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- 22 Aug 22 Calvert VP S&P 500 Index Portfolio (Jun 2022 report)
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- 27 May 22 Calvert VP Volatility Managed Growth Portfolio (Mar 2022 report)
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Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments (Unaudited)
Common Stocks — 97.4% |
Security | Shares | Value | |
Aerospace & Defense — 1.3% | |||
Axon Enterprise, Inc.(1) | 18,290 | $ 2,519,082 | |
Curtiss-Wright Corp. | 10,492 | 1,575,479 | |
Hexcel Corp. | 22,211 | 1,320,888 | |
Mercury Systems, Inc.(1) | 15,180 | 978,351 | |
Woodward, Inc. | 16,849 | 2,104,608 | |
$ 8,498,408 | |||
Air Freight & Logistics — 0.3% | |||
GXO Logistics, Inc.(1) | 26,362 | $ 1,880,665 | |
$1,880,665 | |||
Airlines — 0.2% | |||
JetBlue Airways Corp.(1) | 84,241 | $1,259,403 | |
$1,259,403 | |||
Auto Components — 1.4% | |||
Adient PLC(1) | 24,958 | $1,017,538 | |
Dana, Inc. | 38,470 | 675,918 | |
Fox Factory Holding Corp.(1) | 11,153 | 1,092,436 | |
Gentex Corp. | 63,297 | 1,846,373 | |
Goodyear Tire & Rubber Co. (The)(1) | 74,488 | 1,064,433 | |
Lear Corp. | 15,940 | 2,272,885 | |
Visteon Corp.(1) | 7,413 | 808,981 | |
$8,778,564 | |||
Automobiles — 0.4% | |||
Harley-Davidson, Inc. | 40,752 | $1,605,629 | |
Thor Industries, Inc.(2) | 14,848 | 1,168,537 | |
$2,774,166 | |||
Banks — 6.5% | |||
Associated Banc-Corp. | 40,126 | $913,268 | |
Bank of Hawaii Corp. | 10,722 | 899,790 | |
Bank OZK | 32,294 | 1,378,954 | |
Cadence Bank | 50,311 | 1,472,100 | |
Cathay General Bancorp | 20,235 | 905,516 | |
Commerce Bancshares, Inc. | 29,563 | 2,116,415 | |
Cullen/Frost Bankers, Inc. | 15,162 | 2,098,572 | |
East West Bancorp, Inc. | 37,943 | 2,998,256 | |
F.N.B. Corp. | 90,238 | 1,123,463 | |
First Financial Bankshares, Inc. | 33,939 | 1,497,389 | |
First Horizon Corp. | 142,648 | 3,350,801 | |
Fulton Financial Corp. | 43,197 | 717,934 | |
Glacier Bancorp, Inc. | 28,699 | 1,442,986 |
Security | Shares | Value | |
Banks (continued) | |||
Hancock Whitney Corp. | 23,006 | $ 1,199,763 | |
Home BancShares, Inc. | 39,988 | 903,729 | |
International Bancshares Corp. | 14,101 | 595,203 | |
Old National Bancorp | 78,800 | 1,290,744 | |
PacWest Bancorp | 31,945 | 1,377,788 | |
Pinnacle Financial Partners, Inc. | 20,357 | 1,874,473 | |
Prosperity Bancshares, Inc. | 24,616 | 1,707,858 | |
Synovus Financial Corp. | 38,792 | 1,900,808 | |
Texas Capital Bancshares, Inc.(1) | 13,672 | 783,542 | |
UMB Financial Corp. | 11,398 | 1,107,430 | |
Umpqua Holdings Corp. | 58,311 | 1,099,745 | |
United Bankshares, Inc. | 36,125 | 1,260,040 | |
Valley National Bancorp | 112,579 | 1,465,779 | |
Webster Financial Corp. | 47,949 | 2,690,898 | |
Wintrust Financial Corp. | 15,110 | 1,404,172 | |
$41,577,416 | |||
Beverages — 0.2% | |||
Boston Beer Co., Inc. (The), Class A(1) | 2,487 | $966,125 | |
$966,125 | |||
Biotechnology — 1.5% | |||
Arrowhead Pharmaceuticals, Inc.(1) | 28,172 | $1,295,630 | |
Exelixis, Inc.(1) | 84,598 | 1,917,837 | |
Halozyme Therapeutics, Inc.(1) | 37,703 | 1,503,596 | |
Neurocrine Biosciences, Inc.(1) | 25,365 | 2,377,969 | |
United Therapeutics Corp.(1) | 12,042 | 2,160,455 | |
$9,255,487 | |||
Building Products — 2.3% | |||
Builders FirstSource, Inc.(1) | 51,203 | $3,304,642 | |
