Air Products & Chemicals, Inc. | 4,168 | 649,083 |
Albemarle Corp. (1) | 2,110 | 199,036 |
CF Industries Holdings, Inc. | 4,440 | 197,136 |
DowDuPont, Inc. | 43,772 | 2,885,450 |
Eastman Chemical Co. | 2,721 | 271,991 |
Ecolab, Inc. | 4,949 | 694,493 |
FMC Corp. | 2,557 | 228,110 |
International Flavors & Fragrances, Inc. | 1,502 | 186,188 |
LyondellBasell Industries NV, Class A | 6,159 | 676,566 |
Mosaic Co. (The) | 6,673 | 187,178 |
PPG Industries, Inc. | 4,670 | 484,419 |
Praxair, Inc. | 5,466 | 864,448 |
Sherwin-Williams Co. (The) | 1,575 | 641,923 |
8,166,021 | ||
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Commercial Services & Supplies - 0.3% | ||
Cintas Corp. | 1,642 | 303,885 |
Copart, Inc. (2) | 3,900 | 220,584 |
Republic Services, Inc. | 4,287 | 293,059 |
Stericycle, Inc. (2) | 1,765 | 115,237 |
Waste Management, Inc. | 7,595 | 617,777 |
1,550,542 | ||
Communications Equipment - 1.0% | ||
Cisco Systems, Inc. | 88,591 | 3,812,071 |
F5 Networks, Inc. (2) | 1,177 | 202,974 |
Juniper Networks, Inc. | 6,539 | 179,299 |
Motorola Solutions, Inc. | 3,084 | 358,885 |
4,553,229 | ||
Construction & Engineering - 0.1% | ||
Fluor Corp. | 2,663 | 129,901 |
Jacobs Engineering Group, Inc. | 2,292 | 145,519 |
Quanta Services, Inc. (2) | 2,927 | 97,762 |
373,182 | ||
Construction Materials - 0.1% | ||
Martin Marietta Materials, Inc. (1) | 1,195 | 266,880 |
Vulcan Materials Co. (1) | 2,522 | 325,489 |
592,369 | ||
Consumer Finance - 0.7% | ||
American Express Co. | 13,375 | 1,310,750 |
Capital One Financial Corp. | 9,257 | 850,718 |
Discover Financial Services | 6,536 | 460,200 |
Synchrony Financial | 13,603 | 454,068 |
3,075,736 | ||
Containers & Packaging - 0.3% | ||
Avery Dennison Corp. | 1,674 | 170,915 |
Ball Corp. | 6,663 | 236,870 |
International Paper Co. | 7,860 | 409,349 |
Packaging Corp. of America | 1,800 | 201,222 |
Sealed Air Corp. (1) | 3,186 | 135,246 |
WestRock Co. | 4,856 | 276,889 |
1,430,491 | ||
Distributors - 0.1% | ||
Genuine Parts Co. | 2,793 | 256,369 |
LKQ Corp. (2) | 5,893 | 187,987 |
444,356 | ||
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT���D | ||
Diversified Consumer Services - 0.0% (3) | ||
H&R Block, Inc. (1) | 3,979 | 90,642 |
Diversified Financial Services - 1.5% | ||
Berkshire Hathaway, Inc., Class B (2) | 36,324 | 6,779,875 |
Jefferies Financial Group, Inc. | 5,968 | 135,712 |
6,915,587 | ||
Diversified Telecommunication Services - 1.9% | ||
AT&T, Inc. | 136,975 | 4,398,267 |
CenturyLink, Inc. (1) | 18,517 | 345,157 |
Verizon Communications, Inc. | 77,835 | 3,915,879 |
8,659,303 | ||
Electric Utilities - 1.8% | ||
Alliant Energy Corp. | 4,404 | 186,377 |
American Electric Power Co., Inc. | 9,365 | 648,526 |
Duke Energy Corp. | 13,326 | 1,053,820 |
Edison International | 6,202 | 392,401 |
Entergy Corp. | 3,441 | 277,998 |
Evergy, Inc. | 5,000 | 280,750 |
Eversource Energy | 6,032 | 353,536 |
Exelon Corp. | 18,370 | 782,562 |
FirstEnergy Corp. (1) | 8,510 | 305,594 |
NextEra Energy, Inc. | 8,830 | 1,474,875 |
PG&E Corp. | 9,803 | 417,216 |
Pinnacle West Capital Corp. | 2,128 | 171,432 |
PPL Corp. (1) | 13,211 | 377,174 |
Southern Co. (The) | 19,191 | 888,735 |
Xcel Energy, Inc. | 9,671 | 441,771 |
8,052,767 | ||
Electrical Equipment - 0.5% | ||
AMETEK, Inc. | 4,404 | 317,793 |
Eaton Corp. plc | 8,379 | 626,247 |
Emerson Electric Co. | 11,801 | 815,921 |
Rockwell Automation, Inc. | 2,432 | 404,271 |
2,164,232 | ||
Electronic Equipment, Instruments & Components - 0.4% | ||
Amphenol Corp., Class A | 5,815 | 506,777 |
Corning, Inc. | 15,552 | 427,835 |
FLIR Systems, Inc. | 2,866 | 148,946 |
IPG Photonics Corp. (2) | 704 | 155,324 |
TE Connectivity Ltd. | 6,685 | 602,051 |
1,840,933 | ||
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Energy Equipment & Services - 0.8% | ||
Baker Hughes a GE Co. | 8,044 | 265,693 |
Halliburton Co. | 16,609 | 748,402 |
Helmerich & Payne, Inc. | 2,246 | 143,205 |
National Oilwell Varco, Inc. | 7,234 | 313,956 |
Schlumberger Ltd. | 25,943 | 1,738,959 |
TechnipFMC plc | 8,346 | 264,902 |
3,475,117 | ||
Equity Real Estate Investment Trusts (REITs) - 2.7% | ||
Alexandria Real Estate Equities, Inc. | 1,927 | 243,130 |
American Tower Corp. | 8,272 | 1,192,574 |
Apartment Investment & Management Co., Class A | 2,947 | 124,658 |
AvalonBay Communities, Inc. | 2,628 | 451,727 |
Boston Properties, Inc. | 2,938 | 368,484 |
Crown Castle International Corp. | 7,893 | 851,023 |
Digital Realty Trust, Inc. | 3,911 | 436,389 |
Duke Realty Corp. (1) | 6,687 | 194,124 |
Equinix, Inc. | 1,508 | 648,274 |
Equity Residential | 7,008 | 446,340 |
Essex Property Trust, Inc. | 1,257 | 300,511 |
Extra Space Storage, Inc. | 2,399 | 239,444 |
Federal Realty Investment Trust | 1,393 | 176,284 |
GGP, Inc. | 11,847 | 242,034 |
HCP, Inc. | 8,950 | 231,089 |
Host Hotels & Resorts, Inc. | 13,974 | 294,432 |
Iron Mountain, Inc. (1) | 5,271 | 184,538 |
Kimco Realty Corp. | 7,958 | 135,206 |
Macerich Co. (The) (1) | 2,033 | 115,535 |
Mid-America Apartment Communities, Inc. | 2,131 | 214,528 |
Prologis, Inc. | 10,147 | 666,556 |
Public Storage | 2,852 | 647,005 |
Realty Income Corp. | 5,410 | 291,004 |
Regency Centers Corp. | 2,828 | 175,562 |
SBA Communications Corp. (2) | 2,218 | 366,236 |
Simon Property Group, Inc. | 5,800 | 987,102 |
SL Green Realty Corp. | 1,719 | 172,811 |
UDR, Inc. | 5,105 | 191,642 |
Ventas, Inc. | 6,780 | 386,121 |
Vornado Realty Trust | 3,291 | 243,271 |
Welltower, Inc. | 7,050 | 441,965 |
Weyerhaeuser Co. | 14,376 | 524,149 |
12,183,748 | ||
Food & Staples Retailing - 1.4% | ||
Costco Wholesale Corp. | 8,215 | 1,716,771 |
Kroger Co. (The) | 15,302 | 435,342 |
10 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Sysco Corp. | 9,140 | 624,171 |
Walgreens Boots Alliance, Inc. | 16,218 | 973,323 |
Walmart, Inc. | 27,311 | 2,339,187 |
6,088,794 | ||
Food Products - 1.1% | ||
Archer-Daniels-Midland Co. | 10,646 | 487,906 |
Campbell Soup Co. (1) | 3,662 | 148,457 |
Conagra Brands, Inc. | 7,627 | 272,513 |
General Mills, Inc. | 10,832 | 479,424 |
Hershey Co. (The) | 2,682 | 249,587 |
Hormel Foods Corp. (1) | 5,141 | 191,297 |
J. M. Smucker Co. (The) | 2,162 | 232,372 |
Kellogg Co. (1) | 4,739 | 331,114 |
Kraft Heinz Co. (The) (1) | 11,369 | 714,201 |
McCormick & Co., Inc. (1) | 2,305 | 267,587 |
Mondelez International, Inc., Class A | 27,627 | 1,132,707 |
Tyson Foods, Inc., Class A | 5,665 | 390,035 |
4,897,200 | ||
Health Care Equipment & Supplies - 3.0% | ||
Abbott Laboratories | 33,111 | 2,019,440 |
ABIOMED, Inc. (2) | 800 | 327,240 |
Align Technology, Inc. (2) | 1,373 | 469,758 |
Baxter International, Inc. | 9,227 | 681,322 |
Becton Dickinson and Co. | 5,068 | 1,214,090 |
Boston Scientific Corp. (2) | 26,172 | 855,824 |
Cooper Cos., Inc. (The) | 935 | 220,146 |
Danaher Corp. | 11,514 | 1,136,202 |
DENTSPLY SIRONA, Inc. | 4,372 | 191,362 |
Edwards Lifesciences Corp. (2) | 3,998 | 581,989 |
Hologic, Inc. (2) | 5,113 | 203,242 |
IDEXX Laboratories, Inc. (2) | 1,658 | 361,345 |
Intuitive Surgical, Inc. (2) | 2,138 | 1,022,990 |
Medtronic plc | 25,574 | 2,189,390 |
ResMed, Inc. | 2,721 | 281,841 |
Stryker Corp. | 6,020 | 1,016,537 |
Varian Medical Systems, Inc. (2) | 1,738 | 197,645 |
Zimmer Holdings, Inc. | 3,867 | 430,939 |
13,401,302 | ||
Health Care Providers & Services - 3.1% | ||
Aetna, Inc. | 6,126 | 1,124,121 |
AmerisourceBergen Corp. | 3,094 | 263,825 |
Anthem, Inc. | 4,780 | 1,137,783 |
Cardinal Health, Inc. | 5,991 | 292,540 |
Centene Corp. (2) | 3,753 | 462,407 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Cigna Corp. | 4,623 | 785,679 |
CVS Health Corp. | 19,041 | 1,225,288 |
DaVita, Inc. (2) | 2,615 | 181,586 |
Envision Healthcare Corp. (1)(2) | 2,303 | 101,355 |
Express Scripts Holding Co. (2) | 10,521 | 812,326 |
HCA Healthcare, Inc. | 5,328 | 546,653 |
Henry Schein, Inc. (1)(2) | 2,926 | 212,545 |
Humana, Inc. | 2,621 | 780,088 |
Laboratory Corp. of America Holdings (2) | 1,940 | 348,288 |
McKesson Corp. | 3,784 | 504,786 |
Quest Diagnostics, Inc. | 2,582 | 283,865 |
UnitedHealth Group, Inc. | 18,102 | 4,441,145 |
Universal Health Services, Inc., Class B | 1,656 | 184,545 |
13,688,825 | ||
Health Care Technology - 0.1% | ||
Cerner Corp. (2) | 6,015 | 359,637 |
Hotels, Restaurants & Leisure - 1.6% | ||
Carnival Corp. | 7,728 | 442,892 |
Chipotle Mexican Grill, Inc. (2) | 468 | 201,881 |
Darden Restaurants, Inc. | 2,352 | 251,805 |
Hilton Worldwide Holdings, Inc. | 5,390 | 426,672 |
Marriott International, Inc., Class A | 5,559 | 703,770 |
McDonald's Corp. | 14,821 | 2,322,303 |
MGM Resorts International | 9,703 | 281,678 |
Norwegian Cruise Line Holdings Ltd. (2) | 3,872 | 182,952 |
Royal Caribbean Cruises Ltd. | 3,255 | 337,218 |
Starbucks Corp. | 25,847 | 1,262,626 |
Wynn Resorts Ltd. | 1,610 | 269,417 |
Yum! Brands, Inc. | 6,054 | 473,544 |
7,156,758 | ||
Household Durables - 0.4% | ||
D.R. Horton, Inc. | 6,512 | 266,992 |
Garmin Ltd. | 2,106 | 128,466 |
Leggett & Platt, Inc. (1) | 2,459 | 109,770 |
Lennar Corp., Class A | 5,198 | 272,895 |
Mohawk Industries, Inc. (2) | 1,204 | 257,981 |
Newell Brands, Inc. (1) | 9,236 | 238,196 |
PulteGroup, Inc. | 5,017 | 144,239 |
Whirlpool Corp. | 1,209 | 176,792 |
1,595,331 | ||
Household Products - 1.3% | ||
Church & Dwight Co., Inc. | 4,644 | 246,875 |
Clorox Co. (The) (1) | 2,463 | 333,121 |
12 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Colgate-Palmolive Co. | 16,338 | 1,058,866 |
Kimberly-Clark Corp. | 6,676 | 703,250 |
Procter & Gamble Co. (The) | 47,369 | 3,697,624 |
6,039,736 | ||
Independent Power and Renewable Electricity Producers - 0.1% | ||
AES Corp. | 12,573 | 168,604 |
NRG Energy, Inc. | 5,744 | 176,341 |
344,945 | ||
Industrial Conglomerates - 1.6% | ||
3M Co. | 11,120 | 2,187,526 |
General Electric Co. | 163,972 | 2,231,659 |
Honeywell International, Inc. | 13,990 | 2,015,260 |
Roper Technologies, Inc. | 1,957 | 539,956 |
6,974,401 | ||
Insurance - 2.3% | ||
Aflac, Inc. | 14,835 | 638,202 |
Allstate Corp. (The) | 6,747 | 615,799 |
American International Group, Inc. | 16,813 | 891,425 |
Aon plc | 4,686 | 642,779 |
Arthur J. Gallagher & Co. | 3,454 | 225,477 |
Assurant, Inc. | 1,091 | 112,907 |
Brighthouse Financial, Inc. (2) | 2,259 | 90,518 |
Chubb Ltd. | 8,834 | 1,122,095 |
Cincinnati Financial Corp. | 2,841 | 189,949 |
Everest Re Group Ltd. | 768 | 177,009 |
Hartford Financial Services Group, Inc. (The) | 6,795 | 347,428 |
Lincoln National Corp. | 4,155 | 258,649 |
Loews Corp. | 5,133 | 247,821 |
Marsh & McLennan Cos., Inc. | 9,663 | 792,076 |
MetLife, Inc. | 19,039 | 830,100 |
Principal Financial Group, Inc. | 5,128 | 271,528 |
Progressive Corp. (The) | 11,084 | 655,618 |
Prudential Financial, Inc. | 7,866 | 735,550 |
Torchmark Corp. | 1,978 | 161,029 |
Travelers Cos., Inc. (The) | 5,167 | 632,131 |
Unum Group | 4,212 | 155,802 |
Willis Towers Watson plc | 2,515 | 381,274 |
XL Group Ltd. | 4,890 | 273,595 |
10,448,761 | ||
Internet & Direct Marketing Retail - 4.1% | ||
Amazon.com, Inc. (2) | 7,601 | 12,920,180 |
Booking Holdings, Inc. (2) | 902 | 1,828,435 |
Expedia Group, Inc. | 2,329 | 279,922 |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Netflix, Inc. (2) | 8,205 | 3,211,683 |
TripAdvisor, Inc. (1)(2) | 2,242 | 124,902 |
18,365,122 | ||
Internet Software & Services - 5.2% | ||
Akamai Technologies, Inc. (2) | 3,237 | 237,045 |
Alphabet, Inc., Class A (2) | 5,626 | 6,352,823 |
Alphabet, Inc., Class C (2) | 5,718 | 6,379,287 |
eBay, Inc. (2) | 17,314 | 627,806 |
Facebook, Inc., Class A (2) | 45,275 | 8,797,838 |
Twitter, Inc. (2) | 12,000 | 524,040 |
VeriSign, Inc. (2) | 1,830 | 251,478 |
23,170,317 | ||
IT Services - 4.4% | ||
Accenture plc, Class A | 12,045 | 1,970,442 |
Alliance Data Systems Corp. | 903 | 210,580 |
Automatic Data Processing, Inc. | 8,251 | 1,106,789 |
Broadridge Financial Solutions, Inc. | 2,209 | 254,256 |
Cognizant Technology Solutions Corp., Class A | 10,974 | 866,836 |
DXC Technology Co. | 5,430 | 437,712 |
Fidelity National Information Services, Inc. | 6,304 | 668,413 |
Fiserv, Inc. (2) | 7,866 | 582,792 |
FleetCor Technologies, Inc. (2) | 1,700 | 358,105 |
Gartner, Inc. (1)(2) | 1,735 | 230,582 |
Global Payments, Inc. | 3,029 | 337,703 |
International Business Machines Corp. | 15,990 | 2,233,803 |
MasterCard, Inc., Class A | 17,293 | 3,398,420 |
Paychex, Inc. | 6,085 | 415,910 |
PayPal Holdings, Inc. (2) | 20,905 | 1,740,759 |
Total System Services, Inc. | 3,148 | 266,069 |
Visa, Inc., Class A (1) | 33,647 | 4,456,545 |
Western Union Co. (The) (1) | 8,629 | 175,428 |
19,711,144 | ||
Leisure Products - 0.1% | ||
Hasbro, Inc. | 2,129 | 196,528 |
Mattel, Inc. (1) | 7,108 | 116,713 |
313,241 | ||
Life Sciences Tools & Services - 0.8% | ||
Agilent Technologies, Inc. | 6,143 | 379,883 |
Illumina, Inc. (2) | 2,798 | 781,453 |
IQVIA Holdings, Inc. (2) | 3,075 | 306,946 |
Mettler-Toledo International, Inc. (2) | 485 | 280,636 |
PerkinElmer, Inc. (1) | 2,103 | 154,003 |
14 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Thermo Fisher Scientific, Inc. | 7,535 | 1,560,800 |
Waters Corp. (2) | 1,500 | 290,385 |
3,754,106 | ||
Machinery - 1.4% | ||
Caterpillar, Inc. | 11,198 | 1,519,233 |
Cummins, Inc. | 2,965 | 394,345 |
Deere & Co. | 6,163 | 861,588 |
Dover Corp. | 2,940 | 215,208 |
Flowserve Corp. (1) | 2,701 | 109,120 |
Fortive Corp. | 5,830 | 449,551 |
Illinois Tool Works, Inc. | 5,710 | 791,063 |
Ingersoll-Rand plc | 4,756 | 426,756 |
PACCAR, Inc. | 6,700 | 415,132 |
Parker-Hannifin Corp. | 2,533 | 394,768 |
Pentair plc | 3,153 | 132,678 |
Snap-on, Inc. (1) | 1,080 | 173,578 |
Stanley Black & Decker, Inc. | 2,919 | 387,672 |
Xylem, Inc. | 3,424 | 230,709 |
6,501,401 | ||
Media - 2.2% | ||
CBS Corp., Class B | 6,570 | 369,365 |
Charter Communications, Inc., Class A (2) | 3,469 | 1,017,146 |
Comcast Corp., Class A | 86,620 | 2,842,002 |
Discovery, Inc., Class A (1)(2) | 2,923 | 80,383 |
Discovery, Inc., Class C (2) | 5,813 | 148,232 |
DISH Network Corp., Class A (2) | 4,713 | 158,404 |
Interpublic Group of Cos., Inc. (The) | 7,221 | 169,260 |
News Corp., Class A | 7,920 | 122,760 |
News Corp., Class B | 2,023 | 32,065 |
Omnicom Group, Inc. (1) | 4,383 | 334,291 |
Twenty-First Century Fox, Inc., Class A | 20,063 | 996,930 |
Twenty-First Century Fox, Inc., Class B | 8,360 | 411,897 |
Viacom, Inc., Class B | 6,736 | 203,158 |
Walt Disney Co. (The) | 28,046 | 2,939,501 |
9,825,394 | ||
Metals & Mining - 0.3% | ||
Freeport-McMoRan, Inc. | 25,631 | 442,391 |
Newmont Mining Corp. | 10,155 | 382,945 |
Nucor Corp. | 6,052 | 378,250 |
1,203,586 | ||
Multi-Utilities - 0.9% | ||
Ameren Corp. | 4,619 | 281,066 |
CenterPoint Energy, Inc. | 8,225 | 227,915 |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
CMS Energy Corp. | 5,376 | 254,177 |
Consolidated Edison, Inc. | 5,909 | 460,784 |
Dominion Energy, Inc. | 12,402 | 845,568 |
DTE Energy Co. | 3,415 | 353,896 |
NiSource, Inc. | 6,965 | 183,040 |
Public Service Enterprise Group, Inc. | 9,608 | 520,177 |
SCANA Corp. | 2,949 | 113,596 |
Sempra Energy | 4,860 | 564,295 |
WEC Energy Group, Inc. (1) | 6,006 | 388,288 |
4,192,802 | ||
Multiline Retail - 0.5% | ||
Dollar General Corp. | 4,911 | 484,225 |
Dollar Tree, Inc. (2) | 4,513 | 383,605 |
Kohl's Corp. | 3,200 | 233,280 |
Macy's, Inc. | 5,802 | 217,169 |
Nordstrom, Inc. (1) | 2,412 | 124,893 |
Target Corp. | 9,985 | 760,058 |
2,203,230 | ||
Oil, Gas & Consumable Fuels - 5.4% | ||
Anadarko Petroleum Corp. | 9,809 | 718,509 |
Andeavor | 2,693 | 353,268 |
Apache Corp. (1) | 7,261 | 339,452 |
Cabot Oil & Gas Corp. | 8,771 | 208,750 |
Chevron Corp. | 35,998 | 4,551,227 |
Cimarex Energy Co. | 1,817 | 184,862 |
Concho Resources, Inc. (1)(2) | 2,838 | 392,637 |
ConocoPhillips | 21,915 | 1,525,722 |
Devon Energy Corp. | 10,014 | 440,216 |
EOG Resources, Inc. | 10,842 | 1,349,070 |
EQT Corp. (1) | 4,660 | 257,139 |
Exxon Mobil Corp. | 79,756 | 6,598,214 |
Hess Corp. | 5,098 | 341,005 |
HollyFrontier Corp. | 3,307 | 226,298 |
Kinder Morgan, Inc. | 36,114 | 638,134 |
Marathon Oil Corp. | 16,174 | 337,390 |
Marathon Petroleum Corp. | 8,651 | 606,954 |
Newfield Exploration Co. (2) | 4,119 | 124,600 |
Noble Energy, Inc. | 9,369 | 330,538 |
Occidental Petroleum Corp. | 14,343 | 1,200,222 |
ONEOK, Inc. | 7,817 | 545,861 |
Phillips 66 | 7,992 | 897,582 |
Pioneer Natural Resources Co. | 3,242 | 613,516 |
Valero Energy Corp. | 8,071 | 894,509 |
Williams Cos., Inc. (The) | 15,748 | 426,928 |
24,102,603 | ||
16 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Personal Products - 0.2% | ||
Coty, Inc., Class A | 8,988 | 126,731 |
Estee Lauder Cos., Inc. (The), Class A | 4,275 | 610,000 |
736,731 | ||
Pharmaceuticals - 4.2% | ||
Allergan plc | 6,398 | 1,066,674 |
Bristol-Myers Squibb Co. | 30,614 | 1,694,179 |
Eli Lilly & Co. | 17,890 | 1,526,554 |
Johnson & Johnson | 50,525 | 6,130,703 |
Merck & Co., Inc. | 50,743 | 3,080,100 |
Mylan NV (2) | 9,799 | 354,136 |
Nektar Therapeutics (1)(2) | 3,063 | 149,566 |
Perrigo Co. plc (1) | 2,412 | 175,859 |
Pfizer, Inc. | 110,192 | 3,997,766 |
Zoetis, Inc. | 9,063 | 772,077 |
18,947,614 | ||
Professional Services - 0.3% | ||
Equifax, Inc. | 2,286 | 286,001 |
IHS Markit Ltd. (2) | 6,891 | 355,507 |
Nielsen Holdings plc | 6,382 | 197,395 |
Robert Half International, Inc. | 2,365 | 153,962 |
Verisk Analytics, Inc. (2) | 2,953 | 317,861 |
1,310,726 | ||
Real Estate Management & Development - 0.1% | ||
CBRE Group, Inc., Class A (2) | 5,752 | 274,600 |
Road & Rail - 1.0% | ||
CSX Corp. | 16,395 | 1,045,673 |
JB Hunt Transport Services, Inc. | 1,630 | 198,126 |
Kansas City Southern | 1,962 | 207,894 |
Norfolk Southern Corp. | 5,292 | 798,404 |
Union Pacific Corp. | 14,646 | 2,075,045 |
4,325,142 | ||
Semiconductors & Semiconductor Equipment - 3.9% | ||
Advanced Micro Devices, Inc. (1)(2) | 15,680 | 235,043 |
Analog Devices, Inc. | 7,039 | 675,181 |
Applied Materials, Inc. | 18,880 | 872,067 |
Broadcom, Inc. | 7,583 | 1,839,939 |
Intel Corp. | 87,784 | 4,363,743 |
KLA-Tencor Corp. | 2,981 | 305,642 |
Lam Research Corp. | 3,102 | 536,181 |
Microchip Technology, Inc. | 4,461 | 405,728 |
Micron Technology, Inc. (2) | 21,722 | 1,139,102 |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
NVIDIA Corp. | 11,449 | 2,712,268 |
Qorvo, Inc. (2) | 2,408 | 193,049 |
QUALCOMM, Inc. | 27,769 | 1,558,396 |
Skyworks Solutions, Inc. | 3,474 | 335,762 |
Texas Instruments, Inc. | 18,335 | 2,021,434 |
Xilinx, Inc. | 4,850 | 316,511 |
17,510,046 | ||
Software - 5.9% | ||
Activision Blizzard, Inc. | 14,441 | 1,102,137 |
Adobe Systems, Inc. (2) | 9,299 | 2,267,189 |
ANSYS, Inc. (2) | 1,597 | 278,166 |
Autodesk, Inc. (2) | 4,193 | 549,660 |
CA, Inc. | 5,952 | 212,189 |
Cadence Design Systems, Inc. (2) | 5,385 | 233,224 |
Citrix Systems, Inc. (2) | 2,462 | 258,116 |
Electronic Arts, Inc. (2) | 5,839 | 823,416 |
Intuit, Inc. | 4,631 | 946,137 |
Microsoft Corp. | 145,104 | 14,308,705 |
Oracle Corp. | 56,256 | 2,478,639 |
Red Hat, Inc. (2) | 3,369 | 452,693 |
Salesforce.com, Inc. (2) | 13,197 | 1,800,071 |
Symantec Corp. | 11,802 | 243,711 |
Synopsys, Inc. (2) | 2,831 | 242,249 |
Take-Two Interactive Software, Inc. (2) | 2,178 | 257,788 |
26,454,090 | ||
Specialty Retail - 2.3% | ||
Advance Auto Parts, Inc. | 1,408 | 191,066 |
AutoZone, Inc. (2) | 519 | 348,213 |
Best Buy Co., Inc. | 4,594 | 342,621 |
CarMax, Inc. (1)(2) | 3,443 | 250,891 |
Foot Locker, Inc. | 2,314 | 121,832 |
Gap, Inc. (The) | 4,154 | 134,548 |
Home Depot, Inc. (The) | 21,730 | 4,239,523 |
L Brands, Inc. | 4,675 | 172,414 |
Lowe's Cos., Inc. | 15,396 | 1,471,396 |
O'Reilly Automotive, Inc. (2) | 1,534 | 419,656 |
Ross Stores, Inc. | 7,274 | 616,472 |
Tiffany & Co. | 1,940 | 255,304 |
TJX Cos., Inc. (The) | 11,745 | 1,117,889 |
Tractor Supply Co. | 2,382 | 182,199 |
Ulta Beauty, Inc. (2) | 1,103 | 257,506 |
10,121,530 | ||
18 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Technology Hardware, Storage & Peripherals - 4.4% | ||
Apple, Inc. | 92,808 | 17,179,689 |
Hewlett Packard Enterprise Co. | 28,600 | 417,846 |
HP, Inc. | 31,170 | 707,247 |
NetApp, Inc. | 5,100 | 400,503 |
Seagate Technology plc | 5,422 | 306,181 |
Western Digital Corp. | 5,664 | 438,450 |
Xerox Corp. | 4,415 | 105,960 |
19,555,876 | ||
Textiles, Apparel & Luxury Goods - 0.8% | ||
Hanesbrands, Inc. (1) | 6,857 | 150,991 |
Michael Kors Holdings Ltd. (2) | 2,807 | 186,946 |
NIKE, Inc., Class B | 24,024 | 1,914,232 |
PVH Corp. | 1,464 | 219,190 |
Ralph Lauren Corp. | 1,057 | 132,886 |
Tapestry, Inc. | 5,423 | 253,309 |
Under Armour, Inc., Class A (1)(2) | 3,534 | 79,444 |
Under Armour, Inc., Class C (1)(2) | 3,507 | 73,928 |
VF Corp. | 6,267 | 510,886 |
3,521,812 | ||
Tobacco - 1.0% | ||
Altria Group, Inc. | 35,748 | 2,030,129 |
Philip Morris International, Inc. | 29,355 | 2,370,123 |
4,400,252 | ||
Trading Companies & Distributors - 0.2% | ||
Fastenal Co. (1) | 5,475 | 263,512 |
United Rentals, Inc. (2) | 1,609 | 237,520 |
W.W. Grainger, Inc. | 972 | 299,765 |
800,797 | ||
Water Utilities - 0.1% | ||
American Water Works Co., Inc. | 3,399 | 290,207 |
Total Common Stocks (Cost $243,765,995) | 434,951,615 | |
EXCHANGE-TRADED FUNDS - 0.8% | ||
SPDR S&P 500 ETF Trust | 14,000 | 3,797,920 |
Total Exchange-Traded Funds (Cost $3,695,720) | 3,797,920 | |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 19
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. TREASURY OBLIGATIONS - 0.5% | ||
U.S. Treasury Bills: | ||
1.80%, 10/11/18 (4) | 1,500,000 | 1,491,899 |
1.945%, 10/11/18 (4) | 1,000,000 | 994,599 |
Total U.S. Treasury Obligations (Cost $2,486,839) | 2,486,498 | |
TIME DEPOSIT - 1.5% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 6,777,596 | 6,777,596 |
Total Time Deposit (Cost $6,777,596) | 6,777,596 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.2% | ||
State Street Navigator Securities Lending Government Money Market Portfolio | 744,208 | 744,208 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $744,208) | 744,208 | |
TOTAL INVESTMENTS (Cost $257,470,358) - 100.1% | 448,757,837 | |
Other assets and liabilities, net - (0.1%) | (642,256) | |
NET ASSETS - 100.0% | 448,115,581 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(1) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $14,017,570. | |
(2) Non-income producing security. | |
(3) Amount is less than 0.05%. | |
(4) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini S&P 500 Index | 21 | Sep-18 | $2,857,680 | ($66,413 | ) | |||
S&P 500 Index | 10 | Sep-18 | 6,804,000 | (158,300) | ||||
Total Long | ($224,713 | ) | ||||||
See notes to financial statements. |
20 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP S&P 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $257,470,358) - including $14,017,570 of securities on loan | $448,757,837 | ||
Receivable for variation margin on open futures contracts | 7,795 | ||
Receivable for investments sold | 437,139 | ||
Receivable for capital shares sold | 134,034 | ||
Dividends and interest receivable | 379,976 | ||
Securities lending income receivable | 2,020 | ||
Receivable from affiliate | 38,120 | ||
Directors' deferred compensation plan | 79,413 | ||
Other assets | 5,613 | ||
Total assets | 449,841,947 | ||
LIABILITIES | |||
Payable for investments purchased | 489,517 | ||
Payable for capital shares redeemed | 100,204 | ||
Deposits for securities loaned | 744,208 | ||
Payable to affiliates: | |||
Investment advisory fee | 67,530 | ||
Administrative fee | 45,020 | ||
Directors' deferred compensation plan | 79,413 | ||
Accrued expenses | 200,474 | ||
Total liabilities | 1,726,366 | ||
NET ASSETS | $448,115,581 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(30,000,000 shares of $0.10 par value authorized) | $197,715,085 | ||
Accumulated undistributed net investment income | 12,417,300 | ||
Accumulated undistributed net realized gain | 46,920,430 | ||
Net unrealized appreciation | 191,062,766 | ||
Total | $448,115,581 | ||
NET ASSET VALUE PER SHARE (based on net assets of $448,115,581 and 3,097,796 shares outstanding) | $144.66 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 21
CALVERT VP S&P 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income | $4,544,719 | ||
Interest income | 28,232 | ||
Securities lending income, net | 9,396 | ||
Total investment income | 4,582,347 | ||
EXPENSES | |||
Investment advisory fee | 438,472 | ||
Administrative fee | 292,315 | ||
Directors' fees and expenses | 12,706 | ||
Custodian fees | 37,350 | ||
Transfer agency fees and expenses | 9,129 | ||
Accounting fees | 50,792 | ||
Professional fees | 25,989 | ||
Reports to shareholders | 27,997 | ||
Licensing fees | 48,338 | ||
Miscellaneous | 43,691 | ||
Total expenses | 986,779 | ||
Waiver and/or reimbursement of expenses by affiliate | (290,448) | ||
Reimbursement of expenses-other | (4,508) | ||
Net expenses | 691,823 | ||
Net investment income | 3,890,524 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 22,015,917 | ||
Futures contracts | 950,398 | ||
22,966,315 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (15,027,322) | ||
Futures contracts | (276,938) | ||
(15,304,260) | |||
Net realized and unrealized gain | 7,662,055 | ||
Net increase in net assets resulting from operations | $11,552,579 | ||
See notes to financial statements. |
22 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP S&P 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $3,890,524 | $8,546,834 | |||||
Net realized gain | 22,966,315 | 33,377,808 | |||||
Net change in unrealized appreciation (depreciation) | (15,304,260) | 54,749,034 | |||||
Net increase in net assets resulting from operations | 11,552,579 | 96,673,676 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (7,126,469) | |||||
Net realized gain | — | (18,479,600) | |||||
Total distributions to shareholders | — | (25,606,069) | |||||
Net decrease in net assets from capital share transactions | (78,541,706) | (37,644,256) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (66,989,127) | 33,423,351 | |||||
NET ASSETS | |||||||
Beginning of period | 515,104,708 | 481,681,357 | |||||
End of period (including accumulated undistributed net investment income of $12,417,300 and $8,526,776, respectively) | $448,115,581 | $515,104,708 | |||||
See notes to financial statements. |
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CALVERT VP S&P 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (1) (Unaudited) | Year Ended December 31, | ||||||||||||||||
2017 (1) | 2016 (1) | 2015 (1) | 2014 | 2013 | |||||||||||||
Net asset value, beginning | $141.18 | $122.44 | $112.07 | $113.07 | $110.62 | $86.62 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 1.14 | 2.30 | 2.14 | 1.88 | 1.94 | 1.81 | |||||||||||
Net realized and unrealized gain (loss) | 2.34 | 23.60 | 10.84 | (0.74) | 12.80 | 25.72 | |||||||||||
Total from investment operations | 3.48 | 25.90 | 12.98 | 1.14 | 14.74 | 27.53 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (1.99) | (1.48) | (0.21) | (1.95) | (1.95) | |||||||||||
Net realized gain | — | (5.17) | (1.13) | (1.93) | (10.34) | (1.58) | |||||||||||
Total distributions | — | (7.16) | (2.61) | (2.14) | (12.29) | (3.53) | |||||||||||
Total increase (decrease) in net asset value | 3.48 | 18.74 | 10.37 | (1.00) | 2.45 | 24.00 | |||||||||||
Net asset value, ending | $144.66 | $141.18 | $122.44 | $112.07 | $113.07 | $110.62 | |||||||||||
Total return (2) | 2.46 | % | (3) | 21.46 | % | 11.58 | % | 0.98 | % | 13.21 | % | 31.87 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.41 | % | (5) | 0.40 | % | 0.48 | % | 0.46 | % | 0.46 | % | 0.48 | % | ||||
Net expenses | 0.28 | % | (5) | 0.28 | % | 0.40 | % | 0.42 | % | 0.42 | % | 0.42 | % | ||||
Net investment income | 1.60 | % | (5) | 1.72 | % | 1.84 | % | 1.65 | % | 1.59 | % | 1.69 | % | ||||
Portfolio turnover | 3 | % | (3) | 5 | % | 6 | % | (6) | 4 | % | 9 | % | 11 | % | |||
Net assets, ending (in thousands) | $448,116 | $515,105 | $481,681 | $347,965 | $361,482 | $353,688 | |||||||||||
(1) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
(6) During the year ended December 31, 2016, the Fund incurred sales of $55,737,177 to realign the combined portfolio in connection with the reorganization of Calvert VP Large Cap Core Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. | |||||||||||||||||
See notes to financial statements. |
24 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP S&P 500 Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of U.S. common stocks, as represented by the S&P 500 Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or 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. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Short-Term Securities. Short-term securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded 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. Investments in
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registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||
Common Stocks | $ | 434,951,615 | (1) | $ | — | $ | — | $ | 434,951,615 | ||||
Exchange-Traded Funds | 3,797,920 | — | — | 3,797,920 | |||||||||
U.S. Treasury Obligations | — | 2,486,498 | — | 2,486,498 | |||||||||
Time Deposit | — | 6,777,596 | — | 6,777,596 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 744,208 | — | — | 744,208 | |||||||||
Total Investments | $ | 439,493,743 | $ | 9,264,094 | $ | — | $ | 448,757,837 | |||||
Liabilities | |||||||||||||
Futures Contracts(2) | $ | (224,713 | ) | $ | — | $ | — | $ | (224,713 | ) | |||
(1) The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. | |||||||||||||
(2) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes 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 for dividends received in cash and/or securities. Non-cash dividends are recorded at the fair value of the securities received. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Futures Contracts: The Fund may enter into futures contracts 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 Fund. 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 Fund’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
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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 Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
E. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
H. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.18% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $438,472.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.28% of the Fund’s average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $257,252.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the six months ended June 30, 2018, CRM was paid administrative fees of $292,315, of which $33,196 were waived.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $159 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an
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asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund’s allocated portion of such expense and reimbursement was $4,508, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, expenses incurred under the Servicing Plan amounted to $7,788 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $14,540,660 and $84,673,634, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
At December 31, 2017, the Fund, for federal income tax purposes, had deferred capital losses of $2,025,294 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at December 31, 2017, $2,025,294 are long-term.
The Fund's use of net capital losses acquired from reorganizations, which amounted to $2,025,294 at December 31, 2017, may be limited under certain tax provisions.
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $262,064,705 | ||
Gross unrealized appreciation | $193,563,601 | ||
Gross unrealized depreciation | (7,095,182) | ||
Net unrealized appreciation (depreciation) | $186,468,419 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at June 30, 2018 is included in the Schedule of Investments. During the six months ended June 30, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At June 30, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Net unrealized appreciation | $— | ($224,713 | ) | (1) | |||
(1) Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the six months ended June 30, 2018 was as follows:
28 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Statement of Operations Caption | ||||||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts | ||||
Futures contracts | $950,398 | ($276,938 | ) |
The average notional cost of futures contracts (long) outstanding during the six months ended June 30, 2018 was approximately $12,678,000.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower. At June 30, 2018, the total value of securities on loan was $14,017,570 and the total value of collateral received was $14,324,065, comprised of cash of $744,208 and U.S. Government and/or agencies securities of $13,579,857.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $14,324,065 | $— | $— | $— | $14,324,065 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
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NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Shares sold | 46,322 | $6,673,366 | 107,122 | $14,199,241 | |||||||
Reinvestment of distributions | — | — | 190,763 | 25,606,069 | |||||||
Shares redeemed | (596,983 | ) | (85,215,072 | ) | (583,560 | ) | (77,449,566 | ) | |||
Net decrease | (550,661 | ) | ($78,541,706 | ) | (285,675 | ) | ($37,644,256 | ) |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 67.8% of the value of the outstanding shares of the Fund.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP S&P 500 Index Portfolio (the “Fund”), and the investment sub-advisory agreement with Ameritas Investment Partners, Inc. (the “Sub-Adviser”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds
32 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund outperformed the median of its performance universe for the one- and three-year periods ended September 30, 2017, performed at the median of its performance universe for the five-year period ended September 30, 2017, outperformed the median of its Lipper benchmark index for the one-year period ended September 30, 2017 and underperformed the median of its Lipper benchmark index for the three- and five-year periods ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were at the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 33
OFFICERS AND DIRECTORS
Officers of Calvert VP S&P 500 Index Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP S&P 500 Index Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
34 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT VP S&P 500 INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24222 6.30.2018 |
Calvert VP Investment Grade Bond Index Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Manager Tina J. Udell, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class I at NAV | 03/31/2003 | 03/31/2003 | -1.77 | % | -0.63 | % | 2.03 | % | 3.53 | % | ||||||
Class F at NAV | 10/30/2015 | 03/31/2003 | -1.89 | -0.87 | 1.90 | 3.46 | ||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | -1.62 | % | -0.40 | % | 2.27 | % | 3.72 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class I | Class F | ||||||||||||||
Gross | 0.45 | % | 1.21 | % | ||||||||||||
Net | 0.32 | 0.57 |
Fund Profile | ||||||
PORTFOLIO COMPOSITION (% of total investments)4 | ||||||
U.S. Treasury Obligations | 36.9 | % | ||||
U.S. Government Agency Mortgage-Backed Securities | 27.8 | % | ||||
Corporate Bonds | 27.1 | % | ||||
U.S. Government Agencies and Instrumentalities | 4.0 | % | ||||
Commercial Mortgage-Backed Securities | 2.0 | % | ||||
Taxable Municipal Obligations | 0.7 | % | ||||
Sovereign Government Bonds | 0.7 | % | ||||
Time Deposit | 0.5 | % | ||||
Asset-Backed Securities | 0.3 | % | ||||
Floating Rate Loans | 0.0 | % | * | |||
Total | 100.0 | % | ||||
*Amount is less than 0.05%. | ||||||
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
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Endnotes and Additional Disclosures |
1 | Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. |
Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class F is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, 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 section 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 section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $982.30 | $1.57** | 0.32% |
Class F | $1,000.00 | $981.10 | $2.80** | 0.57% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.21 | $1.61** | 0.32% |
Class F | $1,000.00 | $1,021.97 | $2.86** | 0.57% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. TREASURY OBLIGATIONS - 36.6% | ||
United States Treasury Bonds: | ||
2.50%, 2/15/45 | 1,000,000 | 911,055 |
3.00%, 5/15/42 | 1,000,000 | 1,004,922 |
3.00%, 5/15/47 | 1,000,000 | 1,002,070 |
3.125%, 11/15/41 | 1,000,000 | 1,026,523 |
3.125%, 8/15/44 | 1,600,000 | 1,640,625 |
3.75%, 11/15/43 | 1,045,000 | 1,186,728 |
3.875%, 8/15/40 | 1,000,000 | 1,149,648 |
4.375%, 5/15/41 | 1,200,000 | 1,480,781 |
6.25%, 8/15/23 | 1,000,000 | 1,167,168 |
8.00%, 11/15/21 | 1,000,000 | 1,171,484 |
8.125%, 5/15/21 | 1,000,000 | 1,151,387 |
United States Treasury Notes: | ||
0.875%, 9/15/19 | 1,000,000 | 981,719 |
1.00%, 8/31/19 | 2,000,000 | 1,967,813 |
1.125%, 4/30/20 | 1,000,000 | 975,215 |
1.375%, 9/15/20 | 500,000 | 487,393 |
1.625%, 11/15/22 | 2,500,000 | 2,388,135 |
1.75%, 5/15/22 | 1,600,000 | 1,544,781 |
1.875%, 7/31/22 | 1,250,000 | 1,209,985 |
2.00%, 2/15/22 | 2,000,000 | 1,953,594 |
2.00%, 2/15/25 | 2,200,000 | 2,092,234 |
2.00%, 11/15/26 | 2,000,000 | 1,873,984 |
2.125%, 9/30/24 | 2,750,000 | 2,643,599 |
2.25%, 3/31/21 | 200,000 | 198,090 |
2.25%, 11/15/24 | 2,000,000 | 1,935,117 |
2.25%, 2/15/27 | 2,100,000 | 2,003,818 |
2.25%, 11/15/27 | 1,750,000 | 1,663,184 |
2.625%, 8/15/20 | 2,000,000 | 2,002,734 |
2.625%, 11/15/20 | 3,000,000 | 3,002,930 |
2.75%, 11/15/23 | 1,000,000 | 999,629 |
2.75%, 2/15/24 | 3,000,000 | 2,995,957 |
3.125%, 5/15/19 | 800,000 | 805,313 |
3.125%, 5/15/21 | 3,500,000 | 3,548,740 |
3.375%, 11/15/19 | 1,100,000 | 1,113,342 |
3.625%, 8/15/19 | 1,000,000 | 1,013,516 |
3.625%, 2/15/20 | 1,000,000 | 1,017,754 |
3.625%, 2/15/21 | 1,000,000 | 1,025,664 |
Total U.S. Treasury Obligations (Cost $54,478,694) | 54,336,631 |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 5
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 26.9% | ||
Basic Materials - 1.3% | ||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 100,000 | 111,929 |
Dow Chemical Co. (The), 4.375%, 11/15/42 | 100,000 | 95,217 |
Ecolab, Inc., 4.35%, 12/8/21 | 122,000 | 126,012 |
LYB International Finance BV, 5.25%, 7/15/43 | 100,000 | 104,089 |
Mosaic Co. (The), 5.625%, 11/15/43 | 400,000 | 403,994 |
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 200,000 | 204,654 |
Sherwin-Williams Co. (The), 4.20%, 1/15/22 | 300,000 | 305,395 |
Vale Overseas Ltd., 4.375%, 1/11/22 | 500,000 | 507,245 |
1,858,535 | ||
Communications - 4.5% | ||
21st Century Fox America, Inc., 5.40%, 10/1/43 | 100,000 | 110,862 |
Amazon.com, Inc., 2.50%, 11/29/22 | 200,000 | 194,238 |
AT&T, Inc.: | ||
3.90%, 3/11/24 | 200,000 | 197,309 |
5.20%, 3/15/20 | 200,000 | 206,685 |
5.45%, 3/1/47 | 1,000,000 | 984,372 |
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | 500,000 | 505,521 |
Comcast Corp., 3.125%, 7/15/22 | 100,000 | 98,170 |
Crown Castle Towers LLC, 4.883%, 8/15/40 (1) | 300,000 | 307,834 |
Discovery Communications LLC, 5.05%, 6/1/20 | 200,000 | 206,695 |
NBCUniversal Media LLC: | ||
2.875%, 1/15/23 | 100,000 | 95,925 |
4.45%, 1/15/43 | 200,000 | 189,336 |
Rogers Communications, Inc., 3.625%, 12/15/25 | 1,000,000 | 979,091 |
Time Warner, Inc.: | ||
4.00%, 1/15/22 | 290,000 | 293,076 |
4.875%, 3/15/20 | 100,000 | 102,615 |
4.90%, 6/15/42 | 200,000 | 184,552 |
5.375%, 10/15/41 | 100,000 | 98,195 |
Verizon Communications, Inc.: | ||
4.862%, 8/21/46 | 600,000 | 575,044 |
5.15%, 9/15/23 | 300,000 | 320,044 |
Viacom, Inc., 3.875%, 4/1/24 | 100,000 | 96,835 |
WPP Finance 2010, 3.75%, 9/19/24 | 1,000,000 | 966,911 |
6,713,310 | ||
Consumer, Cyclical - 2.1% | ||
Cintas Corp. No. 2, 3.25%, 6/1/22 | 350,000 | 347,136 |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 82,545 | 87,975 |
Ford Motor Co., 5.291%, 12/8/46 | 1,000,000 | 930,871 |
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 200,000 | 212,157 |
General Motors Co., 5.00%, 4/1/35 | 1,000,000 | 949,150 |
6 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Lowe's Cos., Inc., 3.875%, 9/15/23 | 100,000 | 102,887 |
Wal-Mart Stores, Inc.: | ||
2.55%, 4/11/23 | 100,000 | 96,544 |
6.50%, 8/15/37 | 250,000 | 333,025 |
3,059,745 | ||
Consumer, Non-cyclical - 3.3% | ||
AbbVie, Inc., 2.90%, 11/6/22 | 200,000 | 194,213 |
Amgen, Inc., 4.10%, 6/15/21 | 700,000 | 715,163 |
Anheuser-Busch InBev Finance, Inc.: | ||
2.625%, 1/17/23 | 100,000 | 96,439 |
4.00%, 1/17/43 | 100,000 | 91,109 |
4.625%, 2/1/44 | 1,000,000 | 985,514 |
Cigna Corp., 4.00%, 2/15/22 | 400,000 | 405,810 |
Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21 | 75,000 | 74,055 |
Equifax, Inc., 3.30%, 12/15/22 | 450,000 | 440,770 |
Gilead Sciences, Inc., 3.70%, 4/1/24 | 100,000 | 100,227 |
Kraft Foods Group, Inc., 3.50%, 6/6/22 | 100,000 | 99,156 |
Kroger Co. (The), 3.85%, 8/1/23 | 100,000 | 100,274 |
Laboratory Corporation of America Holdings, 4.00%, 11/1/23 | 100,000 | 101,129 |
Life Technologies Corp., 6.00%, 3/1/20 | 100,000 | 104,272 |
Molson Coors Brewing Co., 5.00%, 5/1/42 | 100,000 | 100,906 |
PepsiCo, Inc., 2.75%, 3/5/22 | 100,000 | 98,781 |
Pfizer, Inc., 4.40%, 5/15/44 | 1,000,000 | 1,041,155 |
Zoetis, Inc., 4.70%, 2/1/43 | 100,000 | 103,422 |
4,852,395 | ||
Energy - 3.9% | ||
BP Capital Markets plc, 2.50%, 11/6/22 | 500,000 | 482,119 |
Chevron Corp., 3.191%, 6/24/23 | 100,000 | 99,514 |
CNOOC Curtis Funding No. 1 Pty. Ltd., 4.50%, 10/3/23 (1) | 100,000 | 103,172 |
Colonial Pipeline Co., 6.58%, 8/28/32 (1) | 100,000 | 125,033 |
Enbridge Energy Partners LP, 5.20%, 3/15/20 | 300,000 | 308,606 |
HollyFrontier Corp., 5.875%, 4/1/26 | 1,000,000 | 1,079,181 |
Petroleos Mexicanos, 6.375%, 1/23/45 | 500,000 | 461,750 |
Shell International Finance BV: | ||
2.25%, 1/6/23 | 200,000 | 191,582 |
4.125%, 5/11/35 | 1,350,000 | 1,371,011 |
4.55%, 8/12/43 | 100,000 | 105,963 |
Texas Eastern Transmission LP, 2.80%, 10/15/22 (1) | 400,000 | 382,707 |
TransCanada PipeLines Ltd., 4.875%, 1/15/26 | 1,000,000 | 1,047,039 |
TransContinental Gas Pipe Line Co. LLC, 4.45%, 8/1/42 | 100,000 | 94,855 |
5,852,532 | ||
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 7
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Financial - 6.4% | ||
American International Group, Inc., 4.875%, 6/1/22 | 250,000 | 262,019 |
Australia & New Zealand Banking Group Ltd., 4.875%, 1/12/21 (1) | 800,000 | 828,756 |
Bank of America Corp., 4.125%, 1/22/24 | 300,000 | 305,048 |
Berkshire Hathaway Finance Corp.: | ||
3.00%, 5/15/22 | 200,000 | 199,696 |
4.30%, 5/15/43 | 1,000,000 | 1,008,866 |
Boston Properties LP, 3.85%, 2/1/23 | 100,000 | 100,576 |
Capital One Bank, 3.375%, 2/15/23 | 200,000 | 194,955 |
Citigroup, Inc., 5.50%, 9/13/25 | 80,000 | 85,037 |
Discover Financial Services, 3.85%, 11/21/22 | 200,000 | 199,281 |
ERP Operating LP, 4.625%, 12/15/21 | 100,000 | 103,692 |
Excalibur One 77B LLC, 1.492%, 1/1/25 | 25,110 | 23,946 |
General Electric Co., 4.625%, 1/7/21 | 100,000 | 103,112 |
General Electric Co. / LJ VP Holdings LLC, 3.80%, 6/18/19 (1) | 400,000 | 401,907 |
Goldman Sachs Group, Inc. (The): | ||
2.625%, 1/31/19 | 200,000 | 199,869 |
4.00%, 3/3/24 | 500,000 | 500,533 |
5.375%, 3/15/20 | 150,000 | 155,325 |
Hartford Financial Services Group, Inc. (The), 5.125%, 4/15/22 | 100,000 | 105,781 |
JPMorgan Chase & Co.: | ||
2.35%, 1/28/19 | 300,000 | 299,552 |
3.375%, 5/1/23 | 700,000 | 683,912 |
4.50%, 1/24/22 | 400,000 | 413,864 |
Liberty Property LP, 3.375%, 6/15/23 | 350,000 | 343,107 |
MetLife, Inc., 4.875%, 11/13/43 | 100,000 | 105,773 |
Morgan Stanley: | ||
4.10%, 5/22/23 | 500,000 | 502,291 |
5.00%, 11/24/25 | 150,000 | 155,685 |
Prudential Financial, Inc., 5.10%, 8/15/43 | 1,000,000 | 1,070,578 |
Ventas Realty LP / Ventas Capital Corp., 3.25%, 8/15/22 | 250,000 | 245,330 |
Welltower, Inc., 5.25%, 1/15/22 | 800,000 | 839,260 |
9,437,751 | ||
Industrial - 3.7% | ||
BNSF Funding Trust I, 6.613% to 1/15/26, 12/15/55 (2) | 540,000 | 595,350 |
Cummins, Inc., 4.875%, 10/1/43 | 100,000 | 108,426 |
Deere & Co., 6.55%, 10/1/28 | 250,000 | 308,961 |
GATX Corp., 4.85%, 6/1/21 | 900,000 | 933,365 |
General Electric Co., 4.50%, 3/11/44 | 100,000 | 98,186 |
Kennametal, Inc., 2.65%, 11/1/19 | 950,000 | 949,994 |
L3 Technologies, Inc., 4.75%, 7/15/20 | 800,000 | 830,307 |
Northrop Grumman Corp., 3.25%, 8/1/23 | 150,000 | 148,418 |
Stanley Black & Decker, Inc., 2.90%, 11/1/22 | 650,000 | 637,688 |
Thermo Fisher Scientific, Inc., 3.60%, 8/15/21 | 500,000 | 503,031 |
8 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
United Parcel Service, Inc., 6.20%, 1/15/38 | 250,000 | 313,708 |
United Technologies Corp., 4.50%, 6/1/42 | 100,000 | 98,962 |
5,526,396 | ||
Technology - 1.0% | ||
Apple, Inc., 3.85%, 5/4/43 | 1,100,000 | 1,055,034 |
CA, Inc., 5.375%, 12/1/19 | 200,000 | 205,370 |
International Business Machines Corp.: | ||
2.90%, 11/1/21 | 100,000 | 99,222 |
3.625%, 2/12/24 | 100,000 | 100,988 |
NetApp, Inc., 3.25%, 12/15/22 | 100,000 | 97,697 |
1,558,311 | ||
Utilities - 0.7% | ||
PacifiCorp, 4.10%, 2/1/42 | 100,000 | 99,974 |
Public Service Electric & Gas Co., 3.95%, 5/1/42 | 1,000,000 | 981,710 |
1,081,684 | ||
Total Corporate Bonds (Cost $39,641,113) | 39,940,659 | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 27.6% | ||
Federal Home Loan Mortgage Corp.: | ||
2.50%, with various maturities to 2031 | 1,523,223 | 1,484,459 |
3.00%, with maturity at 2043 | 1,047,698 | 1,023,933 |
3.50%, with various maturities to 2042 | 1,737,138 | 1,750,073 |
4.00%, with various maturities to 2048 | 1,542,517 | 1,578,357 |
4.50%, with various maturities to 2044 | 1,776,968 | 1,866,053 |
5.00%, with various maturities to 2040 | 1,210,038 | 1,292,798 |
6.00%, with various maturities to 2040 | 92,341 | 102,963 |
6.50%, with maturity at 2037 | 14,747 | 15,894 |
Federal National Mortgage Association: | ||
2.50%, with various maturities to 2043 | 2,597,789 | 2,500,415 |
3.00%, with various maturities to 2046 | 7,845,760 | 7,654,926 |
3.499%, (1 yr. USD LIBOR + 1.749%), with maturity at 2038 (3) | 285,874 | 300,538 |
3.50%, with various maturities to 2047 | 8,276,657 | 8,280,369 |
4.00%, with various maturities to 2047 | 5,558,133 | 5,681,604 |
4.50%, with various maturities to 2044 | 2,835,089 | 2,978,806 |
5.00%, with various maturities to 2034 | 160,137 | 171,174 |
5.50%, with various maturities to 2038 | 582,128 | 633,271 |
6.00%, with various maturities to 2038 | 565,594 | 627,715 |
6.50%, with various maturities to 2036 | 110,983 | 121,990 |
Government National Mortgage Association: | ||
4.00%, with various maturities to 2042 | 1,358,489 | 1,403,632 |
4.50%, with maturity at 2033 | 190,443 | 199,888 |
5.00%, with various maturities to 2039 | 656,347 | 705,130 |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 9
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - CONT’D | ||
5.50%, with maturity at 2034 | 73,545 | 79,376 |
6.00%, with various maturities to 2038 | 480,390 | 533,347 |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $41,688,836) | 40,986,711 | |
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 4.0% | ||
Federal Home Loan Mortgage Corp.: | ||
3.75%, 3/27/19 | 2,200,000 | 2,223,901 |
6.75%, 3/15/31 | 1,300,000 | 1,776,386 |
Federal National Mortgage Association, 2.00%, 1/5/22 | 2,000,000 | 1,950,264 |
Total U.S. Government Agencies and Instrumentalities (Cost $5,935,396) | 5,950,551 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.0% | ||
Citigroup Commercial Mortgage Trust: | ||
Series 2013-GC17, Class A4, 4.131%, 11/10/46 | 422,000 | 436,713 |
Series 2014-GC21, Class A5, 3.855%, 5/10/47 | 645,000 | 658,480 |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45 | 625,000 | 612,417 |
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/48 | 1,275,000 | 1,244,450 |
Total Commercial Mortgage-Backed Securities (Cost $3,007,057) | 2,952,060 | |
SOVEREIGN GOVERNMENT BONDS - 0.7% | ||
Mexico Government International Bond, 5.55%, 1/21/45 | 500,000 | 524,375 |
Province of Ontario Canada, 2.45%, 6/29/22 (4) | 400,000 | 390,165 |
Province of Quebec Canada, 2.625%, 2/13/23 | 75,000 | 73,512 |
Total Sovereign Government Bonds (Cost $971,706) | 988,052 | |
TAXABLE MUNICIPAL OBLIGATIONS - 0.7% | ||
General Obligations - 0.7% | ||
New York, NY, 3.60%, 8/1/28 | 1,000,000 | 993,500 |
Total Taxable Municipal Obligations (Cost $990,282) | 993,500 | |
ASSET-BACKED SECURITIES - 0.3% | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.50%, 2/20/21 (1) | 150,000 | 148,750 |
MVW Owner Trust, Series 2013-1A, Class A, 2.15%, 4/22/30 (1) | 19,713 | 19,349 |
World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.14%, 1/17/23 | 250,000 | 250,702 |
Total Asset-Backed Securities (Cost $427,537) | 418,801 | |
10 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
FLOATING RATE LOANS (5) - 0.0% (6) | ||
Financial - 0.0% (6) | ||
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 (7)(8)(9) | 96,336 | 1,520 |
Total Floating Rate Loans (Cost $96,336) | 1,520 | |
TIME DEPOSIT - 0.5% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 792,432 | 792,432 |
Total Time Deposit (Cost $792,432) | 792,432 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.3% | ||
State Street Navigator Securities Lending Government Money Market Portfolio | 398,970 | 398,970 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $398,970) | 398,970 | |
TOTAL INVESTMENTS (Cost $148,428,359) - 99.6% | 147,759,887 | |
Other assets and liabilities, net - 0.4% | 541,879 | |
NET ASSETS - 100.0% | 148,301,766 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) 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. Total market value of Rule 144A securities amounts to $2,317,508, which represents 1.6% of the net assets of the Fund as of June 30, 2018. | ||
(2) Security converts to floating rate after the indicated fixed-rate coupon period. | ||
(3) Variable rate security. The stated interest rate represents the rate in effect at June 30, 2018. | ||
(4) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $386,263. | ||
(5) Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. | ||
(6) Amount is less than 0.05%. | ||
(7) For fair value measurement purposes, security is categorized as Level 3 (see Note 1A). | ||
(8) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. | ||
(9) Restricted security. Total market value of restricted securities amounts to $1,520, which represents less than 0.05% of the net assets of the Fund as of June 30, 2018. | ||
Abbreviations: | ||
LIBOR: | London Interbank Offered Rate | |
USD: | United States Dollar |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 | 5/26/05-6/13/07 | 96,336 |
See notes to financial statements. |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 11
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $148,428,359) - including $386,263 of securities on loan | $147,759,887 | ||
Receivable for capital shares sold | 50,185 | ||
Interest receivable | 1,037,383 | ||
Securities lending income receivable | 103 | ||
Receivable from affiliate | 15,883 | ||
Directors' deferred compensation plan | 25,226 | ||
Other assets | 1,796 | ||
Total assets | 148,890,463 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 80,373 | ||
Deposits for securities loaned | 398,970 | ||
Payable to affiliates: | |||
Investment advisory fee | 24,429 | ||
Administrative fee | 14,657 | ||
Distribution and service fees | 62 | ||
Directors' deferred compensation plan | 25,226 | ||
Accrued expenses | 44,980 | ||
Total liabilities | 588,697 | ||
NET ASSETS | $148,301,766 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $143,965,335 | ||
Accumulated undistributed net investment income | 6,500,168 | ||
Accumulated net realized loss | (1,495,265) | ||
Net unrealized depreciation | (668,472) | ||
Total | $148,301,766 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $147,999,497 and 2,742,934 shares outstanding) | $53.96 | ||
Class F (based on net assets of $302,269 and 5,649 shares outstanding) | $53.51 | ||
See notes to financial statements. |
12 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Interest | $2,423,759 | ||
Securities lending income, net | 1,513 | ||
Total investment income | 2,425,272 | ||
EXPENSES | |||
Investment advisory fee | 156,884 | ||
Administrative fee | 94,130 | ||
Distribution and service fees: | |||
Class F | 369 | ||
Directors' fees and expenses | 4,219 | ||
Custodian fees | 21,886 | ||
Transfer agency fees and expenses | 6,174 | ||
Accounting fees | 15,204 | ||
Professional fees | 17,759 | ||
Reports to shareholders | 13,891 | ||
Miscellaneous | 8,397 | ||
Total expenses | 338,913 | ||
Waiver and/or reimbursement of expenses by affiliate | (84,740) | ||
Reimbursement of expenses-other | (1,489) | ||
Net expenses | 252,684 | ||
Net investment income | 2,172,588 | ||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||
Net realized loss | (45,989) | ||
Net change in unrealized appreciation (depreciation) | (5,157,914) | ||
Net realized and unrealized loss | (5,203,903) | ||
Net decrease in net assets resulting from operations | ($3,031,315 | ) | |
See notes to financial statements. |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 13
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $2,172,588 | $4,335,022 | |||||
Net realized gain (loss) | (45,989) | 419,692 | |||||
Net change in unrealized appreciation (depreciation) | (5,157,914) | 959,291 | |||||
Net increase (decrease) in net assets resulting from operations | (3,031,315) | 5,714,005 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (4,625,022) | |||||
Class F shares | — | (11,611) | |||||
Total distributions to shareholders | — | (4,636,633) | |||||
Capital share transactions: | |||||||
Class I shares | (15,625,778) | (849,688) | |||||
Class F shares | (185,639) | 295,839 | |||||
Net decrease in net assets from capital share transactions | (15,811,417) | (553,849) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (18,842,732) | 523,523 | |||||
NET ASSETS | |||||||
Beginning of period | 167,144,498 | 166,620,975 | |||||
End of period (including accumulated undistributed net investment income of $6,500,168 and $4,327,580, respectively) | $148,301,766 | $167,144,498 | |||||
See notes to financial statements. |
14 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (1) (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS I SHARES | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $54.93 | $54.60 | $54.84 | $54.90 | $53.11 | $56.06 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.74 | 1.44 | 1.33 | 1.19 | 1.19 | 1.03 | |||||||||||
Net realized and unrealized gain (loss) | (1.71) | 0.46 | 0.08 | (1.17) | 1.96 | (2.59) | |||||||||||
Total from investment operations | (0.97) | 1.90 | 1.41 | 0.02 | 3.15 | (1.56) | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (1.57) | (1.65) | (0.08) | (1.36) | (1.31) | |||||||||||
Net realized gain | — | — | — | — | — | (0.08) | |||||||||||
Total distributions | — | (1.57) | (1.65) | (0.08) | (1.36) | (1.39) | |||||||||||
Total increase (decrease) in net asset value | (0.97) | 0.33 | (0.24) | (0.06) | 1.79 | (2.95) | |||||||||||
Net asset value, ending | $53.96 | $54.93 | $54.60 | $54.84 | $54.90 | $53.11 | |||||||||||
Total return (2) | (1.77 | %) | (3) | 3.49 | % | 2.59 | % | 0.04 | % | 5.93 | % | (2.80 | %) | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.43 | % | (5) | 0.45 | % | 0.54 | % | 0.52 | % | 0.50 | % | 0.50 | % | ||||
Net expenses | 0.32 | % | (5) | 0.32 | % | 0.46 | % | 0.52 | % | 0.50 | % | 0.50 | % | ||||
Net investment income | 2.77 | % | (5) | 2.60 | % | 2.34 | % | 2.16 | % | 2.17 | % | 1.84 | % | ||||
Portfolio turnover | 4 | % | (3) | 14 | % | 10 | % | 6 | % | 24 | % | 41 | % | ||||
Net assets, ending (in thousands) | $147,999 | $166,650 | $166,414 | $190,437 | $211,930 | $199,633 | |||||||||||
(1) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 15
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015 (1) | |||||||||||
CLASS F SHARES | 2017 | 2016 | |||||||||||
Net asset value, beginning | $54.53 | $54.36 | $54.79 | $55.33 | |||||||||
Income from investment operations: | |||||||||||||
Net investment income (2) | 0.67 | 1.30 | 1.19 | 0.19 | |||||||||
Net realized and unrealized gain (loss) | (1.69) | 0.44 | 0.09 | (0.62) | |||||||||
Total from investment operations | (1.02) | 1.74 | 1.28 | (0.43) | |||||||||
Distributions from: | |||||||||||||
Net investment income | — | (1.57) | (1.71) | (0.11) | |||||||||
Total distributions | — | (1.57) | (1.71) | (0.11) | |||||||||
Total increase (decrease) in net asset value | (1.02) | 0.17 | (0.43) | (0.54) | |||||||||
Net asset value, ending | $53.51 | $54.53 | $54.36 | $54.79 | |||||||||
Total return (3) | (1.89 | %) | (4) | 3.21 | % | 2.36 | % | (0.78 | %) | (4) | |||
Ratios to average net assets: (5) | |||||||||||||
Total expenses | 0.68 | % | (6) | 1.21 | % | 3.18 | % | 0.78 | % | (6) | |||
Net expenses | 0.57 | % | (6) | 0.57 | % | 0.71 | % | 0.78 | % | (6) | |||
Net investment income | 2.51 | % | (6) | 2.37 | % | 2.09 | % | 2.01 | % | (6) | |||
Portfolio turnover | 4 | % | (4) | 14 | % | 10 | % | 6 | % | (4) | |||
Net assets, ending (in thousands) | $302 | $495 | $206 | $99 | |||||||||
(1) From October 30, 2015 inception. | |||||||||||||
(2) Computed using average shares outstanding. | |||||||||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||
(4) Not annualized. | |||||||||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||
(6) Annualized. | |||||||||||||
See notes to financial statements. |
16 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Investment Grade Bond Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of the bond market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, 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.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Floating Rate Loans. Interests in floating rate loans for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service, and are categorized as Level 2 in the hierarchy.
