Calvert
VP Nasdaq 100 Index Portfolio
September 30, 2021
Schedule of Investments (Unaudited)
Common Stocks — 97.6% |
Security | Shares | Value | |
Automobiles — 4.4% | |||
Tesla, Inc.(1) | 17,302 | $ 13,417,355 | |
$ 13,417,355 | |||
Beverages — 2.1% | |||
Keurig Dr Pepper, Inc. | 30,232 | $ 1,032,725 | |
Monster Beverage Corp.(1) | 11,274 | 1,001,470 | |
PepsiCo, Inc. | 29,352 | 4,414,834 | |
$ 6,449,029 | |||
Biotechnology — 3.9% | |||
Amgen, Inc. | 12,060 | $2,564,559 | |
Biogen, Inc.(1) | 3,165 | 895,663 | |
Gilead Sciences, Inc. | 26,627 | 1,859,896 | |
Incyte Corp.(1) | 4,691 | 322,647 | |
Moderna, Inc.(1) | 8,564 | 3,295,941 | |
Regeneron Pharmaceuticals, Inc.(1) | 2,233 | 1,351,367 | |
Seagen, Inc.(1) | 3,871 | 657,296 | |
Vertex Pharmaceuticals, Inc.(1) | 5,521 | 1,001,454 | |
$11,948,823 | |||
Commercial Services & Supplies — 0.5% | |||
Cintas Corp. | 2,187 | $832,504 | |
Copart, Inc.(1) | 5,046 | 699,981 | |
$1,532,485 | |||
Communications Equipment — 1.6% | |||
Cisco Systems, Inc. | 89,498 | $4,871,376 | |
$4,871,376 | |||
Electric Utilities — 0.8% | |||
American Electric Power Co., Inc. | 10,659 | $865,298 | |
Exelon Corp. | 20,843 | 1,007,550 | |
Xcel Energy, Inc. | 11,480 | 717,500 | |
$2,590,348 | |||
Electronic Equipment, Instruments & Components — 0.2% | |||
CDW Corp. | 2,920 | $531,498 | |
$531,498 | |||
Entertainment — 2.8% | |||
Activision Blizzard, Inc. | 16,573 | $1,282,584 | |
Electronic Arts, Inc. | 6,044 | 859,759 | |
NetEase, Inc. ADR | 6,427 | 548,866 |
Security | Shares | Value | |
Entertainment (continued) | |||
Netflix, Inc.(1) | 9,399 | $ 5,736,586 | |
$ 8,427,795 | |||
Food & Staples Retailing — 1.7% | |||
Costco Wholesale Corp. | 9,388 | $ 4,218,498 | |
Walgreens Boots Alliance, Inc. | 18,437 | 867,461 | |
$ 5,085,959 | |||
Food Products — 0.9% | |||
Kraft Heinz Co. (The) | 26,089 | $ 960,597 | |
Mondelez International, Inc., Class A | 29,686 | 1,727,131 | |
$2,687,728 | |||
Health Care Equipment & Supplies — 1.9% | |||
Align Technology, Inc.(1) | 1,678 | $1,116,592 | |
DexCom, Inc.(1) | 2,063 | 1,128,172 | |
IDEXX Laboratories, Inc.(1) | 1,807 | 1,123,773 | |
Intuitive Surgical, Inc.(1) | 2,526 | 2,511,223 | |
$5,879,760 | |||
Health Care Technology — 0.1% | |||
Cerner Corp. | 6,277 | $442,654 | |
$442,654 | |||
Hotels, Restaurants & Leisure — 2.0% | |||
Booking Holdings, Inc.(1) | 872 | $2,070,014 | |
Marriott International, Inc., Class A(1) | 6,946 | 1,028,633 | |
Starbucks Corp. | 25,041 | 2,762,273 | |
Trip.com Group, Ltd. ADR(1) | 11,237 | 345,538 | |
$6,206,458 | |||
Industrial Conglomerates — 1.0% | |||
Honeywell International, Inc. | 14,662 | $3,112,449 | |
$3,112,449 | |||
Interactive Media & Services — 11.9% | |||
Alphabet, Inc., Class A(1) | 4,202 | $11,234,131 | |
Alphabet, Inc., Class C(1) | 4,468 | 11,908,605 | |
Baidu, Inc. ADR(1) | 5,366 | 825,023 | |
Facebook, Inc., Class A(1) | 33,269 | 11,291,166 | |
Match Group, Inc.(1) | 5,879 | 922,944 | |
$36,181,869 | |||
Internet & Direct Marketing Retail — 9.2% | |||
Amazon.com, Inc.(1) | 7,069 | $23,221,948 | |
eBay, Inc. | 13,805 | 961,794 |
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Calvert
VP Nasdaq 100 Index Portfolio
September 30, 2021
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Internet & Direct Marketing Retail (continued) | |||
JD.com, Inc. ADR(1) | 16,764 | $ 1,211,031 | |
MercadoLibre, Inc.(1) | 1,056 | 1,773,447 | |
Pinduoduo, Inc. ADR(1) | 8,070 | 731,707 | |
$ 27,899,927 | |||
IT Services — 4.2% | |||
