UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-04000
CALVERT VARIABLE PRODUCTS, INC.
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(202) 238-2200
(Registrant’s Telephone Number)
December 31
Date of Fiscal Year End
December 31, 2018
Date of Reporting Period
____________________________________________________________________________________
Item 1. Reports to Stockholders
Calvert VP S&P 500 Index Portfolio
Calvert VP Investment Grade Bond Index Portfolio
Calvert VP S&P MidCap 400 Index Portfolio
Calvert VP Russell 2000 Small Cap Index Portfolio
Calvert VP EAFE International Index Portfolio
Calvert VP Volatility Managed Moderate Portfolio
Calvert VP Volatility Managed Moderate Growth Portfolio
Calvert VP Volatility Managed Growth Portfolio
Calvert VP Nasdaq 100 Index Portfolio
Calvert VP S&P 500 Index Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Fund Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stock indexes declined during the 12-month period ended December 31, 2018, as a sharp downturn in the final quarter of the year erased earlier gains. U.S. stocks opened the period on an upswing, as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. The broad tariffs drew retaliatory actions from impacted countries including China, Canada, and certain countries in the European Union. U.S. stocks bounced back during the summer months led by technology stocks, which rebounded following an earlier setback from a wave of data-privacy scandals. Markets plunged in the final three months of the period amid global trade war fears and sagging economies in China and Europe. Despite a partial rebound in the final days of the period, the U.S. stock market’s December 2018 plunge was the worst monthly loss since the 2008 financial crisis. Amid investor worries, however, U.S. economic data remained largely positive during the period, prompting the U.S. Federal Reserve (the Fed) to raise the federal funds rate in December 2018 for the fourth time during the period. Since then, the Fed has indicated that it may reconsider its planned 2019 rate hikes. For the 12-month period ended December 31, 2018, the blue-chip Dow Jones Industrial Average®2 declined 3.48%, while the broader U.S. equity market represented by the S&P 500® Index fell 4.38%. The technology-laden NASDAQ Composite Index fell 2.84% during the period. Large-cap U.S. stocks as measured by the S&P 500® Index generally outperformed their small-cap counterparts as measured by the Russell 2000® Index during the period. Growth stocks as a group outpaced value stocks in both the large- and small-cap categories, as measured by the Russell Growth and Value Indexes. | Investment Strategy As an index fund, Calvert VP S&P 500 Index Portfolio (the Fund) seeks to replicate, as closely as possible, the holdings and match the performance of the S&P 500® Index (the Index). The Fund seeks to accomplish this by employing a passive management approach and holding each constituent of the Index in approximately the same proportion as the Index. Cash holdings may gain exposure to the Index via futures contracts, allowing the Fund’s assets to be fully invested. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -4.74% at net asset value (NAV). By comparison, the Fund’s benchmark, the Index, returned -4.38% for the same period. The Index is unmanaged and returns do not reflect any fees and operating expenses. Large-cap stocks outperformed mid-cap and small-cap stocks during the period. Index returns were generally weak, with eight of the 11 market sectors having negative returns for the period. Health care, utilities, and consumer discretionary were the only three sectors with positive returns. The energy and materials sectors, with relatively small Index weights, had the largest losses during the period. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||
% Average Annual Total Returns | Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Fund at NAV | 12/29/1995 | 12/29/1995 | -4.74 | % | 8.09 | % | 12.70 | % | ||||||
S&P 500® Index | — | — | -4.38 | % | 8.49 | % | 13.11 | % | ||||||
% Total Annual Operating Expense Ratios4 | ||||||||||||||
Gross | 0.40 | % | ||||||||||||
Net | 0.28 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
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FUND PROFILE
SECTOR ALLOCATION (% of total investments) | TEN LARGEST HOLDINGS (% of net assets)5 | ||||||
Information Technology | 19.9 | % | Microsoft Corp. | 3.6 | % | ||
Health Care | 15.3 | % | Apple, Inc. | 3.3 | % | ||
Financials | 13.2 | % | Amazon.com, Inc. | 2.8 | % | ||
Communication Services | 10.0 | % | Berkshire Hathaway, Inc., Class B | 1.8 | % | ||
Consumer Discretionary | 9.8 | % | Johnson & Johnson | 1.6 | % | ||
Industrials | 9.1 | % | JPMorgan Chase & Co. | 1.5 | % | ||
Consumer Staples | 7.3 | % | Alphabet, Inc., Class C | 1.5 | % | ||
Energy | 5.3 | % | Facebook, Inc., Class A | 1.4 | % | ||
Utilities | 3.3 | % | Alphabet, Inc., Class A | 1.4 | % | ||
Real Estate | 2.9 | % | Exxon Mobil Corp. | 1.3 | % | ||
Materials | 2.7 | % | Total | 20.2 | % | ||
Exchange-Traded Funds | 0.9 | % | |||||
U.S. Treasury Obligations | 0.3 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
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Endnotes and Additional Disclosures |
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.
