CVT
Volatility Managed Moderate Growth Portfolio (formerly, Calvert VP Volatility Managed Moderate Growth Portfolio)
March 31, 2024
Schedule of Investments (Unaudited)
Exchange-Traded Funds — 94.1% |
Security | Shares | Value | |
Equity Funds — 63.7% | |||
Financial Select Sector SPDR Fund | 30,000 | $ 1,263,600 | |
iShares Core S&P Mid-Cap ETF | 45,000 | 2,733,300 | |
iShares Russell 2000 ETF(1) | 17,000 | 3,575,100 | |
iShares S&P 500 Growth ETF(1) | 80,000 | 6,755,200 | |
iShares S&P 500 Value ETF(1) | 33,000 | 6,164,730 | |
Vanguard FTSE Developed Markets ETF | 157,000 | 7,876,690 | |
Vanguard FTSE Emerging Markets ETF | 40,000 | 1,670,800 | |
Vanguard Real Estate ETF | 23,000 | 1,989,040 | |
Vanguard S&P 500 ETF | 23,000 | 11,056,100 | |
$43,084,560 | |||
Fixed-Income Funds — 30.4% | |||
iShares Core U.S. Aggregate Bond ETF | 97,000 | $9,500,180 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF(1) | 12,000 | 1,307,040 | |
Vanguard Total Bond Market ETF | 134,000 | 9,732,420 | |
$20,539,640 | |||
Total Exchange-Traded Funds (identified cost $46,284,840) | $63,624,200 |
Short-Term Investments — 20.8% | |||
Affiliated Fund — 5.5% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(2) | 3,710,819 | $ 3,710,819 | |
Total Affiliated Fund (identified cost $3,710,819) | $ 3,710,819 | ||
Securities Lending Collateral — 15.3% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(3) | 10,400,254 | $10,400,254 | |
Total Securities Lending Collateral (identified cost $10,400,254) | $10,400,254 | ||
Total Short-Term Investments (identified cost $14,111,073) | $14,111,073 | ||
Total Investments — 114.9% (identified cost $60,395,913) | $77,735,273 | ||
Other Assets, Less Liabilities — (14.9)% | $(10,096,318) | ||
Net Assets — 100.0% | $67,638,955 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | 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 $13,351,705 and the total market value of the collateral received by the Fund was $13,836,463, comprised of cash of $10,400,254 and U.S. government and/or agencies securities of $3,436,209. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2024. |
(3) | Represents investment of cash collateral received in connection with securities lending. |
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CVT
Volatility Managed Moderate Growth Portfolio (formerly, Calvert VP Volatility Managed Moderate Growth 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 | 9 | Long | 6/21/24 | $2,388,825 | $40,570 |
E-mini S&P MidCap 400 Index | 4 | Long | 6/21/24 | 1,230,960 | 42,429 |
MSCI EAFE Index | 13 | Long | 6/21/24 | 1,532,115 | 11,551 |
$94,550 |
During the fiscal year to date ended March 31, 2024, the Fund used futures contracts to hedge against changes in market volatility and declines in the value of the Fund’s investments and to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At March 31, 2024, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At March 31, 2024, the value of the Fund's investment in funds that may be deemed to be affiliated was $3,710,819, which represents 5.5% of the Fund's net assets. Transactions in such investments 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) | $4,395,634 | $4,124,509 | $(4,809,324) | $ — | $ — | $3,710,819 | $49,180 | 3,710,819 |
(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 |
Exchange-Traded Funds | $63,624,200 | $ — | $ — | $63,624,200 |
Short-Term Investments: | ||||
Affiliated Fund | 3,710,819 | — | — | 3,710,819 |
Securities Lending Collateral | 10,400,254 | — | — | 10,400,254 |
Total Investments | $77,735,273 | $ — | $ — | $77,735,273 |
Futures Contracts | $94,550 | $ — | $ — | $94,550 |
Total | $77,829,823 | $ — | $ — | $77,829,823 |
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CVT
Volatility Managed Moderate Growth Portfolio (formerly, Calvert VP Volatility Managed Moderate Growth Portfolio)
March 31, 2024
Schedule of Investments (Unaudited) — continued
Name Change
Effective May 1, 2024, the name of the Fund was changed from Calvert VP Volatility Managed Moderate Growth 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.
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