Carlisle Cos., Inc. | 13,980 | 3,437,962 | |
Lennox International, Inc. | 9,000 | 2,320,740 | |
Owens Corning | 26,868 | 2,458,422 | |
Simpson Manufacturing Co., Inc. | 11,507 | 1,254,723 | |
Trex Co., Inc.(1) | 30,780 | 2,010,857 | |
$14,787,346 | |||
Capital Markets — 1.9% | |||
Affiliated Managers Group, Inc. | 10,915 | $1,538,469 | |
Evercore, Inc., Class A | 10,505 | 1,169,417 | |
Federated Hermes, Inc., Class B | 25,862 | 880,860 | |
Interactive Brokers Group, Inc., Class A | 23,138 | 1,525,025 | |
Janus Henderson Group PLC | 45,099 | 1,579,367 | |
Jefferies Financial Group, Inc. | 51,686 | 1,697,885 | |
SEI Investments Co. | 28,071 | 1,690,155 |
1
Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Capital Markets (continued) | |||
Stifel Financial Corp. | 27,757 | $ 1,884,700 | |
$ 11,965,878 | |||
Chemicals — 2.4% | |||
Ashland Global Holdings, Inc. | 14,142 | $ 1,391,714 | |
Avient Corp. | 24,184 | 1,160,832 | |
Cabot Corp. | 15,026 | 1,027,929 | |
Chemours Co. (The) | 42,746 | 1,345,644 | |
Ingevity Corp.(1) | 10,469 | 670,749 | |
Minerals Technologies, Inc. | 9,117 | 603,090 | |
NewMarket Corp. | 1,847 | 599,130 | |
Olin Corp. | 37,698 | 1,970,851 | |
RPM International, Inc. | 34,683 | 2,824,583 | |
Scotts Miracle-Gro Co. (The), Class A | 10,790 | 1,326,738 | |
Sensient Technologies Corp. | 11,167 | 937,470 | |
Valvoline, Inc. | 47,882 | 1,511,156 | |
$15,369,886 | |||
Commercial Services & Supplies — 1.5% | |||
Brink's Co. (The) | 13,189 | $896,852 | |
Clean Harbors, Inc.(1) | 13,258 | 1,480,123 | |
IAA, Inc.(1) | 35,707 | 1,365,793 | |
MillerKnoll, Inc. | 19,970 | 690,163 | |
MSA Safety, Inc. | 9,654 | 1,281,086 | |
Stericycle, Inc.(1) | 24,331 | 1,433,582 | |
Tetra Tech, Inc. | 14,457 | 2,384,538 | |
$9,532,137 | |||
Communications Equipment — 0.9% | |||
Calix, Inc.(1) | 14,600 | $626,486 | |
Ciena Corp.(1) | 41,425 | 2,511,598 | |
Lumentum Holdings, Inc.(1) | 19,331 | 1,886,706 | |
ViaSat, Inc.(1) | 19,873 | 969,802 | |
$5,994,592 | |||
Construction & Engineering — 1.7% | |||
AECOM | 37,757 | $2,900,115 | |
Dycom Industries, Inc.(1) | 8,159 | 777,226 | |
EMCOR Group, Inc. | 14,239 | 1,603,739 | |
Fluor Corp.(1) | 37,460 | 1,074,727 | |
MasTec, Inc.(1) | 15,721 | 1,369,299 | |
MDU Resources Group, Inc. | 54,372 | 1,449,014 | |
Valmont Industries, Inc. | 5,619 | 1,340,694 | |
$10,514,814 |
Security | Shares | Value | |
Construction Materials — 0.2% | |||
Eagle Materials, Inc. | 10,553 | $ 1,354,583 | |
$ 1,354,583 | |||
Consumer Finance — 0.5% | |||
FirstCash Holdings, Inc. | 10,715 | $ 753,693 | |
Navient Corp. | 41,138 | 700,991 | |
PROG Holdings, Inc.(1) | 15,315 | 440,613 | |
SLM Corp. | 74,503 | 1,367,875 | |
$ 3,263,172 | |||
Containers & Packaging — 0.8% | |||
AptarGroup, Inc. | 17,472 | $2,052,960 | |
Greif, Inc., Class A | 7,033 | 457,567 | |
Silgan Holdings, Inc. | 22,227 | 1,027,554 | |
Sonoco Products Co. | 26,045 | 1,629,375 | |
$5,167,456 | |||
Diversified Consumer Services — 0.9% | |||
Graham Holdings Co., Class B | 1,069 | $653,661 | |
Grand Canyon Education, Inc.(1) | 10,715 | 1,040,534 | |
H&R Block, Inc. | 43,953 | 1,144,536 | |
Service Corp. International | 44,094 | 2,902,267 | |
$5,740,998 | |||
Diversified Financial Services — 0.3% | |||
Voya Financial, Inc. | 28,850 | $1,914,198 | |
$1,914,198 | |||
Diversified Telecommunication Services — 0.2% | |||