2 | Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
3 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment
Management, Inc.
4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
5 Excludes cash and cash equivalents.
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
$1,000.00 | $929.70 | $1.36** | 0.28% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,023.79 | $1.43** | 0.28% | |
* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP S&P 500 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
COMMON STOCKS - 96.4% | ||
Aerospace & Defense - 2.4% | ||
Arconic, Inc. | 8,087 | 136,347 |
Boeing Co. (The) | 9,479 | 3,056,978 |
General Dynamics Corp. | 4,915 | 772,687 |
Harris Corp. | 2,162 | 291,113 |
Huntington Ingalls Industries, Inc. | 796 | 151,487 |
L3 Technologies, Inc. | 1,382 | 239,998 |
Lockheed Martin Corp. | 4,437 | 1,161,784 |
Northrop Grumman Corp. | 3,073 | 752,578 |
Raytheon Co. | 5,034 | 771,964 |
Textron, Inc. | 4,384 | 201,620 |
TransDigm Group, Inc. (1) | 854 | 290,411 |
United Technologies Corp. | 14,552 | 1,549,497 |
9,376,464 | ||
Air Freight & Logistics - 0.6% | ||
C.H. Robinson Worldwide, Inc. | 2,445 | 205,600 |
Expeditors International of Washington, Inc. | 3,077 | 209,513 |
FedEx Corp. | 4,293 | 692,590 |
United Parcel Service, Inc., Class B | 12,466 | 1,215,809 |
2,323,512 | ||
Airlines - 0.4% | ||
Alaska Air Group, Inc. | 2,341 | 142,450 |
American Airlines Group, Inc. (2) | 7,586 | 243,586 |
Delta Air Lines, Inc. | 11,102 | 553,990 |
Southwest Airlines Co. | 9,101 | 423,015 |
United Continental Holdings, Inc. (1) | 4,041 | 338,353 |
1,701,394 | ||
Auto Components - 0.1% | ||
Aptiv plc | 4,821 | 296,829 |
BorgWarner, Inc. | 3,767 | 130,866 |
Goodyear Tire & Rubber Co. (The) | 4,367 | 89,130 |
516,825 | ||
Automobiles - 0.4% | ||
Ford Motor Co. | 69,086 | 528,508 |
General Motors Co. | 23,155 | 774,535 |
Harley-Davidson, Inc. | 3,206 | 109,388 |
1,412,431 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Banks - 5.5% | ||
Bank of America Corp. | 163,659 | 4,032,558 |
BB&T Corp. | 13,667 | 592,054 |
Citigroup, Inc. | 43,790 | 2,279,707 |
Citizens Financial Group, Inc. | 8,399 | 249,702 |
Comerica, Inc. | 2,881 | 197,896 |
Fifth Third Bancorp | 11,759 | 276,689 |
First Republic Bank | 2,900 | 252,010 |
Huntington Bancshares, Inc. | 19,486 | 232,273 |
JPMorgan Chase & Co. | 59,720 | 5,829,866 |
KeyCorp | 19,331 | 285,712 |
M&T Bank Corp. | 2,537 | 363,121 |
People’s United Financial, Inc. | 6,516 | 94,026 |
PNC Financial Services Group, Inc. (The) | 8,194 | 957,961 |
Regions Financial Corp. | 18,417 | 246,420 |
SunTrust Banks, Inc. | 8,131 | 410,128 |
SVB Financial Group (1) | 939 | 178,335 |
U.S. Bancorp | 27,023 | 1,234,951 |
Wells Fargo & Co. | 75,965 | 3,500,467 |
Zions BanCorp NA | 3,431 | 139,779 |
21,353,655 | ||
Beverages - 1.8% | ||
Brown-Forman Corp., Class B | 3,095 | 147,260 |
Coca-Cola Co. (The) | 68,691 | 3,252,519 |
Constellation Brands, Inc., Class A | 2,962 | 476,349 |