Automatic Data Processing, Inc. | 8,985 | $ 1,796,281 | |
Cognizant Technology Solutions Corp., Class A | 11,162 | 828,332 | |
Fiserv, Inc.(1) | 14,063 | 1,525,836 | |
Okta, Inc.(1) | 3,047 | 723,175 | |
Paychex, Inc. | 7,686 | 864,291 | |
PayPal Holdings, Inc.(1) | 24,954 | 6,493,280 | |
VeriSign, Inc.(1) | 2,376 | 487,104 | |
$12,718,299 | |||
Leisure Products — 0.2% | |||
Peloton Interactive, Inc., Class A(1) | 5,732 | $498,971 | |
$498,971 | |||
Life Sciences Tools & Services — 0.4% | |||
Illumina, Inc.(1) | 3,324 | $1,348,248 | |
$1,348,248 | |||
Machinery — 0.2% | |||
PACCAR, Inc. | 7,405 | $584,403 | |
$584,403 | |||
Media — 3.1% | |||
Charter Communications, Inc., Class A(1) | 3,904 | $2,840,394 | |
Comcast Corp., Class A | 97,273 | 5,440,479 | |
Fox Corp., Class A | 6,868 | 275,475 | |
Fox Corp., Class B | 5,356 | 198,815 | |
Sirius XM Holdings, Inc.(2) | 86,748 | 529,163 | |
$9,284,326 | |||
Multiline Retail — 0.1% | |||
Dollar Tree, Inc.(1) | 4,776 | $457,159 | |
$457,159 | |||
Professional Services — 0.2% | |||
Verisk Analytics, Inc. | 3,427 | $686,325 | |
$686,325 | |||
Road & Rail — 0.5% | |||
CSX Corp. | 47,879 | $1,423,921 | |
$1,423,921 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment — 14.5% | |||
Advanced Micro Devices, Inc.(1) | 25,760 | $ 2,650,704 | |
Analog Devices, Inc. | 11,413 | 1,911,449 | |
Applied Materials, Inc. | 19,176 | 2,468,527 | |
ASML Holding NV-NY Shares | 1,729 | 1,288,295 | |
Broadcom, Inc. | 8,709 | 4,223,255 | |
Intel Corp. | 86,129 | 4,588,953 | |
KLA Corp. | 3,244 | 1,085,151 | |
Lam Research Corp. | 3,015 | 1,715,987 | |
Marvell Technology, Inc. | 17,475 | 1,053,917 | |
Microchip Technology, Inc. | 5,834 | 895,461 | |
Micron Technology, Inc. | 23,919 | 1,697,771 | |
NVIDIA Corp. | 53,093 | 10,998,746 | |
NXP Semiconductors NV | 5,631 | 1,102,944 | |
QUALCOMM, Inc. | 23,956 | 3,089,845 | |
Skyworks Solutions, Inc. | 3,521 | 580,190 | |
Texas Instruments, Inc. | 19,606 | 3,768,469 | |
Xilinx, Inc. | 5,244 | 791,792 | |
$43,911,456 | |||
Software — 16.1% | |||
Adobe, Inc.(1) | 10,117 | $5,824,559 | |
ANSYS, Inc.(1) | 1,859 | 632,897 | |
Atlassian Corp. PLC, Class A(1) | 2,916 | 1,141,381 | |
Autodesk, Inc.(1) | 4,672 | 1,332,314 | |
Cadence Design Systems, Inc.(1) | 5,878 | 890,164 | |
Check Point Software Technologies, Ltd.(1) | 2,820 | 318,773 | |
CrowdStrike Holdings, Inc., Class A(1) | 4,231 | 1,039,895 | |
DocuSign, Inc.(1) | 4,150 | 1,068,334 | |
Intuit, Inc. | 5,803 | 3,130,777 | |
Microsoft Corp. | 104,903 | 29,574,254 | |
Splunk, Inc.(1) | 3,496 | 505,906 | |
Synopsys, Inc.(1) | 3,239 | 969,789 | |
Workday, Inc., Class A(1) | 4,056 | 1,013,554 | |
Zoom Video Communications, Inc., Class A(1) | 5,113 | 1,337,049 | |
$48,779,646 | |||
Specialty Retail — 0.6% | |||
O'Reilly Automotive, Inc.(1) | 1,464 | $894,592 | |
Ross Stores, Inc. | 7,606 | 827,913 | |
$1,722,505 | |||
Technology Hardware, Storage & Peripherals — 10.8% | |||
Apple, Inc. | 230,746 | $32,650,559 | |
$32,650,559 |
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Calvert
VP Nasdaq 100 Index Portfolio
September 30, 2021
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods — 0.4% | |||
lululemon Athletica, Inc.(1) | 2,654 | $ 1,074,074 | |
$ 1,074,074 | |||
Trading Companies & Distributors — 0.2% | |||
Fastenal Co. | 12,253 | $ 632,377 | |
$ 632,377 | |||
Wireless Telecommunication Services — 1.1% | |||
T-Mobile US, Inc.(1) | 26,503 | $ 3,386,023 | |
$ 3,386,023 | |||