Iridium Communications, Inc.(1) | 34,948 | $1,409,103 | |
$1,409,103 | |||
Electric Utilities — 1.1% | |||
ALLETE, Inc. | 14,106 | $944,820 | |
Hawaiian Electric Industries, Inc. | 28,956 | 1,225,128 | |
IDACORP, Inc. | 13,381 | 1,543,632 | |
OGE Energy Corp. | 53,522 | 2,182,627 | |
PNM Resources, Inc. | 22,737 | 1,083,873 | |
$6,980,080 | |||
Electrical Equipment — 1.8% | |||
Acuity Brands, Inc. | 9,338 | $1,767,684 | |
EnerSys | 11,019 | 821,687 | |
Hubbell, Inc. | 14,548 | 2,673,486 | |
nVent Electric PLC | 44,530 | 1,548,753 | |
Regal Rexnord Corp. | 18,117 | 2,695,447 |
2
Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Electrical Equipment (continued) | |||
Sunrun, Inc.(1) | 55,349 | $ 1,680,949 | |
Vicor Corp.(1) | 5,734 | 404,534 | |
$ 11,592,540 | |||
Electronic Equipment, Instruments & Components — 3.1% | |||
Arrow Electronics, Inc.(1) | 18,183 | $ 2,157,049 | |
Avnet, Inc. | 26,358 | 1,069,871 | |
Belden, Inc. | 12,092 | 669,897 | |
Cognex Corp. | 47,272 | 3,647,035 | |
Coherent, Inc.(1) | 6,618 | 1,809,097 | |
II-VI, Inc.(1)(2) | 28,379 | 2,057,194 | |
Jabil, Inc. | 38,325 | 2,365,802 | |
Littelfuse, Inc. | 6,586 | 1,642,614 | |
National Instruments Corp. | 35,572 | 1,443,868 | |
TD SYNNEX Corp. | 11,006 | 1,135,929 | |
Vishay Intertechnology, Inc. | 35,870 | 703,052 | |
Vontier Corp. | 44,747 | 1,136,126 | |
$19,837,534 | |||
Energy Equipment & Services — 0.5% | |||
ChampionX Corp.(1) | 53,456 | $1,308,603 | |
NOV, Inc. | 104,893 | 2,056,952 | |
$3,365,555 | |||
Entertainment — 0.1% | |||
World Wrestling Entertainment, Inc., Class A | 11,924 | $744,535 | |
$744,535 | |||
Equity Real Estate Investment Trusts (REITs) — 9.3% | |||
American Campus Communities, Inc. | 37,208 | $2,082,532 | |
Apartment Income REIT Corp. | 41,974 | 2,243,930 | |
Brixmor Property Group, Inc. | 79,564 | 2,053,547 | |
Camden Property Trust | 27,325 | 4,541,415 | |
Corporate Office Properties Trust | 30,361 | 866,503 | |
Cousins Properties, Inc. | 39,386 | 1,586,862 | |
Douglas Emmett, Inc. | 46,481 | 1,553,395 | |
EastGroup Properties, Inc. | 10,878 | 2,211,280 | |
EPR Properties | 19,815 | 1,084,079 | |
First Industrial Realty Trust, Inc. | 34,837 | 2,156,759 | |
Healthcare Realty Trust, Inc. | 39,449 | 1,084,058 | |
Highwoods Properties, Inc. | 28,020 | 1,281,635 | |
Hudson Pacific Properties, Inc. | 40,390 | 1,120,822 | |
JBG SMITH Properties | 30,756 | 898,690 | |
Kilroy Realty Corp. | 28,061 | 2,144,422 | |
Kite Realty Group Trust | 57,800 | 1,316,106 | |
Lamar Advertising Co., Class A | 23,213 | 2,696,886 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Life Storage, Inc. | 21,931 | $ 3,079,770 | |
Macerich Co. (The) | 56,424 | 882,471 | |
Medical Properties Trust, Inc. | 159,437 | 3,370,498 | |
National Retail Properties, Inc. | 46,956 | 2,110,203 | |
National Storage Affiliates Trust | 21,910 | 1,375,072 | |
Omega Healthcare Investors, Inc. | 63,546 | 1,980,093 | |
Park Hotels & Resorts, Inc. | 62,645 | 1,223,457 | |
Pebblebrook Hotel Trust | 34,802 | 851,953 | |
Physicians Realty Trust | 58,900 | 1,033,106 | |
PotlatchDeltic Corp. | 18,449 | 972,816 | |
PS Business Parks, Inc. | 5,332 | 896,203 | |
Rayonier, Inc. | 38,834 | 1,596,854 | |
Rexford Industrial Realty, Inc. | 42,811 | 3,193,272 | |
Sabra Health Care REIT, Inc. | 61,143 | 910,419 | |
