Calvert
VP Nasdaq 100 Index Portfolio
March 31, 2022
Schedule of Investments (Unaudited)
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Calvert
VP Nasdaq 100 Index Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
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Calvert
VP Nasdaq 100 Index Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
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Calvert
VP Nasdaq 100 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 NASDAQ-100® Index | 17 | Long | 6/17/22 | $5,055,375 | $538,220 |
$538,220 |
Abbreviations: | |
ADR | – American Depositary Receipt |
At March 31, 2022, the Fund had
sufficient cash and/or securities to cover commitments under open derivative contracts.
During the fiscal year to date ended
March 31, 2022, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
Affiliated Investments
At March 31, 2022, the value of the
Fund's investment in affiliated funds was $5,447,469, which represents 1.8% 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 | $6,793,210 | $4,286,020 | $(5,631,342) | $(188) | $(231) | $5,447,469 | $1,163 | 5,448,014 |
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 | $300,796,562(1) | $ — | $ — | $300,796,562 |
Exchange-Traded Funds | 2,900,320 | — | — | 2,900,320 |
Short-Term Investments: | ||||
Affiliated Fund | — | 5,447,469 | — | 5,447,469 |
U.S. Treasury Obligations | — | 494,379 | — | 494,379 |
Total Investments | $303,696,882 | $5,941,848 | $ — | $309,638,730 |
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Calvert
VP Nasdaq 100 Index Portfolio
March 31, 2022
Schedule of Investments
(Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $538,220 | $ — | $ — | $538,220 |
Total | $304,235,102 | $5,941,848 | $ — | $310,176,950 |
(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.
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