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Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | ||||||||
U.S. Treasury Obligations | $ | — | $ | 54,336,631 | $ | — | $ | 54,336,631 | ||||
Corporate Bonds | — | 39,940,659 | — | 39,940,659 | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 40,986,711 | — | 40,986,711 | ||||||||
U.S. Government Agencies and Instrumentalities | — | 5,950,551 | — | 5,950,551 | ||||||||
Commercial Mortgage-Backed Securities | — | 2,952,060 | — | 2,952,060 | ||||||||
Sovereign Government Bonds | — | 988,052 | — | 988,052 | ||||||||
Taxable Municipal Obligations | — | 993,500 | — | 993,500 | ||||||||
Asset-Backed Securities | — | 418,801 | — | 418,801 | ||||||||
Floating Rate Loans | — | — | 1,520 | 1,520 | ||||||||
Time Deposit | — | 792,432 | — | 792,432 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 398,970 | — | — | 398,970 | ||||||||
Total Investments | $ | 398,970 | $ | 147,359,397 | $ | 1,520 | $ | 147,759,887 | ||||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended June 30, 2018 is not presented. There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Floating Rate Loans: The Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Fund’s investment in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the
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borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower of the loan. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower.
E. Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
F. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
G. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
J. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.20% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $156,884.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.32% for Class I and 0.57% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $74,488.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the six months ended June 30, 2018, CRM was paid administrative fees of $94,130 of which $10,252 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $369 for Class F shares.
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EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $100 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund's allocated portion of such expense and reimbursement was $1,489, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, expenses incurred under the Servicing Plan amounted to $4,264 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than U.S. government and agency securities and short-term securities and including maturities and paydowns, were $3,294,327 and $5,793,611, respectively. Purchases and sales of U.S. government and agency securities, including paydowns, were $2,724,639 and $12,226,139, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
At December 31, 2017, the Fund, for federal income tax purposes, had deferred capital losses of $955,537 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at December 31, 2017, $524,049 are short-term and $431,488 are long-term.
The cost and unrealized appreciation (depreciation) of investments of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $148,922,098 | ||
Gross unrealized appreciation | $1,904,474 | ||
Gross unrealized depreciation | (3,066,685) | ||
Net unrealized appreciation (depreciation) | ($1,162,211 | ) |
NOTE 6 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is
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determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan, including accrued interest, was $386,317 and the total value of collateral received was $398,970, comprised of cash.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Sovereign Government Bonds | $398,970 | $— | $— | $— | $398,970 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 7 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
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NOTE 8 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 79,641 | $4,302,936 | 187,505 | $10,343,746 | |||||||
Reinvestment of distributions | — | — | 84,414 | 4,625,022 | |||||||
Shares redeemed | (370,739 | ) | (19,928,714 | ) | (285,677 | ) | (15,818,456 | ) | |||
Net decrease | (291,098 | ) | ($15,625,778 | ) | (13,758 | ) | ($849,688 | ) | |||
Class F | |||||||||||
Shares sold | 993 | $52,874 | 7,078 | $393,845 | |||||||
Reinvestment of distributions | — | — | 213 | 11,611 | |||||||
Shares redeemed | (4,418 | ) | (238,513 | ) | (2,015 | ) | (109,617 | ) | |||
Net increase (decrease) | (3,425 | ) | ($185,639 | ) | 5,276 | $295,839 |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 87.0% of the value of the outstanding shares of the Fund.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP Investment Grade Bond Index Portfolio (the “Fund”), and the investment sub-advisory agreement with Ameritas Investment Partners, Inc. (the “Sub-Adviser”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds
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and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund underperformed the median of its performance universe and Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. The Board took into account management’s discussion of the Fund’s performance and management’s continued monitoring of the Fund’s performance. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were at the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 25
OFFICERS AND DIRECTORS
Officers of Calvert VP Investment Grade Bond Index Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP Investment Grade Bond Index Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
26 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 27
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CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24232 6.30.2018 |
Calvert VP S&P MidCap 400 Index Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class I at NAV | 05/03/1999 | 05/03/1999 | 3.32 | % | 13.17 | % | 12.21 | % | 10.22 | % | ||||||
Class F at NAV | 10/01/2007 | 05/03/1999 | 3.19 | 12.87 | 11.94 | 9.96 | ||||||||||
S&P MidCap 400 Index | — | — | 3.49 | % | 13.50 | % | 12.68 | % | 10.78 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class I | Class F | ||||||||||||||
Gross | 0.43 | % | 0.64 | % | ||||||||||||
Net | 0.30 | 0.55 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST HOLDINGS (% of net assets)5 | ||||||
Financials | 15.9 | % | Teleflex, Inc. | 0.7 | % | ||
Information Technology | 15.6 | % | Domino’s Pizza, Inc. | 0.6 | % | ||
Industrials | 14.0 | % | Keysight Technologies, Inc. | 0.6 | % | ||
Consumer Discretionary | 12.6 | % | WellCare Health Plans, Inc. | 0.6 | % | ||
Real Estate | 9.3 | % | Steel Dynamics, Inc. | 0.6 | % | ||
Health Care | 9.0 | % | PTC, Inc. | 0.6 | % | ||
Materials | 6.8 | % | IDEX Corp. | 0.6 | % | ||
Energy | 5.2 | % | Old Dominion Freight Line, Inc. | 0.6 | % | ||
Utilities | 4.7 | % | Lamb Weston Holdings, Inc. | 0.5 | % | ||
Consumer Staples | 3.4 | % | Jack Henry & Associates, Inc. | 0.5 | % | ||
Time Deposit | 2.6 | % | Total | 5.9 | % | ||
Exchange-Traded Funds | 0.5 | % | |||||
U.S. Treasury Obligations | 0.3 | % | |||||
Telecommunication Services | 0.1 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | S&P MidCap 400 Index is an unmanaged index of 400 U.S. mid-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
5 Excludes cash and cash equivalents.
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, 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 section 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 section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $1,033.20 | $1.51** | 0.30% |
Class F | $1,000.00 | $1,031.90 | $2.77** | 0.55% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.31 | $1.51** | 0.30% |
Class F | $1,000.00 | $1,022.07 | $2.76** | 0.55% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 96.3% | ||
Aerospace & Defense - 1.0% | ||
Curtiss-Wright Corp. | 13,126 | 1,562,257 |
Esterline Technologies Corp. (1) | 7,658 | 565,160 |
KLX, Inc. (1) | 14,989 | 1,077,709 |
Teledyne Technologies, Inc. (1) | 10,645 | 2,118,994 |
5,324,120 | ||
Airlines - 0.3% | ||
JetBlue Airways Corp. (1) | 93,598 | 1,776,490 |
Auto Components - 0.7% | ||
Dana, Inc. | 43,259 | 873,399 |
Delphi Technologies plc | 26,371 | 1,198,826 |
Gentex Corp. | 80,987 | 1,864,321 |
3,936,546 | ||
Automobiles - 0.3% | ||
Thor Industries, Inc. | 14,654 | 1,427,153 |
Banks - 7.8% | ||
Associated Banc-Corp. | 50,004 | 1,365,109 |
BancorpSouth Bank | 24,261 | 799,400 |
Bank of Hawaii Corp. (2) | 12,596 | 1,050,758 |
Bank of the Ozarks, Inc. | 35,911 | 1,617,431 |
Cathay General Bancorp | 22,756 | 921,390 |
Chemical Financial Corp. | 21,283 | 1,184,825 |
Commerce Bancshares, Inc. | 27,741 | 1,795,120 |
Cullen/Frost Bankers, Inc. | 17,206 | 1,862,378 |
East West Bancorp, Inc. | 42,851 | 2,793,885 |
First Horizon National Corp. | 97,210 | 1,734,226 |
FNB Corp. | 96,688 | 1,297,553 |
Fulton Financial Corp. | 52,314 | 863,181 |
Hancock Whitney Corp. | 25,498 | 1,189,482 |
Home BancShares, Inc. | 47,360 | 1,068,442 |
International Bancshares Corp. | 16,230 | 694,644 |
MB Financial, Inc. | 25,120 | 1,173,104 |
PacWest Bancorp | 37,006 | 1,828,837 |
Pinnacle Financial Partners, Inc. | 22,103 | 1,356,019 |
Prosperity Bancshares, Inc. | 20,795 | 1,421,546 |
Signature Bank (1) | 15,876 | 2,030,223 |
Sterling Bancorp | 66,873 | 1,571,516 |
Synovus Financial Corp. | 35,320 | 1,865,956 |
TCF Financial Corp. | 49,758 | 1,225,042 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 5
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Texas Capital Bancshares, Inc. (1) | 14,832 | 1,357,128 | |
Trustmark Corp. | 19,953 | 651,066 | |
UMB Financial Corp. | 13,128 | 1,000,747 | |
Umpqua Holdings Corp. | 65,112 | 1,470,880 | |
United Bankshares, Inc. (2) | 31,376 | 1,142,086 | |
Valley National Bancorp (2) | 79,098 | 961,832 | |
Webster Financial Corp. | 27,236 | 1,734,933 | |
Wintrust Financial Corp. | 16,656 | 1,449,905 | |
42,478,644 | |||
Beverages - 0.1% | |||
Boston Beer Company, Inc. (The), Class A (1)(2) | 2,593 | 777,122 | |
Biotechnology - 0.6% | |||
Exelixis, Inc. (1) | 82,000 | 1,764,640 | |
United Therapeutics Corp. (1) | 12,868 | 1,456,014 | |
3,220,654 | |||
Building Products - 0.4% | |||
Lennox International, Inc. | 10,977 | 2,197,047 | |
Capital Markets - 2.9% | |||
Eaton Vance Corp. (3) | 35,251 | 1,839,750 | |
Evercore, Inc., Class A | 12,043 | 1,269,934 | |
FactSet Research Systems, Inc. | 11,496 | 2,277,357 | |
Federated Investors, Inc., Class B | 28,574 | 666,346 | |
Interactive Brokers Group, Inc., Class A | 21,300 | 1,371,933 | |
Janus Henderson Group plc | 53,342 | 1,639,200 | |
Legg Mason, Inc. | 25,159 | 873,772 | |
MarketAxess Holdings, Inc. | 11,121 | 2,200,401 | |
SEI Investments Co. | 38,849 | 2,428,839 | |
Stifel Financial Corp. | 21,383 | 1,117,262 | |
15,684,794 | |||
Chemicals - 2.7% | |||
Ashland Global Holdings, Inc. | 18,622 | 1,455,868 | |
Cabot Corp. | 18,394 | 1,136,197 | |
Chemours Co. (The) | 52,614 | 2,333,957 | |
Minerals Technologies, Inc. | 10,587 | 797,731 | |
NewMarket Corp. | 2,719 | 1,099,836 | |
Olin Corp. | 49,646 | 1,425,833 | |
PolyOne Corp. | 23,650 | 1,022,153 | |
RPM International, Inc. | 39,548 | 2,306,439 | |
Scotts Miracle-Gro Co. (The), Class A (2) | 11,461 | 953,097 | |
Sensient Technologies Corp. | 12,520 | 895,806 | |
Valvoline, Inc. | 57,869 | 1,248,234 | |
14,675,151 | |||
6 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Commercial Services & Supplies - 1.5% | |||
Brink's Co. (The) | 15,126 | 1,206,298 | |
Clean Harbors, Inc. (1) | 15,365 | 853,526 | |
Deluxe Corp. | 14,300 | 946,803 | |
Healthcare Services Group, Inc. (2) | 22,000 | 950,180 | |
Herman Miller, Inc. | 17,660 | 598,674 | |
HNI Corp. | 12,966 | 482,335 | |
MSA Safety, Inc. | 10,184 | 981,127 | |
Pitney Bowes, Inc. | 54,948 | 470,904 | |
Rollins, Inc. | 28,705 | 1,509,309 | |
TravelCenters of America LLC (1)(4) | 60,000 | — | |
7,999,156 | |||
Communications Equipment - 1.3% | |||
ARRIS International plc (1) | 51,820 | 1,266,740 | |
Ciena Corp. (1) | 43,028 | 1,140,672 | |
InterDigital, Inc. | 10,379 | 839,661 | |
Lumentum Holdings, Inc. (1)(2) | 18,600 | 1,076,940 | |
NetScout Systems, Inc. (1) | 23,985 | 712,355 | |
Plantronics, Inc. | 9,782 | 745,877 | |
ViaSat, Inc. (1)(2) | 16,166 | 1,062,430 | |
6,844,675 | |||
Construction & Engineering - 1.2% | |||
AECOM (1) | 47,183 | 1,558,454 | |
Dycom Industries, Inc. (1) | 9,263 | 875,446 | |
EMCOR Group, Inc. | 17,372 | 1,323,399 | |
Granite Construction, Inc. | 13,445 | 748,349 | |
KBR, Inc. | 42,118 | 754,755 | |
Valmont Industries, Inc. | 6,759 | 1,018,919 | |
6,279,322 | |||
Construction Materials - 0.3% | |||
Eagle Materials, Inc. | 14,187 | 1,489,209 | |
Consumer Finance - 0.5% | |||
Navient Corp. | 78,400 | 1,021,552 | |
SLM Corp. (1) | 128,989 | 1,476,924 | |
2,498,476 | |||
Containers & Packaging - 1.1% | |||
AptarGroup, Inc. | 18,485 | 1,726,129 | |
Bemis Co., Inc. | 27,253 | 1,150,349 | |
Greif, Inc., Class A | 7,865 | 415,980 | |
Owens-Illinois, Inc. (1) | 48,688 | 818,445 | |
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SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Silgan Holdings, Inc. | 22,070 | 592,138 | |
Sonoco Products Co. | 29,741 | 1,561,403 | |
6,264,444 | |||
Distributors - 0.3% | |||
Pool Corp. | 12,024 | 1,821,636 | |
Diversified Consumer Services - 0.8% | |||
Adtalem Global Education, Inc. (1) | 18,159 | 873,448 | |
Graham Holdings Co., Class B | 1,301 | 762,516 | |
Service Corp. International | 54,220 | 1,940,534 | |
Sotheby's (1) | 10,880 | 591,219 | |
4,167,717 | |||
Electric Utilities - 1.2% | |||
ALLETE, Inc. | 15,220 | 1,178,180 | |
Hawaiian Electric Industries, Inc. | 32,544 | 1,116,259 | |
IDACORP, Inc. | 15,080 | 1,390,980 | |
OGE Energy Corp. | 59,067 | 2,079,749 | |
PNM Resources, Inc. | 23,868 | 928,465 | |
6,693,633 | |||
Electrical Equipment - 1.2% | |||
Acuity Brands, Inc. | 12,125 | 1,404,924 | |
EnerSys | 12,610 | 941,210 | |
Hubbell, Inc. | 16,225 | 1,715,632 | |
nVent Electric plc (1) | 48,014 | 1,205,151 | |
Regal-Beloit Corp. | 13,189 | 1,078,860 | |
6,345,777 | |||
Electronic Equipment, Instruments & Components - 4.3% | |||
Arrow Electronics, Inc. (1) | 26,103 | 1,965,034 | |
Avnet, Inc. | 34,891 | 1,496,475 | |
Belden, Inc. (2) | 12,021 | 734,723 | |
Cognex Corp. | 51,146 | 2,281,623 | |
Coherent, Inc. (1) | 7,369 | 1,152,659 | |
Jabil, Inc. | 50,658 | 1,401,200 | |
Keysight Technologies, Inc. (1) | 55,272 | 3,262,706 | |
Littelfuse, Inc. | 7,406 | 1,689,901 | |
National Instruments Corp. | 31,801 | 1,335,006 | |
SYNNEX Corp. | 8,737 | 843,208 | |
Tech Data Corp. (1) | 10,382 | 852,570 | |
Trimble, Inc. (1) | 73,884 | 2,426,351 | |
VeriFone Systems, Inc. (1) | 32,749 | 747,332 | |
Vishay Intertechnology, Inc. (2) | 39,475 | 915,820 | |
Zebra Technologies Corp., Class A (1) | 15,791 | 2,262,061 | |
23,366,669 | |||
8 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Energy Equipment & Services - 2.0% | |||
Apergy Corp. (1) | 23,050 | 962,337 | |
Core Laboratories NV | 13,127 | 1,656,759 | |
Diamond Offshore Drilling, Inc. (1)(2) | 19,400 | 404,684 | |
Dril-Quip, Inc. (1)(2) | 11,328 | 582,259 | |
Ensco plc, Class A (2) | 129,334 | 938,965 | |
McDermott International, Inc. (1)(2) | 53,366 | 1,048,642 | |
Nabors Industries Ltd. | 105,016 | 673,152 | |
Oceaneering International, Inc. | 28,910 | 736,049 | |
Patterson-UTI Energy, Inc. | 65,595 | 1,180,710 | |
Rowan Companies plc, Class A (1) | 34,045 | 552,210 | |
Superior Energy Services, Inc. (1) | 45,052 | 438,806 | |
Transocean Ltd. (1)(2) | 129,745 | 1,743,773 | |
10,918,346 | |||
Equity Real Estate Investment Trusts (REITs) - 8.8% | |||
Alexander & Baldwin, Inc. | 20,129 | 473,031 | |
American Campus Communities, Inc. | 40,422 | 1,733,295 | |
Camden Property Trust | 27,436 | 2,500,243 | |
CoreCivic, Inc. | 35,357 | 844,679 | |
CoreSite Realty Corp. (2) | 10,245 | 1,135,351 | |
Corporate Office Properties Trust | 30,305 | 878,542 | |
Cousins Properties, Inc. | 125,355 | 1,214,690 | |
CyrusOne, Inc. | 29,311 | 1,710,590 | |
DCT Industrial Trust, Inc. | 27,890 | 1,861,100 | |
Douglas Emmett, Inc. | 47,235 | 1,897,902 | |
Education Realty Trust, Inc. | 22,676 | 941,054 | |
EPR Properties | 19,172 | 1,242,154 | |
First Industrial Realty Trust, Inc. | 37,073 | 1,236,014 | |
GEO Group, Inc. (The) | 36,382 | 1,001,960 | |
Healthcare Realty Trust, Inc. | 37,095 | 1,078,723 | |
Highwoods Properties, Inc. | 30,934 | 1,569,282 | |
Hospitality Properties Trust | 49,157 | 1,406,382 | |
JBG SMITH Properties | 27,980 | 1,020,431 | |
Kilroy Realty Corp. | 29,411 | 2,224,648 | |
Lamar Advertising Co., Class A | 24,985 | 1,706,725 | |
LaSalle Hotel Properties | 32,644 | 1,117,404 | |
Liberty Property Trust | 44,053 | 1,952,869 | |
Life Storage, Inc. | 13,914 | 1,353,971 | |
Mack-Cali Realty Corp. | 26,485 | 537,116 | |
Medical Properties Trust, Inc. | 108,926 | 1,529,321 | |
National Retail Properties, Inc. | 45,516 | 2,000,883 | |
Omega Healthcare Investors, Inc. (2) | 58,895 | 1,825,745 | |
PotlatchDeltic Corp. | 17,953 | 912,910 | |
Quality Care Properties, Inc. (1) | 27,800 | 597,978 | |
Rayonier, Inc. | 38,552 | 1,491,577 | |
Sabra Health Care REIT, Inc. (2) | 53,352 | 1,159,339 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 9
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Senior Housing Properties Trust | 71,085 | 1,285,928 | |
Tanger Factory Outlet Centers, Inc. (2) | 28,376 | 666,552 | |
Taubman Centers, Inc. (2) | 18,162 | 1,067,199 | |
Uniti Group, Inc. (2) | 49,418 | 989,843 | |
Urban Edge Properties | 31,166 | 712,766 | |
Weingarten Realty Investors | 35,786 | 1,102,567 | |
47,980,764 | |||
Food & Staples Retailing - 0.5% | |||
Casey's General Stores, Inc. | 11,174 | 1,174,164 | |
Sprouts Farmers Market, Inc. (1) | 37,045 | 817,583 | |
United Natural Foods, Inc. (1) | 15,211 | 648,901 | |
2,640,648 | |||
Food Products - 2.1% | |||
Flowers Foods, Inc. (2) | 55,099 | 1,147,712 | |
Hain Celestial Group, Inc. (The) (1) | 30,957 | 922,519 | |
Ingredion, Inc. | 21,451 | 2,374,626 | |
Lamb Weston Holdings, Inc. | 43,501 | 2,980,253 | |
Lancaster Colony Corp. | 5,741 | 794,669 | |
Post Holdings, Inc. (1)(2) | 19,899 | 1,711,712 | |
Sanderson Farms, Inc. | 6,000 | 630,900 | |
Tootsie Roll Industries, Inc. (2) | 5,809 | 179,208 | |
TreeHouse Foods, Inc. (1) | 16,657 | 874,659 | |
11,616,258 | |||
Gas Utilities - 2.2% | |||
Atmos Energy Corp. | 32,845 | 2,960,648 | |
National Fuel Gas Co. (2) | 25,561 | 1,353,711 | |
New Jersey Resources Corp. | 25,867 | 1,157,548 | |
ONE Gas, Inc. | 15,695 | 1,173,044 | |
Southwest Gas Holdings, Inc. | 14,232 | 1,085,475 | |
UGI Corp. | 51,196 | 2,665,776 | |
WGL Holdings, Inc. | 15,327 | 1,360,271 | |
11,756,473 | |||
Health Care Equipment & Supplies - 3.8% | |||
Avanos Medical, Inc. (1) | 13,758 | 787,646 | |
Cantel Medical Corp. | 10,575 | 1,040,157 | |
Globus Medical, Inc., Class A (1) | 21,699 | 1,094,932 | |
Haemonetics Corp. (1) | 15,439 | 1,384,570 | |
Hill-Rom Holdings, Inc. | 19,741 | 1,724,179 | |
ICU Medical, Inc. (1) | 4,493 | 1,319,369 | |
Integra LifeSciences Holdings Corp. (1) | 20,862 | 1,343,721 | |
LivaNova plc (1) | 12,993 | 1,296,961 | |
Masimo Corp. (1) | 14,138 | 1,380,576 | |
NuVasive, Inc. (1) | 15,161 | 790,191 |
10 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
STERIS plc | 25,024 | 2,627,770 | |
Teleflex, Inc. | 13,461 | 3,610,375 | |
West Pharmaceutical Services, Inc. | 21,759 | 2,160,451 | |
20,560,898 | |||
Health Care Providers & Services - 2.3% | |||
Acadia Healthcare Co., Inc. (1)(2) | 24,475 | 1,001,272 | |
Chemed Corp. | 4,713 | 1,516,691 | |
Encompass Health Corp. | 29,404 | 1,991,239 | |
LifePoint Health, Inc. (1) | 11,600 | 566,080 | |
Mednax, Inc. (1) | 28,037 | 1,213,441 | |
Molina Healthcare, Inc. (1) | 14,046 | 1,375,665 | |
Patterson Cos., Inc. | 24,269 | 550,178 | |
Tenet Healthcare Corp. (1) | 24,149 | 810,682 | |
WellCare Health Plans, Inc. (1) | 13,235 | 3,258,987 | |
12,284,235 | |||
Health Care Technology - 0.4% | |||
Allscripts Healthcare Solutions, Inc. (1) | 53,213 | 638,556 | |
Medidata Solutions, Inc. (1)(2) | 17,530 | 1,412,217 | |
2,050,773 | |||
Hotels, Restaurants & Leisure - 3.6% | |||
Boyd Gaming Corp. | 24,300 | 842,238 | |
Brinker International, Inc. (2) | 13,100 | 623,560 | |
Cheesecake Factory, Inc. (The) (2) | 12,746 | 701,795 | |
Churchill Downs, Inc. | 3,408 | 1,010,472 | |
Cracker Barrel Old Country Store, Inc. (2) | 7,195 | 1,123,931 | |
Domino's Pizza, Inc. | 12,504 | 3,528,254 | |
Dunkin' Brands Group, Inc. (2) | 24,480 | 1,690,833 | |
ILG, Inc. | 31,251 | 1,032,220 | |
International Speedway Corp., Class A | 7,464 | 333,641 | |
Jack in the Box, Inc. | 8,410 | 715,859 | |
Papa John's International, Inc. (2) | 6,950 | 352,504 | |
Scientific Games Corp., Class A (1) | 15,800 | 776,570 | |
Six Flags Entertainment Corp. (2) | 22,977 | 1,609,539 | |
Texas Roadhouse, Inc. | 19,575 | 1,282,358 | |
Wendy's Co. (The) | 53,437 | 918,048 | |
Wyndham Destinations, Inc. | 29,700 | 1,314,819 | |
Wyndham Hotels & Resorts, Inc. | 29,700 | 1,747,251 | |
19,603,892 | |||
Household Durables - 1.5% | |||
Helen of Troy Ltd. (1) | 7,872 | 774,998 | |
KB Home | 25,197 | 686,366 | |
NVR, Inc. (1) | 996 | 2,958,469 | |
Tempur Sealy International, Inc. (1)(2) | 13,797 | 662,946 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 11
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Toll Brothers, Inc. | 41,756 | 1,544,555 | |
TRI Pointe Group, Inc. (1) | 45,348 | 741,893 | |
Tupperware Brands Corp. | 15,180 | 626,023 | |
7,995,250 | |||
Household Products - 0.2% | |||
Energizer Holdings, Inc. (2) | 17,763 | 1,118,359 | |
Industrial Conglomerates - 0.4% | |||
Carlisle Cos., Inc. | 18,024 | 1,952,179 | |
Insurance - 4.2% | |||
Alleghany Corp. | 4,522 | 2,600,014 | |
American Financial Group, Inc. | 20,573 | 2,208,100 | |
Aspen Insurance Holdings Ltd. | 17,951 | 730,606 | |
Brown & Brown, Inc. | 68,076 | 1,887,747 | |
CNO Financial Group, Inc. | 49,663 | 945,584 | |
First American Financial Corp. | 33,001 | 1,706,812 | |
Genworth Financial, Inc., Class A (1) | 146,928 | 661,176 | |
Hanover Insurance Group, Inc. (The) | 12,580 | 1,504,065 | |
Kemper Corp. | 14,665 | 1,109,407 | |
Mercury General Corp. | 10,757 | 490,089 | |
Old Republic International Corp. | 74,547 | 1,484,231 | |
Primerica, Inc. | 13,031 | 1,297,888 | |
Reinsurance Group of America, Inc. | 19,081 | 2,546,932 | |
RenaissanceRe Holdings Ltd. | 11,911 | 1,433,131 | |
WR Berkley Corp. | 28,425 | 2,058,254 | |
22,664,036 | |||
Internet Software & Services - 0.6% | |||
Cars.com, Inc. (1) | 21,050 | 597,609 | |
j2 Global, Inc. | 14,611 | 1,265,459 | |
LogMeIn, Inc. | 15,441 | 1,594,283 | |
3,457,351 | |||
IT Services - 3.1% | |||
Acxiom Corp. (1) | 22,789 | 682,531 | |
Convergys Corp. | 27,059 | 661,322 | |
CoreLogic, Inc. (1) | 24,250 | 1,258,575 | |
Jack Henry & Associates, Inc. | 22,859 | 2,979,899 | |
Leidos Holdings, Inc. | 42,194 | 2,489,446 | |
MAXIMUS, Inc. | 19,398 | 1,204,810 | |
Perspecta, Inc. | 42,183 | 866,861 | |
Sabre Corp. | 75,146 | 1,851,597 | |
Science Applications International Corp. | 12,498 | 1,011,463 | |
12 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Teradata Corp. (1) | 35,757 | 1,435,644 | |
WEX, Inc. (1) | 11,849 | 2,256,997 | |
16,699,145 | |||
Leisure Products - 0.7% | |||
Brunswick Corp. | 25,777 | 1,662,101 | |
Polaris Industries, Inc. (2) | 17,400 | 2,125,932 | |
3,788,033 | |||
Life Sciences Tools & Services - 1.3% | |||
Bio-Rad Laboratories, Inc., Class A (1) | 6,027 | 1,739,031 | |
Bio-Techne Corp. | 11,172 | 1,652,897 | |
Charles River Laboratories International, Inc. (1) | 14,115 | 1,584,550 | |
PRA Health Sciences, Inc. (1) | 14,900 | 1,391,064 | |
Syneos Health, Inc. (1) | 16,414 | 769,817 | |
7,137,359 | |||
Machinery - 4.7% | |||
AGCO Corp. | 19,759 | 1,199,766 | |
Crane Co. | 15,136 | 1,212,848 | |
Donaldson Co., Inc. | 38,407 | 1,732,924 | |
Graco, Inc. | 49,566 | 2,241,375 | |
IDEX Corp. | 22,688 | 3,096,458 | |
ITT, Inc. | 25,847 | 1,351,023 | |
Kennametal, Inc. | 24,106 | 865,405 | |
Lincoln Electric Holdings, Inc. | 18,241 | 1,600,830 | |
Nordson Corp. | 15,200 | 1,951,832 | |
Oshkosh Corp. | 21,860 | 1,537,195 | |
Terex Corp. (2) | 21,352 | 900,841 | |
Timken Co. (The) | 20,526 | 893,907 | |
Toro Co. (The) | 31,353 | 1,889,018 | |
Trinity Industries, Inc. | 44,150 | 1,512,579 | |
Wabtec Corp. (2) | 25,344 | 2,498,412 | |
Woodward, Inc. | 16,536 | 1,270,957 | |
25,755,370 | |||
Marine - 0.2% | |||
Kirby Corp. (1) | 15,889 | 1,328,320 | |
Media - 1.5% | |||
AMC Networks, Inc., Class A (1)(2) | 13,704 | 852,389 | |
Cable One, Inc. (2) | 1,405 | 1,030,272 | |
Cinemark Holdings, Inc. | 31,704 | 1,112,176 | |
John Wiley & Sons, Inc., Class A | 13,214 | 824,554 | |
Live Nation Entertainment, Inc. (1) | 40,345 | 1,959,557 | |
Meredith Corp. (2) | 11,818 | 602,718 | |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
New York Times Co., (The), Class A (2) | 37,668 | 975,601 | |
TEGNA, Inc. | 64,254 | 697,156 | |
8,054,423 | |||
Metals & Mining - 2.3% | |||
Allegheny Technologies, Inc. (1)(2) | 37,676 | 946,421 | |
Carpenter Technology Corp. | 13,773 | 724,047 | |
Commercial Metals Co. | 34,710 | 732,728 | |
Compass Minerals International, Inc. (2) | 9,963 | 655,067 | |
Reliance Steel & Aluminum Co. | 21,392 | 1,872,656 | |
Royal Gold, Inc. | 19,357 | 1,797,104 | |
Steel Dynamics, Inc. | 69,773 | 3,206,069 | |
United States Steel Corp. | 52,267 | 1,816,278 | |
Worthington Industries, Inc. | 13,014 | 546,198 | |
12,296,568 | |||
Multi-Utilities - 1.0% | |||
Black Hills Corp. | 15,999 | 979,299 | |
MDU Resources Group, Inc. | 57,757 | 1,656,471 | |
NorthWestern Corp. | 14,524 | 831,499 | |
Vectren Corp. | 24,570 | 1,755,526 | |
5,222,795 | |||
Multiline Retail - 0.4% | |||
Big Lots, Inc. | 12,708 | 530,940 | |
Dillard's, Inc., Class A (2) | 5,863 | 554,054 | |
Ollie's Bargain Outlet Holdings, Inc. (1) | 14,700 | 1,065,750 | |
2,150,744 | |||
Oil, Gas & Consumable Fuels - 3.1% | |||
Callon Petroleum Co. (1)(2) | 66,741 | 716,798 | |
Chesapeake Energy Corp. (1)(2) | 270,592 | 1,417,902 | |
CNX Resources Corp. (1) | 57,999 | 1,031,222 | |
Energen Corp. (1) | 29,047 | 2,115,203 | |
Gulfport Energy Corp. (1) | 46,637 | 586,227 | |
Matador Resources Co. (1) | 30,900 | 928,545 | |
Murphy Oil Corp. (2) | 48,415 | 1,634,975 | |
Oasis Petroleum, Inc. (1) | 78,500 | 1,018,145 | |
PBF Energy, Inc., Class A | 33,190 | 1,391,657 | |
QEP Resources, Inc. (1) | 70,298 | 861,853 | |
Range Resources Corp. | 67,073 | 1,122,131 | |
SM Energy Co. (2) | 30,671 | 787,938 | |
Southwestern Energy Co. (1) | 151,382 | 802,325 | |
World Fuel Services Corp. | 20,615 | 420,752 | |
WPX Energy, Inc. (1) | 118,983 | 2,145,264 | |
16,980,937 | |||
14 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Paper & Forest Products - 0.4% | |||
Domtar Corp. | 18,767 | 895,937 | |
Louisiana-Pacific Corp. | 43,388 | 1,181,021 | |
2,076,958 | |||
Personal Products - 0.4% | |||
Edgewell Personal Care Co. (1)(2) | 16,070 | 810,892 | |
Nu Skin Enterprises, Inc., Class A | 16,589 | 1,297,094 | |
2,107,986 | |||
Pharmaceuticals - 0.6% | |||
Akorn, Inc. (1)(2) | 28,073 | 465,731 | |
Catalent, Inc. (1) | 39,770 | 1,665,965 | |
Mallinckrodt plc (1)(2) | 24,571 | 458,495 | |
Prestige Brands Holdings, Inc. (1)(2) | 15,881 | 609,513 | |
3,199,704 | |||
Professional Services - 0.6% | |||
Dun & Bradstreet Corp. (The) | 11,041 | 1,354,179 | |
Manpowergroup, Inc. | 19,468 | 1,675,416 | |
3,029,595 | |||
Real Estate Management & Development - 0.4% | |||
Jones Lang LaSalle, Inc. | 13,552 | 2,249,497 | |
Road & Rail - 1.8% | |||
Avis Budget Group, Inc. (1) | 21,444 | 696,930 | |
Genesee & Wyoming, Inc., Class A (1) | 17,788 | 1,446,520 | |
Knight-Swift Transportation Holdings, Inc. | 38,248 | 1,461,456 | |
Landstar System, Inc. | 12,546 | 1,370,023 | |
Old Dominion Freight Line, Inc. | 20,176 | 3,005,417 | |
Ryder System, Inc. | 15,843 | 1,138,478 | |
Werner Enterprises, Inc. | 13,629 | 511,769 | |
9,630,593 | |||
Semiconductors & Semiconductor Equipment - 2.6% | |||
Cirrus Logic, Inc. (1) | 18,033 | 691,205 | |
Cree, Inc. (1)(2) | 29,724 | 1,235,627 | |
Cypress Semiconductor Corp. (2) | 105,645 | 1,645,949 | |
First Solar, Inc. (1)(2) | 24,405 | 1,285,167 | |
Integrated Device Technology, Inc. (1) | 38,228 | 1,218,709 | |
MKS Instruments, Inc. | 16,200 | 1,550,340 | |
Monolithic Power Systems, Inc. | 11,535 | 1,541,883 | |
Silicon Laboratories, Inc. (1) | 12,749 | 1,269,800 | |
Synaptics, Inc. (1) | 10,266 | 517,098 | |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Teradyne, Inc. | 56,578 | 2,153,925 | |
Versum Materials, Inc. | 32,600 | 1,211,090 | |
14,320,793 | |||
Software - 3.4% | |||
ACI Worldwide, Inc. (1) | 34,493 | 850,942 | |
Blackbaud, Inc. | 14,401 | 1,475,382 | |
CDK Global, Inc. | 36,585 | 2,379,854 | |
Commvault Systems, Inc. (1) | 12,439 | 819,108 | |
Fair Isaac Corp. (1) | 8,825 | 1,706,049 | |
Fortinet, Inc. (1) | 43,004 | 2,684,740 | |
Manhattan Associates, Inc. (1) | 19,761 | 928,965 | |
PTC, Inc. (1) | 34,123 | 3,201,079 | |
Tyler Technologies, Inc. (1) | 10,565 | 2,346,486 | |
Ultimate Software Group, Inc. (The) (1) | 8,644 | 2,224,188 | |
18,616,793 | |||
Specialty Retail - 2.1% | |||
Aaron's, Inc. | 18,353 | 797,438 | |
American Eagle Outfitters, Inc. | 49,618 | 1,153,619 | |
AutoNation, Inc. (1)(2) | 17,762 | 862,878 | |
Bed Bath & Beyond, Inc. (2) | 41,415 | 825,194 | |
Dick's Sporting Goods, Inc. | 23,044 | 812,301 | |
Five Below, Inc. (1) | 16,450 | 1,607,329 | |
Michaels Cos., Inc. (The) (1) | 33,027 | 633,128 | |
Murphy USA, Inc. (1) | 9,373 | 696,320 | |
Sally Beauty Holdings, Inc. (1)(2) | 36,107 | 578,795 | |
Signet Jewelers Ltd. | 17,450 | 972,838 | |
Urban Outfitters, Inc. (1) | 23,839 | 1,062,027 | |
Williams-Sonoma, Inc. (2) | 22,642 | 1,389,766 | |
11,391,633 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
NCR Corp. (1)(2) | 35,236 | 1,056,375 | |
Textiles, Apparel & Luxury Goods - 0.7% | |||
Carter's, Inc. | 13,882 | 1,504,670 | |
Deckers Outdoor Corp. (1) | 9,004 | 1,016,462 | |
Skechers U.S.A., Inc., Class A (1) | 40,456 | 1,214,084 | |
3,735,216 | |||
Thrifts & Mortgage Finance - 0.5% | |||
LendingTree, Inc. (1)(2) | 2,300 | 491,740 | |
New York Community Bancorp, Inc. | 146,350 | 1,615,704 | |
Washington Federal, Inc. | 24,982 | 816,911 | |
2,924,355 | |||
16 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Trading Companies & Distributors - 0.8% | |||
GATX Corp. | 11,309 | 839,467 | |
MSC Industrial Direct Co., Inc., Class A | 13,562 | 1,150,736 | |
NOW, Inc. (1)(2) | 31,682 | 422,321 | |
Watsco, Inc. (2) | 9,525 | 1,698,117 | |
4,110,641 | |||
Water Utilities - 0.3% | |||
Aqua America, Inc. | 52,610 | 1,850,820 | |
Wireless Telecommunication Services - 0.1% | |||
Telephone & Data Systems, Inc. | 27,489 | 753,748 | |
Total Common Stocks (Cost $406,832,240) | 522,336,298 | ||
EXCHANGE-TRADED FUNDS - 0.6% | |||
SPDR S&P MidCap 400 ETF Trust | 8,300 | 2,946,666 | |
Total Exchange-Traded Funds (Cost $2,710,941) | 2,946,666 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
U.S. TREASURY OBLIGATIONS - 0.3% | |||
U.S. Treasury Bill, 1.80%, 10/11/18 (5) | 1,500,000 | 1,491,899 | |
Total U.S. Treasury Obligations (Cost $1,492,350) | 1,491,899 | ||
TIME DEPOSIT - 2.6% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 14,045,043 | 14,045,043 | |
Total Time Deposit (Cost $14,045,043) | 14,045,043 | ||
SHARES | VALUE ($) | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 2.0% | |||
State Street Navigator Securities Lending Government Money Market Portfolio | 10,841,307 | 10,841,307 | |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $10,841,307) | 10,841,307 | ||
TOTAL INVESTMENTS (Cost $435,921,881) - 101.8% | 551,661,213 | ||
Other assets and liabilities, net - (1.8%) | (9,495,858) | ||
NET ASSETS - 100.0% | 542,165,355 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 17
NOTES TO SCHEDULE OF INVESTMENTS |
(1) Non-income producing security. |
(2) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $55,690,490. |
(3) Represents an investment in an affiliate effective Decmeber 31, 2016 due to the issuer's affiliation with the Fund's investment adviser. |
(4) For fair value measurement purposes, security is categorized as Level 3 (see Note 1A). |
(5) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||
Long: | ||||||
E-mini S&P MidCap 400 Index | 88 | Sep-18 | $17,213,680 | ($320,710 | ) | |
See notes to financial statements. |
18 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $434,697,749) - including $55,690,490 of securities on loan | $549,821,463 | ||
Investments in securities of affiliated issuers, at value (identified cost $1,224,132) | 1,839,750 | ||
Receivable for variation margin on open futures contracts | 17,220 | ||
Receivable for investments sold | 3,395,501 | ||
Receivable for capital shares sold | 31,776 | ||
Dividends and interest receivable | 503,379 | ||
Securities lending income receivable | 18,812 | ||
Receivable from affiliate | 62,749 | ||
Directors' deferred compensation plan | 84,351 | ||
Other assets | 5,966 | ||
Total assets | 555,780,967 | ||
LIABILITIES | |||
Payable for investments purchased | 1,765,460 | ||
Payable for capital shares redeemed | 514,901 | ||
Deposits for securities loaned | 10,841,307 | ||
Payable to affiliates: | |||
Investment advisory fee | 90,726 | ||
Administrative fee | 54,436 | ||
Distribution and service fees | 49,280 | ||
Directors' deferred compensation plan | 84,351 | ||
Accrued expenses | 215,151 | ||
Total liabilities | 13,615,612 | ||
NET ASSETS | $542,165,355 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $360,197,410 | ||
Accumulated undistributed net investment income | 9,334,253 | ||
Accumulated undistributed net realized gain | 57,215,070 | ||
Net unrealized appreciation | 115,418,622 | ||
Total | $542,165,355 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $247,378,517 and 2,037,595 shares outstanding) | $121.41 | ||
Class F (based on net assets of $294,786,838 and 2,408,984 shares outstanding) | $122.37 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 19
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $2,180) | $4,263,422 | ||
Dividend income - affiliated issuers | 22,034 | ||
Interest income | 22,653 | ||
Securities lending income, net | 105,520 | ||
Total investment income | 4,413,629 | ||
EXPENSES | |||
Investment advisory fee | 540,896 | ||
Administrative fee | 324,538 | ||
Distribution and service fees: | |||
Class F | 291,792 | ||
Directors' fees and expenses | 14,533 | ||
Custodian fees | 30,092 | ||
Transfer agency fees and expenses | 94,764 | ||
Accounting fees | 55,478 | ||
Professional fees | 30,079 | ||
Reports to shareholders | 30,370 | ||
Miscellaneous | 65,762 | ||
Total expenses | 1,478,304 | ||
Waiver and/or reimbursement of expenses by affiliate | (294,142) | ||
Reimbursement of expenses-other | (5,481) | ||
Net expenses | 1,178,681 | ||
Net investment income | 3,234,948 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities - unaffiliated issuers | 25,153,003 | ||
Investment securities - affiliated issuers | (937) | ||
Futures contracts | 363,410 | ||
25,515,476 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities - unaffiliated issuers | (10,832,885) | ||
Investment securities - affiliated issuers | (148,091) | ||
Futures contracts | (348,210) | ||
(11,329,186) | |||
Net realized and unrealized gain | 14,186,290 | ||
Net increase in net assets resulting from operations | $17,421,238 | ||
See notes to financial statements. |
20 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $3,234,948 | $6,098,806 | |||||
Net realized gain | 25,515,476 | 31,408,880 | |||||
Net change in unrealized appreciation (depreciation) | (11,329,186) | 39,629,135 | |||||
Net increase in net assets resulting from operations | 17,421,238 | 77,136,821 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (1,742,988) | |||||
Class F shares | — | (1,959,932) | |||||
Net realized gain: | |||||||
Class I shares | — | (9,452,706) | |||||
Class F shares | — | (10,629,255) | |||||
Total distributions to shareholders | — | (23,784,881) | |||||
Capital share transactions: | |||||||
Class I shares | (16,869,845) | (15,847,445) | |||||
Class F shares | (9,214,926) | 6,008,544 | |||||
Net decrease in net assets from capital share transactions | (26,084,771) | (9,838,901) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (8,663,533) | 43,513,039 | |||||
NET ASSETS | |||||||
Beginning of period | 550,828,888 | 507,315,849 | |||||
End of period (including accumulated undistributed net investment income of $9,334,253 and $6,099,305, respectively) | $542,165,355 | $550,828,888 | |||||
See notes to financial statements. |
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CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $117.50 | $106.11 | $91.52 | $95.73 | $96.10 | $75.22 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (1) | 0.79 | 1.44 | 1.12 | 1.02 | 1.00 | 0.88 | |||||||||||
Net realized and unrealized gain (loss) | 3.12 | 15.18 | 17.43 | (3.56) | 7.99 | 23.70 | |||||||||||
Total from investment operations | 3.91 | 16.62 | 18.55 | (2.54) | 8.99 | 24.58 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (0.81) | (0.44) | (0.09) | (1.01) | (0.82) | |||||||||||
Net realized gain | — | (4.42) | (3.52) | (1.58) | (8.35) | (2.88) | |||||||||||
Total distributions | — | (5.23) | (3.96) | (1.67) | (9.36) | (3.70) | |||||||||||
Total increase (decrease) in net asset value | 3.91 | 11.39 | 14.59 | (4.21) | (0.37) | 20.88 | |||||||||||
Net asset value, ending | $121.41 | $117.50 | $106.11 | $91.52 | $95.73 | $96.10 | |||||||||||
Total return (2) | 3.32 | % | (3) | 15.88 | % | 20.27 | % | (2.68 | %) | 9.25 | % | 32.82 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.41 | % | (5) | 0.43 | % | 0.54 | % | 0.54 | % | 0.53 | % | 0.52 | % | ||||
Net expenses | 0.30 | % | (5) | 0.30 | % | 0.41 | % | 0.54 | % | 0.53 | % | 0.52 | % | ||||
Net investment income | 1.33 | % | (5) | 1.29 | % | 1.15 | % | 1.05 | % | 1.01 | % | 1.00 | % | ||||
Portfolio turnover | 8 | % | (3) | 16 | % | 20 | % | 13 | % | 14 | % | 12 | % | ||||
Net assets, ending (in thousands) | $247,379 | $256,043 | $246,310 | $222,462 | $241,929 | $244,903 | |||||||||||
(1) Computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
See notes to financial statements. |
22 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS F SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $118.58 | $107.30 | $92.83 | $97.20 | $97.32 | $76.04 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (1) | 0.64 | 1.18 | 1.14 | 0.85 | 0.81 | 0.65 | |||||||||||
Net realized and unrealized gain (loss) | 3.15 | 15.33 | 17.40 | (3.64) | 8.04 | 23.94 | |||||||||||
Total from investment operations | 3.79 | 16.51 | 18.54 | (2.79) | 8.85 | 24.59 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (0.81) | (0.55) | — | (0.62) | (0.43) | |||||||||||
Net realized gain | — | (4.42) | (3.52) | (1.58) | (8.35) | (2.88) | |||||||||||
Total distributions | — | (5.23) | (4.07) | (1.58) | (8.97) | (3.31) | |||||||||||
Total increase (decrease) in net asset value | 3.79 | 11.28 | 14.47 | (4.37) | (0.12) | 21.28 | |||||||||||
Net asset value, ending | $122.37 | $118.58 | $107.30 | $92.83 | $97.20 | $97.32 | |||||||||||
Total return (2) | 3.19 | % | (3) | 15.63 | % | 19.96 | % | (2.90 | %) | 9.00 | % | 32.47 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.66 | % | (5) | 0.64 | % | 0.79 | % | 0.77 | % | 0.75 | % | 0.90 | % | ||||
Net expenses | 0.55 | % | (5) | 0.55 | % | 0.66 | % | 0.77 | % | 0.75 | % | 0.81 | % | ||||
Net investment income | 1.07 | % | (5) | 1.05 | % | 1.10 | % | 0.86 | % | 0.81 | % | 0.73 | % | ||||
Portfolio turnover | 8 | % | (3) | 16 | % | 20 | % | 13 | % | 14 | % | 12 | % | ||||
Net assets, ending (in thousands) | $294,787 | $294,786 | $261,005 | $13,051 | $8,601 | $6,148 | |||||||||||
(1) Computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 23
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP S&P MidCap 400 Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of U.S. common stocks, as represented by the S&P MidCap 400 Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, 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.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or 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. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Short-Term Securities. Short-term securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
24 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Other Securities. Exchange-traded 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. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | |||||||||
Common Stocks | $ | 522,336,298 | (2) | $ | — | $ | — | $ | 522,336,298 | ||||
Exchange-Traded Funds | 2,946,666 | — | — | 2,946,666 | |||||||||
U.S. Treasury Obligations | — | 1,491,899 | — | 1,491,899 | |||||||||
Time Deposit | — | 14,045,043 | — | 14,045,043 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 10,841,307 | — | — | 10,841,307 | |||||||||
Total Investments | $ | 536,124,271 | $ | 15,536,942 | $ | — | $ | 551,661,213 | |||||
Liabilities | |||||||||||||
Futures Contracts(3) | $ | (320,710 | ) | $ | — | $ | — | $ | (320,710 | ) | |||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
(2) The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. | |||||||||||||
(3) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
Level 3 investments at the beginning and end of the period were valued at $0 and accordingly, a reconciliation of Level 3 assets for the six months ended June 30, 2018 is not presented. There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes 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 for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 25
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Foreign Currency Transactions: The Fund’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. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E. Futures Contracts: The Fund may enter into futures contracts 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 Fund. 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 Fund’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 Fund.
F. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
G. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
J. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.20% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $540,896.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of
26 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.30% for Class I and 0.55% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $259,766.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the six months ended June 30, 2018, CRM was paid administrative fees of $324,538, of which $34,376 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.20% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $291,792 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $197 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund's allocated portion of such expense and reimbursement was $5,481, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, expenses incurred under the Servicing Plan amounted to $91,876 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $40,732,758 and $74,012,642, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $435,798,605 | ||
Gross unrealized appreciation | $135,749,584 | ||
Gross unrealized depreciation | (20,207,686) | ||
Net unrealized appreciation (depreciation) | $115,541,898 |
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NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at June 30, 2018 is included in the Schedule of Investments. During the six months ended June 30, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At June 30, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Net unrealized appreciation | $— | ($320,710 | ) | * | |||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the six months ended June 30, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | $363,410 | ($348,210) |
The average notional cost of futures contracts (long) outstanding during the six months ended June 30, 2018 was approximately $10,637,000.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan was $55,690,490 and the total value of collateral received was $57,148,230, comprised of cash of $10,841,307 and U.S. Government and/or agencies securities of $46,306,923.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $57,148,230 | $— | $— | $— | $57,148,230 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
28 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
NOTE 9 — AFFILIATED COMPANIES
An affiliated company is a company in which a fund has a direct or indirect ownership of, control of, or voting power of 5 percent or more of the outstanding voting shares, or a company that is under common ownership or control with a fund. At June 30, 2018, the value of the Fund's investment in affiliated companies was $1,839,750, which represents 0.34% of the Fund's net assets. Transactions in affiliated companies by the Fund for the six months ended June 30, 2018 were as follows:
Name of Affiliated Company | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change In Unrealized Appreciation (Depreciation) | ||||||||||||||
Eaton Vance Corp. | 35,345 | 388 | (482 | ) | 35,251 | $1,839,750 | $22,034 | ($937 | ) | $— | ($148,091 | ) | |||||||||||
Totals | $1,839,750 | $22,034 | ($937 | ) | $— | ($148,091 | ) |
NOTE 10 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 54,578 | $6,469,481 | 131,946 | $14,716,014 | |||||||
Reinvestment of distributions | — | — | 99,837 | 11,195,694 | |||||||
Shares redeemed | (196,093 | ) | (23,339,326 | ) | (374,019 | ) | (41,759,153 | ) | |||
Net decrease | (141,515 | ) | ($16,869,845 | ) | (142,236 | ) | ($15,847,445 | ) | |||
Class F | |||||||||||
Shares sold | 24,801 | $2,981,431 | 105,042 | $11,838,411 | |||||||
Reinvestment of distributions | — | — | 111,182 | 12,589,187 | |||||||
Shares redeemed | (101,797 | ) | (12,196,357 | ) | (162,627 | ) | (18,419,054 | ) | |||
Net increase (decrease) | (76,996 | ) | ($9,214,926 | ) | 53,597 | $6,008,544 |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP and a separate account of another insurance company owned 35.3% and 52.2%, respectively, of the value of the outstanding shares of the Fund.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP S&P MidCap 400 Index Portfolio (the “Fund”), and the investment sub-advisory agreement with Ameritas Investment Partners, Inc. (the “Sub-Adviser”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds
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and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund outperformed the median of its performance universe and Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were above the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
32 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
OFFICERS AND DIRECTORS
Officers of Calvert VP S&P MidCap 400 Index Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP S&P MidCap 400 Index Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial
Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background
of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling
1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at
www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24224 6.30.18 |
Calvert VP Russell 2000® Small Cap Index Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class I at NAV | 04/27/2000 | 04/27/2000 | 7.49 | % | 17.24 | % | 11.88 | % | 9.94 | % | ||||||
Class F at NAV | 10/04/2005 | 04/27/2000 | 7.36 | 16.96 | 11.62 | 9.71 | ||||||||||
Russell 2000® Index | — | — | 7.66 | % | 17.57 | % | 12.45 | % | 10.59 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class I | Class F | ||||||||||||||
Gross | 0.65 | % | 0.86 | % | ||||||||||||
Net | 0.38 | 0.63 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST HOLDINGS (% of net assets)5 | ||||||
Financials | 16.9 | % | iShares Russell 2000 ETF | 1.9 | % | ||
Health Care | 14.6 | % | Five Below, Inc. | 0.2 | % | ||
Industrials | 14.1 | % | Blackbaud, Inc. | 0.2 | % | ||
Information Technology | 14.1 | % | Etsy, Inc. | 0.2 | % | ||
Consumer Discretionary | 12.6 | % | LivaNova plc | 0.2 | % | ||
Real Estate | 6.9 | % | Entegris, Inc. | 0.2 | % | ||
Energy | 4.7 | % | Haemonetics Corp. | 0.2 | % | ||
Materials | 4.1 | % | FibroGen, Inc. | 0.2 | % | ||
Time Deposit | 3.3 | % | WGL Holdings, Inc. | 0.2 | % | ||
Utilities | 3.1 | % | Loxo Oncology, Inc. | 0.2 | % | ||
Consumer Staples | 2.6 | % | Total | 3.7 | % | ||
Exchange-Traded Funds | 1.9 | % | |||||
Telecommunication Services | 0.6 | % | |||||
U.S. Treasury Obligations | 0.5 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
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Endnotes and Additional Disclosures |
1 | Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
5 Excludes cash and cash equivalents.
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FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, 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 section 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 section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $1,074.90 | $1.95** | 0.38% |
Class F | $1,000.00 | $1,073.60 | $3.24** | 0.63% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.91 | $1.91** | 0.38% |
Class F | $1,000.00 | $1,021.67 | $3.16** | 0.63% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 94.5% | ||
Aerospace & Defense - 1.2% | ||
AAR Corp. | 2,738 | 127,290 |
Aerojet Rocketdyne Holdings, Inc. (1) | 6,071 | 179,034 |
Aerovironment, Inc. (1) | 1,707 | 121,931 |
Astronics Corp. (1) | 1,883 | 67,732 |
Axon Enterprise, Inc. (1) | 4,380 | 276,728 |
Cubic Corp. | 2,177 | 139,763 |
Ducommun, Inc. (1) | 914 | 30,244 |
Engility Holdings, Inc. (1) | 1,480 | 45,347 |
Esterline Technologies Corp. (1) | 2,299 | 169,666 |
KeyW Holding Corp. (The) (1)(2) | 3,749 | 32,766 |
KLX, Inc. (1) | 4,258 | 306,150 |
Kratos Defense & Security Solutions, Inc. (1)(2) | 7,415 | 85,347 |
Maxar Technologies Ltd. | 4,750 | 239,970 |
Mercury Systems, Inc. (1) | 3,775 | 143,677 |
Moog, Inc., Class A | 2,677 | 208,699 |
National Presto Industries, Inc. | 420 | 52,080 |
Sparton Corp. (1) | 882 | 16,749 |
Triumph Group, Inc. (2) | 4,259 | 83,476 |
Vectrus, Inc. (1) | 813 | 25,057 |
Wesco Aircraft Holdings, Inc. (1) | 4,699 | 52,864 |
2,404,570 | ||
Air Freight & Logistics - 0.3% | ||
Air Transport Services Group, Inc. (1) | 5,010 | 113,176 |
Atlas Air Worldwide Holdings, Inc. (1) | 1,930 | 138,381 |
Echo Global Logistics, Inc. (1) | 2,286 | 66,865 |
Forward Air Corp. | 2,396 | 141,556 |
Hub Group, Inc., Class A (1) | 2,690 | 133,962 |
Radiant Logistics, Inc. (1) | 2,087 | 8,160 |
602,100 | ||
Airlines - 0.4% | ||
Allegiant Travel Co. (2) | 1,085 | 150,761 |
Hawaiian Holdings, Inc. | 4,284 | 154,010 |
SkyWest, Inc. | 4,287 | 222,495 |
Spirit Airlines, Inc. (1) | 5,800 | 210,830 |
738,096 | ||
Auto Components - 1.0% | ||
American Axle & Manufacturing Holdings, Inc. (1) | 8,943 | 139,153 |
Cooper Tire & Rubber Co. (2) | 4,543 | 119,481 |
Cooper-Standard Holding, Inc. (1) | 1,470 | 192,085 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Dana, Inc. | 12,507 | 252,516 |
Dorman Products, Inc. (1) | 2,276 | 155,474 |
Fox Factory Holding Corp. (1) | 2,843 | 132,342 |
Gentherm, Inc. (1) | 2,898 | 113,891 |
LCI Industries | 2,000 | 180,300 |
Modine Manufacturing Co. (1) | 4,047 | 73,858 |
Motorcar Parts of America, Inc. (1)(2) | 1,400 | 26,194 |
Shiloh Industries, Inc. (1) | 764 | 6,647 |
Standard Motor Products, Inc. | 1,855 | 89,671 |
Stoneridge, Inc. (1) | 2,174 | 76,394 |
Superior Industries International, Inc. | 1,957 | 35,030 |
Tenneco, Inc. | 4,240 | 186,390 |
Tower International, Inc. | 1,846 | 58,703 |
1,838,129 | ||
Automobiles - 0.1% | ||
Winnebago Industries, Inc. | 2,579 | 104,707 |
Banks - 9.3% | ||
1st Constitution Bancorp | 623 | 14,267 |
1st Source Corp. | 1,262 | 67,429 |
Access National Corp. | 1,047 | 29,944 |
ACNB Corp. | 464 | 15,799 |
Allegiance Bancshares, Inc. (1) | 856 | 37,108 |
American National Bankshares, Inc. | 705 | 28,200 |
Ameris Bancorp | 3,398 | 181,283 |
Ames National Corp. | 756 | 23,323 |
Arrow Financial Corp. | 1,063 | 38,693 |
Atlantic Capital Bancshares, Inc. (1) | 1,833 | 36,018 |
Auburn National Bancorporation, Inc. | 201 | 9,972 |
Banc of California, Inc. | 3,886 | 75,971 |
BancFirst Corp. | 1,474 | 87,261 |
Bancorp, Inc. (The) (1) | 4,384 | 45,857 |
BancorpSouth Bank | 7,859 | 258,954 |
Bank of Commerce Holdings | 1,360 | 17,340 |
Bank of Marin Bancorp | 545 | 44,063 |
Bank of NT Butterfield & Son Ltd. (The) | 4,723 | 215,936 |
Bank of Princeton (The) (1) | 486 | 16,160 |
Bankwell Financial Group, Inc. | 446 | 14,339 |
Banner Corp. | 2,588 | 155,616 |
Bar Harbor Bankshares | 1,146 | 34,712 |
Baycom Corp. (1) | 848 | 20,988 |
BCB Bancorp, Inc. | 832 | 12,480 |
Berkshire Hills Bancorp, Inc. | 3,404 | 138,202 |
Blue Hills Bancorp, Inc. | 1,921 | 42,646 |
Boston Private Financial Holdings, Inc. | 7,071 | 112,429 |
Bridge Bancorp, Inc. | 1,543 | 55,471 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Brookline Bancorp, Inc. | 6,592 | 122,611 |
Bryn Mawr Bank Corp. | 1,617 | 74,867 |
Business First Bancshares, Inc. (2) | 766 | 20,184 |
Byline Bancorp, Inc. (1) | 1,418 | 31,678 |
C&F Financial Corp. | 251 | 15,700 |
Cadence BanCorp (2) | 4,003 | 115,567 |
Cambridge Bancorp | 320 | 27,693 |
Camden National Corp. | 1,318 | 60,246 |
Capital City Bank Group, Inc. | 1,232 | 29,112 |
Capstar Financial Holdings, Inc. (1) | 756 | 14,009 |
Carolina Financial Corp. | 1,663 | 71,376 |
Cathay General Bancorp | 6,414 | 259,703 |
CB Financial Services, Inc. | 399 | 13,726 |
CBTX, Inc. (2) | 1,510 | 49,905 |
CenterState Bank Corp. | 6,716 | 200,271 |
Central Pacific Financial Corp. | 2,617 | 74,977 |
Central Valley Community Bancorp | 682 | 14,431 |
Century Bancorp, Inc., Class A | 277 | 21,163 |
Chemical Financial Corp. | 5,896 | 328,230 |
Chemung Financial Corp. | 245 | 12,277 |
Citizens & Northern Corp. | 1,125 | 29,092 |
City Holding Co. | 1,332 | 100,206 |
Civista Bancshares, Inc. | 871 | 21,113 |
CNB Financial Corp. | 1,282 | 38,537 |
CoBiz Financial, Inc. | 2,995 | 64,333 |
Codorus Valley Bancorp, Inc. | 662 | 20,310 |
Columbia Banking System, Inc. | 6,012 | 245,891 |
Community Bank System, Inc. | 4,148 | 245,022 |
Community Bankers Trust Corp. (1) | 1,884 | 16,862 |
Community Financial Corp. (The) | 347 | 12,270 |
Community Trust Bancorp, Inc. | 1,316 | 65,734 |
ConnectOne Bancorp, Inc. | 2,307 | 57,444 |
County Bancorp, Inc. | 375 | 10,313 |
Customers Bancorp, Inc. (1) | 2,287 | 64,905 |
CVB Financial Corp. | 8,737 | 195,884 |
Eagle Bancorp, Inc. (1) | 2,641 | 161,893 |
Enterprise Bancorp, Inc. | 790 | 31,940 |
Enterprise Financial Services Corp. | 1,978 | 106,713 |
Equity Bancshares, Inc., Class A (1) | 935 | 38,784 |
Esquire Financial Holdings, Inc. (1) | 506 | 13,353 |
Evans Bancorp, Inc. | 406 | 18,717 |
Farmers & Merchants Bancorp, Inc. | 778 | 31,392 |
Farmers Capital Bank Corp. | 578 | 30,114 |
Farmers National Banc Corp. | 1,937 | 30,895 |
FB Financial Corp. | 1,109 | 45,158 |
FCB Financial Holdings, Inc., Class A (1) | 3,537 | 207,976 |
Fidelity D&D Bancorp, Inc. (2) | 249 | 15,436 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Fidelity Southern Corp. | 1,909 | 48,508 |
Financial Institutions, Inc. | 1,134 | 37,309 |
First Bancorp / Southern Pines NC | 2,504 | 102,439 |
First Bancorp, Inc. / ME | 691 | 19,500 |
First BanCorp. / Puerto Rico (1) | 17,713 | 135,504 |
First Bancshares, Inc. (The) | 1,032 | 37,100 |
First Bank / Hamilton | 1,315 | 18,278 |
First Busey Corp. | 3,623 | 114,922 |
First Business Financial Services, Inc. | 708 | 18,408 |
First Choice Bancorp (2) | 529 | 16,166 |
First Commonwealth Financial Corp. | 8,496 | 131,773 |
First Community Bancshares, Inc. / VA | 1,464 | 46,643 |
First Community Corp. / SC | 613 | 15,386 |
First Connecticut Bancorp, Inc. | 1,089 | 33,323 |
First Financial Bancorp | 8,144 | 249,614 |
First Financial Bankshares, Inc. (2) | 5,513 | 280,612 |
First Financial Corp. / IN | 992 | 44,987 |
First Financial Northwest, Inc. | 708 | 13,820 |
First Foundation, Inc. (1) | 2,486 | 46,090 |
First Guaranty Bancshares, Inc. | 375 | 9,758 |
First Internet Bancorp | 680 | 23,188 |
First Interstate BancSystem, Inc., Class A | 2,729 | 115,164 |
First Merchants Corp. | 4,068 | 188,755 |
First Mid-Illinois Bancshares, Inc. | 882 | 34,663 |
First Midwest Bancorp, Inc. | 8,833 | 224,977 |
First Northwest Bancorp (1) | 864 | 13,798 |
First of Long Island Corp. (The) | 2,051 | 50,967 |
First Savings Financial Group, Inc. (2) | 150 | 11,024 |
First United Corp. | 582 | 11,902 |
Flushing Financial Corp. | 2,270 | 59,247 |
FNB Bancorp | 466 | 17,088 |
Franklin Financial Network, Inc. (1) | 950 | 35,720 |
Fulton Financial Corp. | 14,217 | 234,580 |
German American Bancorp, Inc. | 1,728 | 61,949 |
Glacier Bancorp, Inc. | 6,919 | 267,627 |
Great Southern Bancorp, Inc. | 940 | 53,768 |
Great Western Bancorp, Inc. | 5,101 | 214,191 |
Green Bancorp, Inc. | 2,056 | 44,410 |
Guaranty Bancorp | 2,062 | 61,448 |
Guaranty Bancshares, Inc. | 666 | 21,938 |
Hancock Whitney Corp. | 7,187 | 335,274 |
Hanmi Financial Corp. | 2,767 | 78,444 |
HarborOne Bancorp, Inc. (1) | 1,232 | 23,334 |
Heartland Financial USA, Inc. | 2,421 | 132,792 |
Heritage Commerce Corp. | 3,178 | 53,994 |
Heritage Financial Corp. | 2,803 | 97,685 |
Hilltop Holdings, Inc. | 6,020 | 132,861 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Home BancShares, Inc. | 13,082 | 295,130 |
HomeTrust Bancshares, Inc. (1) | 1,500 | 42,225 |
Hope Bancorp, Inc. | 10,479 | 186,841 |
Horizon Bancorp | 3,088 | 63,891 |
Howard Bancorp, Inc. (1) | 773 | 13,914 |
IBERIABANK Corp. | 4,723 | 358,003 |
Independent Bank Corp. | 1,586 | 40,443 |
Independent Bank Corp. / Rockland | 2,235 | 175,224 |
Independent Bank Group, Inc. | 1,681 | 112,291 |
International Bancshares Corp. | 4,729 | 202,401 |
Investar Holding Corp. | 717 | 19,825 |
Investors Bancorp, Inc. | 20,815 | 266,224 |
Lakeland Bancorp, Inc. | 3,940 | 78,209 |
Lakeland Financial Corp. | 2,121 | 102,211 |
LCNB Corp. | 686 | 13,514 |
LegacyTexas Financial Group, Inc. | 4,150 | 161,933 |
Level One Bancorp, Inc. | 116 | 3,153 |
Live Oak Bancshares, Inc. | 1,938 | 59,400 |
Macatawa Bank Corp. | 2,061 | 25,021 |
MB Financial, Inc. | 6,935 | 323,864 |
MBT Financial Corp. | 1,386 | 14,761 |
Mercantile Bank Corp. | 1,239 | 45,793 |
Metropolitan Bank Holding Corp. (1) | 542 | 28,444 |
Mid Penn Bancorp, Inc. (2) | 399 | 13,925 |
Middlefield Banc Corp. | 230 | 11,661 |
Midland States Bancorp, Inc. | 1,739 | 59,578 |
MidSouth Bancorp, Inc. | 780 | 10,335 |
MidWestOne Financial Group, Inc. | 980 | 33,104 |
MutualFirst Financial, Inc. | 424 | 16,006 |
MVB Financial Corp. | 740 | 13,357 |
National Bank Holdings Corp., Class A | 2,417 | 93,272 |
National Bankshares, Inc. | 531 | 24,638 |
National Commerce Corp. (1) | 1,227 | 56,810 |
NBT Bancorp, Inc. | 3,663 | 139,743 |
Nicolet Bankshares, Inc. (1) | 785 | 43,261 |
Northeast Bancorp | 637 | 13,887 |
Northrim BanCorp, Inc. | 525 | 20,764 |
Norwood Financial Corp. | 502 | 18,082 |
Oak Valley Bancorp | 573 | 13,105 |
OFG Bancorp | 3,440 | 48,332 |
Ohio Valley Banc Corp. (2) | 358 | 18,777 |
Old Line Bancshares, Inc. | 1,302 | 45,453 |
Old National Bancorp | 12,485 | 232,221 |
Old Second Bancorp, Inc. | 2,274 | 32,746 |
Opus Bank | 1,820 | 52,234 |
Origin Bancorp, Inc. | 1,393 | 57,029 |
Orrstown Financial Services, Inc. | 576 | 14,976 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Pacific Mercantile Bancorp (1) | 1,193 | 11,632 |
Pacific Premier Bancorp, Inc. (1) | 3,799 | 144,932 |
Park National Corp. | 1,149 | 128,022 |
Parke Bancorp, Inc. | 552 | 13,055 |
Peapack Gladstone Financial Corp. | 1,336 | 46,212 |
Penns Woods Bancorp, Inc. | 415 | 18,584 |
People's Utah Bancorp | 1,248 | 44,554 |
Peoples Bancorp of North Carolina, Inc. | 408 | 13,068 |
Peoples Bancorp, Inc. | 1,418 | 53,572 |
Peoples Financial Services Corp. | 676 | 31,786 |
Preferred Bank / Los Angeles | 1,057 | 64,963 |
Premier Financial Bancorp, Inc. | 911 | 17,008 |
QCR Holdings, Inc. | 1,089 | 51,673 |
RBB Bancorp | 1,147 | 36,842 |
Reliant Bancorp, Inc. | 609 | 17,082 |
Renasant Corp. | 4,017 | 182,854 |
Republic Bancorp, Inc., Class A | 907 | 41,087 |
Republic First Bancorp, Inc. (1) | 4,071 | 31,957 |
S&T Bancorp, Inc. | 2,878 | 124,445 |
Sandy Spring Bancorp, Inc. | 2,871 | 117,740 |
SB One Bancorp | 601 | 17,850 |
Seacoast Banking Corp. of Florida (1) | 3,832 | 121,015 |
Select Bancorp, Inc. (1) | 954 | 12,850 |
ServisFirst Bancshares, Inc. | 3,980 | 166,085 |
Shore Bancshares, Inc. | 977 | 18,583 |
Sierra Bancorp | 987 | 27,873 |
Simmons First National Corp., Class A | 7,638 | 228,376 |
SmartFinancial, Inc. (1) | 629 | 16,203 |
South State Corp. | 3,090 | 266,512 |
Southern First Bancshares, Inc. (1) | 447 | 19,757 |
Southern National Bancorp of Virginia, Inc. | 1,573 | 28,062 |
Southside Bancshares, Inc. | 2,786 | 93,832 |
Spirit of Texas Bancshares, Inc. (1)(2) | 171 | 3,523 |
State Bank Financial Corp. | 3,294 | 110,020 |
Stock Yards Bancorp, Inc. | 1,843 | 70,310 |
Summit Financial Group, Inc. | 649 | 17,419 |
Tompkins Financial Corp. | 1,253 | 107,608 |
TowneBank | 5,463 | 175,362 |
TriCo Bancshares | 1,576 | 59,021 |
TriState Capital Holdings, Inc. (1) | 1,979 | 51,652 |
Triumph Bancorp, Inc. (1) | 1,993 | 81,215 |
Trustmark Corp. | 5,505 | 179,628 |
UMB Financial Corp. | 3,745 | 285,481 |
Union Bankshares Corp. | 5,323 | 206,958 |
Union Bankshares, Inc. | 303 | 15,726 |
United Bankshares, Inc. (2) | 8,441 | 307,252 |
United Community Banks, Inc. | 6,587 | 202,023 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
United Security Bancshares | 1,143 | 12,802 |
Unity Bancorp, Inc. | 677 | 15,402 |
Univest Corp. of Pennsylvania | 2,279 | 62,672 |
Valley National Bancorp (2) | 26,810 | 326,010 |
Veritex Holdings, Inc. (1) | 1,984 | 61,643 |
Washington Trust Bancorp, Inc. | 1,232 | 71,579 |
WesBanco, Inc. | 3,697 | 166,513 |
West BanCorp., Inc. | 1,387 | 34,883 |
Westamerica BanCorp. (2) | 2,132 | 120,479 |
17,998,660 | ||
Beverages - 0.3% | ||
Boston Beer Company, Inc. (The), Class A (1) | 712 | 213,386 |
Castle Brands, Inc. (1)(2) | 7,620 | 9,068 |
Celsius Holdings, Inc. (1)(2) | 1,928 | 8,869 |
Coca-Cola Bottling Co. Consolidated | 413 | 55,809 |
Craft Brew Alliance, Inc. (1) | 855 | 17,656 |
MGP Ingredients, Inc. | 1,083 | 96,181 |
National Beverage Corp. (1)(2) | 989 | 105,724 |
Primo Water Corp. (1) | 2,247 | 39,300 |
545,993 | ||
Biotechnology - 6.3% | ||
Abeona Therapeutics, Inc. (1)(2) | 2,704 | 43,264 |
ACADIA Pharmaceuticals, Inc. (1) | 8,124 | 124,054 |
Acceleron Pharma, Inc. (1)(2) | 3,252 | 157,787 |
Achaogen, Inc. (1)(2) | 2,546 | 22,048 |
Achillion Pharmaceuticals, Inc. (1) | 10,118 | 28,634 |
Acorda Therapeutics, Inc. (1) | 3,713 | 106,563 |
Adamas Pharmaceuticals, Inc. (1)(2) | 1,883 | 48,638 |
ADMA Biologics, Inc. (1) | 1,642 | 7,405 |
Aduro Biotech, Inc. (1)(2) | 5,545 | 38,815 |
Adverum Biotechnologies, Inc. (1) | 4,398 | 23,309 |
Aeglea BioTherapeutics, Inc. (1) | 1,379 | 14,590 |
Agenus, Inc. (1)(2) | 5,577 | 12,660 |
Aimmune Therapeutics, Inc. (1)(2) | 3,609 | 97,046 |
Akebia Therapeutics, Inc. (1)(2) | 3,813 | 38,054 |
Albireo Pharma, Inc. (1) | 688 | 24,424 |
Alder Biopharmaceuticals, Inc. (1)(2) | 5,401 | 85,336 |
Aldeyra Therapeutics, Inc. (1) | 1,388 | 11,035 |
Allena Pharmaceuticals, Inc. (1)(2) | 460 | 5,994 |
AMAG Pharmaceuticals, Inc. (1) | 3,012 | 58,734 |
Amicus Therapeutics, Inc. (1)(2) | 15,657 | 244,562 |
AnaptysBio, Inc. (1) | 1,633 | 116,008 |
Apellis Pharmaceuticals, Inc. (1) | 3,089 | 67,958 |
Arbutus Biopharma Corp. (1) | 2,944 | 21,491 |
Arcus Biosciences, Inc. (1) | 432 | 5,288 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Ardelyx, Inc. (1) | 2,393 | 8,854 |
Arena Pharmaceuticals, Inc. (1)(2) | 4,139 | 180,460 |
ArQule, Inc. (1) | 7,731 | 42,752 |
Array BioPharma, Inc. (1)(2) | 16,999 | 285,243 |
Arrowhead Pharmaceuticals, Inc (1)(2) | 7,256 | 98,682 |
Arsanis, Inc. (1)(2) | 392 | 1,423 |
Atara Biotherapeutics, Inc. (1)(2) | 3,329 | 122,341 |
Athenex, Inc. (1) | 3,528 | 65,833 |
Athersys, Inc. (1)(2) | 11,234 | 22,131 |
Audentes Therapeutics, Inc. (1) | 2,496 | 95,372 |
AVEO Pharmaceuticals, Inc. (1)(2) | 8,174 | 18,473 |
Avid Bioservices, Inc. (1) | 4,695 | 18,404 |
Bellicum Pharmaceuticals, Inc. (1)(2) | 4,333 | 31,978 |
BioCryst Pharmaceuticals, Inc. (1)(2) | 8,297 | 47,542 |
Biohaven Pharmaceutical Holding Co., Ltd. (1)(2) | 2,329 | 92,042 |
BioSpecifics Technologies Corp. (1) | 496 | 22,251 |
BioTime, Inc. (1)(2) | 6,005 | 12,370 |
Blueprint Medicines Corp. (1) | 3,442 | 218,498 |
Calithera Biosciences, Inc. (1) | 2,688 | 13,440 |
Calyxt, Inc. (1)(2) | 700 | 13,069 |
Cara Therapeutics, Inc. (1)(2) | 2,345 | 44,907 |
CareDx, Inc. (1) | 2,924 | 35,790 |
CASI Pharmaceuticals, Inc. (1)(2) | 4,345 | 35,759 |
Catalyst Biosciences, Inc. (1) | 991 | 11,565 |
Catalyst Pharmaceuticals, Inc. (1) | 9,063 | 28,277 |
Celcuity, Inc. (1)(2) | 240 | 5,957 |
Cellular Biomedicine Group, Inc. (1)(2) | 958 | 18,729 |
ChemoCentryx, Inc. (1) | 2,120 | 27,920 |
Chimerix, Inc. (1) | 3,539 | 16,846 |
Clovis Oncology, Inc. (1)(2) | 3,967 | 180,380 |
Cohbar, Inc. (1) | 2,016 | 13,205 |
Coherus Biosciences, Inc. (1)(2) | 3,367 | 47,138 |
Concert Pharmaceuticals, Inc. (1) | 1,527 | 25,699 |
Corbus Pharmaceuticals Holdings, Inc. (1)(2) | 3,888 | 19,634 |
Corvus Pharmaceuticals, Inc. (1)(2) | 1,216 | 13,352 |
CTI BioPharma Corp. (1) | 4,450 | 22,161 |
Cue Biopharma, Inc. (1)(2) | 1,576 | 18,691 |
Cytokinetics, Inc. (1)(2) | 3,647 | 30,270 |
CytomX Therapeutics, Inc. (1) | 3,239 | 74,044 |
Deciphera Pharmaceuticals, Inc. (1)(2) | 700 | 27,545 |
Denali Therapeutics, Inc. (1)(2) | 1,362 | 20,771 |
Dicerna Pharmaceuticals, Inc. (1) | 3,620 | 44,345 |
Dynavax Technologies Corp. (1) | 5,186 | 79,087 |
Eagle Pharmaceuticals, Inc. (1)(2) | 867 | 65,597 |
Editas Medicine, Inc. (1)(2) | 3,601 | 129,024 |
Emergent BioSolutions, Inc. (1) | 3,733 | 188,479 |
Enanta Pharmaceuticals, Inc. (1) | 1,320 | 152,988 |
12 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Epizyme, Inc. (1)(2) | 4,180 | 56,639 |
Esperion Therapeutics, Inc. (1)(2) | 1,993 | 78,106 |
Evelo Biosciences, Inc. (1)(2) | 373 | 4,401 |
Fate Therapeutics, Inc. (1)(2) | 4,100 | 46,494 |
Fennec Pharmaceuticals, Inc. (1)(2) | 914 | 9,542 |
FibroGen, Inc. (1) | 6,232 | 390,123 |
Five Prime Therapeutics, Inc. (1) | 2,790 | 44,110 |
Flexion Therapeutics, Inc. (1)(2) | 2,654 | 68,606 |
Fortress Biotech, Inc. (1) | 2,656 | 7,915 |
Foundation Medicine, Inc. (1)(2) | 1,273 | 174,019 |
G1 Therapeutics, Inc. (1) | 1,618 | 70,318 |
Genomic Health, Inc. (1) | 1,734 | 87,394 |
Geron Corp. (1)(2) | 13,270 | 45,516 |
Global Blood Therapeutics, Inc. (1)(2) | 4,051 | 183,105 |
GlycoMimetics, Inc. (1) | 2,997 | 48,342 |
GTx, Inc. (1)(2) | 403 | 6,170 |
Halozyme Therapeutics, Inc. (1) | 10,685 | 180,256 |
Heron Therapeutics, Inc. (1)(2) | 5,319 | 206,643 |
Homology Medicines, Inc. (1)(2) | 864 | 17,626 |
Idera Pharmaceuticals, Inc. (1) | 11,986 | 15,822 |
Immune Design Corp. (1) | 2,948 | 13,413 |
ImmunoGen, Inc. (1) | 10,684 | 103,955 |
Immunomedics, Inc. (1)(2) | 10,988 | 260,086 |
Inovio Pharmaceuticals, Inc. (1)(2) | 6,941 | 27,209 |
Insmed, Inc. (1)(2) | 6,347 | 150,107 |
Insys Therapeutics, Inc. (1)(2) | 1,760 | 12,742 |
Intellia Therapeutics, Inc. (1)(2) | 2,581 | 70,616 |
Intercept Pharmaceuticals, Inc. (1) | 1,808 | 151,709 |
Intrexon Corp. (1)(2) | 5,972 | 83,250 |
Invitae Corp. (1)(2) | 5,418 | 39,822 |
Iovance Biotherapeutics, Inc. (1) | 7,008 | 89,702 |
Ironwood Pharmaceuticals, Inc. (1)(2) | 11,821 | 226,018 |
Jounce Therapeutics, Inc. (1)(2) | 1,233 | 9,445 |
Kadmon Holdings, Inc. (1) | 5,939 | 23,697 |
Karyopharm Therapeutics, Inc. (1) | 4,019 | 68,283 |
Keryx Biopharmaceuticals, Inc. (1)(2) | 7,631 | 28,693 |
Kindred Biosciences, Inc. (1) | 1,848 | 19,681 |
Kura Oncology, Inc. (1)(2) | 1,720 | 31,304 |
La Jolla Pharmaceutical Co. (1)(2) | 1,535 | 44,776 |
Lexicon Pharmaceuticals, Inc. (1)(2) | 3,782 | 45,384 |
Ligand Pharmaceuticals, Inc. (1)(2) | 1,744 | 361,305 |
Loxo Oncology, Inc. (1)(2) | 2,213 | 383,911 |
MacroGenics, Inc. (1) | 3,254 | 67,195 |
Madrigal Pharmaceuticals, Inc. (1) | 512 | 143,201 |
MannKind Corp. (1)(2) | 11,365 | 21,594 |
MediciNova, Inc. (1)(2) | 3,274 | 26,061 |
Mersana Therapeutics, Inc. (1)(2) | 944 | 16,860 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
MiMedx Group, Inc. (1)(2) | 8,619 | 55,075 |
Minerva Neurosciences, Inc. (1) | 2,206 | 18,200 |
Miragen Therapeutics, Inc. (1) | 1,109 | 7,109 |
Mirati Therapeutics, Inc. (1)(2) | 1,416 | 69,809 |
Molecular Templates, Inc. (1) | 723 | 3,781 |
Momenta Pharmaceuticals, Inc. (1) | 6,446 | 131,821 |
Mustang Bio, Inc. (1) | 1,620 | 11,162 |
Myriad Genetics, Inc. (1) | 5,525 | 206,469 |
NantKwest, Inc. (1)(2) | 2,681 | 8,204 |
Natera, Inc. (1)(2) | 2,682 | 50,475 |
NewLink Genetics Corp. (1) | 1,605 | 7,640 |
Novavax, Inc. (1)(2) | 32,730 | 43,858 |
Nymox Pharmaceutical Corp. (1) | 2,502 | 8,407 |
OPKO Health, Inc. (1)(2) | 26,562 | 124,841 |
Organovo Holdings, Inc. (1)(2) | 8,100 | 11,340 |
Ovid Therapeutics, Inc. (1) | 443 | 3,455 |
Palatin Technologies, Inc. (1) | 16,946 | 16,434 |
PDL BioPharma, Inc. (1) | 12,664 | 29,634 |
Pfenex, Inc. (1) | 1,821 | 9,852 |
Pieris Pharmaceuticals, Inc. (1)(2) | 3,015 | 15,286 |
PolarityTE, Inc. (1)(2) | 503 | 11,841 |
Portola Pharmaceuticals, Inc. (1)(2) | 5,211 | 196,819 |
Progenics Pharmaceuticals, Inc. (1)(2) | 5,871 | 47,203 |
Proteostasis Therapeutics, Inc. (1) | 2,293 | 6,397 |
Prothena Corp. plc (1)(2) | 3,249 | 47,370 |
PTC Therapeutics, Inc. (1) | 3,919 | 132,188 |
Puma Biotechnology, Inc. (1)(2) | 2,522 | 149,176 |
Ra Pharmaceuticals, Inc. (1)(2) | 715 | 7,114 |
Radius Health, Inc. (1)(2) | 3,266 | 96,249 |
Recro Pharma, Inc. (1) | 1,196 | 6,004 |
REGENXBIO, Inc. (1) | 2,383 | 170,980 |
Repligen Corp. (1)(2) | 3,200 | 150,528 |
Retrophin, Inc. (1) | 3,493 | 95,219 |
Rhythm Pharmaceuticals, Inc. (1) | 1,016 | 31,760 |
Rigel Pharmaceuticals, Inc. (1) | 12,610 | 35,686 |
Rocket Pharmaceuticals, Inc. (1)(2) | 1,870 | 36,708 |
Sangamo Therapeutics, Inc. (1)(2) | 8,265 | 117,363 |
Savara, Inc. (1) | 2,257 | 25,549 |
Selecta Biosciences, Inc. (1)(2) | 1,029 | 13,634 |
Seres Therapeutics, Inc. (1)(2) | 1,389 | 11,945 |
Solid Biosciences, Inc. (1)(2) | 758 | 27,008 |
Sorrento Therapeutics, Inc. (1)(2) | 7,245 | 52,164 |
Spark Therapeutics, Inc. (1)(2) | 2,622 | 216,997 |
Spectrum Pharmaceuticals, Inc. (1) | 8,414 | 176,357 |
Spero Therapeutics, Inc. (1) | 500 | 7,335 |
Spring Bank Pharmaceuticals, Inc. (1) | 1,085 | 12,857 |
Stemline Therapeutics, Inc. (1)(2) | 1,930 | 30,977 |
14 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Surface Oncology, Inc. (1) | 567 | 9,248 |
Syndax Pharmaceuticals, Inc. (1)(2) | 1,000 | 7,020 |
Synergy Pharmaceuticals, Inc. (1)(2) | 19,906 | 34,636 |
Synlogic, Inc. (1) | 1,223 | 12,022 |
Syros Pharmaceuticals, Inc. (1)(2) | 2,602 | 26,566 |
T2 Biosystems, Inc. (1) | 2,618 | 20,263 |
TG Therapeutics, Inc. (1)(2) | 4,898 | 64,409 |
Tocagen, Inc. (1)(2) | 1,527 | 14,262 |
Tyme Technologies, Inc. (1) | 3,620 | 11,439 |
Ultragenyx Pharmaceutical, Inc. (1)(2) | 3,953 | 303,867 |
UNITY Biotechnology, Inc. (1)(2) | 415 | 6,250 |
Unum Therapeutics, Inc. (1)(2) | 276 | 3,961 |
Vanda Pharmaceuticals, Inc. (1) | 3,866 | 73,647 |
Veracyte, Inc. (1) | 1,394 | 13,020 |
Verastem, Inc. (1) | 3,771 | 25,944 |
Vericel Corp. (1) | 3,341 | 32,408 |
Viking Therapeutics, Inc. (1) | 4,364 | 41,414 |
Vital Therapies, Inc. (1) | 2,566 | 17,577 |
Voyager Therapeutics, Inc. (1)(2) | 1,721 | 33,628 |
Xencor, Inc. (1) | 3,865 | 143,044 |
XOMA Corp. (1) | 495 | 10,336 |
Zafgen, Inc. (1) | 2,005 | 20,511 |
ZIOPHARM Oncology, Inc. (1)(2) | 10,966 | 33,117 |
12,159,050 | ||
Building Products - 1.2% | ||
AAON, Inc. | 3,489 | 116,009 |
Advanced Drainage Systems, Inc. | 3,810 | 108,776 |
American Woodmark Corp. (1) | 1,194 | 109,311 |
Apogee Enterprises, Inc. | 2,452 | 118,113 |
Armstrong Flooring, Inc. (1) | 1,823 | 25,595 |
Builders FirstSource, Inc. (1) | 9,570 | 175,035 |
Caesarstone Ltd. (2) | 1,950 | 29,445 |
Continental Building Products, Inc. (1) | 3,099 | 97,774 |
CSW Industrials, Inc. (1) | 1,308 | 69,128 |
Gibraltar Industries, Inc. (1) | 2,724 | 102,150 |
Griffon Corp. | 2,639 | 46,974 |
Insteel Industries, Inc. | 1,366 | 45,624 |
JELD-WEN Holding, Inc. (1) | 5,765 | 164,821 |
Masonite International Corp. (1) | 2,269 | 163,028 |
NCI Building Systems, Inc. (1) | 3,510 | 73,710 |
Patrick Industries, Inc. (1) | 1,955 | 111,142 |
PGT Innovations, Inc. (1) | 4,125 | 86,006 |
Quanex Building Products Corp. | 3,015 | 54,119 |
Simpson Manufacturing Co., Inc. | 3,585 | 222,951 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Trex Co., Inc. (1) | 4,927 | 308,381 |
Universal Forest Products, Inc. | 5,136 | 188,080 |
2,416,172 | ||
Capital Markets - 1.2% | ||
Arlington Asset Investment Corp., Class A (2) | 1,962 | 20,228 |
Artisan Partners Asset Management, Inc., Class A | 3,911 | 117,917 |
Ashford, Inc. (1) | 73 | 4,730 |
Associated Capital Group, Inc., Class A (2) | 224 | 8,501 |
B. Riley Financial, Inc. (2) | 1,801 | 40,613 |
BrightSphere Investment Group plc | 7,380 | 105,239 |
Cohen & Steers, Inc. | 1,874 | 78,165 |
Cowen, Inc., Class A (1)(2) | 2,148 | 29,750 |
Diamond Hill Investment Group, Inc. | 250 | 48,607 |
Donnelley Financial Solutions, Inc. (1) | 2,855 | 49,591 |
Federated Investors, Inc., Class B | 8,020 | 187,026 |
Financial Engines, Inc. | 5,337 | 239,631 |
GAIN Capital Holdings, Inc. (2) | 3,144 | 23,737 |
GAMCO Investors, Inc., Class A | 342 | 9,152 |
Greenhill & Co., Inc. (2) | 1,714 | 48,678 |
Hamilton Lane, Inc., Class A | 1,211 | 58,092 |
Houlihan Lokey, Inc. | 2,445 | 125,233 |
INTL. FCStone, Inc. (1) | 1,181 | 61,069 |
Investment Technology Group, Inc. | 2,642 | 55,271 |
Ladenburg Thalmann Financial Services, Inc. | 8,462 | 28,771 |
Moelis & Co., Class A | 3,259 | 191,140 |
Oppenheimer Holdings, Inc., Class A | 932 | 26,096 |
Piper Jaffray Cos. | 1,194 | 91,759 |
PJT Partners, Inc., Class A | 1,588 | 84,783 |
Pzena Investment Management, Inc., Class A | 1,231 | 11,337 |
Safeguard Scientifics, Inc. (1) | 1,902 | 24,346 |
Siebert Financial Corp. (1)(2) | 596 | 6,210 |
Silvercrest Asset Management Group, Inc., Class A | 548 | 8,932 |
Stifel Financial Corp. | 5,788 | 302,423 |
Value Line, Inc. | 91 | 2,157 |
Virtus Investment Partners, Inc. | 589 | 75,363 |
Waddell & Reed Financial, Inc., Class A | 6,858 | 123,238 |
Westwood Holdings Group, Inc. | 603 | 35,903 |
WisdomTree Investments, Inc. | 9,928 | 90,146 |
2,413,834 | ||
Chemicals - 2.0% | ||
A Schulman, Inc. | 2,260 | 100,570 |
Advanced Emissions Solutions, Inc. | 1,851 | 21,027 |
AdvanSix, Inc. (1) | 2,631 | 96,374 |
AgroFresh Solutions, Inc. (1) | 1,715 | 12,022 |
American Vanguard Corp. | 2,506 | 57,513 |
16 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Balchem Corp. | 2,718 | 266,745 |
Chase Corp. | 627 | 73,516 |
Ferro Corp. (1) | 7,188 | 149,870 |
Flotek Industries, Inc. (1)(2) | 4,728 | 15,271 |
FutureFuel Corp. | 1,874 | 26,255 |
GCP Applied Technologies, Inc. (1) | 5,997 | 173,613 |
Hawkins, Inc. | 749 | 26,477 |
HB Fuller Co. | 4,330 | 232,434 |
Ingevity Corp. (1) | 3,544 | 286,568 |
Innophos Holdings, Inc. | 1,613 | 76,779 |
Innospec, Inc. | 2,039 | 156,085 |
Intrepid Potash, Inc. (1) | 8,313 | 34,083 |
KMG Chemicals, Inc. | 1,244 | 91,782 |
Koppers Holdings, Inc. (1) | 1,811 | 69,452 |
Kraton Corp. (1) | 2,659 | 122,686 |
Kronos Worldwide, Inc. | 1,877 | 42,289 |
LSB Industries, Inc. (1) | 1,588 | 8,416 |
Marrone Bio Innovations, Inc. (1) | 4,928 | 9,068 |
Minerals Technologies, Inc. | 2,994 | 225,598 |
OMNOVA Solutions, Inc. (1) | 3,910 | 40,664 |
PolyOne Corp. | 6,798 | 293,810 |
PQ Group Holdings, Inc. (1) | 3,089 | 55,602 |
Quaker Chemical Corp. | 1,117 | 172,990 |
Rayonier Advanced Materials, Inc. | 4,190 | 71,607 |
Sensient Technologies Corp. | 3,523 | 252,071 |
Stepan Co. | 1,696 | 132,305 |
Trecora Resources (1) | 1,798 | 26,700 |
Tredegar Corp. | 2,145 | 50,408 |
Trinseo S.A. | 3,620 | 256,839 |
Tronox Ltd., Class A | 7,808 | 153,661 |
Valhi, Inc. | 1,474 | 7,016 |
3,888,166 | ||
Commercial Services & Supplies - 2.4% | ||
ABM Industries, Inc. | 5,683 | 165,830 |
ACCO Brands Corp. | 8,823 | 122,199 |
Advanced Disposal Services, Inc. (1) | 5,991 | 148,457 |
Brady Corp., Class A | 3,952 | 152,350 |
Brink's Co. (The) | 4,191 | 334,232 |
Casella Waste Systems, Inc., Class A (1) | 3,332 | 85,333 |
CECO Environmental Corp. | 2,281 | 14,005 |
Cimpress NV (1) | 1,851 | 268,321 |
CompX International, Inc. | 124 | 1,637 |
Covanta Holding Corp. | 9,669 | 159,539 |
Deluxe Corp. | 4,054 | 268,415 |
Ennis, Inc. | 2,271 | 46,215 |
Essendant, Inc. | 2,957 | 39,092 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Healthcare Services Group, Inc. (2) | 6,074 | 262,336 |
Heritage-Crystal Clean, Inc. (1) | 1,244 | 25,004 |
Herman Miller, Inc. | 5,172 | 175,331 |
HNI Corp. | 3,661 | 136,189 |
Interface, Inc. | 5,094 | 116,907 |
Kimball International, Inc., Class B | 2,797 | 45,200 |
Knoll, Inc. | 4,151 | 86,382 |
LSC Communications, Inc. | 2,936 | 45,978 |
Matthews International Corp., Class A | 2,488 | 146,294 |
McGrath RentCorp | 2,018 | 127,679 |
Mobile Mini, Inc. | 3,826 | 179,439 |
MSA Safety, Inc. | 2,816 | 271,293 |
Multi-Color Corp. | 1,200 | 77,580 |
NL Industries, Inc. (1) | 532 | 4,628 |
Pitney Bowes, Inc. | 15,446 | 132,372 |
Quad / Graphics, Inc. | 2,476 | 51,575 |
RR Donnelley & Sons Co. | 6,159 | 35,476 |
SP Plus Corp. (1) | 1,895 | 70,494 |
Steelcase, Inc., Class A | 7,435 | 100,373 |
Team, Inc. (1) | 2,411 | 55,694 |
Tetra Tech, Inc. | 4,620 | 270,270 |
UniFirst Corp. | 1,305 | 230,854 |
US Ecology, Inc. | 1,886 | 120,138 |
Viad Corp. | 1,775 | 96,294 |
VSE Corp. | 650 | 31,057 |
4,700,462 | ||
Communications Equipment - 1.6% | ||
Acacia Communications, Inc. (1)(2) | 2,413 | 83,997 |
ADTRAN, Inc. | 4,115 | 61,108 |
Aerohive Networks, Inc. (1) | 1,801 | 7,150 |
Applied Optoelectronics, Inc. (1)(2) | 1,515 | 68,023 |
CalAmp Corp. (1) | 3,105 | 72,750 |
Calix, Inc. (1) | 3,092 | 24,118 |
Casa Systems, Inc. (1) | 1,221 | 19,939 |
Ciena Corp. (1) | 12,039 | 319,154 |
Clearfield, Inc. (1) | 1,022 | 11,293 |
Comtech Telecommunications Corp. | 1,754 | 55,918 |
DASAN Zhone Solutions, Inc. (1) | 513 | 5,007 |
Digi International, Inc. (1) | 2,313 | 30,532 |
Extreme Networks, Inc. (1) | 9,584 | 76,289 |
Finisar Corp. (1)(2) | 9,795 | 176,310 |
Harmonic, Inc. (1) | 5,980 | 25,415 |
Infinera Corp. (1) | 13,303 | 132,099 |
InterDigital, Inc. | 2,993 | 242,134 |
KVH Industries, Inc. (1) | 1,491 | 19,979 |
Lumentum Holdings, Inc. (1)(2) | 5,196 | 300,848 |
18 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
NETGEAR, Inc. (1) | 2,672 | 167,000 |
NetScout Systems, Inc. (1) | 7,006 | 208,078 |
Oclaro, Inc. (1) | 14,542 | 129,860 |
Plantronics, Inc. | 2,716 | 207,095 |
Quantenna Communications, Inc. (1) | 2,962 | 46,029 |
Ribbon Communications, Inc. (1) | 4,404 | 31,356 |
ViaSat, Inc. (1)(2) | 4,556 | 299,420 |
Viavi Solutions, Inc. (1) | 19,339 | 198,031 |
3,018,932 | ||
Construction & Engineering - 1.0% | ||
Aegion Corp. (1) | 2,830 | 72,873 |
Ameresco, Inc., Class A (1) | 1,452 | 17,424 |
Argan, Inc. | 1,155 | 47,297 |
Comfort Systems USA, Inc. | 3,203 | 146,697 |
Dycom Industries, Inc. (1) | 2,549 | 240,906 |
EMCOR Group, Inc. | 4,838 | 368,559 |
Granite Construction, Inc. (2) | 3,793 | 211,118 |
Great Lakes Dredge & Dock Corp. (1) | 5,123 | 26,896 |
HC2 Holdings, Inc. (1)(2) | 3,578 | 20,931 |
IES Holdings, Inc. (1) | 610 | 10,218 |
Infrastructure and Energy Alternatives, Inc. (1)(2) | 1,410 | 13,127 |
KBR, Inc. | 11,969 | 214,484 |
MasTec, Inc. (1) | 5,283 | 268,112 |
MYR Group, Inc. (1) | 1,170 | 41,488 |
Northwest Pipe Co. (1) | 837 | 16,213 |
NV5 Global, Inc. (1) | 620 | 42,966 |
Orion Group Holdings, Inc. (1) | 2,350 | 19,411 |
Primoris Services Corp. | 3,477 | 94,679 |
Sterling Construction Co., Inc. (1) | 2,268 | 29,552 |
Tutor Perini Corp. (1) | 3,186 | 58,782 |
Willscot Corp. (1)(2) | 2,728 | 40,374 |
2,002,107 | ||
Construction Materials - 0.2% | ||
Forterra, Inc. (1) | 1,612 | 15,685 |
Summit Materials, Inc., Class A (1) | 9,531 | 250,189 |
United States Lime & Minerals, Inc. | 156 | 13,088 |
US Concrete, Inc. (1)(2) | 1,337 | 70,192 |
349,154 | ||
Consumer Finance - 0.7% | ||
Curo Group Holdings Corp. (1) | 654 | 16,317 |
Elevate Credit, Inc. (1)(2) | 1,265 | 10,702 |
Encore Capital Group, Inc. (1) | 2,107 | 77,116 |
Enova International, Inc. (1) | 2,903 | 106,105 |
EZCORP, Inc., Class A (1)(2) | 4,319 | 52,044 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 19
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
FirstCash, Inc. | 3,710 | 333,343 |
Green Dot Corp., Class A (1) | 4,013 | 294,514 |
LendingClub Corp. (1) | 26,066 | 98,790 |
Nelnet, Inc., Class A | 1,533 | 89,543 |
PRA Group, Inc. (1) | 3,720 | 143,406 |
Regional Management Corp. (1) | 935 | 32,744 |
World Acceptance Corp. (1) | 500 | 55,505 |
1,310,129 | ||
Containers & Packaging - 0.1% | ||
Greif, Inc., Class A | 2,211 | 116,940 |
Greif, Inc., Class B | 446 | 25,689 |
Myers Industries, Inc. | 2,705 | 51,936 |
UFP Technologies, Inc. (1) | 499 | 15,394 |
209,959 | ||
Distributors - 0.1% | ||
Core-Mark Holding Co., Inc. | 3,546 | 80,494 |
Funko, Inc., Class A (1) | 900 | 11,295 |
Weyco Group, Inc. | 562 | 20,457 |
112,246 | ||
Diversified Consumer Services - 0.8% | ||
Adtalem Global Education, Inc. (1) | 4,967 | 238,913 |
American Public Education, Inc. (1) | 1,323 | 55,698 |
Cambium Learning Group, Inc. (1) | 1,013 | 11,295 |
Capella Education Co. | 953 | 94,061 |
Career Education Corp. (1) | 5,930 | 95,888 |
Carriage Services, Inc. | 1,152 | 28,282 |
Chegg, Inc. (1)(2) | 8,873 | 246,581 |
Houghton Mifflin Harcourt Co. (1) | 9,080 | 69,462 |
K12, Inc. (1) | 3,081 | 50,436 |
Laureate Education, Inc., Class A (1) | 3,891 | 55,758 |
Regis Corp. (1) | 3,158 | 52,233 |
Sotheby's (1) | 3,109 | 168,943 |
Strayer Education, Inc. | 854 | 96,511 |
Weight Watchers International, Inc. (1) | 3,213 | 324,834 |
1,588,895 | ||
Diversified Financial Services - 0.2% | ||
Banco Latinoamericano de Comercio Exterior S.A. | 2,614 | 64,330 |