SL Green Realty Corp. | 17,124 | 1,390,126 | |
Spirit Realty Capital, Inc. | 34,112 | 1,569,834 | |
STORE Capital Corp. | 65,616 | 1,917,956 | |
$59,277,024 | |||
Food & Staples Retailing — 1.3% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 36,326 | $2,456,001 | |
Casey's General Stores, Inc. | 9,920 | 1,965,846 | |
Grocery Outlet Holding Corp.(1) | 23,599 | 773,575 | |
Performance Food Group Co.(1) | 41,260 | 2,100,547 | |
Sprouts Farmers Market, Inc.(1) | 30,248 | 967,331 | |
$8,263,300 | |||
Food Products — 1.7% | |||
Darling Ingredients, Inc.(1) | 43,264 | $3,477,560 | |
Flowers Foods, Inc. | 53,220 | 1,368,286 | |
Hain Celestial Group, Inc. (The)(1) | 24,367 | 838,225 | |
Ingredion, Inc. | 17,749 | 1,546,826 | |
Lancaster Colony Corp. | 5,286 | 788,407 | |
Pilgrim's Pride Corp.(1) | 12,910 | 324,041 | |
Post Holdings, Inc.(1) | 15,203 | 1,052,960 | |
Sanderson Farms, Inc. | 5,619 | 1,053,506 | |
$10,449,811 | |||
Gas Utilities — 1.3% | |||
National Fuel Gas Co. | 24,428 | $1,678,204 | |
New Jersey Resources Corp. | 25,565 | 1,172,411 | |
ONE Gas, Inc. | 14,392 | 1,269,950 | |
Southwest Gas Holdings, Inc. | 17,546 | 1,373,676 | |
Spire, Inc. | 13,969 | 1,002,415 | |
UGI Corp. | 55,908 | 2,024,988 | |
$8,521,644 |
3
Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Health Care Equipment & Supplies — 2.8% | |||
Envista Holdings Corp.(1) | 43,106 | $ 2,099,693 | |
Globus Medical, Inc., Class A(1) | 21,134 | 1,559,266 | |
Haemonetics Corp.(1) | 13,500 | 853,470 | |
ICU Medical, Inc.(1) | 5,281 | 1,175,762 | |
Integra LifeSciences Holdings Corp.(1) | 19,476 | 1,251,528 | |
LivaNova PLC(1) | 14,206 | 1,162,477 | |
Masimo Corp.(1) | 13,584 | 1,977,015 | |
Neogen Corp.(1) | 28,470 | 878,015 | |
NuVasive, Inc.(1) | 13,686 | 775,996 | |
Penumbra, Inc.(1) | 9,390 | 2,085,801 | |
Quidel Corp.(1) | 10,036 | 1,128,649 | |
STAAR Surgical Co.(1) | 12,555 | 1,003,270 | |
Tandem Diabetes Care, Inc.(1) | 16,987 | 1,975,418 | |
$17,926,360 | |||
Health Care Providers & Services — 2.5% | |||
Acadia Healthcare Co., Inc.(1) | 23,804 | $1,559,876 | |
Amedisys, Inc.(1) | 8,644 | 1,489,275 | |
Chemed Corp. | 4,116 | 2,084,960 | |
Encompass Health Corp. | 26,358 | 1,874,317 | |
HealthEquity, Inc.(1) | 22,089 | 1,489,682 | |
LHC Group, Inc.(1) | 8,389 | 1,414,386 | |
Option Care Health, Inc.(1) | 36,705 | 1,048,295 | |
Patterson Cos., Inc. | 22,840 | 739,331 | |
Progyny, Inc.(1) | 18,618 | 956,965 | |
R1 RCM, Inc.(1) | 35,458 | 948,856 | |
Tenet Healthcare Corp.(1) | 28,643 | 2,462,152 | |
$16,068,095 | |||
Hotels, Restaurants & Leisure — 2.8% | |||
Boyd Gaming Corp. | 21,812 | $1,434,793 | |
Choice Hotels International, Inc. | 8,694 | 1,232,462 | |
Churchill Downs, Inc. | 9,183 | 2,036,606 | |
Cracker Barrel Old Country Store, Inc. | 6,288 | 746,574 | |
Marriott Vacations Worldwide Corp. | 11,313 | 1,784,060 | |
Papa John's International, Inc. | 8,620 | 907,514 | |
Scientific Games Corp., Class A(1) | 25,528 | 1,499,770 | |
Six Flags Entertainment Corp.(1) | 20,472 | 890,532 | |
Texas Roadhouse, Inc. | 18,497 | 1,548,754 | |
Travel + Leisure Co. | 22,860 | 1,324,508 | |
Wendy's Co. (The) | 47,065 | 1,034,018 | |
Wingstop, Inc. | 7,879 | 924,601 | |
Wyndham Hotels & Resorts, Inc. | 24,773 | 2,098,025 | |
$17,462,217 |
Security | Shares | Value | |
Household Durables — 1.5% | |||
