CVT
Nasdaq 100 Index Portfolio (formerly, Calvert VP Nasdaq 100 Index Portfolio)
March 31, 2024
Schedule of Investments (Unaudited)
Common Stocks — 96.8% |
Security | Shares | Value | |
Automobiles — 2.3% | |||
Tesla, Inc.(1) | 54,094 | $ 9,509,184 | |
$ 9,509,184 | |||
Beverages — 2.6% | |||
Coca-Cola Europacific Partners PLC | 13,249 | $ 926,768 | |
Keurig Dr Pepper, Inc. | 40,217 | 1,233,455 | |
Monster Beverage Corp.(1) | 30,177 | 1,788,893 | |
PepsiCo, Inc. | 39,835 | 6,971,523 | |
$ 10,920,639 | |||
Biotechnology — 3.7% | |||
Amgen, Inc. | 15,522 | $4,413,215 | |
Biogen, Inc.(1) | 4,203 | 906,293 | |
Gilead Sciences, Inc. | 36,140 | 2,647,255 | |
Moderna, Inc.(1) | 11,059 | 1,178,447 | |
Regeneron Pharmaceuticals, Inc.(1) | 3,129 | 3,011,631 | |
Vertex Pharmaceuticals, Inc.(1) | 7,487 | 3,129,641 | |
$15,286,482 | |||
Broadline Retail — 6.2% | |||
Amazon.com, Inc.(1) | 116,560 | $21,025,093 | |
MercadoLibre, Inc.(1) | 1,466 | 2,216,533 | |
PDD Holdings, Inc. ADR(1) | 19,373 | 2,252,111 | |
$25,493,737 | |||
Chemicals — 1.6% | |||
Linde PLC | 13,958 | $6,480,979 | |
$6,480,979 | |||
Commercial Services & Supplies — 0.9% | |||
Cintas Corp. | 2,938 | $2,018,494 | |
Copart, Inc.(1) | 27,851 | 1,613,130 | |
$3,631,624 | |||
Communications Equipment — 1.4% | |||
Cisco Systems, Inc. | 117,358 | $5,857,338 | |
$5,857,338 | |||
Consumer Staples Distribution & Retail — 2.6% | |||
Costco Wholesale Corp. | 12,861 | $9,422,355 | |
Dollar Tree, Inc.(1) | 6,319 | 841,375 | |
Walgreens Boots Alliance, Inc. | 25,057 | 543,486 | |
$10,807,216 | |||
Electric Utilities — 1.2% | |||
American Electric Power Co., Inc. | 15,253 | $1,313,283 | |
Constellation Energy Corp. | 9,178 | 1,696,553 | |
Exelon Corp. | 28,872 | 1,084,721 |
Security | Shares | Value | |
Electric Utilities (continued) | |||
Xcel Energy, Inc. | 16,005 | $ 860,269 | |
$ 4,954,826 | |||
Electronic Equipment, Instruments & Components — 0.2% | |||
CDW Corp. | 3,885 | $ 993,705 | |
$ 993,705 | |||
Energy Equipment & Services — 0.2% | |||
Baker Hughes Co. | 29,009 | $ 971,802 | |
$ 971,802 | |||
Entertainment — 2.4% | |||
Electronic Arts, Inc. | 7,749 | $1,028,060 | |
Netflix, Inc.(1) | 12,543 | 7,617,740 | |
Take-Two Interactive Software, Inc.(1) | 4,938 | 733,244 | |
Warner Bros. Discovery, Inc.(1) | 70,728 | 617,455 | |
$9,996,499 | |||
Financial Services — 0.5% | |||
PayPal Holdings, Inc.(1) | 31,062 | $2,080,843 | |
$2,080,843 | |||
Food Products — 1.0% | |||
Kraft Heinz Co. | 35,159 | $1,297,367 | |
Mondelez International, Inc., Class A | 39,025 | 2,731,750 | |
$4,029,117 | |||
Ground Transportation — 0.8% | |||
CSX Corp. | 56,782 | $2,104,909 | |
Old Dominion Freight Line, Inc. | 6,330 | 1,388,232 | |
$3,493,141 | |||
Health Care Equipment & Supplies — 2.0% | |||
DexCom, Inc.(1) | 11,206 | $1,554,272 | |
GE HealthCare Technologies, Inc. | 13,204 | 1,200,376 | |
IDEXX Laboratories, Inc.(1) | 2,409 | 1,300,691 | |
Intuitive Surgical, Inc.(1) | 10,212 | 4,075,507 | |
$8,130,846 | |||
Hotels, Restaurants & Leisure — 3.0% | |||
Airbnb, Inc., Class A(1) | 12,697 | $2,094,497 | |
Booking Holdings, Inc. | 990 | 3,591,601 | |
DoorDash, Inc., Class A(1) | 10,920 | 1,503,903 | |
Marriott International, Inc., Class A | 8,390 | 2,116,881 | |
Starbucks Corp. | 32,815 | 2,998,963 | |
$12,305,845 | |||
Industrial Conglomerates — 0.9% | |||
Honeywell International, Inc. | 18,902 | $3,879,636 | |
$3,879,636 |
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CVT
Nasdaq 100 Index Portfolio (formerly, Calvert VP Nasdaq 100 Index Portfolio)