Cannae Holdings, Inc. (1) | 5,606 | 103,991 |
FGL Holdings (1) | 11,884 | 99,707 |
Marlin Business Services Corp. | 795 | 23,731 |
On Deck Capital, Inc. (1) | 3,739 | 26,173 |
317,932 | ||
20 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Diversified Telecommunication Services - 0.5% | ||
ATN International, Inc. | 816 | 43,060 |
Cincinnati Bell, Inc. (1) | 3,530 | 55,421 |
Cogent Communications Holdings, Inc. | 3,590 | 191,706 |
Consolidated Communications Holdings, Inc. (2) | 5,584 | 69,018 |
Frontier Communications Corp. (2) | 6,905 | 37,011 |
Hawaiian Telcom Holdco, Inc. (1) | 469 | 13,564 |
Intelsat S.A. (1) | 3,082 | 51,346 |
Iridium Communications, Inc. (1)(2) | 8,442 | 135,916 |
Ooma, Inc. (1) | 1,488 | 21,055 |
ORBCOMM, Inc. (1) | 5,583 | 56,388 |
pdvWireless, Inc. (1) | 1,002 | 25,000 |
Vonage Holdings Corp. (1) | 18,939 | 244,124 |
Windstream Holdings, Inc. (2) | 3,346 | 17,634 |
961,243 | ||
Electric Utilities - 0.9% | ||
ALLETE, Inc. | 4,295 | 332,476 |
El Paso Electric Co. | 3,234 | 191,129 |
IDACORP, Inc. | 4,125 | 380,490 |
MGE Energy, Inc. | 2,834 | 178,684 |
Otter Tail Corp. | 3,182 | 151,463 |
PNM Resources, Inc. | 6,412 | 249,427 |
Portland General Electric Co. | 7,322 | 313,089 |
Spark Energy, Inc., Class A (2) | 1,012 | 9,867 |
1,806,625 | ||
Electrical Equipment - 0.6% | ||
Allied Motion Technologies, Inc. | 482 | 23,078 |
Atkore International Group, Inc. (1) | 3,386 | 70,327 |
AZZ, Inc. | 2,237 | 97,198 |
Babcock & Wilcox Enterprises, Inc. (1) | 2,775 | 6,605 |
Encore Wire Corp. | 1,601 | 75,968 |
Energous Corp. (1) | 1,605 | 23,802 |
EnerSys | 3,559 | 265,644 |
Enphase Energy, Inc. (1) | 6,624 | 44,580 |
FuelCell Energy, Inc. (1)(2) | 8,365 | 11,042 |
Generac Holdings, Inc. (1) | 5,185 | 268,220 |
Plug Power, Inc. (1)(2) | 19,616 | 39,624 |
Powell Industries, Inc. | 811 | 28,247 |
Preformed Line Products Co. | 222 | 19,709 |
Sunrun, Inc. (1)(2) | 7,461 | 98,112 |
Thermon Group Holdings, Inc. (1) | 2,669 | 61,040 |
TPI Composites, Inc. (1) | 906 | 26,491 |
Vicor Corp. (1) | 1,422 | 61,928 |
Vivint Solar, Inc. (1)(2) | 1,800 | 8,910 |
1,230,525 | ||
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 21
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Electronic Equipment, Instruments & Components - 2.3% | ||
Anixter International, Inc. (1) | 2,505 | 158,566 |
AVX Corp. | 3,566 | 55,879 |
Badger Meter, Inc. | 2,464 | 110,141 |
Bel Fuse, Inc., Class B | 968 | 20,231 |
Belden, Inc. (2) | 3,395 | 207,502 |
Benchmark Electronics, Inc. | 3,994 | 116,425 |
Control4 Corp. (1) | 2,143 | 52,096 |
CTS Corp. | 2,562 | 92,232 |
Daktronics, Inc. | 2,960 | 25,190 |
Electro Scientific Industries, Inc. (1)(2) | 2,738 | 43,178 |
ePlus, Inc. (1) | 1,064 | 100,122 |
Fabrinet (1) | 3,011 | 111,076 |
FARO Technologies, Inc. (1) | 1,341 | 72,883 |
Fitbit, Inc., Class A (1) | 16,812 | 109,782 |
II-VI, Inc. (1) | 5,140 | 223,333 |
Insight Enterprises, Inc. (1) | 2,991 | 146,350 |
Iteris, Inc. (1) | 2,069 | 10,014 |
Itron, Inc. (1) | 2,889 | 173,484 |
KEMET Corp. (1) | 4,697 | 113,432 |
Kimball Electronics, Inc. (1) | 2,097 | 38,375 |
Knowles Corp. (1) | 7,626 | 116,678 |
Maxwell Technologies, Inc. (1)(2) | 2,454 | 12,761 |
Mesa Laboratories, Inc. (2) | 233 | 49,182 |
Methode Electronics, Inc. | 2,959 | 119,248 |
MTS Systems Corp. | 1,475 | 77,659 |
Napco Security Technologies, Inc. (1) | 1,045 | 15,309 |
nLight, Inc. (1) | 640 | 21,158 |
Novanta, Inc. (1) | 2,830 | 176,309 |
OSI Systems, Inc. (1) | 1,376 | 106,406 |
PAR Technology Corp. (1) | 873 | 15,435 |
Park Electrochemical Corp. | 1,804 | 41,835 |
PC Connection, Inc. | 756 | 25,099 |
Plexus Corp. (1) | 2,731 | 162,604 |
Rogers Corp. (1) | 1,584 | 176,553 |
Sanmina Corp. (1) | 5,713 | 167,391 |
ScanSource, Inc. (1) | 2,089 | 84,187 |
SYNNEX Corp. | 2,533 | 244,460 |
Tech Data Corp. (1) | 3,189 | 261,881 |
TTM Technologies, Inc. (1) | 8,112 | 143,015 |
VeriFone Systems, Inc. (1) | 9,355 | 213,481 |
Vishay Intertechnology, Inc. (2) | 11,320 | 262,624 |
Vishay Precision Group, Inc. (1) | 1,011 | 38,570 |
4,512,136 | ||
22 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Energy Equipment & Services - 1.8% | ||
Archrock, Inc. | 10,193 | 122,316 |
Basic Energy Services, Inc. (1) | 1,528 | 16,976 |
Bristow Group, Inc. (2) | 2,689 | 37,942 |
C&J Energy Services, Inc. (1) | 5,518 | 130,225 |
Cactus, Inc., Class A (1) | 2,224 | 75,149 |
CARBO Ceramics, Inc. (1)(2) | 1,515 | 13,893 |
Covia Holdings Corp. (1)(2) | 2,723 | 50,539 |
Dawson Geophysical Co. (1) | 1,845 | 14,576 |
Diamond Offshore Drilling, Inc. (1)(2) | 5,679 | 118,464 |
Dril-Quip, Inc. (1)(2) | 3,073 | 157,952 |
Era Group, Inc. (1) | 1,735 | 22,468 |
Exterran Corp. (1) | 2,624 | 65,705 |
Forum Energy Technologies, Inc. (1) | 6,985 | 86,265 |
Frank's International NV | 6,452 | 50,326 |
FTS International, Inc. (1) | 1,913 | 27,241 |
Gulfmark Offshore, Inc. (1) | 327 | 10,955 |
Helix Energy Solutions Group, Inc. (1) | 11,574 | 96,411 |
Independence Contract Drilling, Inc. (1) | 2,336 | 9,624 |
ION Geophysical Corp. (1) | 954 | 23,182 |
Keane Group, Inc. (1)(2) | 4,505 | 61,583 |
Key Energy Services, Inc. (1) | 906 | 14,713 |
Liberty Oilfield Services, Inc., Class A (1)(2) | 1,249 | 23,381 |
Mammoth Energy Services, Inc. (1) | 734 | 24,927 |
Matrix Service Co. (1) | 2,252 | 41,324 |
McDermott International, Inc. (1)(2) | 15,081 | 296,342 |
Natural Gas Services Group, Inc. (1) | 1,066 | 25,158 |
NCS Multistage Holdings, Inc. (1)(2) | 969 | 14,080 |
Newpark Resources, Inc. (1) | 7,671 | 83,230 |
Nine Energy Service, Inc. (1) | 686 | 22,720 |
Noble Corp. plc (1)(2) | 21,442 | 135,728 |
Nuverra Environmental Solutions, Inc. (1) | 99 | 1,188 |
Ocean Rig UDW, Inc., Class A (1) | 4,704 | 138,674 |
Oceaneering International, Inc. | 7,995 | 203,553 |
Oil States International, Inc. (1) | 5,061 | 162,458 |
PHI, Inc. (1) | 1,085 | 11,034 |
Pioneer Energy Services Corp. (1) | 5,200 | 30,420 |
Profire Energy, Inc. (1) | 2,116 | 7,152 |
ProPetro Holding Corp. (1) | 5,771 | 90,489 |
Quintana Energy Services, Inc. (1) | 520 | 4,404 |
RigNet, Inc. (1) | 1,109 | 11,423 |
Rowan Companies plc, Class A (1) | 11,080 | 179,718 |
SEACOR Holdings, Inc. (1) | 1,397 | 80,006 |
SEACOR Marine Holdings, Inc. (1) | 1,248 | 28,816 |
Select Energy Services, Inc., Class A (1) | 3,794 | 55,127 |
Smart Sand, Inc. (1)(2) | 1,879 | 9,977 |
Solaris Oilfield Infrastructure, Inc., Class A (1)(2) | 2,541 | 36,311 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 23
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Superior Energy Services, Inc. (1) | 13,369 | 130,214 |
TETRA Technologies, Inc. (1) | 9,415 | 41,897 |
Tidewater, Inc. (1)(2) | 2,062 | 59,654 |
Unit Corp. (1) | 4,371 | 111,723 |
US Silica Holdings, Inc. (2) | 6,531 | 167,781 |
3,435,414 | ||
Equity Real Estate Investment Trusts (REITs) - 6.4% | ||
Acadia Realty Trust | 6,593 | 180,450 |
Agree Realty Corp. | 2,536 | 133,825 |
Alexander & Baldwin, Inc. | 5,720 | 134,420 |
Alexander's, Inc. | 184 | 70,404 |
American Assets Trust, Inc. | 3,378 | 129,344 |
Americold Realty Trust | 4,445 | 97,879 |
Armada Hoffler Properties, Inc. | 3,925 | 58,482 |
Ashford Hospitality Trust, Inc. | 6,276 | 50,836 |
Bluerock Residential Growth REIT, Inc. (2) | 1,454 | 12,970 |
Braemar Hotels & Resorts, Inc. | 2,002 | 22,863 |
BRT Apartments Corp. | 682 | 8,696 |
CareTrust REIT, Inc. (2) | 6,329 | 105,631 |
CatchMark Timber Trust, Inc., Class A | 3,692 | 46,999 |
CBL & Associates Properties, Inc. (2) | 14,116 | 78,626 |
Cedar Realty Trust, Inc. | 7,099 | 33,507 |
Chatham Lodging Trust | 3,800 | 80,636 |
Chesapeake Lodging Trust | 5,134 | 162,440 |
City Office REIT, Inc. | 2,990 | 38,362 |
Clipper Realty, Inc. (2) | 1,313 | 11,213 |
Community Healthcare Trust, Inc. (2) | 1,465 | 43,760 |
CoreCivic, Inc. | 9,800 | 234,122 |
CorEnergy Infrastructure Trust, Inc. (2) | 821 | 30,870 |
CorePoint Lodging, Inc. (1) | 3,663 | 94,872 |
Cousins Properties, Inc. | 35,581 | 344,780 |
DiamondRock Hospitality Co. | 16,505 | 202,681 |
Easterly Government Properties, Inc. | 3,658 | 72,282 |
EastGroup Properties, Inc. | 2,915 | 278,557 |
Education Realty Trust, Inc. | 6,349 | 263,483 |
Farmland Partners, Inc. (2) | 2,798 | 24,622 |
First Industrial Realty Trust, Inc. | 10,407 | 346,969 |
Four Corners Property Trust, Inc. | 5,219 | 128,544 |
Franklin Street Properties Corp. (2) | 9,022 | 77,228 |
Front Yard Residential Corp. (2) | 4,415 | 46,004 |
GEO Group, Inc. (The) | 10,121 | 278,732 |
Getty Realty Corp. | 2,646 | 74,538 |
Gladstone Commercial Corp. | 2,047 | 39,343 |
Gladstone Land Corp. | 1,115 | 14,127 |
Global Medical REIT, Inc. | 1,307 | 11,580 |
Global Net Lease, Inc. (2) | 5,678 | 116,002 |
24 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Government Properties Income Trust (2) | 8,106 | 128,480 |
Gramercy Property Trust | 13,370 | 365,268 |
Healthcare Realty Trust, Inc. | 10,336 | 300,571 |
Hersha Hospitality Trust | 3,227 | 69,219 |
Independence Realty Trust, Inc. | 7,263 | 74,882 |
Industrial Logistics Properties Trust | 1,706 | 38,129 |
InfraREIT, Inc. | 3,727 | 82,628 |
Innovative Industrial Properties, Inc. (2) | 554 | 20,287 |
Investors Real Estate Trust | 9,894 | 54,714 |
iStar, Inc. (1)(2) | 5,663 | 61,104 |
Jernigan Capital, Inc. (2) | 813 | 15,496 |
Kite Realty Group Trust | 6,589 | 112,540 |
LaSalle Hotel Properties | 9,241 | 316,319 |
Lexington Realty Trust | 17,733 | 154,809 |
LTC Properties, Inc. | 3,456 | 147,709 |
Mack-Cali Realty Corp. | 7,712 | 156,399 |
MedEquities Realty Trust, Inc. | 2,516 | 27,726 |
Monmouth Real Estate Investment Corp. | 6,275 | 103,726 |
National Health Investors, Inc. | 3,368 | 248,154 |
National Storage Affiliates Trust (2) | 4,252 | 131,047 |
New Senior Investment Group, Inc. | 7,208 | 54,565 |
NexPoint Residential Trust, Inc. | 1,463 | 41,622 |
NorthStar Realty Europe Corp. | 3,827 | 55,453 |
One Liberty Properties, Inc. | 1,012 | 26,727 |
Pebblebrook Hotel Trust (2) | 5,696 | 221,005 |
Pennsylvania Real Estate Investment Trust (2) | 5,900 | 64,841 |
Physicians Realty Trust | 14,836 | 236,486 |
Piedmont Office Realty Trust, Inc. Class A | 10,600 | 211,258 |
PotlatchDeltic Corp. | 5,241 | 266,505 |
Preferred Apartment Communities, Inc., Class A | 2,767 | 47,011 |
PS Business Parks, Inc. | 1,703 | 218,835 |
QTS Realty Trust, Inc., Class A | 4,209 | 166,255 |
Quality Care Properties, Inc. (1) | 8,301 | 178,555 |
Ramco-Gershenson Properties Trust (2) | 6,804 | 89,881 |
Retail Opportunity Investments Corp. (2) | 9,292 | 178,035 |
Rexford Industrial Realty, Inc. | 6,529 | 204,945 |
RLJ Lodging Trust | 14,536 | 320,519 |
Ryman Hospitality Properties, Inc. | 3,736 | 310,648 |
Sabra Health Care REIT, Inc. (2) | 14,986 | 325,646 |
Safety Income & Growth, Inc. | 882 | 16,732 |
Saul Centers, Inc. | 978 | 52,401 |
Select Income REIT | 5,478 | 123,091 |
Seritage Growth Properties REIT, Class A (2) | 2,736 | 116,088 |
Spirit MTA REIT (1) | 3,524 | 36,297 |
STAG Industrial, Inc. | 7,846 | 213,647 |
Summit Hotel Properties, Inc. | 8,982 | 128,532 |
Sunstone Hotel Investors, Inc. | 18,394 | 305,708 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 25
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Tanger Factory Outlet Centers, Inc. (2) | 7,419 | 174,272 |
Terreno Realty Corp. | 4,565 | 171,964 |
Tier REIT, Inc. | 4,188 | 99,591 |
UMH Properties, Inc. | 2,445 | 37,531 |
Universal Health Realty Income Trust | 1,113 | 71,210 |
Urban Edge Properties | 8,983 | 205,441 |
Urstadt Biddle Properties, Inc., Class A | 2,285 | 51,710 |
Washington Prime Group, Inc. (2) | 16,051 | 130,174 |
Washington Real Estate Investment Trust | 6,781 | 205,668 |
Whitestone REIT | 3,231 | 40,323 |
Xenia Hotels & Resorts, Inc. | 8,753 | 213,223 |
12,402,281 | ||
Food & Staples Retailing - 0.6% | ||
Andersons, Inc. (The) | 2,192 | 74,966 |
Chefs' Warehouse, Inc. (The) (1) | 1,833 | 52,240 |
Ingles Markets, Inc., Class A | 1,087 | 34,567 |
Natural Grocers by Vitamin Cottage, Inc. (1) | 875 | 11,148 |
Performance Food Group Co. (1) | 8,343 | 306,188 |
PriceSmart, Inc. (2) | 1,788 | 161,814 |
Rite Aid Corp. (1)(2) | 87,000 | 150,510 |
Smart & Final Stores, Inc. (1) | 1,874 | 10,401 |
SpartanNash Co. | 3,190 | 81,409 |
SUPERVALU, Inc. (1)(2) | 3,281 | 67,326 |
United Natural Foods, Inc. (1) | 4,050 | 172,773 |
Village Super Market, Inc., Class A | 640 | 18,854 |
Weis Markets, Inc. | 747 | 39,845 |
1,182,041 | ||
Food Products - 1.0% | ||
Alico, Inc. | 267 | 8,464 |
B&G Foods, Inc. (2) | 5,223 | 156,168 |
Cal-Maine Foods, Inc. (1) | 2,448 | 112,241 |
Calavo Growers, Inc. (2) | 1,337 | 128,553 |
Darling Ingredients, Inc. (1) | 13,576 | 269,891 |
Dean Foods Co. | 7,914 | 83,176 |
Farmer Bros Co. (1) | 847 | 25,876 |
Fresh Del Monte Produce, Inc. | 2,531 | 112,756 |
Freshpet, Inc. (1)(2) | 2,152 | 59,072 |
Hostess Brands, Inc. (1) | 8,294 | 112,798 |
J&J Snack Foods Corp. | 1,240 | 189,063 |
John B. Sanfilippo & Son, Inc. | 716 | 53,306 |
Lancaster Colony Corp. | 1,622 | 224,517 |
Landec Corp. (1) | 2,282 | 34,002 |
Limoneira Co. | 753 | 18,531 |
Sanderson Farms, Inc. | 1,728 | 181,699 |
Seneca Foods Corp., Class A (1) | 594 | 16,038 |
26 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Simply Good Foods Co. (The) (1) | 5,116 | 73,875 |
Tootsie Roll Industries, Inc. (2) | 1,569 | 48,404 |
1,908,430 | ||
Gas Utilities - 1.1% | ||
Chesapeake Utilities Corp. | 1,388 | 110,971 |
New Jersey Resources Corp. | 7,271 | 325,377 |
Northwest Natural Gas Co. | 2,294 | 146,357 |
ONE Gas, Inc. | 4,345 | 324,745 |
RGC Resources, Inc. | 587 | 17,129 |
South Jersey Industries, Inc. (2) | 6,899 | 230,909 |
Southwest Gas Holdings, Inc. | 4,026 | 307,063 |
Spire, Inc. | 4,040 | 285,426 |
WGL Holdings, Inc. | 4,361 | 387,039 |
2,135,016 | ||
Health Care Equipment & Supplies - 3.3% | ||
Abaxis, Inc. | 1,894 | 157,221 |
Accuray, Inc. (1) | 6,420 | 26,322 |
AngioDynamics, Inc. (1) | 3,206 | 71,302 |
Anika Therapeutics, Inc. (1) | 1,202 | 38,464 |
Antares Pharma, Inc. (1)(2) | 12,612 | 32,539 |
AtriCure, Inc. (1)(2) | 2,794 | 75,578 |
Atrion Corp. | 110 | 65,934 |
Avanos Medical, Inc. (1) | 4,043 | 231,462 |
AxoGen, Inc. (1)(2) | 2,668 | 134,067 |
Cardiovascular Systems, Inc. (1) | 2,803 | 90,649 |
Cerus Corp. (1) | 10,738 | 71,623 |
CONMED Corp. | 2,086 | 152,695 |
CryoLife, Inc. (1) | 3,149 | 87,700 |
CryoPort, Inc. (1)(2) | 2,090 | 32,980 |
Cutera, Inc. (1) | 1,118 | 45,055 |
CytoSorbents Corp. (1) | 2,668 | 30,415 |
Endologix, Inc. (1)(2) | 7,000 | 39,620 |
FONAR Corp. (1) | 535 | 14,204 |
GenMark Diagnostics, Inc. (1)(2) | 3,729 | 23,791 |
Glaukos Corp. (1)(2) | 2,924 | 118,831 |
Globus Medical, Inc., Class A (1) | 6,051 | 305,334 |
Haemonetics Corp. (1) | 4,382 | 392,978 |
Helius Medical Technologies, Inc. (1)(2) | 1,518 | 14,451 |
Heska Corp. (1) | 514 | 53,348 |
Inogen, Inc. (1) | 1,440 | 268,315 |
Integer Holdings Corp. (1) | 2,583 | 166,991 |
IntriCon Corp. (1) | 564 | 22,729 |
Invacare Corp. (2) | 2,498 | 46,463 |
iRadimed Corp. (1) | 282 | 5,852 |
iRhythm Technologies, Inc. (1) | 1,981 | 160,719 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 27
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
K2M Group Holdings, Inc. (1) | 3,561 | 80,123 | |
Lantheus Holdings, Inc. (1) | 3,109 | 45,236 | |
LeMaitre Vascular, Inc. | 1,302 | 43,591 | |
LivaNova plc (1) | 4,059 | 405,169 | |
Meridian Bioscience, Inc. | 3,556 | 56,540 | |
Merit Medical Systems, Inc. (1) | 4,093 | 209,562 | |
Natus Medical, Inc. (1) | 2,809 | 96,911 | |
Neogen Corp. (1) | 4,194 | 336,317 | |
Nevro Corp. (1)(2) | 2,432 | 194,195 | |
Novocure Ltd. (1) | 6,033 | 188,833 | |
NuVasive, Inc. (1) | 4,291 | 223,647 | |
Nuvectra Corp. (1) | 1,129 | 23,178 | |
NxStage Medical, Inc. (1) | 5,498 | 153,394 | |
OraSure Technologies, Inc. (1) | 4,811 | 79,237 | |
Orthofix International NV (1) | 1,448 | 82,275 | |
OrthoPediatrics Corp. (1) | 400 | 10,656 | |
Oxford Immunotec Global plc (1) | 1,917 | 24,710 | |
Pulse Biosciences, Inc. (1)(2) | 800 | 12,112 | |
Quidel Corp. (1) | 2,752 | 183,008 | |
Rockwell Medical, Inc. (1)(2) | 3,471 | 17,112 | |
RTI Surgical, Inc. (1) | 4,427 | 20,364 | |
SeaSpine Holdings Corp. (1) | 1,048 | 13,226 | |
Senseonics Holdings, Inc. (1) | 4,740 | 19,481 | |
Sientra, Inc. (1)(2) | 2,102 | 41,010 | |
STAAR Surgical Co. (1) | 3,235 | 100,285 | |
SurModics, Inc. (1) | 1,145 | 63,204 | |
Tactile Systems Technology, Inc. (1)(2) | 1,512 | 78,624 | |
Tandem Diabetes Care, Inc. (1) | 3,661 | 80,615 | |
TransEnterix, Inc. (1)(2) | 12,517 | 54,574 | |
Utah Medical Products, Inc. | 296 | 32,604 | |
Varex Imaging Corp. (1) | 3,308 | 122,694 | |
ViewRay, Inc. (1)(2) | 4,356 | 30,144 | |
Wright Medical Group NV (1)(2) | 8,840 | 229,486 | |
6,329,749 | |||
Health Care Providers & Services - 1.8% | |||
AAC Holdings, Inc. (1)(2) | 500 | 4,685 | |
Addus HomeCare Corp. (1) | 636 | 36,411 | |
Amedisys, Inc. (1) | 2,281 | 194,934 | |
American Renal Associates Holdings, Inc. (1) | 680 | 10,724 | |
AMN Healthcare Services, Inc. (1)(2) | 3,800 | 222,680 | |
Apollo Medical Holdings, Inc. (1)(2) | 2,066 | 53,427 | |
BioScrip, Inc. (1) | 9,711 | 28,453 | |
BioTelemetry, Inc. (1)(2) | 2,654 | 119,430 | |
Brookdale Senior Living, Inc. (1) | 15,634 | 142,113 | |
Capital Senior Living Corp. (1) | 2,506 | 26,739 | |
Civitas Solutions, Inc. (1) | 1,020 | 16,728 |
28 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Community Health Systems, Inc. (1)(2) | 8,353 | 27,732 | |
CorVel Corp. (1) | 831 | 44,874 | |
Cross Country Healthcare, Inc. (1) | 2,877 | 32,366 | |
Diplomat Pharmacy, Inc. (1)(2) | 4,672 | 119,416 | |
Ensign Group, Inc. (The) | 3,978 | 142,492 | |
Genesis Healthcare, Inc. (1)(2) | 2,829 | 6,479 | |
HealthEquity, Inc. (1)(2) | 4,563 | 342,681 | |
Kindred Healthcare, Inc. (1) | 7,278 | 65,502 | |
LHC Group, Inc. (1) | 2,515 | 215,259 | |
LifePoint Health, Inc. (1) | 3,048 | 148,742 | |
Magellan Health, Inc. (1) | 1,968 | 188,830 | |
National HealthCare Corp. | 985 | 69,324 | |
National Research Corp., Class A | 681 | 25,469 | |
Owens & Minor, Inc. (2) | 5,393 | 90,117 | |
Patterson Cos., Inc. | 6,599 | 149,599 | |
PetIQ, Inc. (1)(2) | 618 | 16,600 | |
Providence Service Corp. (The) (1) | 931 | 73,130 | |
Quorum Health Corp. (1) | 2,427 | 12,135 | |
R1 RCM, Inc. (1) | 8,804 | 76,419 | |
RadNet, Inc. (1) | 2,930 | 43,950 | |
Select Medical Holdings Corp. (1) | 9,219 | 167,325 | |
Surgery Partners, Inc. (1) | 1,656 | 24,674 | |
Tenet Healthcare Corp. (1) | 6,799 | 228,243 | |
Tivity Health, Inc. (1) | 3,207 | 112,886 | |
Triple-S Management Corp., Class B (1) | 1,643 | 64,176 | |
US Physical Therapy, Inc. | 1,039 | 99,744 | |
3,444,488 | |||
Health Care Technology - 1.0% | |||
Allscripts Healthcare Solutions, Inc. (1) | 14,810 | 177,720 | |
Castlight Health, Inc., Class B (1)(2) | 5,617 | 23,872 | |
Computer Programs & Systems, Inc. | 938 | 30,860 | |
Cotiviti Holdings, Inc. (1) | 3,292 | 145,276 | |
Evolent Health, Inc., Class A (1)(2) | 5,757 | 121,185 | |
HealthStream, Inc. | 2,005 | 54,757 | |
HMS Holdings Corp. (1) | 7,279 | 157,372 | |
Inovalon Holdings, Inc., Class A (1)(2) | 5,504 | 54,627 | |
Inspire Medical Systems, Inc. (1)(2) | 611 | 21,788 | |
Medidata Solutions, Inc. (1)(2) | 4,744 | 382,177 | |
NantHealth, Inc. (1)(2) | 548 | 1,814 | |
Omnicell, Inc. (1) | 3,074 | 161,231 | |
Quality Systems, Inc. (1) | 4,587 | 89,447 | |
Simulations Plus, Inc. | 960 | 21,360 | |
Tabula Rasa HealthCare, Inc. (1) | 1,412 | 90,128 | |
Teladoc, Inc. (1) | 5,142 | 298,493 | |
Vocera Communications, Inc. (1) | 2,455 | 73,380 | |
1,905,487 | |||
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 29
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Hotels, Restaurants & Leisure - 2.9% | |||
BBX Capital Corp. | 5,432 | 49,051 | |
Belmond Ltd., Class A (1) | 7,856 | 87,594 | |
Biglari Holdings, Inc., Class A (1) | 8 | 7,600 | |
Biglari Holdings, Inc., Class B (1) | 80 | 14,679 | |
BJ's Restaurants, Inc. | 1,671 | 100,260 | |
Bloomin' Brands, Inc. | 6,931 | 139,313 | |
Bluegreen Vacations Corp. (2) | 637 | 15,161 | |
Bojangles', Inc. (1) | 1,522 | 21,917 | |
Boyd Gaming Corp. | 6,857 | 237,664 | |
Brinker International, Inc. (2) | 3,601 | 171,408 | |
Carrols Restaurant Group, Inc. (1) | 3,096 | 45,976 | |
Century Casinos, Inc. (1) | 1,662 | 14,542 | |
Cheesecake Factory, Inc. (The) | 3,461 | 190,563 | |
Churchill Downs, Inc. | 989 | 293,238 | |
Chuy's Holdings, Inc. (1) | 1,271 | 39,020 | |
Cracker Barrel Old Country Store, Inc. (2) | 1,658 | 258,996 | |
Dave & Buster's Entertainment, Inc. (1)(2) | 3,322 | 158,127 | |
Del Frisco's Restaurant Group, Inc. (1) | 2,117 | 26,674 | |
Del Taco Restaurants, Inc. (1) | 2,895 | 41,051 | |
Denny's Corp. (1) | 4,997 | 79,602 | |
Dine Brands Global, Inc. (2) | 1,363 | 101,952 | |
Drive Shack, Inc. (1) | 5,300 | 40,916 | |
El Pollo Loco Holdings, Inc. (1) | 1,580 | 18,012 | |
Eldorado Resorts, Inc. (1)(2) | 5,343 | 208,911 | |
Empire Resorts, Inc. (1)(2) | 270 | 5,346 | |
Fiesta Restaurant Group, Inc. (1) | 2,070 | 59,409 | |
Golden Entertainment, Inc. (1)(2) | 1,501 | 40,512 | |
Habit Restaurants, Inc., (The), Class A (1) | 1,773 | 17,730 | |
ILG, Inc. | 8,987 | 296,841 | |
International Speedway Corp., Class A | 2,154 | 96,284 | |
J. Alexander's Holdings, Inc. (1) | 1,066 | 11,886 | |
Jack in the Box, Inc. | 2,506 | 213,311 | |
Lindblad Expeditions Holdings, Inc. (1) | 1,147 | 15,198 | |
Marriott Vacations Worldwide Corp. (2) | 1,830 | 206,717 | |
Monarch Casino & Resort, Inc. (1) | 917 | 40,394 | |
Nathan's Famous, Inc. | 237 | 22,302 | |
Noodles & Co. (1)(2) | 970 | 11,931 | |
Papa John's International, Inc. (2) | 1,738 | 88,151 | |
Penn National Gaming, Inc. (1) | 7,133 | 239,597 | |
Pinnacle Entertainment, Inc. (1) | 4,276 | 144,229 | |
Planet Fitness, Inc., Class A (1) | 7,399 | 325,112 | |
PlayAGS, Inc. (1) | 1,366 | 36,978 | |
Potbelly Corp. (1) | 1,684 | 21,808 | |
RCI Hospitality Holdings, Inc. | 797 | 25,225 | |
Red Lion Hotels Corp. (1) | 1,106 | 12,885 | |
Red Robin Gourmet Burgers, Inc. (1)(2) | 1,090 | 50,794 |
30 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Red Rock Resorts, Inc., Class A | 5,966 | 199,861 | |
Ruth's Hospitality Group, Inc. | 2,317 | 64,992 | |
Scientific Games Corp., Class A (1) | 4,584 | 225,304 | |
SeaWorld Entertainment, Inc. (1) | 4,345 | 94,808 | |
Shake Shack, Inc., Class A (1)(2) | 1,927 | 127,529 | |
Sonic Corp. (2) | 2,851 | 98,131 | |
Speedway Motorsports, Inc. | 1,049 | 18,211 | |
Texas Roadhouse, Inc. | 5,653 | 370,328 | |
Town Sports International Holdings, Inc. (1) | 1,228 | 17,867 | |
Wingstop, Inc. | 2,551 | 132,958 | |
Zoe's Kitchen, Inc. (1)(2) | 1,491 | 14,552 | |
5,709,408 | |||
Household Durables - 1.5% | |||
AV Homes, Inc. (1) | 824 | 17,634 | |
Bassett Furniture Industries, Inc. | 830 | 22,867 | |
Beazer Homes USA, Inc. (1) | 2,686 | 39,618 | |
Cavco Industries, Inc. (1) | 750 | 155,737 | |
Century Communities, Inc. (1) | 2,337 | 73,732 | |
Ethan Allen Interiors, Inc. | 1,924 | 47,138 | |
Flexsteel Industries, Inc. | 560 | 22,344 | |
GoPro, Inc., Class A (1)(2) | 8,727 | 56,202 | |
Green Brick Partners, Inc. (1) | 1,909 | 18,708 | |
Hamilton Beach Brands Holding Co., Class A | 584 | 16,965 | |
Helen of Troy Ltd. (1) | 2,231 | 219,642 | |
Hooker Furniture Corp. | 834 | 39,115 | |
Hovnanian Enterprises, Inc., Class A (1) | 9,758 | 15,906 | |
Installed Building Products, Inc. (1) | 1,894 | 107,106 | |
iRobot Corp. (1) | 2,319 | 175,711 | |
KB Home | 7,206 | 196,291 | |
La-Z-Boy, Inc. | 3,892 | 119,095 | |
LGI Homes, Inc. (1)(2) | 1,518 | 87,634 | |
Lifetime Brands, Inc. | 858 | 10,854 | |
M/I Homes, Inc. (1) | 2,260 | 59,845 | |
MDC Holdings, Inc. | 3,875 | 119,234 | |
Meritage Homes Corp. (1) | 3,303 | 145,167 | |
New Home Co., Inc. (The) (1) | 775 | 7,727 | |
PICO Holdings, Inc. | 1,974 | 22,997 | |
Purple Innovation, Inc. (1) | 356 | 3,026 | |
Roku, Inc. (1)(2) | 3,600 | 153,432 | |
Skyline Champion Corp. (2) | 611 | 21,409 | |
Taylor Morrison Home Corp., Class A (1) | 9,400 | 195,332 | |
TopBuild Corp. (1) | 3,024 | 236,900 | |
TRI Pointe Group, Inc. (1) | 12,765 | 208,835 | |
Tupperware Brands Corp. | 4,279 | 176,466 | |
Turtle Beach Corp. (1) | 694 | 14,102 | |
Universal Electronics, Inc. (1) | 1,223 | 40,420 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 31
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Vuzix Corp. (1)(2) | 2,084 | 15,526 | |
William Lyon Homes, Class A (1) | 2,707 | 62,802 | |
ZAGG, Inc. (1) | 2,279 | 39,427 | |
2,964,946 | |||
Household Products - 0.2% | |||
Central Garden & Pet Co. (1) | 789 | 34,306 | |
Central Garden & Pet Co., Class A (1) | 3,098 | 125,376 | |
HRG Group, Inc. (1) | 10,248 | 134,146 | |
Oil-Dri Corp. of America | 406 | 17,109 | |
WD-40 Co. (2) | 1,138 | 166,432 | |
477,369 | |||
Independent Power and Renewable Electricity Producers - 0.3% | |||
Atlantic Power Corp. (1) | 10,236 | 22,519 | |
NRG Yield, Inc., Class A | 2,663 | 45,404 | |
NRG Yield, Inc., Class C | 5,481 | 94,273 | |
Ormat Technologies, Inc. | 3,359 | 178,665 | |
Pattern Energy Group, Inc. (2) | 6,822 | 127,913 | |
TerraForm Power, Inc., Class A | 6,070 | 71,019 | |
539,793 | |||
Industrial Conglomerates - 0.1% | |||
Raven Industries, Inc. | 3,174 | 122,040 | |
Insurance - 2.5% | |||
Ambac Financial Group, Inc. (1) | 3,798 | 75,390 | |
American Equity Investment Life Holding Co. | 7,661 | 275,796 | |
AMERISAFE, Inc. | 1,636 | 94,479 | |
Amtrust Financial Services, Inc. | 9,274 | 135,122 | |
Argo Group International Holdings Ltd. | 2,702 | 157,121 | |
Baldwin & Lyons, Inc., Class B | 853 | 20,813 | |
Citizens, Inc. (1)(2) | 3,380 | 26,330 | |
CNO Financial Group, Inc. | 13,937 | 265,360 | |
Crawford & Co., Class B | 933 | 8,070 | |
Donegal Group, Inc., Class A | 916 | 12,467 | |
eHealth, Inc. (1) | 1,593 | 35,205 | |
EMC Insurance Group, Inc. | 745 | 20,696 | |
Employers Holdings, Inc. | 2,669 | 107,294 | |
Enstar Group Ltd. (1) | 983 | 203,776 | |
FBL Financial Group, Inc., Class A | 766 | 60,323 | |
FedNat Holding Co. | 1,014 | 23,393 | |
Genworth Financial, Inc., Class A (1) | 43,475 | 195,638 | |
Global Indemnity Ltd. | 810 | 31,574 | |
Goosehead Insurance, Inc., Class A (1)(2) | 744 | 18,570 | |
Greenlight Capital Re Ltd., Class A (1) | 2,647 | 37,587 | |
Hallmark Financial Services, Inc. (1) | 1,205 | 12,026 |
32 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
HCI Group, Inc. | 801 | 33,298 | |
Health Insurance Innovations, Inc., Class A (1) | 983 | 31,800 | |
Heritage Insurance Holdings, Inc. (2) | 1,906 | 31,773 | |
Horace Mann Educators Corp. | 3,502 | 156,189 | |
Independence Holding Co. | 394 | 13,101 | |
Infinity Property & Casualty Corp. | 885 | 125,980 | |
Investors Title Co. | 111 | 20,497 | |
James River Group Holdings Ltd. | 2,155 | 84,670 | |
Kemper Corp. | 3,272 | 247,527 | |
Kingstone Cos., Inc. | 796 | 13,452 | |
Kinsale Capital Group, Inc. | 1,696 | 93,043 | |
Maiden Holdings Ltd. | 5,756 | 44,609 | |
MBIA, Inc. (1) | 8,169 | 73,848 | |
National General Holdings Corp. | 5,186 | 136,547 | |
National Western Life Group, Inc., Class A | 193 | 59,301 | |
Navigators Group, Inc. (The) | 1,783 | 101,631 | |
NI Holdings, Inc. (1) | 903 | 15,306 | |
Primerica, Inc. | 3,713 | 369,815 | |
ProAssurance Corp. | 4,618 | 163,708 | |
RLI Corp. | 3,285 | 217,434 | |
Safety Insurance Group, Inc. | 1,242 | 106,067 | |
Selective Insurance Group, Inc. | 4,910 | 270,050 | |
State Auto Financial Corp. | 1,338 | 40,020 | |
Stewart Information Services Corp. | 1,974 | 85,020 | |
Third Point Reinsurance Ltd. (1) | 7,030 | 87,875 | |
Tiptree, Inc., Class A | 2,311 | 15,715 | |
Trupanion, Inc. (1) | 1,971 | 76,081 | |
United Fire Group, Inc. | 1,866 | 101,716 | |
United Insurance Holdings Corp. | 1,483 | 29,037 | |
Universal Insurance Holdings, Inc. | 2,530 | 88,803 | |
WMIH Corp. (1) | 15,822 | 21,201 | |
4,772,144 | |||
Internet & Direct Marketing Retail - 0.5% | |||
1-800-Flowers.com, Inc., Class A (1) | 2,081 | 26,117 | |
Duluth Holdings, Inc., Class B (1) | 634 | 15,083 | |
Gaia, Inc. (1)(2) | 1,050 | 21,262 | |
Groupon, Inc. (1)(2) | 38,827 | 166,956 | |
Lands' End, Inc. (1) | 879 | 24,524 | |
Liberty Expedia Holdings, Inc., Class A (1) | 4,550 | 199,927 | |
Liberty TripAdvisor Holdings, Inc., Class A (1) | 6,271 | 100,963 | |
Nutrisystem, Inc. (2) | 2,608 | 100,408 | |
Overstock.com, Inc. (1)(2) | 1,867 | 62,824 | |
PetMed Express, Inc. (2) | 1,778 | 78,321 | |
Shutterfly, Inc. (1) | 2,825 | 254,335 | |
1,050,720 | |||
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 33
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Internet Software & Services - 3.3% | |||
Alarm.com Holdings, Inc. (1) | 2,570 | 103,777 | |
Alteryx, Inc., Class A (1)(2) | 2,420 | 92,347 | |
Amber Road, Inc. (1) | 1,500 | 14,115 | |
Appfolio, Inc., Class A (1) | 1,254 | 76,682 | |
Apptio, Inc., Class A (1)(2) | 2,790 | 100,998 | |
Benefitfocus, Inc. (1)(2) | 1,395 | 46,872 | |
Blucora, Inc. (1) | 3,911 | 144,707 | |
Box, Inc., Class A (1) | 10,333 | 258,222 | |
Brightcove, Inc. (1) | 2,425 | 23,401 | |
Carbonite, Inc. (1) | 2,169 | 75,698 | |
Cardlytics, Inc. (1)(2) | 460 | 10,010 | |
Care.com, Inc. (1) | 1,247 | 26,037 | |
Cargurus, Inc. (1) | 4,086 | 141,948 | |
Cars.com, Inc. (1) | 6,321 | 179,453 | |
ChannelAdvisor Corp. (1) | 1,855 | 26,063 | |
Cision Ltd. (1) | 3,270 | 48,887 | |
Cloudera, Inc. (1)(2) | 8,271 | 112,816 | |
Cornerstone OnDemand, Inc. (1) | 4,572 | 216,850 | |
Coupa Software, Inc. (1) | 4,409 | 274,416 | |
eGain Corp. (1) | 1,491 | 22,514 | |
Endurance International Group Holdings, Inc. (1) | 5,998 | 59,680 | |
Envestnet, Inc. (1) | 3,782 | 207,821 | |
Etsy, Inc. (1) | 9,759 | 411,732 | |
Five9, Inc. (1)(2) | 4,576 | 158,192 | |
Fusion Connect, Inc. (1)(2) | 1,892 | 7,454 | |
Gogo, Inc. (1)(2) | 5,004 | 24,319 | |
GTT Communications, Inc. (1)(2) | 3,054 | 137,430 | |
Hortonworks, Inc. (1) | 5,771 | 105,148 | |
Instructure, Inc. (1) | 2,633 | 112,034 | |
Internap Corp. (1)(2) | 1,753 | 18,266 | |
j2 Global, Inc. | 3,965 | 343,409 | |
Leaf Group Ltd. (1) | 1,040 | 11,284 | |
Limelight Networks, Inc. (1) | 9,183 | 41,048 | |
Liquidity Services, Inc. (1) | 2,122 | 13,899 | |
LivePerson, Inc. (1) | 4,955 | 104,551 | |
Meet Group, Inc. (The) (1)(2) | 5,878 | 26,333 | |
MINDBODY, Inc., Class A (1)(2) | 3,358 | 129,619 | |
New Relic, Inc. (1) | 3,723 | 374,497 | |
NIC, Inc. | 5,484 | 85,276 | |
Pandora Media, Inc. (1)(2) | 20,690 | 163,037 | |
Q2 Holdings, Inc. (1) | 3,055 | 174,288 | |
QuinStreet, Inc. (1) | 2,943 | 37,376 | |
Quotient Technology, Inc. (1)(2) | 6,468 | 84,731 | |
Reis, Inc. | 719 | 15,674 | |
Remark Holdings, Inc. (1)(2) | 2,607 | 10,193 | |
SendGrid, Inc. (1) | 700 | 18,564 |
34 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
ShotSpotter, Inc. (1) | 604 | 22,910 | |
Shutterstock, Inc. (1) | 1,515 | 71,902 | |
SPS Commerce, Inc. (1) | 1,431 | 105,150 | |
Stamps.com, Inc. (1) | 1,448 | 366,416 | |
TechTarget, Inc. (1) | 1,656 | 47,030 | |
Telaria, Inc. (1) | 3,708 | 14,980 | |
Trade Desk, Inc. (The), Class A (1) | 2,597 | 243,599 | |
Travelzoo, Inc. (1) | 416 | 7,114 | |
TrueCar, Inc. (1)(2) | 7,838 | 79,085 | |
Tucows, Inc., Class A (1)(2) | 790 | 47,914 | |
Veritone, Inc. (1)(2) | 767 | 12,901 | |
Web.com Group, Inc. (1) | 3,382 | 87,425 | |
XO Group, Inc. (1) | 2,064 | 66,048 | |
Yelp, Inc. (1) | 6,820 | 267,208 | |
Yext, Inc. (1)(2) | 6,973 | 134,858 | |
6,446,208 | |||
IT Services - 1.6% | |||
Acxiom Corp. (1) | 6,698 | 200,605 | |
CACI International, Inc., Class A (1) | 1,995 | 336,257 | |
Cardtronics plc, Class A (1) | 3,046 | 73,652 | |
Cass Information Systems, Inc. | 1,037 | 71,366 | |
ConvergeOne Holdings, Inc. | 1,956 | 18,367 | |
Convergys Corp. | 7,795 | 190,510 | |
CSG Systems International, Inc. | 2,770 | 113,210 | |
Everi Holdings, Inc. (1) | 5,591 | 40,255 | |
EVERTEC, Inc. | 5,077 | 110,932 | |
Exela Technologies, Inc. (1)(2) | 4,038 | 19,181 | |
ExlService Holdings, Inc. (1) | 2,811 | 159,131 | |
Hackett Group, Inc. (The) | 1,931 | 31,031 | |
Information Services Group, Inc. (1) | 2,421 | 9,926 | |
ManTech International Corp., Class A | 2,262 | 121,334 | |
MAXIMUS, Inc. | 5,466 | 339,493 | |
MoneyGram International, Inc. (1) | 2,614 | 17,488 | |
Perficient, Inc. (1) | 2,876 | 75,840 | |
Perspecta, Inc. | 12,000 | 246,600 | |
PFSweb, Inc. (1) | 1,362 | 13,239 | |
Presidio, Inc. (1)(2) | 2,664 | 34,898 | |
PRGX Global, Inc. (1) | 1,817 | 17,625 | |
Science Applications International Corp. | 3,479 | 281,555 | |
ServiceSource International, Inc. (1) | 5,266 | 20,748 | |
Sykes Enterprises, Inc. (1) | 3,342 | 96,183 | |
Syntel, Inc. (1) | 3,152 | 101,148 | |
Travelport Worldwide Ltd. | 10,900 | 202,086 | |
TTEC Holdings, Inc. | 1,255 | 43,360 | |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 35
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Unisys Corp. (1)(2) | 3,852 | 49,691 | |
Virtusa Corp. (1) | 2,429 | 118,244 | |
3,153,955 | |||
Leisure Products - 0.4% | |||
Acushnet Holdings Corp. | 2,689 | 65,773 | |
American Outdoor Brands Corp. (1) | 4,733 | 56,938 | |
Callaway Golf Co. | 8,143 | 154,473 | |
Clarus Corp. (1) | 1,804 | 14,883 | |
Escalade, Inc. | 888 | 12,521 | |
Johnson Outdoors, Inc., Class A | 405 | 34,235 | |
Malibu Boats, Inc., Class A (1) | 1,736 | 72,808 | |
Marine Products Corp. | 813 | 14,455 | |
MCBC Holdings, Inc. (1) | 1,615 | 46,754 | |
Nautilus, Inc. (1) | 2,675 | 41,997 | |
Sturm Ruger & Co., Inc. | 1,458 | 81,648 | |
Vista Outdoor, Inc. (1) | 5,021 | 77,775 | |
674,260 | |||
Life Sciences Tools & Services - 0.4% | |||
Accelerate Diagnostics, Inc. (1) | 2,287 | 51,000 | |
Cambrex Corp. (1) | 2,752 | 143,930 | |
ChromaDex Corp. (1)(2) | 3,310 | 12,280 | |
Codexis, Inc. (1)(2) | 4,127 | 59,429 | |
Enzo Biochem, Inc. (1) | 3,092 | 16,048 | |
Fluidigm Corp. (1)(2) | 2,221 | 13,237 | |
Harvard Bioscience, Inc. (1) | 2,884 | 15,429 | |
Luminex Corp. | 3,221 | 95,116 | |
Medpace Holdings, Inc. (1) | 1,013 | 43,559 | |
NanoString Technologies, Inc. (1) | 1,353 | 18,509 | |
NeoGenomics, Inc. (1)(2) | 4,132 | 54,171 | |
Pacific Biosciences of California, Inc. (1)(2) | 8,829 | 31,343 | |
Quanterix Corp. (1) | 420 | 6,031 | |
Syneos Health, Inc. (1) | 4,598 | 215,646 | |
775,728 | |||
Machinery - 3.5% | |||
Actuant Corp., Class A | 5,083 | 149,186 | |
Alamo Group, Inc. | 815 | 73,643 | |
Albany International Corp., Class A | 2,473 | 148,751 | |
Altra Industrial Motion Corp. | 2,517 | 108,483 | |
American Railcar Industries, Inc. | 687 | 27,123 | |
Astec Industries, Inc. | 1,870 | 111,826 | |
Barnes Group, Inc. | 4,106 | 241,843 | |
Blue Bird Corp. (1) | 991 | 22,149 | |
Briggs & Stratton Corp. | 3,442 | 60,614 | |
Chart Industries, Inc. (1) | 2,569 | 158,456 |
36 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
CIRCOR International, Inc. | 1,323 | 48,898 | |
Columbus McKinnon Corp. | 1,673 | 72,541 | |
Commercial Vehicle Group, Inc. (1) | 2,209 | 16,214 | |
DMC Global, Inc. | 1,092 | 49,031 | |
Douglas Dynamics, Inc. | 1,724 | 82,752 | |
Eastern Co. (The) | 490 | 13,745 | |
Energy Recovery, Inc. (1)(2) | 2,683 | 21,679 | |
EnPro Industries, Inc. | 1,761 | 123,182 | |
ESCO Technologies, Inc. | 2,195 | 126,652 | |
Evoqua Water Technologies Corp. (1)(2) | 6,364 | 130,462 | |
Federal Signal Corp. | 4,825 | 112,374 | |
Franklin Electric Co., Inc. | 3,978 | 179,408 | |
FreightCar America, Inc. | 1,042 | 17,495 | |
Gencor Industries, Inc. (1) | 603 | 9,738 | |
Global Brass & Copper Holdings, Inc. | 1,904 | 59,690 | |
Gorman-Rupp Co. (The) | 1,373 | 48,055 | |
Graham Corp. | 863 | 22,274 | |
Greenbrier Cos., Inc. (The) (2) | 2,628 | 138,627 | |
Harsco Corp. (1) | 6,801 | 150,302 | |
Hillenbrand, Inc. | 5,117 | 241,267 | |
Hurco Cos., Inc. | 529 | 23,673 | |
Hyster-Yale Materials Handling, Inc. | 907 | 58,275 | |
John Bean Technologies Corp. | 2,558 | 227,406 | |
Kadant, Inc. | 952 | 91,535 | |
Kennametal, Inc. | 6,794 | 243,905 | |
LB Foster Co., Class A (1) | 731 | 16,776 | |
Lindsay Corp. | 920 | 89,231 | |
Lydall, Inc. (1) | 1,313 | 57,312 | |
Manitex International, Inc. (1) | 1,323 | 16,511 | |
Manitowoc Co., Inc. (The) (1) | 2,727 | 70,520 | |
Meritor, Inc. (1) | 7,355 | 151,292 | |
Milacron Holdings Corp. (1) | 6,238 | 118,085 | |
Miller Industries, Inc. | 1,050 | 26,828 | |
Mueller Industries, Inc. | 4,894 | 144,422 | |
Mueller Water Products, Inc., Class A | 13,464 | 157,798 | |
Navistar International Corp. (1) | 4,102 | 167,033 | |
NN, Inc. | 2,378 | 44,944 | |
Omega Flex, Inc. | 248 | 19,619 | |
Park-Ohio Holdings Corp. | 726 | 27,080 | |
Proto Labs, Inc. (1) | 2,312 | 275,012 | |
RBC Bearings, Inc. (1) | 1,959 | 252,339 | |
REV Group, Inc. (2) | 2,574 | 43,784 | |
Rexnord Corp. (1) | 8,796 | 255,612 | |
Spartan Motors, Inc. | 2,591 | 39,124 | |
SPX Corp. (1) | 3,739 | 131,052 | |
SPX FLOW, Inc. (1) | 3,637 | 159,192 | |
Standex International Corp. | 1,097 | 112,113 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 37
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Sun Hydraulics Corp. | 2,322 | 111,897 | |
Tennant Co. | 1,548 | 122,292 | |
Titan International, Inc. | 3,947 | 42,351 | |
TriMas Corp. (1) | 3,997 | 117,512 | |
Twin Disc, Inc. (1) | 749 | 18,590 | |
Wabash National Corp. | 5,241 | 97,797 | |
Watts Water Technologies, Inc., Class A | 2,402 | 188,317 | |
Woodward, Inc. | 4,574 | 351,558 | |
6,837,247 | |||
Marine - 0.1% | |||
Costamare, Inc. | 3,142 | 25,073 | |
Eagle Bulk Shipping, Inc. (1) | 3,373 | 18,349 | |
Genco Shipping & Trading Ltd. (1) | 675 | 10,463 | |
Matson, Inc. | 3,737 | 143,426 | |
Safe Bulkers, Inc. (1) | 4,225 | 14,365 | |
Scorpio Bulkers, Inc. | 4,249 | 30,168 | |
241,844 | |||
Media - 1.5% | |||
AMC Entertainment Holdings, Inc., Class A | 3,946 | 62,741 | |
Beasley Broadcast Group, Inc., Class A | 429 | 4,805 | |
Boston Omaha Corp., Class A (1)(2) | 425 | 8,955 | |
Central European Media Enterprises Ltd., Class A (1) | 6,603 | 27,402 | |
Clear Channel Outdoor Holdings, Inc., Class A | 3,136 | 13,485 | |
Daily Journal Corp. (1)(2) | 88 | 20,258 | |
Emerald Expositions Events, Inc. | 2,053 | 42,292 | |
Entercom Communications Corp., Class A (2) | 10,833 | 81,789 | |
Entravision Communications Corp., Class A | 5,618 | 28,090 | |
Eros International plc (1)(2) | 2,183 | 28,379 | |
EW Scripps Co., (The), Class A | 3,793 | 50,788 | |
Fluent, Inc. (1)(2) | 1,183 | 2,898 | |
Gannett Co., Inc. | 10,154 | 108,648 | |
Gray Television, Inc. (1) | 6,791 | 107,298 | |
Hemisphere Media Group, Inc. (1) | 1,449 | 18,982 | |
IMAX Corp. (1) | 4,366 | 96,707 | |
Liberty Latin America Ltd., Class A (1) | 3,700 | 70,744 | |
Liberty Latin America Ltd., Class C (1) | 9,482 | 183,761 | |
Liberty Media Corp-Liberty Braves, Class A (1) | 713 | 18,331 | |
Liberty Media Corp-Liberty Braves, Class C (1)(2) | 3,012 | 77,890 | |
LiveXLive Media, Inc. (1) | 401 | 2,314 | |
Loral Space & Communications, Inc. (1) | 1,011 | 38,014 | |
Marcus Corp. (The) | 1,417 | 46,053 | |
MDC Partners, Inc., Class A (1) | 4,777 | 21,974 | |
Meredith Corp. (2) | 3,302 | 168,402 | |
MSG Networks, Inc., Class A (1) | 4,763 | 114,074 | |
National CineMedia, Inc. | 6,430 | 54,012 |
38 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
New Media Investment Group, Inc. | 4,995 | 92,308 | |
New York Times Co., (The), Class A (2) | 10,749 | 278,399 | |
Nexstar Media Group, Inc., Class A | 3,818 | 280,241 | |
Reading International, Inc., Class A (1) | 1,506 | 24,021 | |
Saga Communications, Inc., Class A | 394 | 15,169 | |
Scholastic Corp. | 2,336 | 103,508 | |
Sinclair Broadcast Group, Inc., Class A (2) | 6,162 | 198,108 | |
TEGNA, Inc. | 18,200 | 197,470 | |
tronc, Inc. (1) | 1,415 | 24,451 | |
WideOpenWest, Inc. (1)(2) | 1,802 | 17,407 | |
World Wrestling Entertainment, Inc., Class A | 3,520 | 256,326 | |
2,986,494 | |||
Metals & Mining - 1.3% | |||
AK Steel Holding Corp. (1)(2) | 27,698 | 120,209 | |
Allegheny Technologies, Inc. (1)(2) | 10,800 | 271,296 | |
Carpenter Technology Corp. | 3,994 | 209,964 | |
Century Aluminum Co. (1) | 4,377 | 68,938 | |
Cleveland-Cliffs, Inc. (1)(2) | 25,102 | 211,610 | |
Coeur Mining, Inc. (1) | 15,243 | 115,847 | |
Commercial Metals Co. | 9,924 | 209,496 | |
Compass Minerals International, Inc. | 2,976 | 195,672 | |
Ferroglobe Representation & Warranty Insurance Trust (1)(3) | 5,015 | — | |
Gold Resource Corp. | 3,896 | 25,675 | |