Helen of Troy, Ltd.(1) | 6,384 | $ 1,250,243 | |
KB Home | 22,916 | 742,020 | |
Leggett & Platt, Inc. | 35,662 | 1,241,038 | |
Taylor Morrison Home Corp.(1) | 33,188 | 903,377 | |
Tempur Sealy International, Inc. | 51,473 | 1,437,126 | |
Toll Brothers, Inc. | 30,018 | 1,411,447 | |
TopBuild Corp.(1) | 8,803 | 1,596,776 | |
TRI Pointe Homes, Inc.(1) | 30,142 | 605,251 | |
$9,187,278 | |||
Household Products — 0.1% | |||
Energizer Holdings, Inc. | 17,510 | $538,608 | |
$538,608 | |||
Insurance — 3.9% | |||
Alleghany Corp.(1) | 3,674 | $3,111,878 | |
American Financial Group, Inc. | 17,687 | 2,575,581 | |
Brighthouse Financial, Inc.(1) | 20,802 | 1,074,631 | |
CNO Financial Group, Inc. | 32,163 | 806,970 | |
First American Financial Corp. | 29,117 | 1,887,364 | |
Hanover Insurance Group, Inc. (The) | 9,458 | 1,414,160 | |
Kemper Corp. | 15,843 | 895,763 | |
Kinsale Capital Group, Inc. | 5,679 | 1,294,926 | |
Mercury General Corp. | 7,040 | 387,200 | |
Old Republic International Corp. | 76,341 | 1,974,942 | |
Primerica, Inc. | 10,455 | 1,430,453 | |
Reinsurance Group of America, Inc. | 18,012 | 1,971,594 | |
RenaissanceRe Holdings, Ltd. | 11,749 | 1,862,334 | |
RLI Corp. | 10,542 | 1,166,261 | |
Selective Insurance Group, Inc. | 15,922 | 1,422,790 | |
Unum Group | 54,142 | 1,706,014 | |
$24,982,861 | |||
Interactive Media & Services — 0.4% | |||
TripAdvisor, Inc.(1) | 26,076 | $707,181 | |
Yelp, Inc.(1) | 18,318 | 624,827 | |
Ziff Davis, Inc.(1) | 12,769 | 1,235,784 | |
$2,567,792 | |||
IT Services — 2.2% | |||
Alliance Data Systems Corp. | 13,180 | $740,057 | |
Concentrix Corp. | 11,471 | 1,910,610 | |
Euronet Worldwide, Inc.(1) | 14,070 | 1,831,211 | |
Genpact, Ltd. | 45,548 | 1,981,793 | |
Kyndryl Holdings, Inc.(1) | 47,450 | 622,544 | |
LiveRamp Holdings, Inc.(1) | 18,002 | 673,095 |
4
Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
IT Services (continued) | |||
MAXIMUS, Inc. | 16,541 | $ 1,239,748 | |
Sabre Corp.(1) | 85,547 | 977,802 | |
Western Union Co. (The) | 105,196 | 1,971,373 | |
WEX, Inc.(1) | 11,973 | 2,136,582 | |
$ 14,084,815 | |||
Leisure Products — 1.2% | |||
Brunswick Corp. | 20,529 | $ 1,660,591 | |
Callaway Golf Co.(1) | 31,446 | 736,465 | |
Mattel, Inc.(1) | 93,673 | 2,080,477 | |
Polaris, Inc. | 15,252 | 1,606,341 | |
YETI Holdings, Inc.(1) | 23,434 | 1,405,571 | |
$7,489,445 | |||
Life Sciences Tools & Services — 1.5% | |||
Azenta, Inc. | 19,879 | $1,647,572 | |
Bruker Corp. | 27,168 | 1,746,902 | |
Medpace Holdings, Inc.(1) | 7,687 | 1,257,516 | |
Repligen Corp.(1) | 13,748 | 2,585,861 | |
Syneos Health, Inc.(1) | 27,725 | 2,244,339 | |
$9,482,190 | |||
Machinery — 4.4% | |||
AGCO Corp. | 16,375 | $2,391,241 | |
Chart Industries, Inc.(1) | 9,500 | 1,631,815 | |
Colfax Corp.(1) | 36,005 | 1,432,639 | |
Crane Co. | 13,201 | 1,429,404 | |
Donaldson Co., Inc. | 33,266 | 1,727,503 | |
Flowserve Corp. | 34,506 | 1,238,765 | |
Graco, Inc. | 45,445 | 3,168,425 | |
ITT, Inc. | 22,807 | 1,715,315 | |
Kennametal, Inc. | 22,149 | 633,683 | |
Lincoln Electric Holdings, Inc. | 15,731 | 2,167,889 | |
Middleby Corp. (The)(1) | 14,873 | 2,438,280 | |
Oshkosh Corp. | 17,792 | 1,790,765 | |
Terex Corp. | 18,489 | 659,318 | |
Timken Co. (The) | 18,484 | 1,121,979 | |
Toro Co. (The) | 28,025 | 2,395,857 | |
Trinity Industries, Inc. | 21,870 | 751,453 | |