Total Common Stocks (identified cost $78,974,376) | $296,423,805 |
Exchange-Traded Funds — 1.2% |
Security | Shares | Value | |
Equity Funds — 1.2% | |||
Invesco QQQ TM Trust, Series 1(2) | 10,000 | $ 3,579,600 | |
Total Exchange-Traded Funds (identified cost $2,826,560) | $ 3,579,600 |
Short-Term Investments — 1.3% | |||
Affiliated Fund — 1.1% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.04%(3) | 3,250,918 | $ 3,251,243 | |
Total Affiliated Fund (identified cost $3,250,947) | $ 3,251,243 | ||
Securities Lending Collateral — 0.0%(4) | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(5) | 185,956 | $ 185,956 | |
Total Securities Lending Collateral (identified cost $185,956) | $ 185,956 |
U.S. Treasury Obligations — 0.2% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.068%, 2/24/22(6) | $ | 500 | $ 499,909 |
Total U.S. Treasury Obligations (identified cost $499,863) | $ 499,909 | ||
Total Short-Term Investments (identified cost $3,936,766) | $ 3,937,108 | ||
Total Investments — 100.1% (identified cost $85,737,702) | $303,940,513 |
Other Assets, Less Liabilities — (0.1)% | $ (358,244) | ||
Net Assets — 100.0% | $303,582,269 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at September 30, 2021. The aggregate market value of securities on loan at September 30, 2021 was $4,067,672 and the total market value of the collateral received by the Fund was $4,268,208, comprised of cash of $185,956 and U.S. government and/or agencies securities of $4,082,252. |
(3) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2021. |
(4) | Amount is less than 0.05%. |
(5) | Represents investment of cash collateral received in connection with securities lending. |
(6) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
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Calvert
VP Nasdaq 100 Index Portfolio
September 30, 2021
Schedule of Investments (Unaudited) — continued
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini NASDAQ 100 Index | 12 | Long | 12/17/21 | $3,523,800 | $(163,227) |
$(163,227) |
Abbreviations: | |
ADR | – American Depositary Receipt |
At September 30, 2021, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
During the fiscal year to date ended September 30, 2021, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At September 30, 2021, the value of the Fund's investment in affiliated funds was $3,251,243, which represents 1.1% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended September 30, 2021 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $6,815,779 | $22,551,507 | $(26,115,596) | $(743) | $296 | $3,251,243 | $3,548 | 3,250,918 |
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund's holdings as of September 30, 2021, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $296,423,805(1) | $ — | $ — | $296,423,805 |
Exchange-Traded Funds | 3,579,600 | — | — | 3,579,600 |
Short-Term Investments: | ||||
Affiliated Fund | — | 3,251,243 | — | 3,251,243 |
Securities Lending Collateral | 185,956 | — | — | 185,956 |
U.S. Treasury Obligations | — | 499,909 | — | 499,909 |
Total Investments | $300,189,361 | $3,751,152 | $ — | $303,940,513 |
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Calvert
VP Nasdaq 100 Index Portfolio
September 30, 2021
Schedule of Investments (Unaudited) — continued
Liability Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $(163,227) | $ — | $ — | $(163,227) |
Total | $(163,227) | $ — | $ — | $(163,227) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
5