Haynes International, Inc. | 1,062 | 39,018 | |
Hecla Mining Co. | 34,608 | 120,436 | |
Kaiser Aluminum Corp. | 1,444 | 150,335 | |
Klondex Mines Ltd. (1) | 11,322 | 26,154 | |
Materion Corp. | 1,555 | 84,203 | |
Olympic Steel, Inc. | 846 | 17,267 | |
Ramaco Resources, Inc. (1) | 430 | 2,993 | |
Ryerson Holding Corp. (1) | 965 | 10,760 | |
Schnitzer Steel Industries, Inc., Class A | 2,273 | 76,600 | |
SunCoke Energy, Inc. (1) | 5,034 | 67,455 | |
Synalloy Corp. | 692 | 13,805 | |
Tahoe Resources, Inc. | 26,000 | 127,920 | |
TimkenSteel Corp. (1)(2) | 3,081 | 50,374 | |
Universal Stainless & Alloy Products, Inc. (1) | 585 | 13,847 | |
Warrior Met Coal, Inc. | 2,840 | 78,299 | |
Worthington Industries, Inc. | 3,679 | 154,407 | |
2,462,580 | |||
Mortgage Real Estate Investment Trusts (REITs) - 1.0% | |||
AG Mortgage Investment Trust, Inc. | 2,395 | 45,002 | |
Anworth Mortgage Asset Corp. | 8,089 | 40,202 | |
Apollo Commercial Real Estate Finance, Inc. (2) | 10,292 | 188,138 | |
Arbor Realty Trust, Inc. (2) | 4,489 | 46,820 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 39
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Ares Commercial Real Estate Corp. | 2,562 | 35,381 | |
ARMOUR Residential REIT, Inc. (2) | 3,552 | 81,021 | |
Blackstone Mortgage Trust, Inc., Class A (2) | 8,500 | 267,155 | |
Capstead Mortgage Corp. | 8,250 | 73,837 | |
Cherry Hill Mortgage Investment Corp. | 1,030 | 18,396 | |
Colony Credit Real Estate, Inc. (2) | 6,877 | 142,560 | |
CYS Investments, Inc. | 13,300 | 99,750 | |
Dynex Capital, Inc. | 3,496 | 22,829 | |
Exantas Capital Corp. | 2,766 | 28,158 | |
Granite Point Mortgage Trust, Inc. | 3,660 | 67,161 | |
Great Ajax Corp. | 1,009 | 13,198 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (2) | 4,061 | 80,205 | |
Invesco Mortgage Capital, Inc. | 9,724 | 154,612 | |
KKR Real Estate Finance Trust, Inc. (2) | 909 | 17,980 | |
Ladder Capital Corp. | 7,131 | 111,386 | |
MTGE Investment Corp. | 3,949 | 77,400 | |
New York Mortgage Trust, Inc. | 9,264 | 55,677 | |
Orchid Island Capital, Inc. (2) | 3,691 | 27,756 | |
PennyMac Mortgage Investment Trust (2) | 5,125 | 97,324 | |
Redwood Trust, Inc. | 6,587 | 108,488 | |
Sutherland Asset Management Corp. | 1,486 | 24,147 | |
TPG RE Finance Trust, Inc. | 2,646 | 53,767 | |
Western Asset Mortgage Capital Corp. | 3,699 | 38,544 | |
2,016,894 | |||
Multi-Utilities - 0.4% | |||
Avista Corp. | 5,439 | 286,418 | |
Black Hills Corp. (2) | 4,468 | 273,486 | |
NorthWestern Corp. | 4,024 | 230,374 | |
Unitil Corp. | 1,083 | 55,276 | |
845,554 | |||
Multiline Retail - 0.3% | |||
Big Lots, Inc. | 3,663 | 153,040 | |
Dillard's, Inc., Class A (2) | 920 | 86,940 | |
J.C. Penney Co., Inc. (1)(2) | 27,238 | 63,737 | |
Ollie's Bargain Outlet Holdings, Inc. (1) | 4,022 | 291,595 | |
Sears Holdings Corp. (1)(2) | 877 | 2,078 | |
597,390 | |||
Oil, Gas & Consumable Fuels - 2.9% | |||
Abraxas Petroleum Corp. (1) | 12,335 | 35,648 | |
Adams Resources & Energy, Inc. | 189 | 8,127 | |
Alta Mesa Resources, Inc. (1) | 8,216 | 55,951 | |
Amyris, Inc. (1) | 2,003 | 12,799 | |
Approach Resources, Inc. (1)(2) | 3,777 | 9,216 | |
Arch Coal, Inc., Class A | 1,630 | 127,841 |
40 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Ardmore Shipping Corp. (1) | 2,717 | 22,279 | |
Bonanza Creek Energy, Inc. (1) | 1,784 | 67,560 | |
California Resources Corp. (1)(2) | 3,768 | 171,218 | |
Callon Petroleum Co. (1)(2) | 18,135 | 194,770 | |
Carrizo Oil & Gas, Inc. (1) | 6,527 | 181,777 | |
Clean Energy Fuels Corp. (1) | 11,983 | 44,217 | |
Cloud Peak Energy, Inc. (1) | 6,492 | 22,657 | |
CONSOL Energy, Inc. (1) | 2,417 | 92,692 | |
CVR Energy, Inc. (2) | 1,233 | 45,609 | |
Delek US Holdings, Inc. | 6,987 | 350,538 | |
Denbury Resources, Inc. (1) | 36,668 | 176,373 | |
DHT Holdings, Inc. | 7,166 | 33,609 | |
Dorian LPG Ltd. (1) | 2,207 | 16,861 | |
Earthstone Energy, Inc., Class A (1) | 1,654 | 14,638 | |
Eclipse Resources Corp. (1) | 4,808 | 7,693 | |
Energy Fuels, Inc. (1) | 5,894 | 13,379 | |
Energy XXI Gulf Coast, Inc. (1) | 2,596 | 22,949 | |
EP Energy Corp., Class A (1)(2) | 3,016 | 9,048 | |
Evolution Petroleum Corp. | 1,370 | 13,494 | |
Frontline Ltd. (2) | 6,759 | 39,473 | |
GasLog Ltd. | 3,212 | 61,349 | |
Golar LNG Ltd. (2) | 8,182 | 241,042 | |
Goodrich Petroleum Corp. (1) | 727 | 8,993 | |
Green Plains, Inc. (2) | 3,369 | 61,653 | |
Gulfport Energy Corp. (1) | 14,500 | 182,265 | |
Halcon Resources Corp. (1)(2) | 11,000 | 48,290 | |
Hallador Energy Co. | 1,408 | 10,053 | |
HighPoint Resources Corp. (1) | 8,393 | 51,029 | |
International Seaways, Inc. (1) | 1,660 | 38,412 | |
Isramco, Inc. (1) | 85 | 10,447 | |
Jagged Peak Energy, Inc. (1)(2) | 4,878 | 63,512 | |
Laredo Petroleum, Inc. (1) | 12,700 | 122,174 | |
Lilis Energy, Inc. (1)(2) | 3,755 | 19,526 | |
Matador Resources Co. (1) | 8,011 | 240,731 | |
Midstates Petroleum Co., Inc. (1) | 983 | 13,379 | |
NACCO Industries, Inc., Class A | 302 | 10,193 | |
NextDecade Corp. (1) | 638 | 4,364 | |
Nordic American Tankers Ltd. | 8,383 | 22,466 | |
Northern Oil and Gas, Inc. (1) | 9,483 | 29,871 | |
Oasis Petroleum, Inc. (1) | 22,472 | 291,462 | |
Overseas Shipholding Group, Inc., Class A (1) | 2,804 | 10,880 | |
Panhandle Oil and Gas, Inc., Class A | 1,238 | 23,646 | |
Par Pacific Holdings, Inc. (1) | 2,790 | 48,490 | |
PDC Energy, Inc. (1) | 5,418 | 327,518 | |
Peabody Energy Corp. | 6,734 | 306,262 | |
Penn Virginia Corp. (1) | 1,007 | 85,484 | |
Renewable Energy Group, Inc. (1) | 3,095 | 55,246 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 41
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Resolute Energy Corp. (1)(2) | 1,906 | 59,467 | |
REX American Resources Corp. (1) | 441 | 35,708 | |
Ring Energy, Inc. (1) | 5,049 | 63,718 | |
Rosehill Resources, Inc. (1)(2) | 220 | 1,786 | |
Sanchez Energy Corp. (1)(2) | 5,640 | 25,493 | |
SandRidge Energy, Inc. (1) | 2,381 | 42,239 | |
Scorpio Tankers, Inc. (2) | 22,758 | 63,950 | |
SemGroup Corp., Class A | 6,464 | 164,186 | |
Ship Finance International Ltd. | 6,931 | 103,618 | |
SilverBow Resources, Inc. (1) | 612 | 17,675 | |
Southwestern Energy Co. (1) | 49,000 | 259,700 | |
SRC Energy, Inc. (1) | 20,639 | 227,442 | |
Talos Energy, Inc. (1) | 1,713 | 55,039 | |
Teekay Corp. (2) | 5,307 | 41,129 | |
Teekay Tankers Ltd., Class A (2) | 15,129 | 17,701 | |
Tellurian, Inc. (1)(2) | 6,742 | 56,093 | |
Ultra Petroleum Corp. (1)(2) | 12,242 | 28,279 | |
Uranium Energy Corp. (1)(2) | 11,981 | 19,289 | |
W&T Offshore, Inc. (1) | 8,233 | 58,866 | |
WildHorse Resource Development Corp. (1)(2) | 2,304 | 58,429 | |
World Fuel Services Corp. | 5,712 | 116,582 | |
Zion Oil & Gas, Inc. (1)(2) | 4,072 | 16,512 | |
5,712,054 | |||
Paper & Forest Products - 0.6% | |||
Boise Cascade Co. | 3,372 | 150,728 | |
Clearwater Paper Corp. (1) | 1,465 | 33,842 | |
KapStone Paper and Packaging Corp. | 7,459 | 257,336 | |
Louisiana-Pacific Corp. | 12,379 | 336,956 | |
Neenah, Inc. | 1,433 | 121,590 | |
PH Glatfelter Co. | 3,755 | 73,560 | |
Schweitzer-Mauduit International, Inc. | 2,615 | 114,328 | |
Verso Corp., Class A (1) | 2,960 | 64,410 | |
1,152,750 | |||
Personal Products - 0.3% | |||
Edgewell Personal Care Co. (1)(2) | 4,548 | 229,492 | |
elf Beauty, Inc. (1)(2) | 1,818 | 27,706 | |
Inter Parfums, Inc. | 1,484 | 79,394 | |
Medifast, Inc. | 975 | 156,156 | |
Natural Health Trends Corp. | 608 | 15,212 | |
Nature's Sunshine Products, Inc. (1) | 1,018 | 9,518 | |
Revlon, Inc., Class A (1) | 936 | 16,427 | |
USANA Health Sciences, Inc. (1) | 1,018 | 117,376 | |
651,281 | |||
42 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Pharmaceuticals - 2.0% | |||
Aclaris Therapeutics, Inc. (1)(2) | 2,238 | 44,693 | |
Aerie Pharmaceuticals, Inc. (1)(2) | 2,964 | 200,218 | |
Akcea Therapeutics, Inc. (1)(2) | 1,275 | 30,230 | |
Akorn, Inc. (1) | 7,647 | 126,864 | |
Amneal Pharmaceuticals, Inc. (1) | 7,324 | 120,187 | |
Amphastar Pharmaceuticals, Inc. (1) | 3,073 | 46,894 | |
Ampio Pharmaceuticals, Inc. (1)(2) | 7,158 | 15,748 | |
ANI Pharmaceuticals, Inc. (1) | 616 | 41,149 | |
Aratana Therapeutics, Inc. (1) | 3,555 | 15,109 | |
Assembly Biosciences, Inc. (1)(2) | 1,381 | 54,149 | |
Clearside Biomedical, Inc. (1)(2) | 1,815 | 19,402 | |
Collegium Pharmaceutical, Inc. (1)(2) | 2,333 | 55,642 | |
Corcept Therapeutics, Inc. (1)(2) | 8,144 | 128,024 | |
Corium International, Inc. (1)(2) | 1,747 | 13,993 | |
Cymabay Therapeutics, Inc. (1) | 4,918 | 66,000 | |
Depomed, Inc. (1) | 5,272 | 35,164 | |
Dermira, Inc. (1)(2) | 3,345 | 30,774 | |
Dova Pharmaceuticals, Inc. (1)(2) | 994 | 29,740 | |
Durect Corp. (1) | 12,177 | 18,996 | |
Eloxx Pharmaceuticals, Inc. (1) | 2,227 | 38,015 | |
Endo International plc (1)(2) | 18,600 | 175,398 | |
Endocyte, Inc. (1) | 5,532 | 76,342 | |
Evolus, Inc. (1)(2) | 425 | 11,896 | |
Horizon Pharma plc (1) | 13,933 | 230,730 | |
Innovate Biopharmaceuticals, Inc. (1)(2) | 1,450 | 34,176 | |
Innoviva, Inc. (1) | 5,742 | 79,240 | |
Intersect ENT, Inc. (1) | 2,280 | 85,386 | |
Intra-Cellular Therapies, Inc. (1) | 4,189 | 74,020 | |
Kala Pharmaceuticals, Inc. (1) | 1,204 | 16,531 | |
Lannett Co., Inc. (1)(2) | 2,393 | 32,545 | |
Mallinckrodt plc (1) | 6,794 | 126,776 | |
Marinus Pharmaceuticals, Inc. (1) | 3,474 | 24,561 | |
Medicines Co. (The) (1)(2) | 5,811 | 213,264 | |
Melinta Therapeutics, Inc. (1) | 1,977 | 12,554 | |
Menlo Therapeutics, Inc. (1)(2) | 543 | 4,409 | |
MyoKardia, Inc. (1) | 2,566 | 127,402 | |
Neos Therapeutics, Inc. (1) | 2,051 | 12,819 | |
Ocular Therapeutix, Inc. (1)(2) | 1,979 | 13,358 | |
Odonate Therapeutics, Inc. (1)(2) | 570 | 12,586 | |
Omeros Corp. (1) | 4,139 | 75,081 | |
Optinose, Inc. (1)(2) | 1,284 | 35,926 | |
Pacira Pharmaceuticals, Inc. (1) | 3,449 | 110,540 | |
Paratek Pharmaceuticals, Inc. (1)(2) | 2,069 | 21,104 | |
Phibro Animal Health Corp., Class A | 1,619 | 74,555 | |
Prestige Brands Holdings, Inc. (1)(2) | 4,347 | 166,838 | |
Reata Pharmaceuticals, Inc., Class A (1)(2) | 1,310 | 45,811 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 43
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
resTORbio, Inc. (1)(2) | 555 | 5,078 | |
Revance Therapeutics, Inc. (1) | 2,832 | 77,738 | |
scPharmaceuticals, Inc. (1) | 625 | 3,537 | |
Sienna Biopharmaceuticals, Inc. (1)(2) | 1,275 | 19,367 | |
SIGA Technologies, Inc. (1) | 4,584 | 27,229 | |
Supernus Pharmaceuticals, Inc. (1)(2) | 4,082 | 244,308 | |
Teligent, Inc. (1)(2) | 3,610 | 12,491 | |
Tetraphase Pharmaceuticals, Inc. (1) | 4,338 | 15,487 | |
TherapeuticsMD, Inc. (1)(2) | 12,961 | 80,877 | |
Theravance Biopharma, Inc. (1)(2) | 3,666 | 83,145 | |
WaVe Life Sciences Ltd. (1) | 1,470 | 56,227 | |
Zogenix, Inc. (1)(2) | 2,920 | 129,064 | |
Zomedica Pharmaceuticals Corp. (1)(2) | 2,890 | 6,502 | |
3,785,889 | |||
Professional Services - 1.4% | |||
Acacia Research Corp. (1) | 4,242 | 17,604 | |
ASGN, Inc. (1) | 4,268 | 333,715 | |
Barrett Business Services, Inc. | 606 | 58,522 | |
BG Staffing, Inc. | 608 | 14,136 | |
CBIZ, Inc. (1) | 4,490 | 103,270 | |
CRA International, Inc. | 707 | 35,979 | |
Exponent, Inc. | 4,418 | 213,390 | |
Forrester Research, Inc. | 776 | 32,553 | |
Franklin Covey Co. (1) | 1,007 | 24,722 | |
FTI Consulting, Inc. (1) | 3,215 | 194,443 | |
GP Strategies Corp. (1) | 1,007 | 17,723 | |
Heidrick & Struggles International, Inc. | 1,525 | 53,375 | |
Hill International, Inc. (1) | 4,067 | 23,995 | |
Huron Consulting Group, Inc. (1) | 1,867 | 76,360 | |
ICF International, Inc. | 1,507 | 107,072 | |
InnerWorkings, Inc. (1) | 3,972 | 34,517 | |
Insperity, Inc. | 3,197 | 304,514 | |
Kelly Services, Inc., Class A | 2,680 | 60,166 | |
Kforce, Inc. | 1,903 | 65,273 | |
Korn/Ferry International | 4,787 | 296,459 | |
Mistras Group, Inc. (1) | 1,338 | 25,262 | |
Navigant Consulting, Inc. (1) | 3,770 | 83,468 | |
Resources Connection, Inc. | 2,400 | 40,560 | |
TriNet Group, Inc. (1) | 3,638 | 203,510 | |
TrueBlue, Inc. (1) | 3,417 | 92,088 | |
WageWorks, Inc. (1) | 3,400 | 170,000 | |
Willdan Group, Inc. (1)(2) | 662 | 20,502 | |
2,703,178 | |||
44 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Real Estate Management & Development - 0.5% | |||
Altisource Portfolio Solutions S.A. (1) | 900 | 26,253 | |
American Realty Investors, Inc. (1) | 174 | 2,751 | |
Consolidated-Tomoka Land Co. | 377 | 23,189 | |
Forestar Group, Inc. (1)(2) | 995 | 20,646 | |
FRP Holdings, Inc. (1) | 453 | 29,332 | |
Griffin Industrial Realty, Inc. | 55 | 2,419 | |
HFF, Inc., Class A | 3,226 | 110,813 | |
Kennedy-Wilson Holdings, Inc. | 10,325 | 218,374 | |
Marcus & Millichap, Inc. (1) | 1,407 | 54,887 | |
Maui Land & Pineapple Co., Inc. (1) | 589 | 6,597 | |
Newmark Group, Inc., Class A | 1,962 | 27,919 | |
RE/MAX Holdings, Inc., Class A | 1,564 | 82,032 | |
Redfin Corp. (1)(2) | 6,174 | 142,558 | |
RMR Group, Inc. (The), Class A | 543 | 42,598 | |
St. Joe Co. (The) (1)(2) | 3,093 | 55,519 | |
Stratus Properties, Inc. (1) | 485 | 14,817 | |
Tejon Ranch Co. (1) | 1,572 | 38,200 | |
Transcontinental Realty Investors, Inc. (1)(2) | 147 | 4,917 | |
Trinity Place Holdings, Inc. (1) | 1,859 | 12,177 | |
915,998 | |||
Road & Rail - 0.5% | |||
ArcBest Corp. | 2,213 | 101,134 | |
Avis Budget Group, Inc. (1) | 5,737 | 186,453 | |
Covenant Transportation Group, Inc., Class A (1) | 905 | 28,508 | |
Daseke, Inc. (1) | 2,780 | 27,605 | |
Heartland Express, Inc. (2) | 3,887 | 72,104 | |
Hertz Global Holdings, Inc. (1) | 4,156 | 63,753 | |
Marten Transport Ltd. | 3,366 | 78,933 | |
PAM Transportation Services, Inc. (1) | 187 | 8,783 | |
Saia, Inc. (1) | 2,126 | 171,887 | |
Universal Truckload Services, Inc. | 475 | 12,469 | |
USA Truck, Inc. (1) | 677 | 15,889 | |
Werner Enterprises, Inc. | 3,888 | 145,994 | |
YRC Worldwide, Inc. (1) | 2,802 | 28,160 | |
941,672 | |||
Semiconductors & Semiconductor Equipment - 2.4% | |||
ACM Research, Inc., Class A (1) | 795 | 8,570 | |
Adesto Technologies Corp. (1) | 1,702 | 14,297 | |
Advanced Energy Industries, Inc. (1) | 3,412 | 198,203 | |
Alpha & Omega Semiconductor Ltd. (1) | 1,700 | 24,208 | |
Ambarella, Inc. (1)(2) | 2,765 | 106,757 | |
Amkor Technology, Inc. (1) | 8,647 | 74,278 | |
Aquantia Corp. (1)(2) | 1,737 | 20,114 | |
Axcelis Technologies, Inc. (1) | 2,416 | 47,837 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 45
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
AXT, Inc. (1) | 3,267 | 23,032 | |
Brooks Automation, Inc. | 6,038 | 196,960 | |
Cabot Microelectronics Corp. | 2,186 | 235,126 | |
CEVA, Inc. (1) | 1,882 | 56,836 | |
Cirrus Logic, Inc. (1) | 5,499 | 210,777 | |
Cohu, Inc. | 2,352 | 57,648 | |
Cree, Inc. (1)(2) | 8,393 | 348,897 | |
Diodes, Inc. (1) | 3,290 | 113,406 | |
Entegris, Inc. | 11,839 | 401,342 | |
FormFactor, Inc. (1) | 5,937 | 78,962 | |
Ichor Holdings Ltd. (1)(2) | 2,126 | 45,114 | |
Impinj, Inc. (1)(2) | 1,581 | 34,956 | |
Inphi Corp. (1)(2) | 3,689 | 120,298 | |
Integrated Device Technology, Inc. (1) | 11,320 | 360,882 | |
Kopin Corp. (1)(2) | 6,180 | 17,675 | |
Lattice Semiconductor Corp. (1) | 10,361 | 67,968 | |
MACOM Technology Solutions Holdings, Inc. (1)(2) | 3,561 | 82,045 | |
MaxLinear, Inc., Class A (1)(2) | 5,283 | 82,362 | |
Nanometrics, Inc. (1) | 2,115 | 74,892 | |
NeoPhotonics Corp. (1)(2) | 2,662 | 16,584 | |
NVE Corp. | 408 | 49,686 | |
PDF Solutions, Inc. (1)(2) | 2,083 | 24,954 | |
Photronics, Inc. (1) | 5,437 | 43,360 | |
Power Integrations, Inc. | 2,388 | 174,443 | |
Rambus, Inc. (1) | 8,885 | 111,418 | |
Rudolph Technologies, Inc. (1) | 2,742 | 81,163 | |
Semtech Corp. (1) | 5,395 | 253,835 | |
Sigma Designs, Inc. (1) | 2,732 | 16,665 | |
Silicon Laboratories, Inc. (1) | 3,581 | 356,668 | |
SMART Global Holdings, Inc. (1)(2) | 804 | 25,624 | |
SunPower Corp. (1)(2) | 5,246 | 40,237 | |
Synaptics, Inc. (1)(2) | 2,889 | 145,519 | |
Ultra Clean Holdings, Inc. (1) | 3,194 | 53,020 | |
Veeco Instruments, Inc. (1) | 4,143 | 59,038 | |
Xcerra Corp. (1) | 4,282 | 59,820 | |
Xperi Corp. | 4,254 | 68,489 | |
4,683,965 | |||
Software - 2.5% | |||
8x8, Inc. (1) | 7,620 | 152,781 | |
A10 Networks, Inc. (1) | 3,806 | 23,711 | |
ACI Worldwide, Inc. (1) | 9,540 | 235,352 | |
Agilysys, Inc. (1) | 1,316 | 20,398 | |
Altair Engineering, Inc., Class A (1) | 2,152 | 73,555 | |
American Software, Inc., Class A | 1,795 | 26,153 | |
Asure Software, Inc. (1) | 867 | 13,829 | |
Avaya Holdings Corp. (1) | 8,728 | 175,258 |
46 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Blackbaud, Inc. | 4,058 | 415,742 | |
Blackline, Inc. (1)(2) | 2,812 | 122,125 | |
Bottomline Technologies (de), Inc. (1) | 3,347 | 166,781 | |
Carbon Black, Inc. (1) | 864 | 22,464 | |
Commvault Systems, Inc. (1) | 3,343 | 220,137 | |
Digimarc Corp. (1) | 751 | 20,127 | |
Ebix, Inc. | 2,069 | 157,761 | |
Ellie Mae, Inc. (1)(2) | 2,860 | 296,982 | |
Everbridge, Inc. (1)(2) | 2,352 | 111,532 | |
ForeScout Technologies, Inc. (1) | 2,474 | 84,759 | |
Glu Mobile, Inc. (1) | 9,287 | 59,530 | |
HubSpot, Inc. (1)(2) | 2,955 | 370,557 | |
Imperva, Inc. (1) | 2,940 | 141,855 | |
Majesco (1) | 457 | 2,811 | |
MicroStrategy, Inc., Class A (1) | 820 | 104,755 | |
Mitek Systems, Inc. (1) | 2,294 | 20,417 | |
MobileIron, Inc. (1)(2) | 4,813 | 21,418 | |
Model N, Inc. (1) | 1,727 | 32,122 | |
Monotype Imaging Holdings, Inc. | 3,293 | 66,848 | |
OneSpan, Inc. (1) | 2,265 | 44,507 | |
Park City Group, Inc. (1) | 855 | 6,755 | |
Paylocity Holding Corp. (1) | 2,282 | 134,319 | |
Progress Software Corp. | 3,776 | 146,584 | |
PROS Holdings, Inc. (1)(2) | 2,306 | 84,331 | |
QAD, Inc., Class A | 789 | 39,568 | |
Qualys, Inc. (1) | 2,757 | 232,415 | |
Rapid7, Inc. (1) | 3,132 | 88,385 | |
Rimini Street, Inc. (1) | 770 | 5,044 | |
Rosetta Stone, Inc. (1) | 1,504 | 24,109 | |
SailPoint Technologies Holding, Inc. (1) | 3,206 | 78,675 | |
SecureWorks Corp., Class A (1)(2) | 472 | 5,876 | |
Telenav, Inc. (1) | 2,354 | 13,182 | |
TiVo Corp. | 10,113 | 136,020 | |
Upland Software, Inc. (1) | 1,374 | 47,224 | |
Varonis Systems, Inc. (1) | 2,331 | 173,660 | |
Verint Systems, Inc. (1) | 5,365 | 237,938 | |
VirnetX Holding Corp. (1)(2) | 3,778 | 12,845 | |
Workiva, Inc. (1) | 2,180 | 53,192 | |
Zix Corp. (1) | 5,001 | 26,955 | |
Zscaler, Inc. (1)(2) | 1,357 | 48,513 | |
4,799,857 | |||
Specialty Retail - 2.7% | |||
Aaron's, Inc. | 5,722 | 248,621 | |
Abercrombie & Fitch Co., Class A | 5,673 | 138,875 | |
America's Car-Mart, Inc. (1) | 586 | 36,273 | |
American Eagle Outfitters, Inc. | 13,452 | 312,759 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 47
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Asbury Automotive Group, Inc. (1) | 1,586 | 108,720 | |
Ascena Retail Group, Inc. (1)(2) | 14,943 | 59,548 | |
At Home Group, Inc. (1) | 2,215 | 86,717 | |
Barnes & Noble Education, Inc. (1) | 3,122 | 17,608 | |
Barnes & Noble, Inc. | 4,926 | 31,280 | |
Bed Bath & Beyond, Inc. (2) | 11,250 | 224,156 | |
Big 5 Sporting Goods Corp. (2) | 1,497 | 11,377 | |
Boot Barn Holdings, Inc. (1) | 1,658 | 34,404 | |
Buckle, Inc. (The) (2) | 2,185 | 58,777 | |
Caleres, Inc. | 3,285 | 112,971 | |
Camping World Holdings, Inc., Class A (2) | 2,590 | 64,698 | |
Carvana Co. (1)(2) | 2,377 | 98,883 | |
Cato Corp., (The), Class A | 2,030 | 49,979 | |
Chico's FAS, Inc. | 11,271 | 91,746 | |
Children's Place, Inc. (The) | 1,345 | 162,476 | |
Citi Trends, Inc. | 1,298 | 35,617 | |
Conn's, Inc. (1)(2) | 1,614 | 53,262 | |
Container Store Group, Inc. (The) (1) | 1,542 | 12,968 | |
DSW, Inc., Class A | 5,812 | 150,066 | |
Express, Inc. (1) | 6,091 | 55,733 | |
Five Below, Inc. (1) | 4,627 | 452,104 | |
Francesca's Holdings Corp. (1) | 3,266 | 24,658 | |
GameStop Corp., Class A (2) | 8,361 | 121,820 | |
Genesco, Inc. (1) | 1,619 | 64,274 | |
GNC Holdings, Inc., Class A (1)(2) | 5,928 | 20,867 | |
Group 1 Automotive, Inc. | 1,644 | 103,572 | |
Guess?, Inc. | 4,778 | 102,249 | |
Haverty Furniture Cos., Inc. | 1,689 | 36,482 | |
Hibbett Sports, Inc. (1) | 1,464 | 33,526 | |
Hudson Ltd., Class A (1) | 3,363 | 58,819 | |
J. Jill, Inc. (1) | 1,035 | 9,667 | |
Kirkland's, Inc. (1) | 1,302 | 15,155 | |
Lithia Motors, Inc., Class A | 2,051 | 193,963 | |
Lumber Liquidators Holdings, Inc. (1)(2) | 2,470 | 60,145 | |
MarineMax, Inc. (1) | 2,047 | 38,791 | |
Monro, Inc. (2) | 2,542 | 147,690 | |
Murphy USA, Inc. (1) | 2,600 | 193,154 | |
National Vision Holdings, Inc. (1) | 2,834 | 103,639 | |
New York & Co., Inc. (1) | 2,329 | 11,924 | |
Office Depot, Inc. | 47,945 | 122,260 | |
Party City Holdco, Inc. (1)(2) | 2,955 | 45,064 | |
Pier 1 Imports, Inc. | 6,957 | 16,558 | |
Rent-A-Center, Inc. | 3,698 | 54,435 | |
RH (1) | 1,608 | 224,638 | |
Sally Beauty Holdings, Inc. (1)(2) | 9,815 | 157,334 | |
Shoe Carnival, Inc. | 872 | 28,296 | |
Signet Jewelers Ltd. | 4,900 | 273,175 |
48 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Sleep Number Corp. (1) | 2,927 | 84,942 | |
Sonic Automotive, Inc., Class A | 2,180 | 44,908 | |
Sportsman's Warehouse Holdings, Inc. (1) | 2,022 | 10,353 | |
Tailored Brands, Inc. (2) | 4,129 | 105,372 | |
Tile Shop Holdings, Inc. | 2,986 | 22,992 | |
Tilly's, Inc., Class A | 827 | 12,529 | |
Winmark Corp. | 223 | 33,104 | |
Zumiez, Inc. (1) | 1,698 | 42,535 | |
5,328,508 | |||
Technology Hardware, Storage & Peripherals - 0.4% | |||
3D Systems Corp. (1)(2) | 9,267 | 127,977 | |
Avid Technology, Inc. (1) | 2,494 | 12,969 | |
Cray, Inc. (1) | 3,150 | 77,490 | |
Diebold Nixdorf, Inc. (2) | 6,637 | 79,312 | |
Eastman Kodak Co. (1)(2) | 1,582 | 6,012 | |
Electronics For Imaging, Inc. (1) | 3,777 | 122,979 | |
Immersion Corp. (1) | 2,323 | 35,867 | |
Stratasys Ltd. (1) | 4,388 | 83,986 | |
Super Micro Computer, Inc. (1) | 3,338 | 78,944 | |
USA Technologies, Inc. (1) | 4,133 | 57,862 | |
683,398 | |||
Textiles, Apparel & Luxury Goods - 0.8% | |||
Crocs, Inc. (1) | 5,941 | 104,621 | |
Culp, Inc. | 785 | 19,272 | |
Deckers Outdoor Corp. (1) | 2,600 | 293,514 | |
Fossil Group, Inc. (1) | 3,623 | 97,350 | |
G-III Apparel Group Ltd. (1) | 3,714 | 164,902 | |
Movado Group, Inc. | 1,238 | 59,795 | |
Oxford Industries, Inc. | 1,446 | 119,989 | |
Perry Ellis International, Inc. (1) | 933 | 25,350 | |
Rocky Brands, Inc. | 588 | 17,640 | |
Steven Madden Ltd. | 4,882 | 259,234 | |
Superior Group of Cos., Inc. | 573 | 11,867 | |
Unifi, Inc. (1) | 1,199 | 38,008 | |
Vera Bradley, Inc. (1) | 1,814 | 25,468 | |
Wolverine World Wide, Inc. | 7,780 | 270,511 | |
1,507,521 | |||
Thrifts & Mortgage Finance - 2.1% | |||
BankFinancial Corp. | 1,183 | 20,880 | |
Beneficial Bancorp, Inc. | 5,863 | 94,981 | |
BofI Holding, Inc. (1)(2) | 4,828 | 197,513 | |
Bridgewater Bancshares, Inc. (1) | 407 | 5,177 | |
BSB Bancorp, Inc. (1) | 625 | 21,500 | |
Capitol Federal Financial, Inc. | 11,014 | 144,944 |
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SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Charter Financial Corp. | 1,280 | 30,912 | |
Columbia Financial, Inc. (1)(2) | 4,173 | 69,063 | |
Dime Community Bancshares, Inc. | 2,402 | 46,839 | |
Entegra Financial Corp. (1) | 555 | 16,262 | |
ESSA Bancorp, Inc. | 636 | 10,068 | |
Essent Group Ltd. (1) | 7,936 | 284,268 | |
Federal Agricultural Mortgage Corp., Class C | 669 | 59,862 | |
First Defiance Financial Corp. | 799 | 53,581 | |
Flagstar Bancorp, Inc. (1) | 2,412 | 82,635 | |
FS Bancorp, Inc. | 267 | 16,888 | |
Greene County Bancorp, Inc. (2) | 235 | 7,967 | |
Hingham Institution for Savings | 102 | 22,409 | |
Home Bancorp, Inc. | 638 | 29,699 | |
HomeStreet, Inc. (1) | 2,092 | 56,379 | |
Impac Mortgage Holdings, Inc. (1)(2) | 665 | 6,337 | |
Kearny Financial Corp. | 7,950 | 106,927 | |
LendingTree, Inc. (1)(2) | 641 | 137,046 | |
Luther Burbank Corp. | 1,189 | 13,679 | |
Malvern Bancorp, Inc. (1) | 564 | 13,733 | |
Merchants Bancorp (2) | 1,329 | 37,916 | |
Meridian Bancorp, Inc. | 3,759 | 71,985 | |
Meta Financial Group, Inc. | 787 | 76,654 | |
MGIC Investment Corp. (1) | 30,209 | 323,840 | |
Nationstar Mortgage Holdings, Inc. (1) | 2,532 | 44,386 | |
NMI Holdings, Inc., Class A (1) | 5,225 | 85,167 | |
Northfield Bancorp, Inc. | 3,620 | 60,164 | |
Northwest Bancshares, Inc. | 8,299 | 144,320 | |
OceanFirst Financial Corp. | 3,925 | 117,593 | |
Oconee Federal Financial Corp. | 109 | 3,154 | |
Ocwen Financial Corp. (1) | 8,291 | 32,832 | |
OP Bancorp (1) | 999 | 12,707 | |
Oritani Financial Corp. | 3,473 | 56,263 | |
PB Bancorp, Inc. | 359 | 4,075 | |
PCSB Financial Corp. | 1,589 | 31,573 | |
PennyMac Financial Services, Inc., Class A (1) | 1,668 | 32,776 | |
PHH Corp. (1) | 2,773 | 30,115 | |
Ponce de Leon Federal Bank (1)(2) | 736 | 11,563 | |
Provident Bancorp, Inc. (1) | 344 | 9,013 | |
Provident Financial Services, Inc. | 5,275 | 145,221 | |
Prudential Bancorp, Inc. | 713 | 13,761 | |
Radian Group, Inc. | 17,627 | 285,910 | |
Riverview Bancorp, Inc. | 1,689 | 14,255 | |
SI Financial Group, Inc. | 867 | 12,788 | |
Southern Missouri Bancorp, Inc. | 455 | 17,754 | |
Sterling Bancorp, Inc. | 1,471 | 19,653 | |
Territorial Bancorp, Inc. | 665 | 20,615 | |
Timberland Bancorp, Inc. | 546 | 20,388 |
50 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
TrustCo Bank Corp. | 7,825 | 69,643 | |
United Community Financial Corp. | 3,416 | 37,542 | |
United Financial Bancorp, Inc. | 4,442 | 77,824 | |
Walker & Dunlop, Inc. | 2,377 | 132,280 | |
Washington Federal, Inc. | 6,850 | 223,995 | |
Waterstone Financial, Inc. | 2,330 | 39,727 | |
Western New England Bancorp, Inc. | 2,115 | 23,265 | |
WSFS Financial Corp. | 2,446 | 130,372 | |
4,020,638 | |||
Tobacco - 0.2% | |||
22nd Century Group, Inc. (1)(2) | 9,590 | 23,591 | |
Alliance One International, Inc. (1) | 727 | 11,523 | |
Turning Point Brands, Inc. | 464 | 14,801 | |
Universal Corp. | 2,076 | 137,120 | |
Vector Group Ltd. (2) | 8,409 | 160,444 | |
347,479 | |||
Trading Companies & Distributors - 1.3% | |||
Aircastle Ltd. | 4,177 | 85,629 | |
Applied Industrial Technologies, Inc. | 3,236 | 227,005 | |
Beacon Roofing Supply, Inc. (1) | 5,665 | 241,442 | |
BlueLinx Holdings, Inc. (1) | 888 | 33,327 | |
BMC Stock Holdings, Inc. (1) | 5,748 | 119,846 | |
CAI International, Inc. (1) | 1,481 | 34,418 | |
DXP Enterprises, Inc. (1) | 1,272 | 48,590 | |
EnviroStar, Inc. | 308 | 12,412 | |
Foundation Building Materials, Inc. (1) | 1,140 | 17,533 | |
GATX Corp. | 3,138 | 232,934 | |
General Finance Corp. (1) | 827 | 11,206 | |
GMS, Inc. (1) | 2,747 | 74,416 | |
H&E Equipment Services, Inc. | 2,694 | 101,321 | |
Herc Holdings, Inc. (1) | 1,964 | 110,652 | |
Kaman Corp. | 2,318 | 161,541 | |
Lawson Products, Inc. (1) | 447 | 10,885 | |
MRC Global, Inc. (1) | 6,928 | 150,130 | |
Nexeo Solutions, Inc. (1) | 2,306 | 21,054 | |
NOW, Inc. (1)(2) | 9,243 | 123,209 | |
Rush Enterprises, Inc., Class A (1) | 2,612 | 113,309 | |
Rush Enterprises, Inc., Class B (1) | 513 | 22,521 | |
SiteOne Landscape Supply, Inc. (1)(2) | 3,289 | 276,177 | |
Systemax, Inc. | 1,000 | 34,330 | |
Textainer Group Holdings Ltd. (1) | 2,237 | 35,568 | |
Titan Machinery, Inc. (1) | 1,521 | 23,652 | |
Triton International Ltd. | 4,361 | 133,708 | |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 51
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Veritiv Corp. (1) | 1,008 | 40,169 | |
Willis Lease Finance Corp. (1) | 332 | 10,488 | |
2,507,472 | |||
Water Utilities - 0.3% | |||
American States Water Co. | 3,156 | 180,397 | |
AquaVenture Holdings Ltd. (1) | 599 | 9,332 | |
Artesian Resources Corp., Class A | 490 | 18,997 | |
Cadiz, Inc. (1)(2) | 1,834 | 24,025 | |
California Water Service Group | 4,151 | 161,682 | |
Connecticut Water Service, Inc. | 1,008 | 65,843 | |
Consolidated Water Co. Ltd. | 1,137 | 14,667 | |
Global Water Resources, Inc. | 641 | 6,025 | |
Middlesex Water Co. | 1,246 | 52,544 | |
Pure Cycle Corp. (1) | 1,502 | 14,344 | |
SJW Group | 1,344 | 89,000 | |
York Water Co. (The) | 992 | 31,546 | |
668,402 | |||
Wireless Telecommunication Services - 0.1% | |||
Boingo Wireless, Inc. (1) | 3,250 | 73,418 | |
NII Holdings, Inc. (1) | 7,539 | 29,402 | |
Shenandoah Telecommunications Co. | 4,079 | 133,383 | |
Spok Holdings, Inc. | 1,597 | 24,035 | |
260,238 | |||
Total Common Stocks (Cost $131,928,076) | 183,317,602 | ||
EXCHANGE-TRADED FUNDS - 1.9% | |||
iShares Russell 2000 ETF (2) | 22,000 | 3,602,940 | |
Total Exchange-Traded Funds (Cost $3,306,019) | 3,602,940 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
U.S. TREASURY OBLIGATIONS - 0.5% | |||
U.S. Treasury Bill, 1.80%, 10/11/18 (4) | 1,000,000 | 994,599 | |
Total U.S. Treasury Obligations (Cost $994,900) | 994,599 | ||
TIME DEPOSIT - 3.3% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 6,355,445 | 6,355,445 | |
Total Time Deposit (Cost $6,355,445) | 6,355,445 |
52 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
RIGHTS - 0.0% (5) | |||
Biotechnology - 0.0% (5) | |||
Dyax Corp. CVR, Exp. 12/31/19 (1)(3)(6) | 11,242 | 12,479 | |
Tobira Therapeutics, Inc. CVR (1)(3)(6) | 690 | 9,480 | |
21,959 | |||
Pharmaceuticals - 0.0% (5) | |||
Forest Laboratories, Inc. CVR (1)(3)(6) | 1,024 | — | |
Omthera Pharmaceutical, Inc. CVR (1)(3)(6) | 508 | 305 | |
305 | |||
Total Rights (Cost $12,520) | 22,264 | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 5.1% | |||
State Street Navigator Securities Lending Government Money Market Portfolio | 9,963,952 | 9,963,952 | |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $9,963,952) | 9,963,952 | ||
TOTAL INVESTMENTS (Cost $152,560,912) - 105.3% | 204,256,802 | ||
Other assets and liabilities, net - (5.3%) | (10,277,209) | ||
NET ASSETS - 100.0% | 193,979,593 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) Non-income producing security. | ||
(2) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $31,962,097. | ||
(3) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | ||
(4) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | ||
(5) Amount is less than 0.05%. | ||
(6) Restricted security. Total market value of the restricted securities amounts to $22,264, which represents less than 0.05% of the net assets of the Fund as of June 30, 2018. | ||
Abbreviations: | ||
CVR: | Contingent Value Rights |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini Russell 2000 Index | 91 | Sep-18 | $7,496,125 | ($166,055 | ) |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 53
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) | |
Dyax Corp. CVR, Exp. 12/31/19 | 1/25/16 | 12,479 | |
Forest Laboratories, Inc. CVR | 4/14/11 | — | |
Omthera Pharmaceutical, Inc. CVR | 7/19/13 | — | |
Tobira Therapeutics, Inc. CVR | 11/2/16 | 41 | |
See notes to financial statements. |
54 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $152,560,912) - including $31,962,097 of securities on loan | $204,256,802 | ||
Cash | 120 | ||
Receivable for investments sold | 282,249 | ||
Receivable for capital shares sold | 51,979 | ||
Dividends and interest receivable | 176,751 | ||
Securities lending income receivable | 25,614 | ||
Receivable from affiliate | 20,861 | ||
Directors' deferred compensation plan | 29,633 | ||
Other assets | 2,087 | ||
Total assets | 204,846,096 | ||
LIABILITIES | |||
Payable for variation margin on open futures contracts | 13,509 | ||
Payable for investments purchased | 316,346 | ||
Payable for capital shares redeemed | 204,728 | ||
Deposits for securities loaned | 9,963,952 | ||
Payable to affiliates: | |||
Investment advisory fee | 40,588 | ||
Administrative fee | 19,482 | ||
Distribution and service fees | 5,984 | ||
Directors' deferred compensation plan | 29,633 | ||
Accrued expenses | 272,281 | ||
Total liabilities | 10,866,503 | ||
NET ASSETS | $193,979,593 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $116,484,234 | ||
Accumulated undistributed net investment income | 2,906,436 | ||
Accumulated undistributed net realized gain | 23,059,088 | ||
Net unrealized appreciation | 51,529,835 | ||
Total | $193,979,593 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $157,866,591 and 1,731,386 shares outstanding) | $91.18 | ||
Class F (based on net assets of $36,113,002 and 395,384 shares outstanding) | $91.34 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 55
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $154) | $1,183,886 | ||
Interest income | 13,130 | ||
Securities lending income, net | 151,933 | ||
Total investment income | 1,348,949 | ||
EXPENSES | |||
Investment advisory fee | 238,572 | ||
Administrative fee | 114,515 | ||
Distribution and service fees: | |||
Class F | 33,896 | ||
Directors' fees and expenses | 5,184 | ||
Custodian fees | 49,564 | ||
Transfer agency fees and expenses | 71,431 | ||
Accounting fees | 20,700 | ||
Professional fees | 17,899 | ||
Reports to shareholders | 53,999 | ||
Licensing fees | 45,311 | ||
Miscellaneous | 30,241 | ||
Total expenses | 681,312 | ||
Waiver and/or reimbursement of expenses by affiliate | (271,999) | ||
Reimbursement of expenses-other | (1,970) | ||
Net expenses | 407,343 | ||
Net investment income | 941,606 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 13,120,758 | ||
Futures contracts | 341,883 | ||
13,462,641 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (445,537) | ||
Futures contracts | (221,180) | ||
(666,717) | |||
Net realized and unrealized gain | 12,795,924 | ||
Net increase in net assets resulting from operations | $13,737,530 | ||
See notes to financial statements. |
56 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $941,606 | $2,019,158 | |||||
Net realized gain | 13,462,641 | 8,832,554 | |||||
Net change in unrealized appreciation (depreciation) | (666,717) | 13,675,221 | |||||
Net increase in net assets resulting from operations | 13,737,530 | 24,526,933 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (1,158,774) | |||||
Class F shares | — | (231,503) | |||||
Net realized gain: | |||||||
Class I shares | — | (5,485,737) | |||||
Class F shares | — | (1,095,953) | |||||
Total distributions to shareholders | — | (7,971,967) | |||||
Capital share transactions: | |||||||
Class I shares | (12,065,698) | (5,056,681) | |||||
Class F shares | 1,114,286 | 4,997,387 | |||||
Net decrease in net assets from capital share transactions | (10,951,412) | (59,294) | |||||
TOTAL INCREASE IN NET ASSETS | 2,786,118 | 16,495,672 | |||||
NET ASSETS | |||||||
Beginning of period | 191,193,475 | 174,697,803 | |||||
End of period (including accumulated undistributed net investment income of $2,906,436 and $1,964,830, respectively) | $193,979,593 | $191,193,475 | |||||
See notes to financial statements. |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 57
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (1) (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS I SHARES | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $84.82 | $77.43 | $69.72 | $75.83 | $82.34 | $62.39 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.45 | 0.93 | 0.90 | 0.55 | 0.50 | 0.56 | |||||||||||
Net realized and unrealized gain (loss) | 5.91 | 10.12 | 13.70 | (4.44) | 2.99 | 22.96 | |||||||||||
Total from investment operations | 6.36 | 11.05 | 14.60 | (3.89) | 3.49 | 23.52 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (0.64) | (0.41) | (0.12) | (0.48) | (0.58) | |||||||||||
Net realized gain | — | (3.02) | (6.48) | (2.10) | (9.52) | (2.99) | |||||||||||
Total distributions | — | (3.66) | (6.89) | (2.22) | (10.00) | (3.57) | |||||||||||
Total increase (decrease) in net asset value | 6.36 | 7.39 | 7.71 | (6.11) | (6.51) | 19.95 | |||||||||||
Net asset value, ending | $91.18 | $84.82 | $77.43 | $69.72 | $75.83 | $82.34 | |||||||||||
Total return (2) | 7.49 | % | (3) | 14.37 | % | 20.92 | % | (5.19 | %) | 4.15 | % | 37.89 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.68 | % | (5) | 0.65 | % | 0.75 | % | 0.79 | % | 0.75 | % | 0.69 | % | ||||
Net expenses | 0.38 | % | (5) | 0.38 | % | 0.53 | % | 0.74 | % | 0.74 | % | 0.69 | % | ||||
Net investment income | 1.03 | % | (5) | 1.15 | % | 1.25 | % | 0.72 | % | 0.63 | % | 0.75 | % | ||||
Portfolio turnover | 12 | % | (3) | 15 | % | 17 | % | (6) | 14 | % | 21 | % | 11 | % | |||
Net assets, ending (in thousands) | $157,867 | $158,646 | $149,739 | $119,674 | $150,532 | $141,111 | |||||||||||
(1) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
(6) During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. | |||||||||||||||||
See notes to financial statements. |
58 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (1) (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS F SHARES | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $85.07 | $77.84 | $70.13 | $76.31 | $82.79 | $62.68 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.34 | 0.74 | 0.73 | 0.40 | 0.31 | 0.36 | |||||||||||
Net realized and unrealized gain (loss) | 5.93 | 10.15 | 13.76 | (4.48) | 3.01 | 23.11 | |||||||||||
Total from investment operations | 6.27 | 10.89 | 14.49 | (4.08) | 3.32 | 23.47 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (0.64) | (0.30) | — | (0.28) | (0.37) | |||||||||||
Net realized gain | — | (3.02) | (6.48) | (2.10) | (9.52) | (2.99) | |||||||||||
Total distributions | — | (3.66) | (6.78) | (2.10) | (9.80) | (3.36) | |||||||||||
Total increase (decrease) in net asset value | 6.27 | 7.23 | 7.71 | (6.18) | (6.48) | 20.11 | |||||||||||
Net asset value, ending | $91.34 | $85.07 | $77.84 | $70.13 | $76.31 | $82.79 | |||||||||||
Total return (2) | 7.36 | % | (3) | 14.08 | % | 20.63 | % | (5.40 | %) | 3.93 | % | 37.62 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.87 | % | (5) | 0.86 | % | 0.96 | % | 1.01 | % | 0.98 | % | 0.90 | % | ||||
Net expenses | 0.63 | % | (5) | 0.63 | % | 0.78 | % | 0.95 | % | 0.95 | % | 0.90 | % | ||||
Net investment income | 0.79 | % | (5) | 0.91 | % | 1.00 | % | 0.52 | % | 0.43 | % | 0.55 | % | ||||
Portfolio turnover | 12 | % | (3) | 15 | % | 17 | % | (6) | 14 | % | 21 | % | 11 | % | |||
Net assets, ending (in thousands) | $36,113 | $32,547 | $24,959 | $17,439 | $17,153 | $15,007 | |||||||||||
(1) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
(6) During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. | |||||||||||||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Russell 2000® Small Cap Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the investment performance of U.S. common stocks, as represented by the Russell 2000® Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, 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.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or 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. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Short-Term Securities. Short-term securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
60 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Other Securities. Exchange-traded 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. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | |||||||||
Common Stocks | $183,317,602 | (2) | $— | $— | $183,317,602 | ||||||||
Exchange-Traded Funds | 3,602,940 | — | — | 3,602,940 | |||||||||
U.S. Treasury Obligations | — | 994,599 | — | 994,599 | |||||||||
Time Deposit | — | 6,355,445 | — | 6,355,445 | |||||||||
Rights | — | — | 22,264 | 22,264 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 9,963,952 | — | — | 9,963,952 | |||||||||
Total Investments | $196,884,494 | $7,350,044 | $22,264 | $204,256,802 | |||||||||
Liabilities | |||||||||||||
Futures Contracts(3) | ($166,055 | ) | $— | $— | ($166,055 | ) | |||||||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
(2) The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. | |||||||||||||
(3) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended June 30, 2018 is not presented. There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes 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 for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded 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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C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Foreign Currency Transactions: The Fund’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. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E. Futures Contracts: The Fund may enter into futures contracts 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 Fund. 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 Fund’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 Fund.
F. Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
G. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
H. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
I. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
J. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
K. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.25% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $238,572.
62 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.38% for Class I and 0.63% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $259,908.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the six months ended June 30, 2018, CRM was paid administrative fees of $114,515, of which $12,091 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.20% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $33,896 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $197 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund’s allocated portion of such expense and reimbursement was $1,970, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, expenses incurred under the Servicing Plan amounted to $68,614 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $22,864,112 and $33,310,903, respectively.
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 63
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $152,178,396 | ||
Gross unrealized appreciation | $64,358,524 | ||
Gross unrealized depreciation | (12,446,173) | ||
Net unrealized appreciation (depreciation) | $51,912,351 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at June 30, 2018 is included in the Schedule of Investments. During the six months ended June 30, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At June 30, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Net unrealized appreciation | $— | ($166,055 | ) | * | |||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the six months ended June 30, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | $341,883 | ($221,180) |
The average notional cost of futures contracts (long) outstanding during the six months ended June 30, 2018 was approximately $5,416,000.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan was $31,962,097 and the total value of collateral received was $32,802,750, comprised of cash of $9,963,952 and U.S. Government and/or agencies securities of $22,838,798.
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The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $31,809,285 | $— | $— | $— | $31,809,285 | ||||||||||
Exchange-Traded Funds | 993,465 | — | — | — | 993,465 | ||||||||||
Total | $32,802,750 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 64,465 | $5,625,320 | 148,851 | $11,984,172 | |||||||
Reinvestment of distributions | — | — | 80,132 | 6,644,511 | |||||||
Shares redeemed | (203,483 | ) | (17,691,018 | ) | (292,461 | ) | (23,685,364 | ) | |||
Net decrease | (139,018 | ) | ($12,065,698 | ) | (63,478 | ) | ($5,056,681 | ) | |||
Class F | |||||||||||
Shares sold | 55,412 | $4,850,011 | 114,300 | $9,213,913 | |||||||
Reinvestment of distributions | — | — | 15,953 | 1,327,456 | |||||||
Shares redeemed | (42,617 | ) | (3,735,725 | ) | (68,302 | ) | (5,543,982 | ) | |||
Net increase | 12,795 | $1,114,286 | 61,951 | $4,997,387 |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 56.4% of the value of the outstanding shares of the Fund and separate accounts of two other insurance companies each owned more than 10% of the value of the outstanding shares of the Fund, aggregating 24.2%.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP Russell 2000® Small Cap Index Portfolio (the “Fund”), and the investment sub-advisory agreement with Ameritas Investment Partners, Inc. (the “Sub-Adviser”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds
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and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund outperformed the median of its performance universe for the one- and three-year periods ended September 30, 2017, underperformed the median of its performance universe for the five-year period ended September 30, 2017, outperformed the median of its Lipper benchmark index for the one-year period ended September 30, 2017 and underperformed the median of its Lipper benchmark index for the three- and five-year periods ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were at the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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OFFICERS AND DIRECTORS
Officers of Calvert VP Russell 2000® Small Cap Index Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP Russell 2000® Small Cap Index Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24226 6.30.2018 |
Calvert VP EAFE International Index Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Manager Thomas Seto of Calvert Research and Management | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class I at NAV | 11/12/2002 | 11/12/2002 | -2.66 | % | 6.07 | % | 5.62 | % | 2.04 | % | ||||||
Class F at NAV | 12/17/2007 | 11/12/2002 | -2.79 | 5.80 | 5.37 | 1.81 | ||||||||||
MSCI EAFE Index | — | — | -2.75 | % | 6.84 | % | 6.44 | % | 2.84 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class I | Class F | ||||||||||||||
Gross | 0.68 | % | 0.91 | % | ||||||||||||
Net | 0.48 | 0.73 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST HOLDINGS (% of net assets)5 | ||||||
Financials | 19.7 | % | Nestle SA | 1.7 | % | ||
Industrials | 14.3 | % | HSBC Holdings plc | 1.3 | % | ||
Consumer Discretionary | 12.3 | % | Novartis AG | 1.2 | % | ||
Consumer Staples | 11.3 | % | Toyota Motor Corp. | 1.1 | % | ||
Health Care | 10.6 | % | Royal Dutch Shell plc, Class A | 1.1 | % | ||
Materials | 8.2 | % | Roche Holdings AG PC | 1.1 | % | ||
Information Technology | 6.8 | % | Total SA | 1.1 | % | ||
Energy | 6.1 | % | BP plc | 1.0 | % | ||
Telecommunication Services | 3.6 | % | Royal Dutch Shell plc, Class B | 0.9 | % | ||
Real Estate | 3.5 | % | British American Tobacco plc | 0.8 | % | ||
Utilities | 3.2 | % | Total | 11.3 | % | ||
Time Deposit | 0.4 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
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Endnotes and Additional Disclosures |
1 | MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
5 Excludes short term investments.
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FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, 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 section 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 section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $973.40 | $2.40** | 0.49% |
Class F | $1,000.00 | $972.10 | $3.62** | 0.74% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.36 | $2.46** | 0.49% |
Class F | $1,000.00 | $1,021.12 | $3.71** | 0.74% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | ||
COMMON STOCKS - 99.1% | |||
Australia - 6.7% | |||
AGL Energy Ltd. | 5,920 | 98,502 | |
Alumina Ltd. | 14,501 | 30,008 | |
Amcor Ltd. | 10,280 | 109,530 | |
AMP Ltd. | 27,547 | 72,454 | |
APA Group (1) | 11,361 | 82,770 | |
Aristocrat Leisure Ltd. | 4,773 | 109,003 | |
ASX Ltd. | 1,623 | 77,365 | |
Aurizon Holdings Ltd. | 16,477 | 52,692 | |
AusNet Services | 27,031 | 32,105 | |
Australia & New Zealand Banking Group Ltd. | 25,508 | 533,871 | |
Bank of Queensland Ltd. | 3,884 | 29,244 | |
Bendigo & Adelaide Bank Ltd. | 4,706 | 37,700 | |
BGP Holdings plc (2)(3) | 77,172 | — | |
BHP Billiton Ltd. | 27,619 | 691,083 | |
BlueScope Steel Ltd. | 4,388 | 56,002 | |
Boral Ltd. | 10,917 | 52,669 | |
Brambles Ltd. | 14,024 | 92,071 | |
Caltex Australia Ltd. | 2,659 | 63,991 | |
Challenger Ltd. | 5,824 | 50,967 | |
CIMIC Group Ltd. | 1,008 | 31,510 | |
Coca-Cola Amatil Ltd. | 5,839 | 39,715 | |
Cochlear Ltd. | 583 | 86,314 | |
Commonwealth Bank of Australia | 15,572 | 839,838 | |
Computershare Ltd. | 3,586 | 48,850 | |
Crown Resorts Ltd. | 3,713 | 37,048 | |
CSL Ltd. | 4,043 | 575,493 | |
Dexus | 9,869 | 70,936 | |
Domino's Pizza Enterprises Ltd. | 625 | 24,138 | |
Flight Centre Travel Group Ltd. | 565 | 26,597 | |
Fortescue Metals Group Ltd. (1) | 15,873 | 51,539 | |
Goodman Group | 14,771 | 105,300 | |
GPT Group (The) | 14,077 | 52,670 | |
Harvey Norman Holdings Ltd. (1) | 5,671 | 13,932 | |
Healthscope Ltd. | 17,690 | 28,865 | |
Incitec Pivot Ltd. | 17,202 | 46,153 | |
Insurance Australia Group Ltd. | 22,094 | 139,384 | |
Lend Lease Group | 4,354 | 63,749 | |
Macquarie Group Ltd. | 2,911 | 265,298 | |
Medibank Pvt Ltd. | 21,199 | 45,774 | |
Mirvac Group | 28,589 | 45,886 | |
National Australia Bank Ltd. | 23,635 | 479,899 | |
Newcrest Mining Ltd. | 4,242 | 68,878 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 5
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Oil Search Ltd. | 13,972 | 91,795 | |
Origin Energy Ltd. (3) | 14,640 | 108,587 | |
QBE Insurance Group Ltd. | 9,679 | 69,682 | |
Ramsay Health Care Ltd. | 1,442 | 57,584 | |
REA Group Ltd. | 537 | 36,039 | |
Rio Tinto Ltd. | 3,617 | 223,477 | |
Santos Ltd. (3) | 16,283 | 75,417 | |
Scentre Group | 45,895 | 149,115 | |
Seek Ltd. | 3,336 | 53,760 | |
Sonic Healthcare Ltd. | 4,020 | 72,923 | |
South32 Ltd. | 48,353 | 129,118 | |
Stockland | 19,317 | 56,757 | |
Suncorp Group Ltd. | 11,669 | 125,844 | |
Sydney Airport | 11,138 | 58,964 | |
TABCORP Holdings Ltd. (1) | 15,814 | 52,132 | |
Telstra Corp. Ltd. | 32,005 | 61,902 | |
TPG Telecom Ltd. (1) | 3,460 | 13,226 | |
Transurban Group | 20,409 | 180,728 | |
Treasury Wine Estates Ltd. | 6,449 | 82,857 | |
Vicinity Centres | 25,959 | 49,785 | |
Wesfarmers Ltd. | 10,212 | 372,598 | |
Westpac Banking Corp. | 30,242 | 656,764 | |
Woodside Petroleum Ltd. | 7,674 | 201,109 | |
Woolworths Group Ltd. | 9,527 | 215,155 | |
8,655,111 | |||
Austria - 0.2% | |||
Andritz AG | 510 | 27,031 | |
Erste Group Bank AG | 2,738 | 114,147 | |
OMV AG | 1,501 | 84,893 | |
Raiffeisen Bank International AG | 1,194 | 36,583 | |
Voestalpine AG | 1,159 | 53,295 | |
315,949 | |||
Belgium - 1.1% | |||
Ageas | 1,707 | 85,936 | |
Anheuser-Busch InBev SA/NV | 6,782 | 684,066 | |
Colruyt SA | 686 | 39,112 | |
Groupe Bruxelles Lambert SA | 572 | 60,174 | |
KBC Groep NV | 2,172 | 166,810 | |
Proximus | 1,550 | 34,863 | |
Solvay SA | 647 | 81,482 | |
Telenet Group Holding NV (3) | 537 | 25,001 | |
UCB SA | 1,084 | 84,975 | |
Umicore SA | 1,940 | 110,749 | |
1,373,168 | |||
6 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
China - 0.0% (4) | |||
Minth Group Ltd. | 2,000 | 8,459 | |
Denmark - 1.6% | |||
AP Moller - Maersk A/S, Class A | 38 | 44,907 | |
AP Moller - Maersk A/S, Class B | 44 | 54,432 | |
Carlsberg A/S, Class B | 953 | 112,129 | |
Chr Hansen Holding A/S | 842 | 77,515 | |
Coloplast A/S, Class B | 1,211 | 120,909 | |
Danske Bank A/S | 6,396 | 199,260 | |
DSV A/S | 1,748 | 140,717 | |
Genmab A/S (3) | 505 | 77,703 | |
H Lundbeck A/S | 411 | 28,806 | |
ISS A/S | 1,703 | 58,331 | |
Novo Nordisk A/S, Class B | 15,182 | 701,265 | |
Novozymes A/S, Class B | 2,037 | 103,028 | |
Orsted A/S (5) | 1,584 | 95,707 | |
Pandora A/S | 992 | 69,140 | |
Tryg A/S | 1,180 | 27,634 | |
Vestas Wind Systems A/S | 1,796 | 110,878 | |
William Demant Holding A/S (3) | 1,220 | 48,961 | |
2,071,322 | |||
Finland - 1.0% | |||
Elisa Oyj | 1,450 | 66,986 | |
Fortum Oyj | 3,869 | 92,156 | |
Kone Oyj, Class B | 2,681 | 136,317 | |
Metso Oyj | 1,149 | 38,325 | |
Neste Oyj | 1,105 | 86,454 | |
Nokia Oyj | 48,318 | 277,146 | |
Nokian Renkaat Oyj | 1,167 | 45,954 | |
Orion Oyj, Class B | 1,045 | 28,105 | |
Sampo Oyj, Class A | 3,659 | 178,196 | |
Stora Enso Oyj, Class R | 4,859 | 94,663 | |
UPM-Kymmene Oyj | 4,904 | 174,608 | |
Wartsila Oyj Abp | 3,830 | 74,979 | |
1,293,889 | |||
France - 10.2% | |||
Accor SA | 1,729 | 84,679 | |
Aeroports de Paris | 234 | 52,858 | |
Air Liquide SA | 3,829 | 479,947 | |
Alstom SA | 946 | 43,401 | |
Amundi SA (5) | 600 | 41,475 | |
Arkema SA | 578 | 68,204 | |
Atos SE | 785 | 106,742 | |
AXA SA | 17,356 | 424,073 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 7
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
BioMerieux | 321 | 28,841 | |
BNP Paribas SA | 10,596 | 655,436 | |
Bollore SA | 8,863 | 41,159 | |
Bouygues SA | 2,111 | 90,705 | |
Bureau Veritas SA | 2,703 | 72,055 | |
Capgemini SE | 1,472 | 197,262 | |
Carrefour SA | 3,627 | 58,507 | |
Cie de Saint-Gobain | 4,545 | 202,457 | |
Cie Generale des Etablissements Michelin SCA | 1,561 | 188,847 | |
CNP Assurances | 1,750 | 39,759 | |
Covivio | 345 | 35,847 | |
Credit Agricole SA | 10,461 | 138,844 | |
Danone SA | 5,408 | 394,851 | |
Dassault Aviation SA | 9 | 17,113 | |
Dassault Systemes SE | 1,153 | 161,355 | |
Edenred | 2,118 | 66,901 | |
Eiffage SA | 600 | 65,186 | |
Electricite de France SA | 3,403 | 46,695 | |
Engie SA | 15,926 | 243,612 | |
Essilor International Cie Generale d'Optique SA | 1,882 | 265,355 | |
Eurazeo SA | 454 | 34,364 | |
Eutelsat Communications SA | 1,779 | 36,817 | |
Faurecia SA | 500 | 35,543 | |
Gecina SA | 419 | 69,997 | |
Getlink | 4,766 | 65,341 | |
Hermes International | 201 | 122,782 | |
Icade SA | 224 | 20,982 | |
Iliad SA | 269 | 42,444 | |
Imerys SA | 365 | 29,458 | |
Ingenico Group | 559 | 50,122 | |
Ipsen SA | 305 | 47,705 | |
JC Decaux SA | 757 | 25,277 | |
Kering SA | 680 | 383,044 | |
Klepierre SA | 1,998 | 75,071 | |
L'Oreal SA | 2,116 | 521,650 | |
Legrand SA | 2,437 | 178,503 | |
LVMH Moet Hennessy Louis Vuitton SE | 2,478 | 822,743 | |
Natixis SA | 7,719 | 54,616 | |
Orange SA | 21,469 | 358,363 | |
Pernod-Ricard SA | 1,915 | 312,537 | |
Peugeot SA | 4,946 | 112,696 | |
Publicis Groupe SA | 1,770 | 121,462 | |
Remy Cointreau SA | 223 | 28,870 | |
Renault SA | 1,759 | 149,025 | |
Rexel SA | 3,081 | 44,228 | |
Safran SA | 3,002 | 363,557 | |
Sanofi SA | 10,104 | 810,942 |
8 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Schneider Electric SE | 5,031 | 418,412 | |
SCOR SE | 1,663 | 61,499 | |
SEB SA | 228 | 39,778 | |
Societe BIC SA | 293 | 27,163 | |
Societe Generale SA | 6,891 | 289,628 | |
Sodexo SA | 778 | 77,663 | |
Suez | 3,330 | 43,077 | |
Teleperformance | 300 | 52,949 | |
Thales SA | 954 | 122,736 | |
Total SA | 22,276 | 1,352,726 | |
Ubisoft Entertainment SA (3) | 765 | 83,621 | |
Unibail-Rodamco-Westfield (3)(6) | 413 | 91,041 | |
Unibail-Rodamco-Westfield (3)(6) | 910 | 200,372 | |
Valeo SA | 2,186 | 119,189 | |
Veolia Environnement SA | 4,212 | 90,006 | |
Vinci SA | 4,541 | 435,896 | |
Vivendi SA | 9,402 | 230,000 | |
Wendel SA | 285 | 39,214 | |
13,005,275 | |||
Germany - 9.4% | |||
1&1 Drillisch AG | 500 | 28,363 | |
adidas AG | 1,688 | 367,507 | |
Allianz SE | 4,022 | 828,752 | |
Axel Springer SE | 440 | 31,797 | |
BASF SE | 8,304 | 792,771 | |
Bayer AG | 7,346 | 806,763 | |
Bayerische Motoren Werke AG | 2,983 | 269,641 | |
Bayerische Motoren Werke AG, PFC Shares | 555 | 44,149 | |
Beiersdorf AG | 1,027 | 116,408 | |
Brenntag AG | 1,575 | 87,510 | |
Commerzbank AG (3) | 9,705 | 92,579 | |
Continental AG | 995 | 226,440 | |
Covestro AG (5) | 1,139 | 101,238 | |
Daimler AG | 8,574 | 549,226 | |
Delivery Hero AG (3)(5) | 1,401 | 74,260 | |
Deutsche Bank AG | 11,647 | 124,605 | |
Deutsche Boerse AG | 1,754 | 233,201 | |
Deutsche Lufthansa AG | 2,376 | 56,923 | |
Deutsche Post AG | 9,057 | 294,265 | |
Deutsche Telekom AG | 29,779 | 460,217 | |
Deutsche Wohnen SE | 3,115 | 150,436 | |
E.ON SE | 13,335 | 142,078 | |
Evonik Industries AG | 1,650 | 56,453 | |
Fraport AG Frankfurt Airport Services Worldwide | 424 | 40,791 | |
Fresenius Medical Care AG & Co. KGaA | 2,024 | 203,799 | |
Fresenius SE & Co. KGaA | 3,759 | 300,963 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 9
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Fuchs Petrolub SE, PFC Shares | 708 | 34,838 | |
GEA Group AG | 1,832 | 61,698 | |
Hannover Rueck SE | 614 | 76,334 | |
HeidelbergCement AG | 1,352 | 113,523 | |
Henkel AG & Co. KGaA | 931 | 103,371 | |
Henkel AG & Co. KGaA, PFC Shares | 1,609 | 205,306 | |
Hochtief AG | 211 | 38,050 | |
Hugo Boss AG | 681 | 61,759 | |
Infineon Technologies AG | 11,462 | 291,150 | |
Innogy SE (5) | 1,405 | 60,027 | |
K&S AG | 1,937 | 47,648 | |
KION Group AG | 300 | 21,534 | |
Lanxess AG | 933 | 72,537 | |
Linde AG | 1,388 | 329,759 | |
Merck KGAA | 1,308 | 127,330 | |
METRO AG | 1,817 | 22,392 | |
MTU Aero Engines AG | 300 | 57,462 | |
Muenchener Rueckversicherungs-Gesellschaft AG | 1,443 | 303,380 | |
OSRAM Licht AG | 907 | 36,937 | |
Porsche Automobil Holding SE, PFC Shares | 1,254 | 79,623 | |
ProSiebenSat.1 Media SE | 2,358 | 59,669 | |
Puma SE | 56 | 32,716 | |
RTL Group SA | 344 | 23,312 | |
RWE AG | 4,589 | 104,283 | |
SAP SE | 8,724 | 1,006,904 | |
Sartorius AG, PFC Shares | 450 | 66,992 | |
Schaeffler AG, PFC Shares | 1,692 | 21,961 | |
Siemens AG | 6,796 | 895,413 | |
Siemens Healthineers AG (3)(5) | 1,608 | 66,263 | |
Symrise AG | 1,257 | 109,955 | |
Telefonica Deutschland Holding AG (5) | 7,582 | 29,827 | |
ThyssenKrupp AG | 3,750 | 90,900 | |
TUI AG | 4,204 | 91,950 | |
Uniper SE | 996 | 29,654 | |
United Internet AG | 1,254 | 71,593 | |
Volkswagen AG | 330 | 54,250 | |
Volkswagen AG, PFC Shares | 1,662 | 274,579 | |
Vonovia SE | 4,410 | 209,604 | |
Wirecard AG | 688 | 110,094 | |
Zalando SE (3)(5) | 881 | 49,100 | |
12,024,812 | |||
Hong Kong - 3.6% | |||
AIA Group Ltd. | 107,166 | 933,567 | |
ASM Pacific Technology Ltd. | 3,274 | 41,264 | |
Bank of East Asia Ltd. (The) | 3,710 | 14,787 | |
BOC Hong Kong Holdings Ltd. | 33,956 | 159,591 |
10 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
CK Asset Holdings Ltd. | 23,066 | 182,598 | |
CK Hutchison Holdings Ltd. | 21,347 | 225,980 | |
CK Infrastructure Holdings Ltd. | 6,756 | 50,013 | |
CLP Holdings Ltd. | 14,122 | 152,113 | |
Dairy Farm International Holdings Ltd. | 7,400 | 64,970 | |
Galaxy Entertainment Group Ltd. | 21,913 | 168,915 | |
Hang Lung Group Ltd. | 8,939 | 25,029 | |
Hang Lung Properties Ltd. | 16,926 | 34,767 | |
Hang Seng Bank Ltd. | 6,440 | 160,809 | |
Henderson Land Development Co. Ltd. | 13,460 | 70,978 | |
HK Electric Investments & HK Electric Investments Ltd. (5) | 27,027 | 25,835 | |
HKT Trust & HKT Ltd. | 27,020 | 34,605 | |
Hong Kong & China Gas Co. Ltd. | 85,750 | 163,914 | |
Hong Kong Exchanges & Clearing Ltd. | 10,606 | 317,411 | |
Hongkong Land Holdings Ltd. | 9,294 | 66,442 | |
Hysan Development Co. Ltd. | 6,398 | 35,710 | |
Jardine Matheson Holdings Ltd. | 2,019 | 127,224 | |
Jardine Strategic Holdings Ltd. | 2,100 | 76,500 | |
Kerry Properties Ltd. | 6,621 | 31,641 | |
Li & Fung Ltd. | 70,000 | 25,640 | |
Link | 20,189 | 184,111 | |
Melco Resorts & Entertainment, Ltd. ADR | 1,940 | 54,320 | |
MGM China Holdings Ltd. (1) | 9,686 | 22,396 | |
MTR Corp. Ltd. | 11,981 | 66,179 | |
New World Development Co. Ltd. | 57,431 | 80,341 | |
NWS Holdings Ltd. | 15,628 | 26,970 | |
PCCW Ltd. | 42,738 | 24,048 | |
Power Assets Holdings Ltd. | 11,042 | 77,137 | |
Sands China Ltd. | 19,483 | 103,871 | |
Shangri-La Asia Ltd. | 12,775 | 23,933 | |
Sino Land Co. Ltd. | 31,433 | 51,078 | |
SJM Holdings Ltd. | 21,000 | 26,045 | |
Sun Hung Kai Properties Ltd. | 12,652 | 190,614 | |
Swire Pacific Ltd., Class A | 4,537 | 47,955 | |
Swire Properties Ltd. | 11,929 | 43,994 | |
Techtronic Industries Co. Ltd. | 14,025 | 77,893 | |
WH Group Ltd. (5) | 81,549 | 65,988 | |
Wharf Holdings Ltd. (The) | 8,906 | 28,520 | |
Wharf Real Estate Investment Co. Ltd. | 11,905 | 84,534 | |
Wheelock & Co. Ltd. | 8,286 | 57,584 | |
Wynn Macau Ltd. | 15,891 | 50,925 | |
Yue Yuen Industrial Holdings Ltd. | 7,565 | 21,323 | |
4,600,062 | |||
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 11
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Ireland - 1.2% | |||
AIB Group plc | 8,000 | 43,323 | |
Bank of Ireland Group plc | 7,679 | 59,591 | |
CRH plc | 7,474 | 262,893 | |
DCC plc | 904 | 81,974 | |
Experian plc | 8,558 | 211,114 | |
James Hardie Industries plc CDI | 3,691 | 61,883 | |
Kerry Group plc, Class A | 1,467 | 153,360 | |
Paddy Power Betfair plc | 656 | 72,734 | |
Ryanair Holdings plc (3) | 1,686 | 31,044 | |
Shire plc | 8,134 | 458,260 | |
Smurfit Kappa Group plc | 1,686 | 68,066 | |
1,504,242 | |||
Israel - 0.5% | |||
Azrieli Group Ltd. | 432 | 21,473 | |
Bank Hapoalim BM | 10,868 | 73,677 | |
Bank Leumi Le-Israel BM | 14,751 | 87,283 | |
Bezeq The Israeli Telecommunication Corp. Ltd. | 21,147 | 23,833 | |
Check Point Software Technologies Ltd. (3) | 1,301 | 127,082 | |
Elbit Systems Ltd. | 237 | 27,904 | |
Frutarom Industries Ltd. | 387 | 38,061 | |
Israel Chemicals Ltd. | 5,940 | 27,215 | |
Mizrahi Tefahot Bank Ltd. | 1,418 | 26,088 | |
Nice Ltd. (3) | 610 | 63,133 | |
Teva Pharmaceutical Industries Ltd. | 4,374 | 105,905 | |
Teva Pharmaceutical Industries Ltd. ADR | 1,833 | 44,578 | |
666,232 | |||
Italy - 2.1% | |||
Assicurazioni Generali SpA | 11,102 | 185,603 | |
Atlantia SpA | 4,209 | 124,091 | |
Enel SpA | 72,788 | 403,331 | |
Eni SpA | 21,945 | 406,890 | |
Ferrari NV | 1,129 | 152,606 | |
Intesa Sanpaolo SpA | 120,643 | 349,053 | |
Intesa Sanpaolo SpA, PFC Shares | 9,507 | 28,725 | |
Leonardo SpA | 4,126 | 40,610 | |
Luxottica Group SpA | 1,485 | 95,613 | |
Mediobanca Banca di Credito Finanziario SpA | 5,772 | 53,391 | |
Moncler SpA | 1,356 | 61,529 | |
Pirelli & C SpA (3)(5) | 2,992 | 24,915 | |
Poste Italiane SpA (5) | 5,326 | 44,454 | |
Prysmian SpA | 1,988 | 49,328 | |
Recordati SpA | 1,702 | 67,442 | |
Snam SpA | 21,569 | 89,887 | |
Telecom Italia SpA (3) | 103,232 | 76,483 |
12 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Telecom Italia SpA, PFC Shares | 61,458 | 39,995 | |
Terna Rete Elettrica Nazionale SpA | 12,851 | 69,404 | |
UniCredit SpA | 17,976 | 297,941 | |
2,661,291 | |||
Japan - 23.9% | |||
ABC-Mart, Inc. | 336 | 18,365 | |
Acom Co. Ltd. (1) | 4,068 | 15,617 | |
AEON Co. Ltd. | 5,767 | 123,369 | |
AEON Financial Service Co. Ltd. | 1,135 | 24,191 | |
AEON Mall Co. Ltd. | 1,161 | 20,827 | |
Air Water, Inc. | 1,519 | 27,858 | |
Aisin Seiki Co. Ltd. | 1,652 | 75,220 | |
Ajinomoto Co., Inc. | 4,699 | 88,948 | |
Alfresa Holdings Corp. | 1,916 | 44,992 | |
Alps Electric Co. Ltd. | 1,919 | 49,284 | |
Amada Holdings Co. Ltd. | 3,469 | 33,293 | |
ANA Holdings, Inc. | 1,183 | 43,407 | |
Aozora Bank Ltd. | 1,206 | 45,770 | |
Asahi Glass Co. Ltd. (1) | 1,656 | 64,412 | |
Asahi Group Holdings Ltd. | 3,515 | 180,276 | |
Asahi Kasei Corp. | 11,670 | 147,992 | |
Asics Corp. (1) | 1,631 | 27,533 | |
Astellas Pharma, Inc. | 18,601 | 283,081 | |
Bandai Namco Holdings, Inc. | 2,037 | 83,907 | |
Bank of Kyoto Ltd. (The) | 618 | 28,534 | |
Benesse Holdings, Inc. | 678 | 24,043 | |
Bridgestone Corp. | 5,884 | 229,846 | |
Brother Industries Ltd. | 2,405 | 47,381 | |
Calbee, Inc. | 818 | 30,771 | |
Canon, Inc. (1) | 8,800 | 288,565 | |
Casio Computer Co. Ltd. (1) | 1,531 | 24,865 | |
Central Japan Railway Co. | 1,259 | 260,650 | |
Chiba Bank Ltd. (The) | 5,241 | 36,964 | |
Chubu Electric Power Co., Inc. | 5,669 | 85,003 | |
Chugai Pharmaceutical Co. Ltd. | 1,982 | 103,779 | |
Chugoku Electric Power Co., Inc. (The) | 2,837 | 36,649 | |
Coca-Cola Bottlers Japan Holdings, Inc. (1) | 1,200 | 48,011 | |
Concordia Financial Group Ltd. | 11,931 | 60,631 | |
Credit Saison Co. Ltd. | 1,512 | 23,755 | |
CyberAgent, Inc. | 400 | 23,989 | |
Dai Nippon Printing Co. Ltd. | 2,705 | 60,448 | |
Dai-ichi Life Holdings, Inc. | 9,813 | 174,648 | |
Daicel Corp. | 2,854 | 31,528 | |
Daiichi Sankyo Co. Ltd. | 5,200 | 198,658 | |
Daikin Industries Ltd. | 2,273 | 271,653 | |
Daito Trust Construction Co. Ltd. | 616 | 100,207 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 13
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Daiwa House Industry Co. Ltd. | 5,132 | 174,600 | |
Daiwa Securities Group, Inc. | 14,525 | 84,185 | |
DeNA Co., Ltd. | 1,068 | 19,999 | |
Denso Corp. | 4,322 | 210,889 | |
Dentsu, Inc. | 1,905 | 90,179 | |
Don Quijote Holdings Co. Ltd. | 909 | 43,631 | |
East Japan Railway Co. | 2,950 | 282,508 | |
Eisai Co. Ltd. | 2,351 | 165,487 | |
Electric Power Development Co. Ltd. | 1,493 | 38,535 | |
FamilyMart UNY Holdings Co. Ltd. (1) | 833 | 87,719 | |
FANUC Corp. | 1,662 | 329,428 | |
Fast Retailing Co. Ltd. | 436 | 199,834 | |
Fuji Electric Co. Ltd. | 5,708 | 43,359 | |
FUJIFILM Holdings Corp. | 3,627 | 141,463 | |
Fujitsu Ltd. | 16,524 | 99,995 | |
Fukuoka Financial Group, Inc. | 7,889 | 39,589 | |
Hakuhodo DY Holdings, Inc. | 2,178 | 34,922 | |
Hamamatsu Photonics KK | 1,451 | 62,288 | |
Hankyu Hanshin Holdings, Inc. | 2,062 | 82,829 | |
Hikari Tsushin, Inc. | 219 | 38,434 | |
Hino Motors Ltd. | 2,636 | 28,108 | |
Hirose Electric Co. Ltd. | 342 | 42,297 | |
Hisamitsu Pharmaceutical Co., Inc. | 630 | 53,084 | |
Hitachi Chemical Co. Ltd. | 1,062 | 21,380 | |
Hitachi Construction Machinery Co. Ltd. | 1,096 | 35,532 | |
Hitachi High-Technologies Corp. | 702 | 28,557 | |
Hitachi Ltd. | 43,924 | 309,444 | |
Hitachi Metals Ltd. | 2,186 | 22,666 | |
Honda Motor Co. Ltd. | 13,901 | 407,591 | |
Hoshizaki Corp. | 316 | 31,936 | |
HOYA Corp. | 3,523 | 199,856 | |
Hulic Co. Ltd. | 3,040 | 32,446 | |
Idemitsu Kosan Co. Ltd. | 897 | 31,899 | |
IHI Corp. | 1,498 | 52,106 | |
Iida Group Holdings Co. Ltd. | 1,500 | 28,877 | |
INPEX Corp. | 8,491 | 88,186 | |
Isetan Mitsukoshi Holdings Ltd. | 3,424 | 42,717 | |
Isuzu Motors Ltd. | 5,055 | 67,015 | |
ITOCHU Corp. | 13,548 | 245,027 | |
J Front Retailing Co. Ltd. | 2,460 | 37,370 | |
Japan Airlines Co. Ltd. | 820 | 29,053 | |
Japan Exchange Group, Inc. | 4,518 | 83,800 | |
Japan Post Bank Co. Ltd. | 2,200 | 25,578 | |
Japan Post Holdings Co. Ltd. | 8,500 | 93,022 | |
Japan Prime Realty Investment Corp. | 8 | 29,063 | |
Japan Real Estate Investment Corp. | 10 | 52,900 | |
Japan Retail Fund Investment Corp. | 25 | 45,096 |
14 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Japan Tobacco, Inc. | 7,734 | 216,138 | |
JFE Holdings, Inc. | 4,625 | 87,356 | |
JGC Corp. | 2,113 | 42,503 | |
JSR Corp. | 1,959 | 33,292 | |
JTEKT Corp. | 2,275 | 30,880 | |
JXTG Holdings, Inc. | 26,738 | 185,502 | |
Kajima Corp. | 7,163 | 55,346 | |
Kakaku.com, Inc. | 1,455 | 32,764 | |
Kamigumi Co. Ltd. | 1,188 | 24,658 | |
Kaneka Corp. | 2,854 | 25,559 | |
Kansai Electric Power Co., Inc. (The) | 6,078 | 88,642 | |
Kansai Paint Co. Ltd. | 1,523 | 31,606 | |
Kao Corp. | 4,501 | 343,073 | |
Kawasaki Heavy Industries Ltd. | 1,447 | 42,557 | |
KDDI Corp. | 16,267 | 444,819 | |
Keihan Holdings Co. Ltd. | 1,038 | 37,216 | |
Keikyu Corp. | 2,389 | 39,130 | |
Keio Corp. | 1,179 | 56,970 | |
Keisei Electric Railway Co. Ltd. | 1,406 | 48,229 | |
Keyence Corp. | 890 | 501,973 | |
Kikkoman Corp. | 1,501 | 75,783 | |
Kintetsu Group Holdings Co. Ltd. | 1,546 | 63,039 | |
Kirin Holdings Co. Ltd. | 7,826 | 209,775 | |
Kobe Steel Ltd. | 3,157 | 28,850 | |
Koito Manufacturing Co. Ltd. | 947 | 62,552 | |
Komatsu Ltd. | 8,346 | 237,599 | |
Konami Holdings Corp. | 951 | 48,322 | |
Konica Minolta, Inc. | 4,612 | 42,773 | |
Kose Corp. | 308 | 66,249 | |
Kubota Corp. | 9,711 | 152,413 | |
Kuraray Co. Ltd. | 3,618 | 49,760 | |
Kurita Water Industries Ltd. | 1,032 | 29,394 | |
Kyocera Corp. | 2,948 | 165,789 | |
Kyowa Hakko Kirin Co. Ltd. | 2,644 | 53,219 | |
Kyushu Electric Power Co., Inc. | 3,051 | 34,067 | |
Kyushu Railway Co. | 900 | 27,518 | |
Lawson, Inc. | 364 | 22,733 | |
LINE Corp. (3) | 439 | 18,125 | |
Lion Corp. | 1,722 | 31,510 | |
LIXIL Group Corp. | 2,713 | 54,221 | |
M3, Inc. | 1,979 | 78,701 | |
Mabuchi Motor Co. Ltd. | 499 | 23,684 | |
Makita Corp. | 1,948 | 87,140 | |
Marubeni Corp. | 14,833 | 112,929 | |
Marui Group Co. Ltd. (1) | 2,130 | 44,805 | |
Maruichi Steel Tube Ltd. | 575 | 19,486 | |
Mazda Motor Corp. | 4,510 | 55,322 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 15
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
McDonald’s Holdings Company (Japan), Ltd. | 677 | 34,523 | |
Mebuki Financial Group, Inc. | 9,500 | 31,867 | |
Medipal Holdings Corp. | 1,745 | 35,052 | |
MEIJI Holdings Co. Ltd. | 1,167 | 98,558 | |
MINEBEA MITSUMI, Inc. | 3,459 | 58,290 | |
MISUMI Group, Inc. | 2,280 | 66,336 | |
Mitsubishi Chemical Holdings Corp. | 13,822 | 115,424 | |
Mitsubishi Corp. | 13,590 | 376,838 | |
Mitsubishi Electric Corp. | 17,460 | 231,658 | |
Mitsubishi Estate Co. Ltd. | 10,868 | 189,722 | |
Mitsubishi Gas Chemical Co., Inc. | 1,848 | 41,761 | |
Mitsubishi Heavy Industries Ltd. | 2,544 | 92,478 | |
Mitsubishi Tanabe Pharma Corp. | 1,789 | 30,887 | |
Mitsubishi UFJ Financial Group, Inc. | 106,076 | 600,908 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 4,566 | 27,991 | |
Mitsui & Co. Ltd. | 15,475 | 257,694 | |
Mitsui Chemicals, Inc. | 1,875 | 49,835 | |
Mitsui Fudosan Co. Ltd. | 6,731 | 162,138 | |
Mizuho Financial Group, Inc. | 208,814 | 351,744 | |
MS&AD Insurance Group Holdings, Inc. | 4,228 | 131,316 | |
Murata Manufacturing Co. Ltd. | 1,338 | 224,619 | |
Nabtesco Corp. | 1,148 | 35,272 | |
Nagoya Railroad Co. Ltd. | 1,875 | 48,365 | |
NEC Corp. | 2,055 | 56,315 | |
Nexon Co. Ltd. (3) | 3,550 | 51,508 | |
NGK Insulators Ltd. | 2,671 | 47,458 | |
NGK Spark Plug Co. Ltd. | 1,223 | 34,768 | |
NH Foods Ltd. | 883 | 35,696 | |
Nidec Corp. | 2,114 | 316,232 | |
Nikon Corp. | 3,474 | 55,210 | |
Nintendo Co. Ltd. | 1,021 | 333,284 | |
Nippon Building Fund, Inc. | 12 | 69,219 | |
Nippon Express Co. Ltd. | 576 | 41,738 | |
Nippon Paint Holdings Co. Ltd. (1) | 1,658 | 71,303 | |
Nippon Prologis REIT, Inc. (1) | 10 | 20,754 | |
Nippon Steel & Sumitomo Metal Corp. | 6,175 | 121,074 | |
Nippon Telegraph & Telephone Corp. | 5,902 | 268,116 | |
Nippon Yusen KK | 1,647 | 32,630 | |
Nissan Chemical Industries Ltd. | 1,247 | 58,088 | |
Nissan Motor Co. Ltd. | 18,443 | 179,454 | |
Nisshin Seifun Group, Inc. | 2,017 | 42,738 | |
Nissin Foods Holdings Co. Ltd. | 598 | 43,328 | |
Nitori Holdings Co. Ltd. | 716 | 111,394 | |
Nitto Denko Corp. | 1,470 | 110,981 | |
NOK Corp. | 970 | 18,735 | |
Nomura Holdings, Inc. | 31,557 | 152,706 | |
Nomura Real Estate Holdings, Inc. | 1,270 | 28,119 |
16 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Nomura Real Estate Master Fund, Inc. | 29 | 40,961 | |
Nomura Research Institute Ltd. | 1,300 | 62,896 | |
NSK Ltd. | 3,396 | 34,954 | |
NTT Data Corp. | 6,430 | 73,964 | |
NTT DoCoMo, Inc. | 11,724 | 298,755 | |
Obayashi Corp. | 5,320 | 55,240 | |
Obic Co. Ltd. | 660 | 54,527 | |
Odakyu Electric Railway Co. Ltd. | 2,305 | 49,433 | |
Oji Holdings Corp. | 8,273 | 51,268 | |
Olympus Corp. | 2,569 | 96,100 | |
Omron Corp. | 1,663 | 77,469 | |
Ono Pharmaceutical Co. Ltd. | 3,505 | 82,055 | |
Oracle Corp. Japan | 389 | 31,705 | |
Oriental Land Co. Ltd. | 1,924 | 201,725 | |
ORIX Corp. | 12,102 | 190,753 | |
Osaka Gas Co. Ltd. | 3,123 | 64,665 | |
Otsuka Corp. | 1,064 | 41,653 | |
Otsuka Holdings Co. Ltd. | 3,552 | 171,820 | |
Panasonic Corp. | 19,947 | 268,974 | |
Park24 Co. Ltd. | 1,041 | 28,311 | |
Pola Orbis Holdings, Inc. | 932 | 40,957 | |
Recruit Holdings Co. Ltd. | 10,057 | 277,761 | |
Renesas Electronics Corp. (3) | 2,700 | 26,395 | |
Resona Holdings, Inc. | 19,311 | 102,923 | |
Ricoh Co. Ltd. | 6,835 | 62,593 | |
Rinnai Corp. | 346 | 30,493 | |
Rohm Co. Ltd. | 907 | 75,793 | |
Ryohin Keikaku Co. Ltd. | 243 | 85,372 | |
Santen Pharmaceutical Co. Ltd. | 2,900 | 50,450 | |
SBI Holdings, Inc. | 1,575 | 40,383 | |
Secom Co. Ltd. | 1,648 | 126,375 | |
Sega Sammy Holdings, Inc. | 1,500 | 25,673 | |
Seibu Holdings, Inc. | 1,744 | 29,368 | |
Seiko Epson Corp. | 2,852 | 49,515 | |
Sekisui Chemical Co. Ltd. | 3,264 | 55,523 | |
Sekisui House Ltd. | 4,350 | 76,884 | |
Seven & I Holdings Co. Ltd. | 6,826 | 297,721 | |
Seven Bank Ltd. | 6,071 | 18,538 | |
Sharp Corp. (1) | 1,524 | 37,068 | |
Shimadzu Corp. | 2,414 | 72,833 | |
Shimamura Co. Ltd. | 225 | 19,782 | |
Shimano, Inc. | 650 | 95,384 | |
Shimizu Corp. | 5,627 | 58,240 | |
Shin-Etsu Chemical Co. Ltd. | 3,335 | 296,376 | |
Shinsei Bank Ltd. | 1,822 | 27,956 | |
Shionogi & Co. Ltd. | 2,721 | 139,625 | |
Shiseido Co. Ltd. | 3,474 | 275,683 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 17
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Shizuoka Bank Ltd. (The) | 3,925 | 35,291 | |
Showa Shell Sekiyu KK | 1,921 | 28,621 | |
SMC Corp. | 479 | 175,357 | |
SoftBank Group Corp. | 6,792 | 485,004 | |
Sohgo Security Services Co. Ltd. | 728 | 34,251 | |
Sompo Holdings, Inc. | 3,199 | 129,080 | |
Sony Corp. | 11,280 | 577,698 | |
Sony Financial Holdings, Inc. (1) | 1,774 | 33,800 | |
Stanley Electric Co. Ltd. | 1,134 | 38,613 | |
Start Today Co. Ltd. | 1,807 | 65,378 | |
Subaru Corp. | 5,228 | 152,056 | |
Sumco Corp. (1) | 1,000 | 20,084 | |
Sumitomo Chemical Co. Ltd. | 13,034 | 73,715 | |
Sumitomo Corp. | 10,925 | 179,168 | |
Sumitomo Dainippon Pharma Co. Ltd. | 1,622 | 34,282 | |
Sumitomo Electric Industries Ltd. | 6,690 | 99,498 | |
Sumitomo Heavy Industries Ltd. | 1,127 | 37,972 | |
Sumitomo Metal Mining Co. Ltd. | 2,120 | 80,913 | |
Sumitomo Mitsui Financial Group, Inc. | 11,997 | 467,955 | |
Sumitomo Mitsui Trust Holdings, Inc. | 2,582 | 101,869 | |
Sumitomo Realty & Development Co. Ltd. | 2,468 | 90,884 | |
Sumitomo Rubber Industries Ltd. (1) | 1,743 | 27,628 | |
Sundrug Co. Ltd. | 752 | 30,465 | |
Suntory Beverage & Food Ltd. | 1,417 | 60,581 | |
Suruga Bank Ltd. | 1,775 | 15,811 | |
Suzuken Co. Ltd. | 790 | 33,409 | |
Suzuki Motor Corp. | 2,978 | 164,112 | |
Sysmex Corp. | 1,393 | 129,792 | |
T&D Holdings, Inc. | 5,006 | 75,080 | |
Taiheiyo Cement Corp. | 1,231 | 40,495 | |
Taisei Corp. | 1,849 | 101,823 | |
Taisho Pharmaceutical Holdings Co. Ltd. | 167 | 19,536 | |
Taiyo Nippon Sanso Corp. | 1,324 | 18,953 | |
Takashimaya Co. Ltd. | 3,081 | 26,359 | |
Takeda Pharmaceutical Co. Ltd. (1) | 6,400 | 269,236 | |
TDK Corp. | 1,255 | 127,788 | |
Teijin Ltd. | 1,907 | 34,932 | |
Terumo Corp. | 2,959 | 169,397 | |
THK Co. Ltd. | 1,228 | 35,062 | |
Tobu Railway Co. Ltd. | 1,973 | 60,299 | |
Toho Co. Ltd. | 1,156 | 38,719 | |
Toho Gas Co. Ltd. | 772 | 26,744 | |
Tohoku Electric Power Co., Inc. | 3,514 | 42,935 | |
Tokio Marine Holdings, Inc. | 6,100 | 285,378 | |
Tokyo Electric Power Co. Holdings, Inc. (3) | 11,600 | 54,004 | |
Tokyo Electron Ltd. | 1,488 | 255,420 | |
Tokyo Gas Co. Ltd. | 3,362 | 89,269 |
18 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Tokyo Tatemono Co. Ltd. | 2,101 | 28,819 | |
Tokyu Corp. | 1,884 | 32,420 | |
Tokyu Fudosan Holdings Corp. | 5,227 | 36,871 | |
Toppan Printing Co. Ltd. | 5,348 | 41,838 | |
Toray Industries, Inc. | 13,262 | 104,675 | |
Toshiba Corp. (3) | 36,748 | 110,319 | |
Tosoh Corp. | 1,600 | 24,739 | |
TOTO Ltd. | 1,143 | 52,905 | |
Toyo Seikan Group Holdings Ltd. | 1,665 | 29,220 | |
Toyo Suisan Kaisha Ltd. | 904 | 32,253 | |
Toyoda Gosei Co. Ltd. | 662 | 16,755 | |
Toyota Industries Corp. | 1,361 | 76,183 | |
Toyota Motor Corp. | 21,630 | 1,398,790 | |
Toyota Tsusho Corp. | 1,765 | 58,980 | |
Trend Micro, Inc. | 1,144 | 65,125 | |
Tsuruha Holdings, Inc. | 372 | 46,594 | |
Unicharm Corp. | 3,314 | 99,633 | |
United Urban Investment Corp. | 29 | 45,063 | |
USS Co. Ltd. | 2,235 | 42,493 | |
West Japan Railway Co. | 1,478 | 108,817 | |
Yahoo Japan Corp. (1) | 10,817 | 35,835 | |
Yakult Honsha Co. Ltd. | 896 | 59,907 | |
Yamada Denki Co. Ltd. | 6,405 | 31,817 | |
Yamaguchi Financial Group, Inc. | 2,021 | 22,735 | |
Yamaha Corp. | 1,409 | 73,124 | |
Yamaha Motor Co. Ltd. (1) | 2,354 | 59,094 | |
Yamato Holdings Co. Ltd. (1) | 2,964 | 87,238 | |
Yamazaki Baking Co. Ltd. | 1,347 | 35,319 | |
Yaskawa Electric Corp. | 2,183 | 76,875 | |
Yokogawa Electric Corp. | 2,328 | 41,339 | |
Yokohama Rubber Co. Ltd. (The) (1) | 1,123 | 23,293 | |
30,528,170 | |||
Luxembourg - 0.3% | |||
ArcelorMittal | 4,348 | 126,856 | |
Eurofins Scientific SE | 110 | 61,007 | |
Millicom International Cellular SA SDR | 674 | 39,612 | |
SES SA FDR | 3,714 | 67,891 | |
Tenaris SA | 4,814 | 87,856 | |
383,222 | |||
Netherlands - 6.3% | |||
ABN AMRO Group NV (5) | 2,854 | 73,809 | |
Aegon NV | 16,563 | 98,891 | |
AerCap Holdings NV (3) | 1,228 | 66,496 | |
Airbus SE | 5,180 | 604,479 | |
Akzo Nobel NV | 2,298 | 196,002 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 19
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Altice Europe NV, Class A (1)(3) | 3,767 | 15,290 | |
ASML Holding NV | 3,587 | 709,813 | |
CNH Industrial NV | 9,151 | 96,666 | |
EXOR NV | 898 | 60,092 | |
Fiat Chrysler Automobiles NV | 9,199 | 173,532 | |
Heineken Holding NV | 1,027 | 98,218 | |
Heineken NV | 2,142 | 214,604 | |
ING Groep NV | 33,790 | 485,039 | |
Koninklijke Ahold Delhaize NV (1) | 11,589 | 276,717 | |
Koninklijke DSM NV | 1,668 | 166,865 | |
Koninklijke KPN NV | 27,289 | 74,204 | |
Koninklijke Philips NV | 8,460 | 358,433 | |
Koninklijke Vopak NV | 716 | 33,002 | |
NN Group NV | 2,795 | 113,355 | |
NXP Semiconductors NV (3) | 2,976 | 325,188 | |
QIAGEN NV | 2,172 | 78,733 | |
Randstad NV | 975 | 57,228 | |
Royal Dutch Shell plc, Class A | 40,237 | 1,392,559 | |
Royal Dutch Shell plc, Class B | 33,195 | 1,188,813 | |
STMicroelectronics NV | 5,943 | 131,954 | |
Unilever NV | 14,236 | 793,186 | |
Wolters Kluwer NV | 2,422 | 136,060 | |
8,019,228 | |||
New Zealand - 0.2% | |||
a2 Milk Co., Ltd. (3) | 8,483 | 65,700 | |
Auckland International Airport Ltd. | 9,712 | 44,562 | |
Fisher & Paykel Healthcare Corp. Ltd. | 2,978 | 30,009 | |
Fletcher Building Ltd. | 7,060 | 33,131 | |
Meridian Energy Ltd. | 13,065 | 27,597 | |
Ryman Healthcare Ltd. | 3,823 | 30,966 | |
Spark New Zealand Ltd. | 18,656 | 47,083 | |
279,048 | |||
Norway - 0.8% | |||
Aker BP ASA | 1,819 | 66,909 | |
DNB ASA | 8,213 | 159,932 | |
Equinor ASA | 10,475 | 276,986 | |
Gjensidige Forsikring ASA (1) | 2,039 | 33,381 | |
Marine Harvest ASA | 3,900 | 77,543 | |
Norsk Hydro ASA | 12,075 | 72,079 | |
Orkla ASA | 6,708 | 58,687 | |
Schibsted ASA, Class B | 908 | 25,615 | |
Telenor ASA | 7,654 | 156,758 | |
Yara International ASA | 1,797 | 74,346 | |
1,002,236 | |||
20 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Portugal - 0.2% | |||
Banco Espirito Santo SA (2)(3) | 34,023 | — | |
EDP - Energias de Portugal SA | 23,611 | 93,582 | |
Galp Energia SGPS SA | 5,073 | 96,507 | |
Jeronimo Martins SGPS SA | 2,566 | 36,962 | |
227,051 | |||
Singapore - 1.3% | |||
Ascendas Real Estate Investment Trust | 24,231 | 46,924 | |
CapitaLand Commercial Trust | 21,099 | 25,693 | |
CapitaLand Ltd. | 26,148 | 60,520 | |
CapitaLand Mall Trust | 25,281 | 38,428 | |
City Developments Ltd. | 4,171 | 33,409 | |
ComfortDelGro Corp. Ltd. | 21,978 | 37,824 | |
DBS Group Holdings Ltd. | 16,148 | 314,030 | |
Genting Singapore Ltd. | 61,654 | 55,206 | |
Jardine Cycle & Carriage Ltd. | 1,007 | 23,526 | |
Keppel Corp. Ltd. | 14,828 | 77,568 | |
Oversea-Chinese Banking Corp. Ltd. | 28,436 | 242,211 | |
SATS Ltd. | 6,826 | 25,003 | |
SembCorp Industries Ltd. (1) | 10,024 | 20,193 | |
Singapore Airlines Ltd. | 3,300 | 25,844 | |
Singapore Exchange Ltd. | 5,000 | 26,275 | |
Singapore Press Holdings Ltd. (1) | 15,419 | 29,383 | |
Singapore Technologies Engineering Ltd. | 15,918 | 38,369 | |
Singapore Telecommunications Ltd. | 62,191 | 140,415 | |
Suntec Real Estate Investment Trust | 24,465 | 31,020 | |
United Overseas Bank Ltd. | 12,114 | 237,419 | |
UOL Group Ltd. | 4,870 | 27,196 | |
Venture Corp. Ltd. | 2,000 | 26,130 | |
Wilmar International Ltd. | 19,586 | 43,920 | |
Yangzijiang Shipbuilding Holdings Ltd. | 19,561 | 12,947 | |
1,639,453 | |||
South Africa - 0.1% | |||
Old Mutual Ltd. (3) | 45,527 | 90,005 | |
Spain - 3.0% | |||
ACS Actividades de Construccion y Servicios SA | 1,911 | 77,101 | |
Aena SME SA (5) | 615 | 111,344 | |
Amadeus IT Group SA, Class A | 3,966 | 311,856 | |
Banco Bilbao Vizcaya Argentaria SA | 59,631 | 420,551 | |