Watts Water Technologies, Inc., Class A | 7,350 | 1,025,987 | |
$27,720,318 | |||
Marine — 0.2% | |||
Kirby Corp.(1) | 16,246 | $1,172,799 | |
$1,172,799 |
Security | Shares | Value | |
Media — 0.9% | |||
Cable One, Inc. | 1,325 | $ 1,940,118 | |
John Wiley & Sons, Inc., Class A | 11,529 | 611,383 | |
New York Times Co. (The), Class A | 44,677 | 2,047,994 | |
TEGNA, Inc. | 58,563 | 1,311,811 | |
$ 5,911,306 | |||
Metals & Mining — 3.6% | |||
Alcoa Corp. | 49,179 | $ 4,427,585 | |
Cleveland-Cliffs, Inc.(1) | 127,722 | 4,113,926 | |
Commercial Metals Co. | 32,451 | 1,350,611 | |
Reliance Steel & Aluminum Co. | 16,706 | 3,063,045 | |
Royal Gold, Inc. | 17,534 | 2,477,203 | |
Steel Dynamics, Inc. | 50,408 | 4,205,539 | |
United States Steel Corp. | 69,703 | 2,630,591 | |
Worthington Industries, Inc. | 8,772 | 450,969 | |
$22,719,469 | |||
Multiline Retail — 0.9% | |||
Kohl's Corp. | 37,173 | $2,247,479 | |
Macy's, Inc. | 79,944 | 1,947,436 | |
Nordstrom, Inc. | 29,424 | 797,685 | |
Ollie's Bargain Outlet Holdings, Inc.(1) | 16,083 | 690,926 | |
$5,683,526 | |||
Multi-Utilities — 0.3% | |||
Black Hills Corp. | 16,994 | $1,308,878 | |
NorthWestern Corp. | 14,447 | 873,899 | |
$2,182,777 | |||
Oil, Gas & Consumable Fuels — 3.0% | |||
Antero Midstream Corp. | 86,003 | $934,853 | |
CNX Resources Corp.(1) | 54,091 | 1,120,765 | |
DT Midstream, Inc. | 25,658 | 1,392,203 | |
EQT Corp. | 80,097 | 2,756,138 | |
Equitrans Midstream Corp. | 107,697 | 908,963 | |
HF Sinclair Corp.(1) | 39,599 | 1,578,020 | |
Murphy Oil Corp. | 38,454 | 1,553,157 | |
PDC Energy, Inc. | 25,965 | 1,887,136 | |
Range Resources Corp.(1) | 67,000 | 2,035,460 | |
Targa Resources Corp. | 61,222 | 4,620,424 | |
$18,787,119 | |||
Paper & Forest Products — 0.2% | |||
Louisiana-Pacific Corp. | 23,526 | $1,461,435 | |
$1,461,435 |
5
Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Personal Products — 0.3% | |||
BellRing Brands, Inc.(1) | 29,182 | $ 673,521 | |
Coty, Inc., Class A(1) | 91,866 | 825,875 | |
Nu Skin Enterprises, Inc., Class A | 13,526 | 647,625 | |
$ 2,147,021 | |||
Pharmaceuticals — 0.6% | |||
Jazz Pharmaceuticals PLC(1) | 16,436 | $ 2,558,592 | |
Perrigo Co. PLC | 35,420 | 1,361,191 | |
$ 3,919,783 | |||
Professional Services — 1.7% | |||
ASGN, Inc.(1) | 14,013 | $1,635,457 | |
CACI International, Inc., Class A(1) | 6,238 | 1,879,260 | |
FTI Consulting, Inc.(1) | 9,080 | 1,427,558 | |
Insperity, Inc. | 9,510 | 954,994 | |
KBR, Inc. | 37,292 | 2,040,991 | |
ManpowerGroup, Inc. | 14,366 | 1,349,255 | |
Science Applications International Corp. | 15,353 | 1,415,086 | |
$10,702,601 | |||
Real Estate Management & Development — 0.5% | |||
Jones Lang LaSalle, Inc.(1) | 13,431 | $3,216,187 | |
$3,216,187 | |||
Road & Rail — 1.9% | |||
Avis Budget Group, Inc.(1) | 10,716 | $2,821,523 | |
Knight-Swift Transportation Holdings, Inc. | 44,373 | 2,239,062 | |
Landstar System, Inc. | 10,139 | 1,529,265 | |
Ryder System, Inc. | 14,244 | 1,129,976 | |
Saia, Inc.(1) | 7,042 | 1,716,980 | |
Werner Enterprises, Inc. | 16,375 | 671,375 | |
XPO Logistics, Inc.(1) | 26,377 | 1,920,246 | |
$12,028,427 | |||
Semiconductors & Semiconductor Equipment — 3.7% | |||
Amkor Technology, Inc. | 26,537 | $576,384 | |
Cirrus Logic, Inc.(1) | 15,257 | 1,293,641 | |
CMC Materials, Inc. | 7,600 | 1,409,040 | |
First Solar, Inc.(1) | 26,439 | 2,214,002 | |