Molson Coors Brewing Co., Class B | 3,520 | 197,683 |
Monster Beverage Corp. (1) | 7,020 | 345,525 |
PepsiCo, Inc. | 25,311 | 2,796,359 |
7,215,695 | ||
Biotechnology - 2.5% | ||
AbbVie, Inc. | 26,907 | 2,480,556 |
Alexion Pharmaceuticals, Inc. (1) | 3,933 | 382,917 |
Amgen, Inc. | 11,402 | 2,219,627 |
Biogen, Inc. (1) | 3,613 | 1,087,224 |
Celgene Corp. (1) | 12,412 | 795,485 |
Gilead Sciences, Inc. | 23,196 | 1,450,910 |
Incyte Corp. (1) | 3,114 | 198,019 |
Regeneron Pharmaceuticals, Inc. (1) | 1,367 | 510,575 |
Vertex Pharmaceuticals, Inc. (1) | 4,510 | 747,352 |
9,872,665 | ||
Building Products - 0.3% | ||
A.O. Smith Corp. | 2,717 | 116,016 |
Allegion plc | 1,812 | 144,435 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Fortune Brands Home & Security, Inc. | 2,616 | 99,382 |
Johnson Controls International plc | 16,322 | 483,947 |
Masco Corp. | 5,426 | 158,656 |
1,002,436 | ||
Capital Markets - 2.7% | ||
Affiliated Managers Group, Inc. | 1,037 | 101,045 |
Ameriprise Financial, Inc. | 2,503 | 261,238 |
Bank of New York Mellon Corp. (The) | 16,234 | 764,134 |
BlackRock, Inc. | 2,168 | 851,634 |
Cboe Global Markets, Inc. | 1,973 | 193,018 |
Charles Schwab Corp. (The) | 21,220 | 881,267 |
CME Group, Inc. | 6,415 | 1,206,790 |
E*Trade Financial Corp. | 4,805 | 210,843 |
Franklin Resources, Inc. | 5,614 | 166,511 |
Goldman Sachs Group, Inc. (The) | 6,196 | 1,035,042 |
Intercontinental Exchange, Inc. | 10,119 | 762,264 |
Invesco Ltd. | 7,750 | 129,735 |
Moody’s Corp. | 3,040 | 425,722 |
Morgan Stanley | 23,401 | 927,850 |
MSCI, Inc. | 1,621 | 238,984 |
Nasdaq, Inc. | 2,032 | 165,750 |
Northern Trust Corp. | 3,940 | 329,345 |
Raymond James Financial, Inc. | 2,473 | 184,016 |
S&P Global, Inc. | 4,438 | 754,194 |
State Street Corp. | 6,696 | 422,317 |
T. Rowe Price Group, Inc. | 4,409 | 407,039 |
10,418,738 | ||
Chemicals - 2.0% | ||
Air Products & Chemicals, Inc. | 3,870 | 619,394 |
Albemarle Corp. (2) | 1,914 | 147,512 |
Celanese Corp. | 2,398 | 215,748 |
CF Industries Holdings, Inc. | 4,120 | 179,261 |
DowDuPont, Inc. | 40,983 | 2,191,771 |
Eastman Chemical Co. | 2,493 | 182,263 |
Ecolab, Inc. | 4,487 | 661,160 |
FMC Corp. | 2,376 | 175,729 |
International Flavors & Fragrances, Inc. | 1,867 | 250,682 |
Linde plc | 9,881 | 1,541,831 |
LyondellBasell Industries NV, Class A | 5,634 | 468,523 |
Mosaic Co. (The) | 6,258 | 182,796 |
PPG Industries, Inc. | 4,271 | 436,624 |
Sherwin-Williams Co. (The) | 1,450 | 570,517 |
7,823,811 | ||
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Commercial Services & Supplies - 0.4% | ||
Cintas Corp. | 1,519 | 255,177 |
Copart, Inc. (1) | 3,607 | 172,343 |
Republic Services, Inc. | 3,847 | 277,330 |
Rollins, Inc. | 2,850 | 102,885 |
Waste Management, Inc. | 6,960 | 619,370 |
1,427,105 | ||
Communications Equipment - 1.1% | ||
Arista Networks, Inc. (1) | 948 | 199,744 |
Cisco Systems, Inc. | 80,617 | 3,493,135 |
F5 Networks, Inc. (1) | 1,073 | 173,858 |
Juniper Networks, Inc. | 6,539 | 175,964 |