Banco de Sabadell SA | 46,278 | 77,275 | |
Banco Santander SA | 149,063 | 796,662 | |
Bankia SA | 11,742 | 43,787 | |
Bankinter SA | 5,419 | 52,581 | |
CaixaBank SA | 33,360 | 143,591 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 21
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Enagas SA | 2,312 | 67,432 | |
Endesa SA (1) | 3,238 | 71,209 | |
Ferrovial SA | 4,427 | 90,588 | |
Gas Natural SDG SA | 2,975 | 78,647 | |
Grifols SA | 2,499 | 74,902 | |
Iberdrola SA | 52,120 | 401,936 | |
Industria de Diseno Textil SA | 8,644 | 294,364 | |
International Consolidated Airlines Group SA | 5,802 | 50,773 | |
Mapfre SA | 10,989 | 33,030 | |
Red Electrica Corp. SA (1) | 4,173 | 84,779 | |
Repsol SA | 9,960 | 194,410 | |
Siemens Gamesa Renewable Energy SA (1) | 1,846 | 24,676 | |
Telefonica SA | 39,043 | 331,375 | |
3,832,869 | |||
Sweden - 2.5% | |||
Alfa Laval AB | 2,993 | 70,658 | |
Assa Abloy AB, Class B | 8,723 | 185,029 | |
Atlas Copco AB, Class A | 5,827 | 168,753 | |
Atlas Copco AB, Class B | 3,558 | 92,692 | |
Boliden AB | 2,356 | 76,036 | |
Electrolux AB, Series B | 1,958 | 44,434 | |
Epiroc AB, Class A (3) | 5,827 | 61,147 | |
Epiroc AB, Class B (3) | 3,558 | 32,574 | |
Essity AB, Class B | 5,585 | 137,400 | |
Hennes & Mauritz AB, Class B (1) | 6,680 | 99,432 | |
Hexagon AB, Class B | 2,400 | 133,361 | |
Husqvarna AB, Class B | 4,245 | 40,158 | |
ICA Gruppen AB (1) | 820 | 25,087 | |
Industrivarden AB, Class C | 1,673 | 32,272 | |
Investor AB, Class B | 4,344 | 175,961 | |
Kinnevik AB, Class B | 1,988 | 67,745 | |
L E Lundbergforetagen AB, Class B | 510 | 15,610 | |
Lundin Petroleum AB | 1,894 | 60,116 | |
Nordea Bank AB | 27,463 | 263,441 | |
Sandvik AB | 10,353 | 182,844 | |
Securitas AB, Class B | 3,192 | 52,343 | |
Skandinaviska Enskilda Banken AB, Class A | 13,044 | 123,453 | |
Skanska AB, Class B | 3,467 | 62,755 | |
SKF AB, Class B | 3,325 | 61,553 | |
Svenska Handelsbanken AB, Class A | 12,961 | 143,549 | |
Swedbank AB, Class A | 7,827 | 166,764 | |
Swedish Match AB | 1,590 | 78,581 | |
Tele2 AB, Class B | 3,663 | 42,903 | |
Telefonaktiebolaget LM Ericsson, Class B | 28,022 | 215,887 | |
22 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Telia Co. AB | 15,243 | 69,476 | |
Volvo AB, Class B | 14,184 | 225,428 | |
3,207,442 | |||
Switzerland - 8.3% | |||
ABB Ltd. | 16,743 | 365,230 | |
Adecco Group AG | 1,418 | 83,682 | |
Baloise Holding AG | 415 | 60,199 | |
Barry Callebaut AG | 22 | 39,422 | |
Chocoladefabriken Lindt & Sprungli AG | 1 | 75,968 | |
Chocoladefabriken Lindt & Sprungli AG PC | 10 | 64,816 | |
Cie Financiere Richemont SA | 4,675 | 395,199 | |
Clariant AG | 1,110 | 26,561 | |
Coca-Cola HBC AG | 1,844 | 61,377 | |
Credit Suisse Group AG | 19,777 | 295,727 | |
Dufry AG (3) | 466 | 59,267 | |
EMS-Chemie Holding AG | 83 | 53,104 | |
Ferguson plc | 2,176 | 176,055 | |
Geberit AG | 344 | 147,288 | |
Givaudan SA | 84 | 190,245 | |
Glencore plc | 109,191 | 518,416 | |
Julius Baer Group Ltd. | 2,030 | 118,900 | |
Kuehne & Nagel International AG | 550 | 82,567 | |
LafargeHolcim Ltd. | 4,054 | 197,115 | |
Lonza Group AG | 692 | 182,858 | |
Nestle SA | 27,556 | 2,135,612 | |
Novartis AG | 19,687 | 1,491,309 | |
Pargesa Holding SA | 354 | 29,963 | |
Partners Group Holding AG | 156 | 114,043 | |
Roche Holding AG PC | 6,221 | 1,380,178 | |
Schindler Holding AG | 66 | 13,864 | |
Schindler Holding AG PC | 412 | 88,458 | |
SGS SA | 49 | 130,202 | |
Sika AG | 1,200 | 165,803 | |
Sonova Holding AG | 543 | 97,134 | |
Straumann Holding AG | 95 | 72,047 | |
Swatch Group AG (The) | 505 | 43,605 | |
Swatch Group AG (The), Bearer Shares | 206 | 97,517 | |
Swiss Life Holding AG | 327 | 113,388 | |
Swiss Prime Site AG | 608 | 55,863 | |
Swiss Re AG | 2,847 | 248,568 | |
Swisscom AG (1) | 201 | 89,713 | |
Temenos AG | 441 | 66,320 | |
UBS Group AG | 34,537 | 529,464 | |
Vifor Pharma AG (1) | 390 | 62,210 | |
Zurich Insurance Group AG | 1,356 | 401,010 | |
10,620,267 | |||
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 23
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
United Kingdom - 14.6% | |||
3i Group plc | 8,757 | 103,675 | |
Admiral Group plc | 1,608 | 40,413 | |
Anglo American plc | 11,997 | 266,344 | |
Antofagasta plc | 4,020 | 52,229 | |
Ashtead Group plc | 4,542 | 135,258 | |
Associated British Foods plc | 3,229 | 116,432 | |
AstraZeneca plc | 11,256 | 778,546 | |
Auto Trader Group plc (5) | 10,206 | 57,198 | |
Aviva plc | 30,052 | 199,398 | |
Babcock International Group plc | 2,322 | 24,949 | |
BAE Systems plc | 28,922 | 246,048 | |
Barclays plc | 152,202 | 376,203 | |
Barratt Developments plc | 10,219 | 69,274 | |
Berkeley Group Holdings plc | 1,068 | 53,200 | |
BHP Billiton plc | 18,945 | 425,172 | |
BP plc | 175,243 | 1,333,339 | |
British American Tobacco plc | 20,335 | 1,024,343 | |
British Land Co. plc (The) | 8,346 | 73,837 | |
BT Group plc | 66,163 | 189,805 | |
Bunzl plc | 2,897 | 87,493 | |
Burberry Group plc | 3,925 | 111,551 | |
Carnival plc | 1,710 | 97,735 | |
Centrica plc | 36,488 | 75,763 | |
Coca-Cola European Partners plc (6) | 1 | 41 | |
Coca-Cola European Partners plc (6) | 1,736 | 70,330 | |
Compass Group plc | 14,287 | 304,536 | |
Croda International plc | 1,338 | 84,531 | |
Diageo plc | 22,187 | 797,088 | |
Direct Line Insurance Group plc | 11,922 | 53,800 | |
easyJet plc | 1,619 | 35,618 | |
Fresnillo plc | 2,253 | 33,952 | |
G4S plc | 15,819 | 55,721 | |
GlaxoSmithKline plc | 43,689 | 880,811 | |
GVC Holdings plc | 4,677 | 64,673 | |
Hammerson plc | 8,073 | 55,481 | |
Hargreaves Lansdown plc | 2,659 | 68,926 | |
HSBC Holdings plc | 176,853 | 1,652,576 | |
Imperial Brands plc | 8,611 | 319,796 | |
InterContinental Hotels Group plc | 1,612 | 100,210 | |
Intertek Group plc | 1,422 | 106,921 | |
Investec plc | 6,644 | 46,978 | |
ITV plc | 29,708 | 67,920 | |
J Sainsbury plc | 16,600 | 70,247 | |
John Wood Group plc | 3,408 | 28,143 | |
Johnson Matthey plc | 1,639 | 78,044 | |
Kingfisher plc | 19,212 | 75,131 |
24 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Land Securities Group plc | 6,865 | 86,487 | |
Legal & General Group plc | 44,559 | 155,860 | |
Lloyds Banking Group plc | 630,386 | 523,042 | |
London Stock Exchange Group plc | 2,871 | 169,014 | |
Marks & Spencer Group plc | 16,551 | 64,292 | |
Meggitt plc | 7,904 | 51,291 | |
Melrose Industries plc | 32,504 | 90,948 | |
Merlin Entertainments plc (5) | 7,236 | 36,894 | |
Micro Focus International plc | 3,000 | 52,054 | |
Mondi plc | 3,206 | 86,492 | |
National Grid plc | 30,455 | 336,560 | |
Next plc | 1,210 | 96,315 | |
NMC Health plc | 541 | 25,464 | |
Pearson plc | 7,041 | 81,997 | |
Persimmon plc | 2,734 | 91,069 | |
Prudential plc | 23,298 | 531,109 | |
Quilter plc (3)(5) | 15,176 | 29,025 | |
Randgold Resources Ltd. | 955 | 73,504 | |
Reckitt Benckiser Group plc | 5,982 | 491,510 | |
RELX NV | 8,296 | 176,363 | |
RELX plc | 9,710 | 207,357 | |
Rio Tinto plc | 10,812 | 595,941 | |
Rolls-Royce Holdings plc | 15,214 | 198,164 | |
Royal Bank of Scotland Group plc (3) | 33,125 | 111,516 | |
Royal Mail plc | 7,310 | 48,633 | |
RSA Insurance Group plc | 8,671 | 77,547 | |
Sage Group plc (The) | 9,664 | 79,817 | |
Schroders plc | 1,184 | 49,132 | |
Segro plc | 8,386 | 73,854 | |
Severn Trent plc | 2,400 | 62,577 | |
Sky plc | 8,801 | 169,497 | |
Smith & Nephew plc | 8,392 | 154,583 | |
Smiths Group plc | 4,028 | 89,975 | |
SSE plc | 9,191 | 164,064 | |
St James's Place plc | 5,368 | 80,993 | |
Standard Chartered plc | 22,108 | 200,816 | |
Standard Life Aberdeen plc | 24,289 | 104,010 | |
Taylor Wimpey plc | 27,593 | 64,955 | |
Tesco plc | 68,691 | 232,423 | |
Travis Perkins plc | 2,548 | 47,746 | |
Unilever plc | 10,984 | 606,761 | |
United Utilities Group plc | 6,952 | 69,890 | |
Vodafone Group plc | 237,425 | 575,112 | |
Weir Group plc (The) | 2,420 | 63,555 | |
Whitbread plc | 1,607 | 83,769 | |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 25
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
WM Morrison Supermarkets plc | 22,618 | 75,024 | |
WPP plc | 11,589 | 182,081 | |
18,708,761 | |||
United States - 0.0% (4) | |||
Altice USA, Inc., Class A | 1,568 | 26,754 | |
Total Common Stocks (Cost $95,949,221) | 126,744,318 | ||
RIGHTS - 0.0% (4) | |||
Italy - 0.0% | |||
Intesa Sanpaolo SpA, Exp. 7/17/18 (3) | 130,150 | — | |
Spain - 0.0% (4) | |||
ACS Actividades de Construccion y Servicios SA, Exp. 7/11/18 (3) | 1,911 | 1,969 | |
Repsol SA, Exp. 7/11/18 (3) | 9,960 | 5,654 | |
7,623 | |||
Total Rights (Cost $7,694) | 7,623 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
TIME DEPOSIT - 0.4% | |||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 482,584 | 482,584 | |
Total Time Deposit (Cost $482,584) | 482,584 | ||
SHARES | VALUE ($) | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 0.4% | |||
State Street Navigator Securities Lending Government Money Market Portfolio | 524,478 | 524,478 | |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $524,478) | 524,478 | ||
TOTAL INVESTMENTS (Cost $96,963,977) - 99.9% | 127,759,003 | ||
Other assets and liabilities, net - 0.1% | 104,412 | ||
NET ASSETS - 100.0% | 127,863,415 |
26 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO SCHEDULE OF INVESTMENTS |
(1) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $2,172,302. |
(2) For fair value measurement purposes, security is categorized as Level 3 (see Note 1A). |
(3) Non-income producing security. |
(4) Amount is less than 0.05%. |
(5) 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. Total market value of Rule 144A securities amounts to $987,359, which represents 0.8% of the net assets of the Fund as of June 30, 2018. |
(6) Securities are traded on separate exchanges for the same entity. |
At June 30, 2018, the concentration of the Fund’s investments in the various sectors, determined as a percentage of total investments, was as follows: | ||||
ECONOMIC SECTORS | % of total investments* | |||
Financials | 19.7% | |||
Industrials | 14.3% | |||
Consumer Discretionary | 12.3% | |||
Consumer Staples | 11.3% | |||
Health Care | 10.6% | |||
Materials | 8.2% | |||
Information Technology | 6.8% | |||
Energy | 6.1% | |||
Telecommunication Services | 3.6% | |||
Real Estate | 3.5% | |||
Utilities | 3.2% | |||
Time Deposit | 0.4% | |||
Total | 100.0% | |||
* Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
Abbreviations: | ||
ADR: | American Depositary Receipt | |
CDI: | CHESS Depositary Interest | |
FDR: | Fiduciary Depositary Receipt | |
PC: | Participation Certificate | |
PFC Shares: | Preference Shares | |
SDR: | Swedish Depositary Receipt | |
See notes to financial statements. |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 27
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $96,963,977) - including $2,172,302 of securities on loan | $127,759,003 | ||
Cash denominated in foreign currency, at value (cost $438,633) | 437,216 | ||
Receivable for investments sold | 18,599 | ||
Receivable for capital shares sold | 114,010 | ||
Dividends and interest receivable | 255,948 | ||
Securities lending income receivable | 3,092 | ||
Tax reclaims receivable | 277,397 | ||
Receivable from affiliate | 33,984 | ||
Directors' deferred compensation plan | 22,883 | ||
Other assets | 1,596 | ||
Total assets | 128,923,728 | ||
LIABILITIES | |||
Payable for investments purchased | 321,845 | ||
Payable for capital shares redeemed | 48,290 | ||
Deposits for securities loaned | 524,478 | ||
Payable to affiliates: | |||
Investment advisory fee | 32,133 | ||
Administrative fee | 12,853 | ||
Distribution and service fees | 1,307 | ||
Directors' deferred compensation plan | 22,883 | ||
Accrued expenses | 96,524 | ||
Total liabilities | 1,060,313 | ||
NET ASSETS | $127,863,415 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $95,367,717 | ||
Accumulated undistributed net investment income | 5,585,857 | ||
Accumulated net realized loss | (3,880,440) | ||
Net unrealized appreciation | 30,790,281 | ||
Total | $127,863,415 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $119,994,230 and 1,351,646 shares outstanding) | $88.78 | ||
Class F (based on net assets of $7,869,185 and 88,326 shares outstanding) | $89.09 | ||
See notes to financial statements. |
28 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $301,056) | $2,875,203 | ||
Interest income | 146 | ||
Securities lending income, net | 24,047 | ||
Total investment income | 2,899,396 | ||
EXPENSES | |||
Investment advisory fee | 211,567 | ||
Administrative fee | 84,627 | ||
Distribution and service fees: | |||
Class F | 7,546 | ||
Directors' fees and expenses | 3,678 | ||
Custodian fees | 66,103 | ||
Transfer agency fees and expenses | 8,559 | ||
Accounting fees | 24,239 | ||
Professional fees | 17,602 | ||
Reports to shareholders | 15,999 | ||
Interest expense and fees | 6,389 | ||
Licensing fees | 34,235 | ||
Miscellaneous | 22,832 | ||
Total expenses | 503,376 | ||
Waiver and/or reimbursement of expenses by affiliate | (145,048) | ||
Reimbursement of expenses-other | (1,281) | ||
Net expenses | 357,047 | ||
Net investment income | 2,542,349 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | (224,038) | ||
Foreign currency transactions | (22,070) | ||
(246,108) | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (5,610,231) | ||
Foreign currency | (12,297) | ||
(5,622,528) | |||
Net realized and unrealized loss | (5,868,636) | ||
Net decrease in net assets resulting from operations | ($3,326,287 | ) | |
See notes to financial statements. |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 29
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $2,542,349 | $3,490,680 | |||||
Net realized loss | (246,108) | (1,679,323) | |||||
Net change in unrealized appreciation (depreciation) | (5,622,528) | 28,968,942 | |||||
Net increase (decrease) in net assets resulting from operations | (3,326,287) | 30,780,299 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (3,425,465) | |||||
Class F shares | — | (161,044) | |||||
Total distributions to shareholders | — | (3,586,509) | |||||
Capital share transactions: | |||||||
Class I shares | (17,996,079) | (9,744,253) | |||||
Class F shares | 878,120 | 1,687,228 | |||||
Net decrease in net assets from capital share transactions | (17,117,959) | (8,057,025) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (20,444,246) | 19,136,765 | |||||
NET ASSETS | |||||||
Beginning of period | 148,307,661 | 129,170,896 | |||||
End of period (including accumulated undistributed net investment income of $5,585,857 and $3,043,508, respectively) | $127,863,415 | $148,307,661 | |||||
See notes to financial statements. |
30 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS I SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $91.21 | $74.93 | $76.87 | $78.33 | $85.97 | $72.87 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (1) | 1.65 | 2.11 | 1.88 | 1.63 | 2.24 | 1.70 | |||||||||||
Net realized and unrealized gain (loss) | (4.08) | 16.39 | (1.54) | (2.88) | (7.75) | 13.34 | |||||||||||
Total from investment operations | (2.43) | 18.50 | 0.34 | (1.25) | (5.51) | 15.04 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (2.22) | (2.28) | (0.21) | (2.13) | (1.94) | |||||||||||
Total distributions | — | (2.22) | (2.28) | (0.21) | (2.13) | (1.94) | |||||||||||
Total increase (decrease) in net asset value | (2.43) | 16.28 | (1.94) | (1.46) | (7.64) | 13.10 | |||||||||||
Net asset value, ending | $88.78 | $91.21 | $74.93 | $76.87 | $78.33 | $85.97 | |||||||||||
Total return (2) | (2.66 | %) | (3) | 24.76 | % | 0.46 | % | (1.61 | %) | (6.44 | %) | 20.72 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.70 | % | (5)(6) | 0.68 | % | 0.98 | % | 0.95 | % | 0.98 | % | 0.97 | % | ||||
Net expenses | 0.49 | % | (5)(6) | 0.48 | % | 0.97 | % | 0.95 | % | 0.98 | % | 0.97 | % | ||||
Net investment income | 3.62 | % | (5) | 2.49 | % | 2.50 | % | 2.01 | % | 2.63 | % | 2.15 | % | ||||
Portfolio turnover | 2 | % | (3) | 3 | % | 22 | % | 10 | % | 28 | % | 12 | % | ||||
Net assets, ending (in thousands) | $119,994 | $141,082 | $124,685 | $154,811 | $170,425 | $159,182 | |||||||||||
(1) Computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
(6) Includes interest expense of 0.01%. | |||||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 31
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (a) (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS F SHARES | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $91.65 | $75.47 | $77.45 | $78.93 | $86.41 | $73.19 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income (1) | 1.59 | 1.87 | 1.60 | 1.44 | 2.03 | 1.49 | |||||||||||
Net realized and unrealized gain (loss) | (4.15) | 16.53 | (1.43) | (2.90) | (7.74) | 13.44 | |||||||||||
Total from investment operations | (2.56) | 18.40 | 0.17 | (1.46) | (5.71) | 14.93 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (2.22) | (2.15) | (0.02) | (1.77) | (1.71) | |||||||||||
Total distributions | — | (2.22) | (2.15) | (0.02) | (1.77) | (1.71) | |||||||||||
Total increase (decrease) in net asset value | (2.56) | 16.18 | (1.98) | (1.48) | (7.48) | 13.22 | |||||||||||
Net asset value, ending | $89.09 | $91.65 | $75.47 | $77.45 | $78.93 | $86.41 | |||||||||||
Total return (2) | (2.79 | %) | (3) | 24.44 | % | 0.24 | % | (1.84 | %) | (6.62 | %) | 20.47 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.95 | % | (5)(6) | 0.91 | % | 1.26 | % | 1.24 | % | 1.32 | % | 1.26 | % | ||||
Net expenses | 0.74 | % | (5)(6) | 0.73 | % | 1.19 | % | 1.19 | % | 1.19 | % | 1.19 | % | ||||
Net investment income | 3.48 | % | (5) | 2.18 | % | 2.11 | % | 1.75 | % | 2.37 | % | 1.85 | % | ||||
Portfolio turnover | 2 | % | (3) | 3 | % | 22 | % | 10 | % | 28 | % | 12 | % | ||||
Net assets, ending (in thousands) | $7,869 | $7,226 | $4,486 | $3,906 | $3,926 | $3,131 | |||||||||||
(1) Computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
(6) Includes interest expense of 0.01%. | |||||||||||||||||
See notes to financial statements. |
32 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP EAFE International Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of common stocks as represented by the MSCI EAFE Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, 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.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or 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. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Fund’s Board has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Such securities are categorized as Level 2 in the hierarchy.
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Short-Term Securities. Short-term securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded 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. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | |||||||||
Common Stocks | |||||||||||||
France | $291,413 | $12,713,862 | $— | $13,005,275 | |||||||||
Hong Kong | 54,320 | 4,545,742 | — | 4,600,062 | |||||||||
Israel | 171,660 | 494,572 | — | 666,232 | |||||||||
Netherlands | 391,684 | 7,627,544 | — | 8,019,228 | |||||||||
Singapore | 55,206 | 1,584,247 | — | 1,639,453 | |||||||||
Sweden | 93,721 | 3,113,721 | — | 3,207,442 | |||||||||
United Kingdom | 29,066 | 18,679,695 | — | 18,708,761 | |||||||||
United States | 26,754 | — | — | 26,754 | |||||||||
Other Countries(2) | — | 76,871,111 | — | 76,871,111 | |||||||||
Total Common Stocks | $1,113,824 | $125,630,494 | (3) | $— | $126,744,318 | ||||||||
Rights | 7,623 | — | — | 7,623 | |||||||||
Time Deposit | — | 482,584 | — | 482,584 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 524,478 | — | — | 524,478 | |||||||||
Total Investments | $1,645,925 | $126,113,078 | $— | $127,759,003 | |||||||||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
(2) For further breakdown of equity securities by country, please refer to the Schedule of Investments. | |||||||||||||
(3) Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Level 3 investments at the beginning and/or end of the period were valued at $0 and accordingly, a reconciliation of Level 3 assets for the six months ended June 30, 2018 is not presented. At June 30, 2018, the value of investments transferred between Level 1 and Level 2 during the six months then ended was not significant.
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B. Investment Transactions and Income: Investment transactions for financial statement purposes 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 for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. In consideration of recent decisions rendered by European courts, the Fund has filed additional tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Due to the uncertainty as to the ultimate resolution of these proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment, no amounts are reflected in the financial statements for such outstanding reclaims. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Foreign Currency Transactions: The Fund’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. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
F. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
H. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
I. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.30% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $211,567.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.48% for Class I and 0.73% for Class F of such class’
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average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $137,232.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the six months ended June 30, 2018, CRM was paid administrative fees of $84,627, of which $7,816 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.20% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $7,546 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $175 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund's allocated portion of such expense and reimbursement was $1,281, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, expenses incurred under the Servicing Plan amounted to $6,099 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $2,668,568 and $17,640,809, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
At December 31, 2017, the Fund, for federal income tax purposes, had deferred capital losses of $1,798,635 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at December 31, 2017, $1,798,635 are long-term.
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The cost and unrealized appreciation (depreciation) of investments of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $99,882,748 | ||
Gross unrealized appreciation | $34,321,973 | ||
Gross unrealized depreciation | (6,445,718) | ||
Net unrealized appreciation (depreciation) | $27,876,255 |
NOTE 6 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan was $2,172,302 and the total value of collateral received was $2,273,646, comprised of cash of $524,478 and U.S. Government and/or agencies securities of $1,749,168.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $2,273,646 | $— | $— | $— | $2,273,646 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 7 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings outstanding pursuant to this line of credit at June 30, 2018. Average borrowings and the weighted average interest rate (excluding fees) for the six months ended June 30, 2018 were $402,752 and 3.20%, respectively.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
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NOTE 8 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 48,743 | $4,473,528 | 109,781 | $9,335,003 | |||||||
Reinvestment of distributions | — | — | 38,510 | 3,425,465 | |||||||
Shares redeemed | (243,856 | ) | (22,469,607 | ) | (265,463 | ) | (22,504,721 | ) | |||
Net decrease | (195,113 | ) | ($17,996,079 | ) | (117,172 | ) | ($9,744,253 | ) | |||
Class F | |||||||||||
Shares sold | 15,326 | $1,417,813 | 36,010 | $3,096,651 | |||||||
Reinvestment of distributions | — | — | 1,801 | 161,044 | |||||||
Shares redeemed | (5,845 | ) | (539,693 | ) | (18,403 | ) | (1,570,467 | ) | |||
Net increase | 9,481 | $878,120 | 19,408 | $1,687,228 |
At June 30, 2018, separate accounts of an insurance company owned 73.3% of the value of the outstanding shares of the Fund.
NOTE 9 — RISKS ASSOCIATED WITH FOREIGN INVESTMENTS
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP EAFE International Index Portfolio (the “Fund”), including the fee payable under the agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
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Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund underperformed the median of its performance universe for the one-, three- and five-year periods ended September 30, 2017, outperformed the median of its Lipper benchmark index for the one-year period ended September 30, 2017 and underperformed the median of its Lipper benchmark index for the three- and five-year periods ended September 30, 2017. The Board took into account the impact of the Fund’s fees and expenses on the Fund’s relative performance. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense universe. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were above the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management fees were reasonable in view of the nature, extent and quality of services provided by the Adviser.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 41
OFFICERS AND DIRECTORS
Officers of Calvert VP EAFE International Index Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP EAFE International Index Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
42 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 43
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CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 | |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24228 6.30.2018 |
Calvert VP Volatility Managed Moderate Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Kevin L. Keene, CFA of Ameritas Investment Partners, Inc., Adam Schenck, CFA, FRM and Blake Graves, CFA, FRM, each of Milliman Financial Risk Management LLC | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||
Class F at NAV | 04/30/2013 | 04/30/2013 | -1.26 | % | 4.60 | % | 5.81 | 4.82 | % | |||||||
S&P 500 Daily Risk Control 7.5% Index | — | — | 2.56 | % | 14.99 | % | 8.19 | % | 8.03 | % | ||||||
Moderate Portfolio Custom Blended Benchmark | — | — | 0.22 | 5.85 | 6.74 | 6.10 | ||||||||||
% Total Annual Operating Expense Ratios3 | Class F | |||||||||||||||
Gross | 0.97 | % | ||||||||||||||
Net | 0.91 |
Fund Profile | ||||||
ASSET ALLOCATION (% of total investments)4 | ||||||
Equity Funds | 49.1 | % | ||||
Fixed-Income Funds | 47.3 | % | ||||
Time Deposit | 3.6 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | S&P 500 Daily Risk Control 7.5% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 7.5%. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofAML 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Moderate Portfolio Custom Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 48% Bloomberg Barclays U.S. Aggregate Bond Index, 36% Russell 3000® Index, 10% MSCI EAFE Index, 4% ICE BofAML 3-Month U.S. Treasury Bill Index, and 2% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
Fund profile subject to change due to active management.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
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 actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class F | $1,000.00 | $987.40 | $4.09** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.68 | $4.16** | 0.83% |
* 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). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 95.9% | ||
Equity Exchange-Traded Funds - 48.9% | ||
Financial Select Sector SPDR Fund | 59,500 | 1,582,105 |
Health Care Select Sector SPDR Fund | 19,500 | 1,627,470 |
iShares Core S&P Mid-Cap ETF | 23,000 | 4,479,940 |
iShares Russell 2000 ETF (1) | 24,000 | 3,930,480 |
iShares S&P 500 Growth ETF | 36,000 | 5,853,960 |
iShares S&P 500 Value ETF | 46,000 | 5,065,980 |
iShares S&P Mid-Cap 400 Value ETF | 7,000 | 1,134,210 |
Technology Select Sector SPDR Fund | 23,000 | 1,597,810 |
Vanguard FTSE Developed Markets ETF | 241,500 | 10,360,350 |
Vanguard FTSE Emerging Markets ETF | 26,000 | 1,097,200 |
Vanguard REIT ETF (1) | 29,000 | 2,362,050 |
Vanguard S&P 500 ETF | 64,000 | 15,968,640 |
55,060,195 | ||
Fixed-Income Exchange-Traded Funds - 47.0% | ||
iShares Core U.S. Aggregate Bond ETF | 250,000 | 26,580,000 |
Vanguard Total Bond Market ETF | 334,000 | 26,449,460 |
53,029,460 | ||
Total Exchange-Traded Funds (Cost $98,947,598) | 108,089,655 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 3.5% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 3,967,192 | 3,967,192 |
Total Time Deposit (Cost $3,967,192) | 3,967,192 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.0% | ||
State Street Navigator Securities Lending Government Money Market Portfolio | 1,064,641 | 1,064,641 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $1,064,641) | 1,064,641 | |
TOTAL INVESTMENTS (Cost $103,979,431) - 100.4% | 113,121,488 | |
Other assets and liabilities, net - (0.4%) | (449,153) | |
NET ASSETS - 100.0% | 112,672,335 |
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 5
NOTES TO SCHEDULE OF INVESTMENTS |
(1) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $4,935,934. |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini Russell 2000 Index | 14 | Sep-18 | $1,153,250 | ($19,436 | ) | |||
E-mini S&P 500 Index | 30 | Sep-18 | 4,082,400 | (81,547) | ||||
E-mini S&P MidCap 400 Index | 4 | Sep-18 | 782,440 | (15,543) | ||||
MSCI EAFE Index | 17 | Sep-18 | 1,662,090 | (50,843) | ||||
Total Long | ($167,369 | ) | ||||||
See notes to financial statements. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $103,979,431) - including $4,935,934 of securities on loan | $113,121,488 | ||
Receivable for variation margin on open futures contracts | 12,166 | ||
Receivable for investments sold | 220,374 | ||
Dividends and interest receivable | 149,836 | ||
Securities lending income receivable | 2,042 | ||
Receivable from affiliate | 14,833 | ||
Deposits at broker for futures contracts | 318,600 | ||
Directors' deferred compensation plan | 18,044 | ||
Other assets | 1,284 | ||
Total assets | 113,858,667 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 9,506 | ||
Deposits for securities loaned | 1,064,641 | ||
Payable to affiliates: | |||
Investment advisory fee | 39,225 | ||
Administrative fee | 11,207 | ||
Distribution and service fees | 23,348 | ||
Directors' deferred compensation plan | 18,044 | ||
Accrued expenses | 20,361 | ||
Total liabilities | 1,186,332 | ||
NET ASSETS | $112,672,335 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(100,000,000 shares of $0.10 par value authorized) | $98,246,313 | ||
Accumulated undistributed net investment income | 2,236,686 | ||
Accumulated undistributed net realized gain | 3,214,648 | ||
Net unrealized appreciation | 8,974,688 | ||
Total | $112,672,335 | ||
NET ASSET VALUE PER SHARE | |||
Class F (based on net assets of $112,672,335 and 6,276,118 shares outstanding) | $17.95 | ||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income | $1,157,515 | ||
Interest income | 6,641 | ||
Securities lending income, net | 13,309 | ||
Total investment income | 1,177,465 | ||
EXPENSES | |||
Investment advisory fee | 239,134 | ||
Administrative fee | 68,324 | ||
Distribution and service fees | 142,341 | ||
Directors' fees and expenses | 3,047 | ||
Custodian fees | 12,375 | ||
Transfer agency fees and expenses | 847 | ||
Accounting fees | 12,898 | ||
Professional fees | 12,193 | ||
Reports to shareholders | 5,381 | ||
Miscellaneous | 5,404 | ||
Total expenses | 501,944 | ||
Waiver and/or reimbursement of expenses by affiliate | (28,178) | ||
Reimbursement of expenses-other | (1,132) | ||
Net expenses | 472,634 | ||
Net investment income | 704,831 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 1,495,041 | ||
Futures contracts | (749,765) | ||
Capital gains distributions received | 6,361 | ||
751,637 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (2,649,522) | ||
Futures contracts | (271,358) | ||
(2,920,880) | |||
Net realized and unrealized loss | (2,169,243) | ||
Net decrease in net assets resulting from operations | ($1,464,412 | ) | |
See notes to financial statements. |
8 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $704,831 | $1,536,522 | |||||
Net realized gain | 751,637 | 2,626,333 | |||||
Net change in unrealized appreciation (depreciation) | (2,920,880) | 9,091,093 | |||||
Net increase (decrease) in net assets resulting from operations | (1,464,412) | 13,253,948 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (1,504,805) | |||||
Net realized gain | — | (709,287) | |||||
Total distributions to shareholders | — | (2,214,092) | |||||
Net decrease in net assets from capital share transactions | (4,340,774) | (2,629,055) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (5,805,186) | 8,410,801 | |||||
NET ASSETS | |||||||
Beginning of period | 118,477,521 | 110,066,720 | |||||
End of period (including accumulated undistributed net investment income of $2,236,686 and $1,531,855, respectively) | $112,672,335 | $118,477,521 | |||||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, | ||||||||||||||||
CLASS F SHARES | 2017 | 2016 | 2015 | 2014 | 2013 (1) | |||||||||||||
Net asset value, beginning | $18.18 | $16.52 | $15.50 | $16.01 | $15.17 | $15.00 | ||||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income (2) | 0.11 | 0.23 | 0.24 | 0.23 | 0.29 | 0.21 | ||||||||||||
Net realized and unrealized gain (loss) | (0.34) | 1.77 | 0.78 | (0.42) | 0.81 | 0.08 | ||||||||||||
Total from investment operations | (0.23) | 2.00 | 1.02 | (0.19) | 1.10 | 0.29 | ||||||||||||
Distributions from: | ||||||||||||||||||
Net investment income | — | (0.23) | — | (3) | (0.22) | (0.16) | (0.12) | |||||||||||
Net realized gain | — | (0.11) | — | (3) | (0.10) | (0.10) | — | |||||||||||
Total distributions | — | (0.34) | — | (3) | (0.32) | (0.26) | (0.12) | |||||||||||
Total increase (decrease) in net asset value | (0.23) | 1.66 | 1.02 | (0.51) | 0.84 | 0.17 | ||||||||||||
Net asset value, ending | $17.95 | $18.18 | $16.52 | $15.50 | $16.01 | $15.17 | ||||||||||||
Total return (4) | (1.26 | %) | (5) | 12.16 | % | 6.61 | % | (1.22 | %) | 7.25 | % | 1.97 | % | (5) | ||||
Ratios to average net assets: (6)(7) | ||||||||||||||||||
Total expenses | 0.88 | % | (8) | 0.89 | % | 0.90 | % | 0.88 | % | 0.93 | % | 1.60 | % | (8) | ||||
Net expenses | 0.83 | % | (8) | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | (8) | ||||
Net investment income | 1.24 | % | (8) | 1.33 | % | 1.48 | % | 1.42 | % | 1.80 | % | 2.10 | % | (8) | ||||
Portfolio turnover | 6 | % | (5) | 9 | % | 10 | % | 21 | % | 36 | % | 3 | % | (5) | ||||
Net assets, ending (in thousands) | $112,672 | $118,478 | $110,067 | $96,245 | $99,765 | $9,164 | ||||||||||||
(1) From April 30, 2013 inception. | ||||||||||||||||||
(2) Computed using average shares outstanding. | ||||||||||||||||||
(3) Amount is less than $(0.005). | ||||||||||||||||||
(4) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||||||
(5) Not annualized. | ||||||||||||||||||
(6) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||||||
(7) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||||||
(8) Annualized. | ||||||||||||||||||
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Volatility Managed Moderate Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to pursue current income and modest growth potential consistent with preservation of capital, while seeking to manage overall portfolio volatility. The Fund invests primarily in exchange-traded funds representing a broad range of asset classes (the Underlying Funds).
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class F shares.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Short-Term Securities. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded 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. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might
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reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Funds | $ | 108,089,655 | $ | — | $ | — | $ | 108,089,655 | ||||
Time Deposit | — | 3,967,192 | — | 3,967,192 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 1,064,641 | — | — | 1,064,641 | ||||||||
Total Investments | $ | 109,154,296 | $ | 3,967,192 | $ | — | $ | 113,121,488 | ||||
Liabilities | ||||||||||||
Futures Contracts(1) | $ | (167,369 | ) | $ | — | $ | — | $ | (167,369 | ) | ||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Distributions from the Underlying Funds are recorded on the ex-dividend date. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded 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 Fund and do not include any expenses associated with the Underlying Funds.
C. Futures Contracts: The Fund may enter into futures contracts 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 Fund. 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 Fund’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 Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
E. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
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F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
H. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.42% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $239,134.
Ameritas Investment Partners, Inc. (AIP) and Milliman Financial Risk Management LLC provide sub-advisory services to the Fund pursuant to sub-advisory agreements with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.83% of the Fund's average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $20,879.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the six months ended June 30, 2018, CRM was paid administrative fees of $68,324 of which $7,299 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $142,341 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $42 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six
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months ended June 30, 2018, the Fund’s allocated portion of such expense and reimbursement was $1,132, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, no expenses were incurred under the Servicing Plan.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $6,529,504 and $10,420,208, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $104,194,752 | ||
Gross unrealized appreciation | $10,754,808 | ||
Gross unrealized depreciation | (1,995,441) | ||
Net unrealized appreciation (depreciation) | $8,759,367 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at June 30, 2018 is included in the Schedule of Investments. During the six months ended June 30, 2018, futures contracts were used to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At June 30, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Net unrealized appreciation | $— | ($167,369 | ) | * | |||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the six months ended June 30, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($749,765) | ($271,358) |
The average notional cost of futures contracts (long) outstanding during the six months ended June 30, 2018 was approximately $7,038,000.