Lattice Semiconductor Corp.(1) | 36,615 | 2,231,684 | |
MKS Instruments, Inc. | 14,829 | 2,224,350 | |
Power Integrations, Inc. | 15,803 | 1,464,622 | |
Semtech Corp.(1) | 17,198 | 1,192,509 | |
Silicon Laboratories, Inc.(1) | 10,204 | 1,532,641 | |
SiTime Corp.(1) | 4,007 | 993,015 | |
SunPower Corp.(1) | 22,000 | 472,560 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Synaptics, Inc.(1) | 10,500 | $ 2,094,750 | |
Universal Display Corp. | 11,483 | 1,917,087 | |
Wolfspeed, Inc.(1) | 33,011 | 3,758,632 | |
$ 23,374,917 | |||
Software — 3.7% | |||
ACI Worldwide, Inc.(1) | 31,120 | $ 979,969 | |
Aspen Technology, Inc.(1) | 17,849 | 2,951,689 | |
Blackbaud, Inc.(1) | 11,942 | 714,967 | |
CDK Global, Inc. | 31,197 | 1,518,670 | |
Commvault Systems, Inc.(1) | 12,151 | 806,219 | |
Digital Turbine, Inc.(1) | 23,510 | 1,029,973 | |
Envestnet, Inc.(1) | 14,441 | 1,074,988 | |
Fair Isaac Corp.(1) | 7,020 | 3,274,549 | |
Manhattan Associates, Inc.(1) | 16,920 | 2,346,973 | |
Mimecast, Ltd.(1) | 16,510 | 1,313,536 | |
NCR Corp.(1) | 35,294 | 1,418,466 | |
Paylocity Holding Corp.(1) | 10,593 | 2,179,722 | |
Qualys, Inc.(1) | 8,872 | 1,263,461 | |
SailPoint Technologies Holdings, Inc.(1) | 24,620 | 1,260,052 | |
Teradata Corp.(1) | 28,900 | 1,424,481 | |
$23,557,715 | |||
Specialty Retail — 3.1% | |||
American Eagle Outfitters, Inc. | 40,799 | $685,423 | |
AutoNation, Inc.(1) | 10,689 | 1,064,411 | |
Dick's Sporting Goods, Inc.(2) | 16,805 | 1,680,836 | |
Five Below, Inc.(1) | 14,979 | 2,372,224 | |
Foot Locker, Inc. | 23,862 | 707,747 | |
GameStop Corp., Class A(1) | 16,482 | 2,745,572 | |
Gap, Inc. (The) | 57,000 | 802,560 | |
Lithia Motors, Inc., Class A | 8,043 | 2,413,865 | |
Murphy USA, Inc. | 6,128 | 1,225,355 | |
RH(1) | 4,638 | 1,512,405 | |
Urban Outfitters, Inc.(1) | 17,453 | 438,245 | |
Victoria's Secret & Co.(1) | 19,372 | 994,946 | |
Williams-Sonoma, Inc. | 19,489 | 2,825,905 | |
$19,469,494 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
Xerox Holdings Corp. | 32,786 | $661,294 | |
$661,294 | |||
Textiles, Apparel & Luxury Goods — 1.6% | |||
Capri Holdings, Ltd.(1) | 39,433 | $2,026,462 | |
Carter's, Inc. | 11,301 | 1,039,579 |
6
Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods (continued) | |||
Columbia Sportswear Co. | 9,261 | $ 838,398 | |
Crocs, Inc.(1) | 15,734 | 1,202,078 | |
Deckers Outdoor Corp.(1) | 7,328 | 2,006,187 | |
Hanesbrands, Inc. | 93,370 | 1,390,279 | |
Skechers USA, Inc., Class A(1) | 35,732 | 1,456,436 | |
$ 9,959,419 | |||
Thrifts & Mortgage Finance — 0.7% | |||
Essent Group, Ltd. | 29,634 | $ 1,221,217 | |
MGIC Investment Corp. | 85,572 | 1,159,500 | |
New York Community Bancorp, Inc. | 123,183 | 1,320,522 | |
Washington Federal, Inc. | 17,418 | 571,659 | |
$4,272,898 | |||
Trading Companies & Distributors — 1.0% | |||
GATX Corp. | 9,404 | $1,159,795 | |
MSC Industrial Direct Co., Inc., Class A | 12,448 | 1,060,694 | |
Univar Solutions, Inc.(1) | 45,838 | 1,473,234 | |
Watsco, Inc. | 8,830 | 2,689,971 | |
$6,383,694 | |||
Water Utilities — 0.5% | |||
Essential Utilities, Inc. | 61,496 | $3,144,290 | |
$3,144,290 | |||
Total Common Stocks (identified cost $425,616,123) | $619,302,570 |
Exchange-Traded Funds — 0.7% |
Security | Shares | Value | |
Equity Funds — 0.7% | |||
SPDR S&P MidCap 400 ETF Trust(2) | 8,500 | $ 4,168,825 | |
