CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments (Unaudited)
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CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
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CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
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CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
4
CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
5
CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
6
CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
7
CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
8
CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
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 500 Index | 46 | Long | 6/21/24 | $12,209,550 | $300,700 |
$300,700 |
Restricted Securities
Description | Acquisition Date | Cost |
Abiomed, Inc., CVR | 12/28/22 | $555 |
At March 31, 2024, the Fund had
sufficient cash and/or securities to cover commitments under open derivative contracts.
During the fiscal year to date ended
March 31, 2024, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
Affiliated Investments
At March 31, 2024, the value of the
Fund’s investment in affiliated issuers and funds that may be deemed to be affiliated was $11,791,119, which represents 2.4% of the Fund’s net assets. Transactions in such investments by the Fund for
the fiscal year to date ended March 31, 2024 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 | Shares, end of period |
Common Stocks | ||||||||
Morgan Stanley | $ 1,309,603 | $ — | $ (43,566) | $30,472 | $(20,547) | $ 1,275,962 | $ 11,937 | 13,551 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | 11,633,640 | 12,384,797 | (13,503,280) | — | — | 10,515,157 | 95,154 | 10,515,157 |
Total | $30,472 | $(20,547) | $11,791,119 | $107,091 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
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, 2024, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | $479,171,923(2) | $ — | $ — | $479,171,923 |
Exchange-Traded Funds | 7,061,445 | — | — | 7,061,445 |
Rights | — | — | 555 | 555 |
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CVT
S&P 500® Index Portfolio (formerly, Calvert VP S&P 500® Index Portfolio)
March 31, 2024
Schedule of Investments
(Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3(1) | Total |
Short-Term Investments: | ||||
Affiliated Fund | $10,515,157 | $ — | $ — | $10,515,157 |
U.S. Treasury Obligations | — | 974,221 | — | 974,221 |
Total Investments | $496,748,525 | $974,221 | $555 | $497,723,301 |
Futures Contracts | $300,700 | $ — | $ — | $300,700 |
Total | $497,049,225 | $974,221 | $555 | $498,024,001 |
(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. |
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 fiscal year to date ended March 31, 2024 is not presented.
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.
Effective May 1, 2024, the name of
the Fund was changed from Calvert VP S&P 500® Index Portfolio.
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