March 31, 2024
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Interactive Media & Services — 9.4% | |||
Alphabet, Inc., Class A(1) | 66,127 | $ 9,980,548 | |
Alphabet, Inc., Class C(1) | 63,636 | 9,689,217 | |
Meta Platforms, Inc., Class A | 39,275 | 19,071,155 | |
$ 38,740,920 | |||
IT Services — 0.4% | |||
Cognizant Technology Solutions Corp., Class A | 14,429 | $ 1,057,501 | |
MongoDB, Inc.(1) | 2,092 | 750,275 | |
$ 1,807,776 | |||
Life Sciences Tools & Services — 0.1% | |||
Illumina, Inc.(1) | 4,606 | $632,496 | |
$632,496 | |||
Machinery — 0.4% | |||
PACCAR, Inc. | 15,171 | $1,879,535 | |
$1,879,535 | |||
Media — 1.9% | |||
Charter Communications, Inc., Class A(1) | 4,209 | $1,223,262 | |
Comcast Corp., Class A | 114,843 | 4,978,444 | |
Sirius XM Holdings, Inc. | 111,345 | 432,018 | |
Trade Desk, Inc., Class A(1) | 12,943 | 1,131,477 | |
$7,765,201 | |||
Oil, Gas & Consumable Fuels — 0.2% | |||
Diamondback Energy, Inc. | 5,191 | $1,028,700 | |
$1,028,700 | |||
Pharmaceuticals — 0.3% | |||
AstraZeneca PLC ADR | 16,889 | $1,144,230 | |
$1,144,230 | |||
Professional Services — 1.3% | |||
Automatic Data Processing, Inc. | 11,906 | $2,973,404 | |
Paychex, Inc. | 10,477 | 1,286,576 | |
Verisk Analytics, Inc. | 4,156 | 979,694 | |
$5,239,674 | |||
Real Estate Management & Development — 0.3% | |||
CoStar Group, Inc.(1) | 11,844 | $1,144,130 | |
$1,144,130 | |||
Semiconductors & Semiconductor Equipment — 22.8% | |||
Advanced Micro Devices, Inc.(1) | 46,856 | $8,457,039 | |
Analog Devices, Inc. | 14,394 | 2,846,989 | |
Applied Materials, Inc. | 24,082 | 4,966,431 | |
ASML Holding NV-NY Shares(2) | 2,503 | 2,429,086 | |
Broadcom, Inc. | 13,431 | 17,801,582 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
GlobalFoundries, Inc.(1)(3) | 15,887 | $ 827,872 | |
Intel Corp. | 122,540 | 5,412,592 | |
KLA Corp. | 3,919 | 2,737,696 | |
Lam Research Corp. | 3,800 | 3,691,966 | |
Marvell Technology, Inc. | 25,025 | 1,773,772 | |
Microchip Technology, Inc. | 15,693 | 1,407,819 | |
Micron Technology, Inc. | 32,013 | 3,774,013 | |
NVIDIA Corp. | 28,053 | 25,347,569 | |
NXP Semiconductors NV | 7,433 | 1,841,674 | |
ON Semiconductor Corp.(1) | 12,385 | 910,917 | |
QUALCOMM, Inc. | 32,345 | 5,476,008 | |
Texas Instruments, Inc. | 26,342 | 4,589,040 | |
$94,292,065 | |||
Software — 16.2% | |||
Adobe, Inc.(1) | 13,100 | $6,610,260 | |
ANSYS, Inc.(1) | 2,520 | 874,843 | |
Atlassian Corp., Class A(1) | 4,561 | 889,897 | |
Autodesk, Inc.(1) | 6,200 | 1,614,604 | |
Cadence Design Systems, Inc.(1) | 7,891 | 2,456,310 | |
CrowdStrike Holdings, Inc., Class A(1) | 6,602 | 2,116,535 | |
Datadog, Inc., Class A(1) | 8,867 | 1,095,961 | |
Fortinet, Inc.(1) | 22,115 | 1,510,676 | |
Intuit, Inc. | 8,119 | 5,277,350 | |
Microsoft Corp. | 83,379 | 35,079,213 | |
Palo Alto Networks, Inc.(1) | 9,364 | 2,660,593 | |
Roper Technologies, Inc. | 3,098 | 1,737,482 | |
Synopsys, Inc.(1) | 4,421 | 2,526,602 | |
Workday, Inc., Class A(1) | 6,062 | 1,653,411 | |
Zscaler, Inc.(1) | 4,302 | 828,694 | |
$66,932,431 | |||
Specialty Retail — 0.8% | |||
O'Reilly Automotive, Inc.(1) | 1,711 | $1,931,514 | |
Ross Stores, Inc. | 9,758 | 1,432,084 | |
$3,363,598 | |||
Technology Hardware, Storage & Peripherals — 7.2% | |||
Apple, Inc. | 173,277 | $29,713,540 | |
$29,713,540 | |||
Textiles, Apparel & Luxury Goods — 0.3% | |||
lululemon Athletica, Inc.(1) | 3,509 | $1,370,791 | |
$1,370,791 | |||
Trading Companies & Distributors — 0.3% | |||
Fastenal Co. | 16,573 | $1,278,441 | |
$1,278,441 |
2
CVT