Total Exchange-Traded Funds (identified cost $3,322,539) | $ 4,168,825 |
Short-Term Investments — 2.3% | |||
Affiliated Fund — 1.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.14%(3) | 10,454,902 | $ 10,453,856 | |
Total Affiliated Fund (identified cost $10,453,870) | $ 10,453,856 | ||
Securities Lending Collateral — 0.4% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.29%(4) | 2,284,875 | $ 2,284,875 | |
Total Securities Lending Collateral (identified cost $2,284,875) | $ 2,284,875 | ||
U.S. Treasury Obligations — 0.3% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 1/26/23(5) | $ | 2,000 | $ 1,977,517 |
Total U.S. Treasury Obligations (identified cost $1,987,617) | $ 1,977,517 | ||
Total Short-Term Investments (identified cost $14,726,362) | $ 14,716,248 | ||
Total Investments — 100.4% (identified cost $443,665,024) | $638,187,643 | ||
Other Assets, Less Liabilities — (0.4)% | $ (2,531,888) | ||
Net Assets — 100.0% | $635,655,755 |
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 March 31, 2022. The aggregate market value of securities on loan at March 31, 2022 was $5,692,701 and the total market value of the collateral received by the Fund was $5,992,166, comprised of cash of $2,284,875 and U.S. government and/or agencies securities of $3,707,291. |
(3) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
(4) | Represents investment of cash collateral received in connection with securities lending. |
(5) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
7
Calvert
VP S&P MidCap 400 Index
Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Equity Futures | |||||
E-mini S&P MidCap 400 Index | 44 | Long | 6/17/22 | $11,832,480 | $411,660 |
$411,660 |
During the fiscal year to date ended
March 31, 2022, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At March 31, 2022, the Fund had
sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At March 31, 2022, the value of the
Fund’s investment in affiliated funds was $10,453,856, which represents 1.6% of the Fund’s net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended March 31, 2022 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 | $17,905,958 | $14,220,999 | $(21,672,396) | $(656) | $(49) | $10,453,856 | $2,413 | 10,454,902 |
Fair Value Measurements
U.S. generally accepted accounting
principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad
levels listed below:
Level 1 - quoted prices in active
markets for identical securities
Level 2 - other significant
observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable
inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for
valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the
market value of the Fund's holdings as of March 31, 2022, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $619,302,570(1) | $ — | $ — | $619,302,570 |
Exchange-Traded Funds | 4,168,825 | — | — | 4,168,825 |
Short-Term Investments: | ||||
Affiliated Fund | — | 10,453,856 | — | 10,453,856 |
Securities Lending Collateral | 2,284,875 | — | — | 2,284,875 |
U.S. Treasury Obligations | — | 1,977,517 | — | 1,977,517 |
Total Investments | $625,756,270 | $12,431,373 | $ — | $638,187,643 |
Futures Contracts | $411,660 | $ — | $ — | $411,660 |
Total | $626,167,930 | $12,431,373 | $ — | $638,599,303 |
(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.
8