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NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan was $4,935,934 and the total value of collateral received was $5,038,501, comprised of cash of $1,064,641 and U.S. Government and/or agencies securities of $3,973,860.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Exchange-Traded Funds | $5,038,501 | $— | $— | $— | $5,038,501 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
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NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class F | |||||||||||
Shares sold | 82,082 | $1,478,929 | 249,301 | $4,296,112 | |||||||
Reinvestment of distributions | — | — | 124,667 | 2,214,092 | |||||||
Shares redeemed | (322,631 | ) | (5,819,703 | ) | (520,288 | ) | (9,139,259 | ) | |||
Net decrease | (240,549 | ) | ($4,340,774 | ) | (146,320 | ) | ($2,629,055 | ) |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 100% of the value of the outstanding shares of the Fund.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP Volatility Managed Moderate Portfolio (the “Fund”), and the investment sub-advisory agreements with Ameritas Investment Partners, Inc. and Milliman Financial Risk Management LLC. (each a “Sub-Adviser” and together, the “Sub-Advisers”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreements of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and the Sub-Advisers under the investment advisory agreement and investment sub-advisory agreements, respectively, the Board reviewed information relating to the Adviser’s and each Sub-Adviser’s operations and personnel, including, among other information, biographical information on each Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and each Sub-Adviser as well as the Board’s familiarity with the Adviser and each Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Advisers and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to each Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the applicable investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Advisers’ compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes,
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policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Advisers under the investment advisory agreement and investment sub-advisory agreements, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one- and three-year periods ended September 30, 2017. This performance data indicated that the Fund underperformed the median of its performance universe and Lipper benchmark index for the one-year period ended September 30, 2017 and outperformed the median of its performance universe and Lipper benchmark index for the three-year period ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense universe. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were at the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Advisers, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Advisers’ sub-advisory fees out of its advisory fee and the sub-advisory fees were negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Advisers was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreements. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Advisers’ sub-advisory fees out of its advisory fee and the sub-advisory fees were negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Advisers’ management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreements. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 19
OFFICERS AND DIRECTORS
Officers of Calvert VP Volatility Managed Moderate Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP Volatility Managed Moderate Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
20 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Advisers Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 Milliman Financial Risk Management LLC 71 South Wacker Drive, 31st Floor Chicago, IL 60606 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24234 6.30.2018 |
Calvert VP Volatility Managed Moderate Growth Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Kevin L. Keene, CFA of Ameritas Investment Partners, Inc., Adam Schenck, CFA, FRM and Blake Graves, CFA, FRM, each of Milliman Financial Risk Management LLC | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||
Class F at NAV | 04/30/2013 | 04/30/2013 | -1.16 | % | 5.92 | % | 6.36 | % | 5.42 | % | ||||||
S&P 500 Daily Risk Control 10% Index | — | — | 3.32 | % | 19.59 | % | 10.71 | % | 10.47 | % | ||||||
Moderate Growth Portfolio Custom Blended Benchmark | — | — | 0.74 | 7.78 | 8.13 | 7.51 | ||||||||||
% Total Annual Operating Expense Ratios3 | Class F | |||||||||||||||
Gross | 1.00 | % | ||||||||||||||
Net | 0.92 |
Fund Profile | ||||||
ASSET ALLOCATION (% of total investments)4 | ||||||
Equity Funds | 64.6 | % | ||||
Fixed-Income Funds | 31.7 | % | ||||
Time Deposit | 3.7 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | S&P 500 Daily Risk Control 10% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 10%. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofAML 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Moderate Growth Portfolio Custom Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 47% Russell 3000® Index, 33% Bloomberg Barclays U.S. Aggregate Bond Index, 13% MSCI EAFE Index, 4% ICE BofAML 3-Month U.S. Treasury Bill Index, and 3% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
Fund profile subject to change due to active management.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
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 actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class F | $1,000.00 | $988.40 | $4.09** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.68 | $4.16** | 0.83% |
* 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). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 95.7% | ||
Equity Exchange-Traded Funds - 64.2% | ||
Financial Select Sector SPDR Fund | 62,000 | 1,648,580 |
Health Care Select Sector SPDR Fund | 19,500 | 1,627,470 |
iShares Core S&P Mid-Cap ETF | 27,000 | 5,259,060 |
iShares Russell 2000 ETF (1) | 27,000 | 4,421,790 |
iShares S&P 500 Growth ETF | 37,500 | 6,097,875 |
iShares S&P 500 Value ETF | 49,000 | 5,396,370 |
iShares S&P Mid-Cap 400 Value ETF (1) | 6,000 | 972,180 |
Technology Select Sector SPDR Fund | 24,000 | 1,667,280 |
Vanguard FTSE Developed Markets ETF | 258,500 | 11,089,650 |
Vanguard FTSE Emerging Markets ETF | 28,000 | 1,181,600 |
Vanguard REIT ETF (1) | 35,000 | 2,850,750 |
Vanguard S&P 500 ETF | 66,000 | 16,467,660 |
58,680,265 | ||
Fixed-Income Exchange-Traded Funds - 31.5% | ||
iShares Core U.S. Aggregate Bond ETF | 176,000 | 18,712,320 |
Vanguard Total Bond Market ETF | 127,000 | 10,057,130 |
28,769,450 | ||
Total Exchange-Traded Funds (Cost $77,477,010) | 87,449,715 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 3.7% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 3,382,225 | 3,382,225 |
Total Time Deposit (Cost $3,382,225) | 3,382,225 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 3.6% | ||
State Street Navigator Securities Lending Government Money Market Portfolio | 3,306,250 | 3,306,250 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $3,306,250) | 3,306,250 | |
TOTAL INVESTMENTS (Cost $84,165,485) - 103.0% | 94,138,190 | |
Other assets and liabilities, net - (3.0%) | (2,754,690) | |
NET ASSETS - 100.0% | 91,383,500 |
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 5
NOTES TO SCHEDULE OF INVESTMENTS |
(1) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $7,621,093. |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini Russell 2000 Index | 12 | Sep-18 | $988,500 | ($16,659 | ) | |||
E-mini S&P 500 Index | 21 | Sep-18 | 2,857,680 | (57,083) | ||||
E-mini S&P MidCap 400 Index | 3 | Sep-18 | 586,830 | (11,657) | ||||
MSCI EAFE Index | 13 | Sep-18 | 1,271,010 | (38,880) | ||||
Total Long | ($124,279 | ) | ||||||
See notes to financial statements. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $84,165,485) - including $7,621,093 of securities on loan | $94,138,190 | ||
Receivable for variation margin on open futures contracts | 8,838 | ||
Receivable for investments sold | 220,357 | ||
Dividends and interest receivable | 157,728 | ||
Securities lending income receivable | 3,003 | ||
Receivable from affiliate | 10,029 | ||
Deposits at broker for futures contracts | 236,400 | ||
Directors' deferred compensation plan | 14,602 | ||
Other assets | 1,020 | ||
Total assets | 94,790,167 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 6,231 | ||
Deposits for securities loaned | 3,306,250 | ||
Payable to affiliates: | |||
Investment advisory fee | 31,793 | ||
Administrative fee | 9,084 | ||
Distribution and service fees | 18,924 | ||
Directors' deferred compensation plan | 14,602 | ||
Accrued expenses | 19,783 | ||
Total liabilities | 3,406,667 | ||
NET ASSETS | $91,383,500 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(100,000,000 shares of $0.10 par value authorized) | $78,387,477 | ||
Accumulated undistributed net investment income | 1,680,056 | ||
Accumulated undistributed net realized gain | 1,467,541 | ||
Net unrealized appreciation | 9,848,426 | ||
Total | $91,383,500 | ||
NET ASSET VALUE PER SHARE | |||
Class F (based on net assets of $91,383,500 and 4,893,379 shares outstanding) | $18.67 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 7
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income | $923,653 | ||
Interest income | 5,751 | ||
Securities lending income, net | 13,372 | ||
Total investment income | 942,776 | ||
EXPENSES | |||
Investment advisory fee | 194,363 | ||
Administrative fee | 55,532 | ||
Distribution and service fees | 115,693 | ||
Directors' fees and expenses | 2,474 | ||
Custodian fees | 13,252 | ||
Transfer agency fees and expenses | 847 | ||
Accounting fees | 9,890 | ||
Professional fees | 11,366 | ||
Reports to shareholders | 5,407 | ||
Miscellaneous | 4,587 | ||
Total expenses | 413,411 | ||
Waiver and/or reimbursement of expenses by affiliate | (26,161) | ||
Reimbursement of expenses-other | (917) | ||
Net expenses | 386,333 | ||
Net investment income | 556,443 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 1,386,964 | ||
Futures contracts | (1,105,844) | ||
Capital gains distributions received | 2,414 | ||
283,534 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (1,781,783) | ||
Futures contracts | (197,579) | ||
(1,979,362) | |||
Net realized and unrealized loss | (1,695,828) | ||
Net decrease in net assets resulting from operations | ($1,139,385 | ) | |
See notes to financial statements. |
8 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $556,443 | $1,127,020 | |||||
Net realized gain | 283,534 | 1,912,477 | |||||
Net change in unrealized appreciation (depreciation) | (1,979,362) | 8,839,959 | |||||
Net increase (decrease) in net assets resulting from operations | (1,139,385) | 11,879,456 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (1,050,959) | |||||
Total distributions to shareholders | — | (1,050,959) | |||||
Net increase (decrease) in net assets from capital share transactions | (2,166,069) | 2,001,198 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (3,305,454) | 12,829,695 | |||||
NET ASSETS | |||||||
Beginning of period | 94,688,954 | 81,859,259 | |||||
End of period (including accumulated undistributed net investment income of $1,680,056 and $1,123,613, respectively) | $91,383,500 | $94,688,954 | |||||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, | ||||||||||||||||
CLASS F SHARES | 2017 | 2016 | 2015 | 2014 | 2013 (1) | |||||||||||||
Net asset value, beginning | $18.90 | $16.69 | $15.65 | $16.20 | $15.47 | $15.00 | ||||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income (2) | 0.11 | 0.23 | 0.24 | 0.24 | 0.26 | 0.20 | ||||||||||||
Net realized and unrealized gain (loss) | (0.34) | 2.19 | 0.82 | (0.61) | 0.82 | 0.39 | ||||||||||||
Total from investment operations | (0.23) | 2.42 | 1.06 | (0.37) | 1.08 | 0.59 | ||||||||||||
Distributions from: | ||||||||||||||||||
Net investment income | — | (0.21) | (0.02) | (0.16) | (0.17) | (0.12) | ||||||||||||
Net realized gain | — | — | — | (0.02) | (0.18) | — | ||||||||||||
Total distributions | — | (0.21) | (0.02) | (0.18) | (0.35) | (0.12) | ||||||||||||
Total increase (decrease) in net asset value | (0.23) | 2.21 | 1.04 | (0.55) | 0.73 | 0.47 | ||||||||||||
Net asset value, ending | $18.67 | $18.90 | $16.69 | $15.65 | $16.20 | $15.47 | ||||||||||||
Total return (3) | (1.16 | %) | (4) | 14.55 | % | 6.78 | % | (2.29 | %) | 6.99 | % | 3.94 | % | (4) | ||||
Ratios to average net assets: (5)(6) | ||||||||||||||||||
Total expenses | 0.89 | % | (7) | 0.91 | % | 0.94 | % | 0.90 | % | 1.06 | % | 1.41 | % | (7) | ||||
Net expenses | 0.83 | % | (7) | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | (7) | ||||
Net investment income | 1.20 | % | (7) | 1.29 | % | 1.49 | % | 1.48 | % | 1.64 | % | 2.06 | % | (7) | ||||
Portfolio turnover | 8 | % | (4) | 8 | % | 6 | % | 16 | % | 46 | % | 6 | % | (4) | ||||
Net assets, ending (in thousands) | $91,384 | $94,689 | $81,859 | $64,310 | $35,428 | $13,659 | ||||||||||||
(1) From April 30, 2013 inception. | ||||||||||||||||||
(2) Computed using average shares outstanding. | ||||||||||||||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||||||
(4) Not annualized. | ||||||||||||||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||||||
(6) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||||||
(7) Annualized. | ||||||||||||||||||
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Volatility Managed Moderate Growth Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to pursue a balance of current income and growth potential, while seeking to manage overall portfolio volatility. The Fund invests primarily in exchange-traded funds representing a broad range of asset classes (the Underlying Funds).
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class F shares.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Short-Term Securities. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded 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. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might
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reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Funds | $ | 87,449,715 | $ | — | $ | — | $ | 87,449,715 | ||||
Time Deposit | — | 3,382,225 | — | 3,382,225 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 3,306,250 | — | — | 3,306,250 | ||||||||
Total Investments | $ | 90,755,965 | $ | 3,382,225 | $ | — | $ | 94,138,190 | ||||
Liabilities | ||||||||||||
Futures Contracts(1) | $ | (124,279 | ) | $ | — | $ | — | $ | (124,279 | ) | ||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Distributions from the Underlying Funds are recorded on the ex-dividend date. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded 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 Fund and do not include any expenses associated with the Underlying Funds.
C. Futures Contracts: The Fund may enter into futures contracts 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 Fund. 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 Fund’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 Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
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E. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
H. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.42% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $194,363.
Ameritas Investment Partners, Inc. (AIP) and Milliman Financial Risk Management LLC provide sub-advisory services to the Fund pursuant to sub-advisory agreements with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.83% of the Fund's average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $20,233.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the six months ended June 30, 2018, CRM was paid administrative fees of $55,532 of which $5,928 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $115,693 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $42 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of
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CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund’s allocated portion of such expense and reimbursement was $917, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, no expenses were incurred under the Servicing Plan.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $7,438,255 and $9,097,731, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $84,177,168 | ||
Gross unrealized appreciation | $10,880,755 | ||
Gross unrealized depreciation | (1,044,012) | ||
Net unrealized appreciation (depreciation) | $9,836,743 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at June 30, 2018 is included in the Schedule of Investments. During the six months ended June 30, 2018, futures contracts were used to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At June 30, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Net unrealized appreciation | $— | ($124,279 | ) | * | |||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the six months ended June 30, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($1,105,844) | ($197,579) |
The average notional cost of futures contracts (long) and futures contracts (short) outstanding during the six months ended June 30, 2018 was approximately $5,029,000 and $700,000, respectively.
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NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan was $7,621,093 and the total value of collateral received was $7,776,843, comprised of cash of $3,306,250 and U.S. Government and/or agencies securities of $4,470,593.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Exchange-Traded Funds | $7,776,843 | $— | $— | $— | $7,776,843 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
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NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Class F | ||||||||||
Shares sold | 198,527 | $3,742,544 | 359,019 | $6,446,048 | ||||||
Reinvestment of distributions | — | — | 57,211 | 1,050,959 | ||||||
Shares redeemed | (315,344) | (5,908,613) | (309,493) | (5,495,809) | ||||||
Net increase (decrease) | (116,817) | $(2,166,069) | 106,737 | $2,001,198 |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 100% of the value of the outstanding shares of the Fund.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP Volatility Managed Moderate Growth Portfolio (the “Fund”), and the investment sub-advisory agreements with Ameritas Investment Partners, Inc. and Milliman Financial Risk Management LLC. (each a “Sub-Adviser” and together, the “Sub-Advisers”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreements of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and the Sub-Advisers under the investment advisory agreement and investment sub-advisory agreements, respectively, the Board reviewed information relating to the Adviser’s and each Sub-Adviser’s operations and personnel, including, among other information, biographical information on each Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and each Sub-Adviser as well as the Board’s familiarity with the Adviser and each Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Advisers and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to each Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the applicable investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Advisers’ compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes,
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policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Advisers under the investment advisory agreement and investment sub-advisory agreements, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one- and three-year periods ended September 30, 2017. This performance data indicated that the Fund underperformed the median of its performance universe and Lipper benchmark index for the one- and three-year periods ended September 30, 2017. The Board took into account management’s discussion of the impact of the design of the Fund on its relative performance. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense universe. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Advisers, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Advisers’ sub-advisory fees out of its advisory fee and the sub-advisory fees were negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Advisers was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreements. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Advisers’ sub-advisory fees out of its advisory fee and the sub-advisory fees were negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Advisers’ management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreements. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 19
OFFICERS AND DIRECTORS
Officers of Calvert VP Volatility Managed Moderate Growth Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP Volatility Managed Moderate Growth Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
20 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 21
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CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Advisers Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 Milliman Financial Risk Management LLC 71 South Wacker Drive, 31st Floor Chicago, IL 60606 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24236 6.30.2018 |
Calvert VP Volatility Managed Growth Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Managers Kevin L. Keene, CFA of Ameritas Investment Partners, Inc., Adam Schenck, CFA, FRM and Blake Graves, CFA, FRM, each of Milliman Financial Risk Management LLC | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception | ||||||||||
Class F at NAV | 04/30/2013 | 04/30/2013 | -1.45 | % | 6.97 | % | 6.33 | 5.54 | % | |||||||
S&P 500 Daily Risk Control 12% Index | — | — | 2.57 | % | 19.73 | % | 11.98 | % | 11.71 | % | ||||||
Growth Portfolio Custom Blended Benchmark | — | — | 1.26 | 9.74 | 9.51 | 8.91 | ||||||||||
% Total Annual Operating Expense Ratios3 | Class F | |||||||||||||||
Gross | 0.97 | % | ||||||||||||||
Net | 0.93 |
Fund Profile | ||||||
ASSET ALLOCATION (% of total investments)4 | ||||||
Equity Funds | 80.1 | % | ||||
Fixed-Income Funds | 15.9 | % | ||||
Time Deposit | 4.0 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 S&P 500 Daily Risk Control 12% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 12%. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. ICE BofAML 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Growth Portfolio Custom Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 58% Russell 3000® Index, 18% Bloomberg Barclays U.S. Aggregate Bond Index, 16% MSCI EAFE Index, 4% ICE BofAML 3-Month U.S. Treasury Bill Index, and 4% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.
2 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
Fund profile subject to change due to active management.
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
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 actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class F | $1,000.00 | $985.50 | $4.09** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,020.68 | $4.16** | 0.83% |
* 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). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 95.4% | ||
Equity Exchange-Traded Funds - 79.6% | ||
Financial Select Sector SPDR Fund | 129,500 | 3,443,405 |
Health Care Select Sector SPDR Fund (1) | 38,000 | 3,171,480 |
iShares Core S&P Mid-Cap ETF | 61,000 | 11,881,580 |
iShares Russell 2000 ETF (1) | 57,000 | 9,334,890 |
iShares S&P 500 Growth ETF | 88,500 | 14,390,985 |
iShares S&P 500 Value ETF | 120,000 | 13,215,600 |
iShares S&P Mid-Cap 400 Value ETF (1) | 10,000 | 1,620,300 |
Technology Select Sector SPDR Fund | 51,000 | 3,542,970 |
Vanguard FTSE Developed Markets ETF | 549,500 | 23,573,550 |
Vanguard FTSE Emerging Markets ETF | 53,000 | 2,236,600 |
Vanguard REIT ETF (1) | 82,000 | 6,678,900 |
Vanguard S&P 500 ETF | 136,000 | 33,933,360 |
127,023,620 | ||
Fixed-Income Exchange-Traded Funds - 15.8% | ||
iShares Core U.S. Aggregate Bond ETF | 237,000 | 25,197,840 |
Total Exchange-Traded Funds (Cost $128,652,821) | 152,221,460 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
TIME DEPOSIT - 4.0% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 6,406,552 | 6,406,552 |
Total Time Deposit (Cost $6,406,552) | 6,406,552 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 4.6% | ||
State Street Navigator Securities Lending Government Money Market Portfolio | 7,274,118 | 7,274,118 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $7,274,118) | 7,274,118 | |
TOTAL INVESTMENTS (Cost $142,333,491) - 104.0% | 165,902,130 | |
Other assets and liabilities, net - (4.0%) | (6,399,157) | |
NET ASSETS - 100.0% | 159,502,973 |
NOTES TO SCHEDULE OF INVESTMENTS |
(1) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $12,703,941. |
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FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini Russell 2000 Index | 21 | Sep-18 | $1,729,875 | ($29,153 | ) | |||
E-mini S&P 500 Index | 40 | Sep-18 | 5,443,200 | (108,730) | ||||
E-mini S&P MidCap 400 Index | 6 | Sep-18 | 1,173,660 | (23,315) | ||||
MSCI EAFE Index | 23 | Sep-18 | 2,248,710 | (68,787) | ||||
Total Long | ($229,985 | ) | ||||||
See notes to financial statements. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $142,333,491) - including $12,703,941 of securities on loan | $165,902,130 | ||
Receivable for variation margin on open futures contracts | 16,191 | ||
Receivable for investments sold | 220,357 | ||
Dividends and interest receivable | 345,437 | ||
Securities lending income receivable | 4,634 | ||
Receivable from affiliate | 16,079 | ||
Deposits at broker for futures contracts | 438,650 | ||
Directors' deferred compensation plan | 24,452 | ||
Other assets | 1,687 | ||
Total assets | 166,969,617 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 44,560 | ||
Deposits for securities loaned | 7,274,118 | ||
Payable to affiliates: | |||
Investment advisory fee | 55,570 | ||
Administrative fee | 15,877 | ||
Distribution and service fees | 33,077 | ||
Directors' deferred compensation plan | 24,452 | ||
Accrued expenses | 18,990 | ||
Total liabilities | 7,466,644 | ||
NET ASSETS | $159,502,973 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(100,000,000 shares of $0.10 par value authorized) | $136,958,640 | ||
Accumulated undistributed net investment income | 2,719,211 | ||
Accumulated net realized loss | (3,513,532) | ||
Net unrealized appreciation | 23,338,654 | ||
Total | $159,502,973 | ||
NET ASSET VALUE PER SHARE | |||
Class F (based on net assets of $159,502,973 and 8,381,912 shares outstanding) | $19.03 | ||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income | $1,560,902 | ||
Interest income | 10,927 | ||
Securities lending income, net | 22,507 | ||
Total investment income | 1,594,336 | ||
EXPENSES | |||
Investment advisory fee | 330,808 | ||
Administrative fee | 94,517 | ||
Distribution and service fees | 196,909 | ||
Directors' fees and expenses | 4,261 | ||
Custodian fees | 23,450 | ||
Transfer agency fees and expenses | 826 | ||
Accounting fees | 17,622 | ||
Professional fees | 12,783 | ||
Reports to shareholders | 1,396 | ||
Miscellaneous | 6,540 | ||
Total expenses | 689,112 | ||
Waiver and/or reimbursement of expenses by affiliate | (31,753) | ||
Reimbursement of expenses-other | (1,599) | ||
Net expenses | 655,760 | ||
Net investment income | 938,576 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 1,240,195 | ||
Futures contracts | (3,023,059) | ||
(1,782,864) | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (1,198,587) | ||
Futures contracts | (342,138) | ||
(1,540,725) | |||
Net realized and unrealized loss | (3,323,589) | ||
Net decrease in net assets resulting from operations | ($2,385,013 | ) | |
See notes to financial statements. |
8 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $938,576 | $1,785,877 | |||||
Net realized gain (loss) | (1,782,864) | 2,725,390 | |||||
Net change in unrealized appreciation (depreciation) | (1,540,725) | 17,832,624 | |||||
Net increase (decrease) in net assets resulting from operations | (2,385,013) | 22,343,891 | |||||
Distributions to shareholders from: | |||||||
Net investment income | — | (1,685,691) | |||||
Total distributions to shareholders | — | (1,685,691) | |||||
Net increase in net assets from capital share transactions | 5,609,160 | 7,160,810 | |||||
TOTAL INCREASE IN NET ASSETS | 3,224,147 | 27,819,010 | |||||
NET ASSETS | |||||||
Beginning of period | 156,278,826 | 128,459,816 | |||||
End of period (including accumulated undistributed net investment income of $2,719,211 and $1,780,635, respectively) | $159,502,973 | $156,278,826 | |||||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||
CLASS F SHARES | 2017 | 2016 | 2015 | 2014 | 2013 (1) | |||||||||||||
Net asset value, beginning | $19.31 | $16.70 | $15.82 | $16.60 | $15.88 | $15.00 | ||||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income (2) | 0.11 | 0.23 | 0.24 | 0.23 | 0.26 | 0.21 | ||||||||||||
Net realized and unrealized gain (loss) | (0.39) | 2.59 | 0.64 | (0.82) | 0.63 | 0.78 | ||||||||||||
Total from investment operations | (0.28) | 2.82 | 0.88 | (0.59) | 0.89 | 0.99 | ||||||||||||
Distributions from: | ||||||||||||||||||
Net investment income | — | (0.21) | — | (0.19) | (0.17) | (0.11) | ||||||||||||
Net realized gain | — | — | — | — | (3) | — | — | |||||||||||
Total distributions | — | (0.21) | — | (0.19) | (0.17) | (0.11) | ||||||||||||
Total increase (decrease) in net asset value | (0.28) | 2.61 | 0.88 | (0.78) | 0.72 | 0.88 | ||||||||||||
Net asset value, ending | $19.03 | $19.31 | $16.70 | $15.82 | $16.60 | $15.88 | ||||||||||||
Total return (4) | (1.45 | %) | (5) | 16.92 | % | 5.56 | % | (3.51 | %) | 5.61 | % | 6.59 | % | (5) | ||||
Ratios to average net assets: (6)(7) | ||||||||||||||||||
Total expenses | 0.87 | % | (8) | 0.87 | % | 0.90 | % | 0.86 | % | 0.94 | % | 1.25 | % | (8) | ||||
Net expenses | 0.83 | % | (8) | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | (8) | ||||
Net investment income | 1.19 | % | (8) | 1.25 | % | 1.48 | % | 1.37 | % | 1.57 | % | 2.12 | % | (8) | ||||
Portfolio turnover | 6 | % | (5) | 7 | % | 10 | % | 17 | % | 30 | % | 1 | % | (5) | ||||
Net assets, ending (in thousands) | $159,503 | $156,279 | $128,460 | $113,084 | $82,389 | $25,709 | ||||||||||||
(1) From April 30, 2013 inception. | ||||||||||||||||||
(2) Computed using average shares outstanding. | ||||||||||||||||||
(3) Amount is less than $(0.005). | ||||||||||||||||||
(4) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||||||
(5) Not annualized. | ||||||||||||||||||
(6) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||||||
(7) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||||||
(8) Annualized. | ||||||||||||||||||
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Volatility Managed Growth Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to pursue growth potential and some current income, while seeking to manage overall portfolio volatility. The Fund invests primarily in exchange-traded funds representing a broad range of asset classes (the Underlying Funds).
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class F shares.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Short-Term Securities. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded 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. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might
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reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Funds | $ | 152,221,460 | $ | — | $ | — | $ | 152,221,460 | ||||
Time Deposit | — | 6,406,552 | — | 6,406,552 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 7,274,118 | — | — | 7,274,118 | ||||||||
Total Investments | $ | 159,495,578 | $ | 6,406,552 | $ | — | $ | 165,902,130 | ||||
Liabilities | ||||||||||||
Futures Contracts(1) | $ | (229,985 | ) | $ | — | $ | — | $ | (229,985 | ) | ||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Distributions from the Underlying Funds are recorded on the ex-dividend date. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded 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 Fund and do not include any expenses associated with the Underlying Funds.
C. Futures Contracts: The Fund may enter into futures contracts 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 Fund. 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 Fund’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 Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
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E. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
H. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.42% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $330,808.
Ameritas Investment Partners, Inc. (AIP) and Milliman Financial Risk Management LLC provide sub-advisory services to the Fund pursuant to sub-advisory agreements with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.83% of the Fund's average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $21,762.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the six months ended June 30, 2018, CRM was paid administrative fees of $94,517 of which $9,991 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $196,909 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $21 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of
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CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund’s allocated portion of such expense and reimbursement was $1,599, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, no expenses were incurred under the Servicing Plan.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $13,096,214 and $9,262,852, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $142,330,090 | ||
Gross unrealized appreciation | $24,298,672 | ||
Gross unrealized depreciation | (956,617) | ||
Net unrealized appreciation (depreciation) | $23,342,055 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at June 30, 2018 is included in the Schedule of Investments. During the six months ended June 30, 2018, futures contracts were used to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At June 30, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Net unrealized appreciation | $— | ($229,985 | ) | * | |||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the six months ended June 30, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($3,023,059) | ($342,138) |
The average notional cost of futures contracts (long) and futures contracts (short) outstanding during the six months ended June 30, 2018 was approximately $7,281,000 and $4,524,000, respectively.
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NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan was $12,703,941 and the total value of collateral received was $12,958,581, comprised of cash of $7,274,118 and U.S. Government and/or agencies securities of $5,684,463.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Exchange-Traded Funds | $12,958,581 | $— | $— | $— | $12,958,581 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
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NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class F | |||||||||||
Shares sold | 474,279 | $9,186,460 | 792,414 | $14,174,365 | |||||||
Reinvestment of distributions | — | — | 90,337 | 1,685,691 | |||||||
Shares redeemed | (186,772 | ) | (3,577,300 | ) | (482,385 | ) | (8,699,246 | ) | |||
Net increase | 287,507 | $5,609,160 | 400,366 | $7,160,810 |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 100% of the value of the outstanding shares of the Fund.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP Volatility Managed Growth Portfolio (the “Fund”), and the investment sub-advisory agreements with Ameritas Investment Partners, Inc. and Milliman Financial Risk Management LLC. (each a “Sub-Adviser” and together, the “Sub-Advisers”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreements of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and the Sub-Advisers under the investment advisory agreement and investment sub-advisory agreements, respectively, the Board reviewed information relating to the Adviser’s and each Sub-Adviser’s operations and personnel, including, among other information, biographical information on each Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and each Sub-Adviser as well as the Board’s familiarity with the Adviser and each Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Advisers and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to each Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the applicable investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Advisers’ compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes,
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policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Advisers under the investment advisory agreement and investment sub-advisory agreements, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one- and three-year periods ended September 30, 2017. This performance data indicated that the Fund outperformed the median of its performance universe and Lipper benchmark index for the one-year period ended September 30, 2017 and underperformed the median of its performance universe and Lipper benchmark index for the three-year period ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense universe. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Advisers, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Advisers’ sub-advisory fees out of its advisory fee and the sub-advisory fees were negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Advisers was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreements. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Advisers’ sub-advisory fees out of its advisory fee and the sub-advisory fees were negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Advisers’ management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreements. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 19
OFFICERS AND DIRECTORS
Officers of Calvert VP Volatility Managed Growth Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP Volatility Managed Growth Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
20 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 21
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CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Advisers Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 Milliman Financial Risk Management LLC 71 South Wacker Drive, 31st Floor Chicago, IL 60606 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24238 6.30.2018 |
Calvert VP Nasdaq 100 Index Portfolio | |
Semiannual Report June 30, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
PERFORMANCE AND FUND PROFILE
Performance1,2 | ||||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years | ||||||||||
Class I at NAV | 04/27/2000 | 04/27/2000 | 10.40 | % | 25.42 | % | 20.11 | % | 14.94 | % | ||||||
Class F at NAV | 10/30/2015 | 04/27/2000 | 10.25 | 25.08 | 19.94 | 14.85 | ||||||||||
NASDAQ-100 Index | — | — | 10.65 | % | 26.01 | % | 20.79 | % | 15.61 | % | ||||||
% Total Annual Operating Expense Ratios3 | Class I | Class F | ||||||||||||||
Gross | 0.60 | % | 1.01 | % | ||||||||||||
Net | 0.48 | 0.73 |
Fund Profile | |||||||
SECTOR ALLOCATION (% of total investments)4 | TEN LARGEST HOLDINGS (% of net assets)5 | ||||||
Information Technology | 59.1 | % | Apple, Inc. | 11.1 | % | ||
Consumer Discretionary | 22.4 | % | Amazon.com, Inc. | 10.1 | % | ||
Health Care | 9.0 | % | Microsoft Corp. | 9.2 | % | ||
Consumer Staples | 3.9 | % | Facebook, Inc., Class A | 5.7 | % | ||
Industrials | 1.9 | % | Alphabet, Inc., Class C | 4.7 | % | ||
Exchange-Traded Funds | 1.5 | % | Alphabet, Inc., Class A | 4.1 | % | ||
Time Deposit | 1.2 | % | Intel Corp. | 2.8 | % | ||
Telecommunication Services | 0.8 | % | Cisco Systems, Inc. | 2.5 | % | ||
U.S. Treasury Obligations | 0.2 | % | Netflix, Inc. | 2.1 | % | ||
Total | 100.0 | % | Comcast Corp., Class A | 1.8 | % | ||
Total | 54.1 | % | |||||
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
Endnotes and Additional Disclosures |
1 | NASDAQ-100 Index includes 100 of the largest domestic and international securities (by market cap), excluding financials, listed on NASDAQ. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. |
Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class F is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.
Effective December 31, 2016, Calvert Research and Management (“CRM”) became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
4 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
5 Excludes cash and cash equivalents.
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 3
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2018 to June 30, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, 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 section 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 section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund 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 this 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 expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (1/1/18) | ENDING ACCOUNT VALUE (6/30/18) | EXPENSES PAID DURING PERIOD* (1/1/18 - 6/30/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $1,104.00 | $2.50** | 0.48% |
Class F | $1,000.00 | $1,102.50 | $3.81** | 0.73% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.41 | $2.41** | 0.48% |
Class F | $1,000.00 | $1,021.17 | $3.66** | 0.73% |
* Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2017. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
4 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2018 (Unaudited)
SHARES | VALUE ($) | |
COMMON STOCKS - 97.1% | ||
Airlines - 0.2% | ||
American Airlines Group, Inc. (1) | 8,406 | 319,092 |
Automobiles - 0.7% | ||
Tesla, Inc. (1)(2) | 3,049 | 1,045,655 |
Beverages - 0.4% | ||
Monster Beverage Corp. (2) | 10,172 | 582,856 |
Biotechnology - 5.9% | ||
Alexion Pharmaceuticals, Inc. (2) | 3,981 | 494,241 |
Amgen, Inc. | 11,882 | 2,193,298 |
Biogen, Inc. (2) | 3,800 | 1,102,912 |
BioMarin Pharmaceutical, Inc. (1)(2) | 3,126 | 294,469 |
Celgene Corp. (2) | 13,015 | 1,033,651 |
Gilead Sciences, Inc. | 23,348 | 1,653,972 |
Incyte Corp. (1)(2) | 3,784 | 253,528 |
Regeneron Pharmaceuticals, Inc. (2) | 1,887 | 650,996 |
Shire plc ADR | 1,258 | 212,351 |
Vertex Pharmaceuticals, Inc. (2) | 4,560 | 775,018 |
8,664,436 | ||
Commercial Services & Supplies - 0.2% | ||
Cintas Corp. | 1,913 | 354,039 |
Communications Equipment - 2.5% | ||
Cisco Systems, Inc. | 84,446 | 3,633,711 |
Food & Staples Retailing - 1.8% | ||
Costco Wholesale Corp. | 7,887 | 1,648,225 |
Walgreens Boots Alliance, Inc. | 17,757 | 1,065,687 |
2,713,912 | ||
Food Products - 1.7% | ||
Kraft Heinz Co. (The) (1) | 21,814 | 1,370,355 |
Mondelez International, Inc., Class A | 26,487 | 1,085,967 |
2,456,322 | ||
Health Care Equipment & Supplies - 1.5% | ||
Align Technology, Inc. (2) | 1,435 | 490,971 |
DENTSPLY SIRONA, Inc. | 4,134 | 180,945 |
Hologic, Inc. (2) | 4,987 | 198,233 |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 5
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
IDEXX Laboratories, Inc. (2) | 1,583 | 344,999 |
Intuitive Surgical, Inc. (2) | 2,034 | 973,229 |
2,188,377 | ||
Health Care Providers & Services - 0.7% | ||
Express Scripts Holding Co. (2) | 10,086 | 778,740 |
Henry Schein, Inc. (1)(2) | 2,760 | 200,486 |
979,226 | ||
Health Care Technology - 0.2% | ||
Cerner Corp. (2) | 5,929 | 354,495 |
Hotels, Restaurants & Leisure - 1.6% | ||
Marriott International, Inc., Class A | 6,345 | 803,277 |
Starbucks Corp. | 24,780 | 1,210,503 |
Wynn Resorts Ltd. | 1,950 | 326,313 |
2,340,093 | ||
Internet & Direct Marketing Retail - 14.3% | ||
Amazon.com, Inc. (2) | 8,713 | 14,810,357 |
Booking Holdings, Inc. (2) | 867 | 1,757,487 |
Ctrip.com International Ltd. ADR (2) | 8,366 | 398,473 |
Expedia Group, Inc. | 2,505 | 301,076 |
JD.com, Inc. ADR (1)(2) | 16,564 | 645,168 |
Netflix, Inc. (2) | 7,794 | 3,050,805 |
Qurate Retail, Inc., Class A (2) | 7,941 | 168,508 |
21,131,874 | ||
Internet Software & Services - 16.2% | ||
Alphabet, Inc., Class A (2) | 5,361 | 6,053,588 |
Alphabet, Inc., Class C (2) | 6,266 | 6,990,663 |
Baidu, Inc. ADR (2) | 5,033 | 1,223,019 |
eBay, Inc. (2) | 17,848 | 647,168 |
Facebook, Inc., Class A (2) | 43,070 | 8,369,362 |
MercadoLibre, Inc. (1) | 791 | 236,454 |
NetEase, Inc. ADR | 1,371 | 346,411 |
23,866,665 | ||
IT Services - 3.2% | ||
Automatic Data Processing, Inc. | 7,910 | 1,061,047 |
Cognizant Technology Solutions Corp., Class A | 10,552 | 833,502 |
Fiserv, Inc. (2) | 7,352 | 544,710 |
Paychex, Inc. | 6,474 | 442,498 |
PayPal Holdings, Inc. (2) | 21,321 | 1,775,400 |
4,657,157 | ||
6 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Leisure Products - 0.1% | ||
Hasbro, Inc. | 2,237 | 206,497 |
Life Sciences Tools & Services - 0.5% | ||
Illumina, Inc. (2) | 2,633 | 735,371 |
Machinery - 0.3% | ||
PACCAR, Inc. | 6,295 | 390,038 |
Media - 4.5% | ||
Charter Communications, Inc., Class A (2) | 4,264 | 1,250,247 |
Comcast Corp., Class A | 82,459 | 2,705,480 |
DISH Network Corp., Class A (2) | 4,080 | 137,129 |
Liberty Global plc, Class A (2) | 4,044 | 111,372 |
Liberty Global plc, Class C (2) | 10,389 | 276,451 |
Sirius XM Holdings, Inc. (1) | 80,676 | 546,176 |
Twenty-First Century Fox, Inc., Class A | 18,923 | 940,284 |
Twenty-First Century Fox, Inc., Class B | 14,339 | 706,483 |
6,673,622 | ||
Multiline Retail - 0.3% | ||
Dollar Tree, Inc. (2) | 4,232 | 359,720 |
Pharmaceuticals - 0.2% | ||
Mylan NV (2) | 9,256 | 334,512 |
Professional Services - 0.2% | ||
Verisk Analytics, Inc. (2) | 2,962 | 318,830 |
Road & Rail - 0.8% | ||
CSX Corp. | 15,718 | 1,002,494 |
JB Hunt Transport Services, Inc. | 1,962 | 238,481 |
1,240,975 | ||
Semiconductors & Semiconductor Equipment - 11.4% | ||
Analog Devices, Inc. | 6,642 | 637,101 |
Applied Materials, Inc. | 18,101 | 836,085 |
ASML Holding NV | 1,327 | 262,706 |
Broadcom, Inc. | 7,373 | 1,788,985 |
Intel Corp. | 83,676 | 4,159,534 |
KLA-Tencor Corp. | 2,802 | 287,289 |
Lam Research Corp. | 2,927 | 505,932 |
Maxim Integrated Products, Inc. | 5,018 | 294,356 |
Microchip Technology, Inc. | 4,173 | 379,534 |
Micron Technology, Inc. (2) | 20,768 | 1,089,074 |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
NVIDIA Corp. | 10,899 | 2,581,973 |
QUALCOMM, Inc. | 26,588 | 1,492,119 |
Skyworks Solutions, Inc. | 3,306 | 319,525 |
Texas Instruments, Inc. | 17,578 | 1,937,974 |
Xilinx, Inc. | 4,577 | 298,695 |
16,870,882 | ||
Software - 14.3% | ||
Activision Blizzard, Inc. | 13,625 | 1,039,860 |
Adobe Systems, Inc. (2) | 8,848 | 2,157,231 |
Autodesk, Inc. (2) | 3,964 | 519,641 |
CA, Inc. | 7,523 | 268,195 |
Cadence Design Systems, Inc. (2) | 5,063 | 219,278 |
Check Point Software Technologies Ltd. (2) | 2,856 | 278,974 |
Citrix Systems, Inc. (2) | 2,445 | 256,334 |
Electronic Arts, Inc. (2) | 5,543 | 781,674 |
Intuit, Inc. | 4,595 | 938,781 |
Microsoft Corp. | 137,962 | 13,604,433 |
Symantec Corp. | 11,020 | 227,563 |
Synopsys, Inc. (2) | 2,694 | 230,526 |
Take-Two Interactive Software, Inc. (2) | 2,045 | 242,046 |
Workday, Inc., Class A (2) | 2,625 | 317,940 |
21,082,476 | ||
Specialty Retail - 0.8% | ||
O'Reilly Automotive, Inc. (2) | 1,471 | 402,422 |
Ross Stores, Inc. | 6,799 | 576,215 |
Ulta Beauty, Inc. (2) | 1,105 | 257,973 |
1,236,610 | ||
Technology Hardware, Storage & Peripherals - 11.6% | ||
Apple, Inc. | 88,258 | 16,337,438 |
Seagate Technology plc | 5,116 | 288,901 |
Western Digital Corp. | 5,344 | 413,679 |
17,040,018 | ||
Trading Companies & Distributors - 0.2% | ||
Fastenal Co. (1) | 5,202 | 250,372 |
Wireless Telecommunication Services - 0.8% | ||
T-Mobile US, Inc. (2) | 15,206 | 908,558 |
Vodafone Group plc ADR | 8,531 | 207,389 |
1,115,947 | ||
Total Common Stocks (Cost $52,377,921) | 143,143,780 |
8 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 1.5% | ||
Invesco QQQTM Trust, Series 1 | 13,000 | 2,231,450 |
Total Exchange-Traded Funds (Cost $1,403,987) | 2,231,450 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. TREASURY OBLIGATIONS - 0.2% | ||
U.S. Treasury Bill, 1.80%, 10/11/18 (3) | 300,000 | 298,380 |
Total U.S. Treasury Obligations (Cost $298,470) | 298,380 | |
TIME DEPOSIT - 1.3% | ||
State Street Bank and Trust Eurodollar Time Deposit, 0.28%, 7/2/18 | 1,850,214 | 1,850,214 |
Total Time Deposit (Cost $1,850,214) | 1,850,214 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.1% | ||
State Street Navigator Securities Lending Government Money Market Portfolio | 1,636,509 | 1,636,509 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $1,636,509) | 1,636,509 | |
TOTAL INVESTMENTS (Cost $57,567,101) - 101.2% | 149,160,333 | |
Other assets and liabilities, net - (1.2%) | (1,717,313) | |
NET ASSETS - 100.0% | 147,443,020 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) All or a portion of this security was on loan at June 30, 2018. The aggregate market value of securities on loan at June 30, 2018 was $5,109,674. | ||
(2) Non-income producing security. | ||
(3) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | ||
Abbreviations: | ||
ADR: | American Depositary Receipt |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION MONTH/YEAR | NOTIONAL AMOUNT | VALUE/NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini NASDAQ 100 Index | 15 | Sep-18 | $2,120,025 | ($40,015 | ) | |||
See notes to financial statements. |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 9
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2018 (Unaudited)
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $57,567,101) - including $5,109,674 of securities on loan | $149,160,333 | ||
Receivable for variation margin on open futures contracts | 3,645 | ||
Receivable for capital shares sold | 8,991 | ||
Dividends and interest receivable | 32,969 | ||
Securities lending income receivable | 2,845 | ||
Receivable from affiliate | 13,968 | ||
Directors' deferred compensation plan | 21,936 | ||
Other assets | 1,493 | ||
Total assets | 149,246,180 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 37,329 | ||
Deposits for securities loaned | 1,636,509 | ||
Payable to affiliates: | |||
Investment advisory fee | 36,998 | ||
Administrative fee | 14,799 | ||
Distribution and service fees | 418 | ||
Directors' deferred compensation plan | 21,936 | ||
Accrued expenses | 55,171 | ||
Total liabilities | 1,803,160 | ||
NET ASSETS | $147,443,020 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(10,000,000 shares per class of $0.10 par value authorized) | $51,073,097 | ||
Accumulated undistributed net investment income | 1,222,845 | ||
Accumulated undistributed net realized gain | 3,593,861 | ||
Net unrealized appreciation | 91,553,217 | ||
Total | $147,443,020 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $145,442,865 and 2,008,416 shares outstanding) | $72.42 | ||
Class F (based on net assets of $2,000,155 and 27,833 shares outstanding) | $71.86 | ||
See notes to financial statements. |
10 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $336) | $737,784 | ||
Interest income | 3,804 | ||
Securities lending income, net | 12,712 | ||
Total investment income | 754,300 | ||
EXPENSES | |||
Investment advisory fee | 213,526 | ||
Administrative fee | 85,410 | ||
Distribution and service fees: | |||
Class F | 2,519 | ||
Directors' fees and expenses | 3,830 | ||
Custodian fees | 8,544 | ||
Transfer agency fees and expenses | 35,514 | ||
Accounting fees | 18,478 | ||
Professional fees | 14,928 | ||
Reports to shareholders | 11,905 | ||
Miscellaneous | 27,462 | ||
Total expenses | 422,116 | ||
Waiver and/or reimbursement of expenses by affiliate | (71,254) | ||
Reimbursement of expenses-other | (1,483) | ||
Net expenses | 349,379 | ||
Net investment income | 404,921 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 1,012,950 | ||
Futures contracts | 173,870 | ||
1,186,820 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | 12,475,505 | ||
Futures contracts | (45,295) | ||
12,430,210 | |||
Net realized and unrealized gain | 13,617,030 | ||
Net increase in net assets resulting from operations | $14,021,951 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 11
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $404,921 | $822,350 | |||||
Net realized gain | 1,186,820 | 2,356,970 | |||||
Net change in unrealized appreciation (depreciation) | 12,430,210 | 30,434,400 | |||||
Net increase in net assets resulting from operations | 14,021,951 | 33,613,720 | |||||
Distributions to shareholders from: | |||||||
Net investment income: | |||||||
Class I shares | — | (595,014) | |||||
Class F shares | — | (8,640) | |||||
Net realized gain: | |||||||
Class I shares | — | (1,158,022) | |||||
Class F shares | — | (16,815) | |||||
Total distributions to shareholders | — | (1,778,491) | |||||
Capital share transactions: | |||||||
Class I shares | (1,854,293) | (2,454,766) | |||||
Class F shares | (139,189) | 497,315 | |||||
Net decrease in net assets from capital share transactions | (1,993,482) | (1,957,451) | |||||
TOTAL INCREASE IN NET ASSETS | 12,028,469 | 29,877,778 | |||||
NET ASSETS | |||||||
Beginning of period | 135,414,551 | 105,536,773 | |||||
End of period (including accumulated undistributed net investment income of $1,222,845 and $817,924, respectively) | $147,443,020 | $135,414,551 | |||||
See notes to financial statements. |
12 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (1) (Unaudited) | Year Ended December 31, | ||||||||||||||||
CLASS I SHARES | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | 2013 | ||||||||||||
Net asset value, beginning | $65.60 | $50.26 | $48.91 | $45.59 | $42.98 | $32.57 | |||||||||||
Income from investment operations: | |||||||||||||||||
Net investment income | 0.20 | 0.40 | 0.34 | 0.29 | 0.53 | 0.32 | |||||||||||
Net realized and unrealized gain | 6.62 | 15.82 | 2.91 | 3.87 | 7.55 | 11.39 | |||||||||||
Total from investment operations | 6.82 | 16.22 | 3.25 | 4.16 | 8.08 | 11.71 | |||||||||||
Distributions from: | |||||||||||||||||
Net investment income | — | (0.30) | (0.26) | (0.03) | (0.57) | (0.32) | |||||||||||
Net realized gain | — | (0.58) | (1.64) | (0.81) | (4.90) | (0.98) | |||||||||||
Total distributions | — | (0.88) | (1.90) | (0.84) | (5.47) | (1.30) | |||||||||||
Total increase in net asset value | 6.82 | 15.34 | 1.35 | 3.32 | 2.61 | 10.41 | |||||||||||
Net asset value, ending | $72.42 | $65.60 | $50.26 | $48.91 | $45.59 | $42.98 | |||||||||||
Total return (2) | 10.40 | % | (3) | 32.35 | % | 6.59 | % | 9.07 | % | 18.66 | % | 36.05 | % | ||||
Ratios to average net assets: (4) | |||||||||||||||||
Total expenses | 0.59 | % | (5) | 0.60 | % | 0.66 | % | 0.62 | % | 0.63 | % | 0.61 | % | ||||
Net expenses | 0.48 | % | (5) | 0.48 | % | 0.64 | % | 0.62 | % | 0.63 | % | 0.61 | % | ||||
Net investment income | 0.57 | % | (5) | 0.67 | % | 0.69 | % | 0.61 | % | 1.07 | % | 0.80 | % | ||||
Portfolio turnover | —% | (3)(6) | 3 | % | 5 | % | 8 | % | 11 | % | 13 | % | |||||
Net assets, ending (in thousands) | $145,443 | $133,473 | $104,449 | $93,676 | $82,697 | $80,774 | |||||||||||
(1) Net investment income per share was computed using average shares outstanding. | |||||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||||||
(3) Not annualized. | |||||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||||||
(5) Annualized. | |||||||||||||||||
(6) Amount is less than 1%. | |||||||||||||||||
See notes to financial statements. |
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CALVERT VP NASDAQ 100 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | ||||||||||||
CLASS F SHARES | 2017 | 2016 | 2015 (1) | ||||||||||
Net asset value, beginning | $65.18 | $50.07 | $48.91 | $50.24 | |||||||||
Income from investment operations: | |||||||||||||
Net investment income (2) | 0.11 | 0.23 | 0.18 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 6.57 | 15.76 | 2.93 | (0.58) | |||||||||
Total from investment operations | 6.68 | 15.99 | 3.11 | (0.52) | |||||||||
Distributions from: | |||||||||||||
Net investment income | — | (0.30) | (0.31) | — | |||||||||
Net realized gain | — | (0.58) | (1.64) | (0.81) | |||||||||
Total distributions | — | (0.88) | (1.95) | (0.81) | |||||||||
Total increase (decrease) in net asset value | 6.68 | 15.11 | 1.16 | (1.33) | |||||||||
Net asset value, ending | $71.86 | $65.18 | $50.07 | $48.91 | |||||||||
Total return (3) | 10.25 | % | (4) | 32.01 | % | 6.30 | % | (1.07 | %) | (4) | |||
Ratios to average net assets: (5) | |||||||||||||
Total expenses | 0.83 | % | (6) | 1.01 | % | 1.48 | % | 0.87 | % | (6) | |||
Net expenses | 0.73 | % | (6) | 0.73 | % | 0.94 | % | 0.87 | % | (6) | |||
Net investment income | 0.33 | % | (6) | 0.39 | % | 0.36 | % | 0.71 | % | (6) | |||
Portfolio turnover | —% | (4)(7) | 3 | % | 5 | % | 8 | % | (4) | ||||
Net assets, ending (in thousands) | $2,000 | $1,942 | $1,088 | $99 | |||||||||
(1) From October 30, 2015 inception. | |||||||||||||
(2) Computed using average shares outstanding. | |||||||||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||
(4) Not annualized. | |||||||||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||
(6) Annualized. | |||||||||||||
(7) Amount is less than 1%. | |||||||||||||
See notes to financial statements. |
14 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Nasdaq 100 Index Portfolio (the Fund) is a non-diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the investment performance of U.S. common stocks, as represented by the NASDAQ-100 Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, 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.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment 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 Fund 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 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 securities and financial instruments of the Fund to Calvert Research and Management (CRM), the Fund's investment adviser and has provided these Procedures to govern CRM in its valuation duties.
CRM 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 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.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period. Transfers in and/or out of levels are determined based on the fair value of such securities at the end of the period. Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or 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. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices and are categorized as Level 2 in the hierarchy.
Short-Term Securities. Short-term securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
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Other Securities. Exchange-traded 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. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on 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.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, 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 or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
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.
The following table summarizes the market value of the Fund's holdings as of June 30, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||
Common Stocks | $ | 143,143,780 | (1) | $ | — | $ | — | $ | 143,143,780 | ||||
Exchange-Traded Funds | 2,231,450 | — | — | 2,231,450 | |||||||||
U.S. Treasury Obligations | — | 298,380 | — | 298,380 | |||||||||
Time Deposit | — | 1,850,214 | — | 1,850,214 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 1,636,509 | — | — | 1,636,509 | |||||||||
Total Investments | $ | 147,011,739 | $ | 2,148,594 | $ | — | $ | 149,160,333 | |||||
Liabilities | |||||||||||||
Futures Contracts(2) | $ | (40,015 | ) | $ | — | $ | — | $ | (40,015 | ) | |||
(1) The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. | |||||||||||||
(2) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2018.
B. Investment Transactions and Income: Investment transactions for financial statement purposes 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 for dividends received in cash and/or securities. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
16 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
D. Futures Contracts: The Fund may enter into futures contracts 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 Fund. 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 Fund’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 Fund.
E. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
F. Estimates: The preparation of financial statements in conformity with U.S. GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
H. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund 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 Fund'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 Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
I. Interim Financial Statements: The interim financial statements relating to June 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by CRM, a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.30% of the Fund’s average daily net assets. For the six months ended June 30, 2018, the investment advisory fee amounted to $213,526.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.73% for Class F and 0.48% for Class I of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the six months ended June 30, 2018, CRM waived or reimbursed expenses of $62,234.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the six months ended June 30, 2018, CRM was paid administrative fees of $85,410 of which $9,020 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED) 17
distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the six months ended June 30, 2018 amounted to $2,519 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended June 30, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $64 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company for a period of up to three years through December 30, 2019. For the six months ended June 30, 2018, the Fund's allocated portion of such expense and reimbursement was $1,483, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the six months ended June 30, 2018, expenses incurred under the Servicing Plan amounted to $33,456 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the six months ended June 30, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $479,472 and $2,573,060, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at June 30, 2018, as determined on a federal income tax basis, were as follows:
Federal tax cost of investments | $57,527,474 | ||
Gross unrealized appreciation | $93,324,025 | ||
Gross unrealized depreciation | (1,731,181) | ||
Net unrealized appreciation (depreciation) | $91,592,844 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at June 30, 2018 is included in the Schedule of Investments. During the six months ended June 30, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
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At June 30, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Net unrealized appreciation | $— | ($40,015 | ) | * | |||
* Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the six months ended June 30, 2018 was as follows:
Statement of Operations Caption | ||||||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts | ||||
Futures contracts | $173,870 | ($45,295 | ) |
The average notional cost of futures contracts (long) outstanding during the six months ended June 30, 2018 was approximately $1,445,000.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At June 30, 2018, the total value of securities on loan was $5,109,674 and the total value of collateral received was $5,230,656, comprised of cash of $1,636,509 and U.S. Government and/or agencies securities collateral of $3,594,147.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $5,230,656 | $— | $— | $— | $5,230,656 |
The carrying amount of the liability for deposits for securities loaned at June 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at June 30, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $50 million ($25 million committed and $25 million uncommitted) unsecured line of credit agreement with SSB, which is in effect through August 7, 2018. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.25% per annum. A commitment fee of 0.25% per annum is incurred on
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the unused portion of the committed facility. An administrative fee of $30,000 was paid in connection with the renewal of the uncommitted facility. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the six months ended June 30, 2018.
On August 7, 2018, the Fund renewed its line of credit agreement through August 6, 2019. Under the terms of the renewed line of credit agreement, the committed amount was increased to $62.5 million, the commitment fee on the unused portion of the committed amount was changed to 0.20% per annum, the interest rate spread was changed to 1.00% per annum, and the uncommitted amount was discontinued.
NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the six months ended June 30, 2018 and the year ended December 31, 2017 were as follows:
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 106,830 | $7,466,853 | 204,747 | $12,174,860 | |||||||
Reinvestment of distributions | — | — | 28,197 | 1,753,036 | |||||||
Shares redeemed | (133,162 | ) | (9,321,146 | ) | (276,201 | ) | (16,382,662 | ) | |||
Net decrease | (26,332 | ) | ($1,854,293 | ) | (43,257 | ) | ($2,454,766 | ) | |||
Class F | |||||||||||
Shares sold | 315 | $21,669 | 14,305 | $825,595 | |||||||
Reinvestment of distributions | — | — | 412 | 25,455 | |||||||
Shares redeemed | (2,277 | ) | (160,858 | ) | (6,642 | ) | (353,735 | ) | |||
Net increase (decrease) | (1,962 | ) | ($139,189 | ) | 8,075 | $497,315 |
At June 30, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 52.1% of the value of the outstanding shares of the Fund and separate accounts of two other insurance companies each owned more than 10% of the value of the outstanding shares of the Fund, aggregating 33.4%.
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BOARD OF DIRECTORS’ CONTRACT APPROVAL
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 14, 2018, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more affiliated underlying fund(s), references to “each fund” in this section may include information that was considered at such underlying fund-level):
Information about Fees, Performance and Expenses
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
Information about Portfolio Management and Trading
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
Information about the Adviser
• | Reports detailing the financial results and condition of CRM; |
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• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
Other Relevant Information
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more affiliated underlying funds, the Board considered similar information about such underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert VP Nasdaq 100 Index Portfolio (the “Fund”), and the investment sub-advisory agreement with Ameritas Investment Partners, Inc. (the “Sub-Adviser”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds
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and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s performance universe and appropriate Lipper benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017. This performance data indicated that the Fund outperformed the median of its performance universe and Lipper benchmark index for the one-, three- and five-year periods ended September 30, 2017. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its performance universe and its Lipper benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory fee and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were below the median of comparable funds and the Fund’s total expenses (net of waivers and/or reimbursements) were at the median of comparable funds. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time given the Fund’s current size. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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OFFICERS AND DIRECTORS
Officers of Calvert VP Nasdaq 100 Index Portfolio
Hope L. Brown
Chief Compliance Officer
Maureen A. Gemma
Vice President, Secretary and
Chief Legal Officer
James F. Kirchner
Treasurer
Directors of Calvert VP Nasdaq 100 Index Portfolio
Alice Gresham Bullock
Chairperson
Richard L. Baird, Jr.
Cari M. Dominguez
John G. Guffey, Jr.
Miles D. Harper, III
Joy V. Jones
John H. Streur*
Anthony A. Williams
*Interested Director and President
24 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO SEMIANNUAL REPORT (UNAUDITED)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund 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 Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT VP NASDAQ 100 INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. 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 funds at 800-368-2745. Printed on recycled paper. | |
24230 6.30.2018 |
Item 2. Code of Ethics.
Not required in this filing.
Item 3. Audit Committee Financial Expert.
Not required in this filing.
Item 4. Principal Accountant Fees and Services.
Not required in this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
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.
No material changes.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (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 Securities Exchange Act of 1934 (“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 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a)(1) Registrant’s Code of Ethics- Not applicable (please see Item 2)
(a)(2)(i) President’s Section 302 certification.
(a)(2)(ii) Treasurer’s Section 302 certification.
(b) Combined Section 906 certification.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company 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
President
Date: August 21, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company 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.
By: /s/ John H. Streur
John H. Streur
President
Date: August 21, 2018
By: /s/ James F. Kirchner
James F. Kirchner
Treasurer
Date: August 21, 2018