Nasdaq 100 Index Portfolio (formerly, Calvert VP Nasdaq 100 Index Portfolio)
March 31, 2024
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Wireless Telecommunication Services — 1.4% | |||
T-Mobile U.S., Inc. | 34,399 | $ 5,614,605 | |
$ 5,614,605 | |||
Total Common Stocks (identified cost $144,245,371) | $400,771,592 |
Exchange-Traded Funds — 0.5% |
Security | Shares | Value | |
Equity Funds — 0.5% | |||
Invesco QQQ TM Trust, Series 1 | 5,000 | $ 2,220,050 | |
Total Exchange-Traded Funds (identified cost $1,278,845) | $ 2,220,050 |
Short-Term Investments — 2.9% | |||
Affiliated Fund — 2.5% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(4) | 10,380,094 | $ 10,380,094 | |
Total Affiliated Fund (identified cost $10,380,094) | $ 10,380,094 |
Securities Lending Collateral — 0.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(5) | 466,824 | $ 466,824 | |
Total Securities Lending Collateral (identified cost $466,824) | $ 466,824 | ||
U.S. Treasury Obligations — 0.3% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills, 0.00%, 10/3/24(6) | $ | 1,000 | $ 974,221 |
Total U.S. Treasury Obligations (identified cost $973,946) | $ 974,221 | ||
Total Short-Term Investments (identified cost $11,820,864) | $ 11,821,139 | ||
Total Investments — 100.2% (identified cost $157,345,080) | $414,812,781 | ||
Other Assets, Less Liabilities — (0.2)% | $ (676,674) | ||
Net Assets — 100.0% | $414,136,107 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At March 31, 2024, the aggregate value of these securities is $2,429,086 or 0.6% of the Fund's net assets. |
(3) | All or a portion of this security was on loan at March 31, 2024. The aggregate market value of securities on loan at March 31, 2024 was $794,104 and the total market value of the collateral received by the Fund was $829,916, comprised of cash of $466,824 and U.S. government and/or agencies securities of $363,092. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2024. |
(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. |
3
CVT
Nasdaq 100 Index Portfolio (formerly, Calvert VP Nasdaq 100 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 NASDAQ-100® Index | 31 | Long | 6/21/24 | $11,454,500 | $92,491 |
$92,491 |
Abbreviations: | |
ADR | – American Depositary Receipt |
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 funds that may be deemed to be affiliated was $10,380,094, which represents 2.5% 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 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $10,247,792 | $10,294,525 | $(10,162,223) | $ — | $ — | $10,380,094 | $157,167 | 10,380,094 |
(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 | Total |
Common Stocks | $400,771,592(1) | $ — | $ — | $400,771,592 |
Exchange-Traded Funds | 2,220,050 | — | — | 2,220,050 |
Short-Term Investments: | ||||
Affiliated Fund | 10,380,094 | — | — | 10,380,094 |
Securities Lending Collateral | 466,824 | — | — | 466,824 |
U.S. Treasury Obligations | — | 974,221 | — | 974,221 |
Total Investments | $413,838,560 | $974,221 | $ — | $414,812,781 |
4
CVT
Nasdaq 100 Index Portfolio (formerly, Calvert VP Nasdaq 100 Index Portfolio)
March 31, 2024
Schedule of Investments (Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts | $92,491 | $ — | $ — | $92,491 |
Total | $413,931,051 | $974,221 | $ — | $414,905,272 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Name Change
Effective May 1, 2024, the name of the Fund was changed from Calvert VP Nasdaq 100 Index Portfolio.
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