Motorola Solutions, Inc. | 2,952 | 339,598 |
4,382,299 | ||
Construction & Engineering - 0.1% | ||
Fluor Corp. | 2,663 | 85,748 |
Jacobs Engineering Group, Inc. | 2,104 | 123,000 |
Quanta Services, Inc. | 2,927 | 88,103 |
296,851 | ||
Construction Materials - 0.1% | ||
Martin Marietta Materials, Inc. (2) | 1,112 | 191,120 |
Vulcan Materials Co. | 2,334 | 230,599 |
421,719 | ||
Consumer Finance - 0.6% | ||
American Express Co. | 12,460 | 1,187,687 |
Capital One Financial Corp. | 8,443 | 638,206 |
Discover Financial Services | 6,047 | 356,652 |
Synchrony Financial | 12,025 | 282,107 |
2,464,652 | ||
Containers & Packaging - 0.3% | ||
Avery Dennison Corp. | 1,674 | 150,375 |
Ball Corp. (2) | 6,316 | 290,410 |
International Paper Co. | 7,215 | 291,197 |
Packaging Corp. of America | 1,800 | 150,228 |
Sealed Air Corp. (2) | 3,186 | 111,000 |
WestRock Co. | 4,502 | 169,996 |
1,163,206 | ||
Distributors - 0.1% | ||
Genuine Parts Co. | 2,590 | 248,692 |
LKQ Corp. (1) | 5,893 | 139,841 |
388,533 | ||
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Diversified Consumer Services - 0.0% (3) | ||
H&R Block, Inc. | 3,979 | 100,947 |
Diversified Financial Services - 1.8% | ||
Berkshire Hathaway, Inc., Class B (1) | 34,883 | 7,122,411 |
Jefferies Financial Group, Inc. | 5,326 | 92,459 |
7,214,870 | ||
Diversified Telecommunication Services - 2.1% | ||
AT&T, Inc. | 130,501 | 3,724,498 |
CenturyLink, Inc. | 17,457 | 264,474 |
Verizon Communications, Inc. | 74,091 | 4,165,396 |
8,154,368 | ||
Electric Utilities - 2.0% | ||
Alliant Energy Corp. | 4,404 | 186,069 |
American Electric Power Co., Inc. | 8,699 | 650,163 |
Duke Energy Corp. | 12,783 | 1,103,173 |
Edison International | 5,932 | 336,760 |
Entergy Corp. | 3,192 | 274,735 |
Evergy, Inc. | 4,724 | 268,181 |
Eversource Energy | 5,770 | 375,281 |
Exelon Corp. | 17,045 | 768,730 |
FirstEnergy Corp. (2) | 8,926 | 335,171 |
NextEra Energy, Inc. | 8,570 | 1,489,637 |
PG&E Corp. (1) | 9,403 | 223,321 |
Pinnacle West Capital Corp. | 2,128 | 181,306 |
PPL Corp. | 12,914 | 365,854 |
Southern Co. (The) | 18,449 | 810,280 |
Xcel Energy, Inc. | 9,265 | 456,487 |
7,825,148 | ||
Electrical Equipment - 0.5% | ||
AMETEK, Inc. | 4,092 | 277,029 |
Eaton Corp. plc | 7,646 | 524,974 |
Emerson Electric Co. | 11,091 | 662,687 |
Rockwell Automation, Inc. | 2,174 | 327,144 |
1,791,834 | ||
Electronic Equipment, Instruments & Components - 0.4% | ||
Amphenol Corp., Class A | 5,300 | 429,406 |
Corning, Inc. | 14,294 | 431,822 |
FLIR Systems, Inc. | 2,498 | 108,763 |
IPG Photonics Corp. (1)(2) | 704 | 79,756 |
Keysight Technologies, Inc. (1) | 3,500 | 217,280 |
TE Connectivity Ltd. | 6,149 | 465,049 |
1,732,076 | ||
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Energy Equipment & Services - 0.5% | ||
Baker Hughes, a GE Co. | 8,982 | 193,113 |
Halliburton Co. | 15,528 | 412,734 |
Helmerich & Payne, Inc. | 1,982 | 95,017 |
National Oilwell Varco, Inc. | 6,752 | 173,527 |
Schlumberger Ltd. | 24,826 | 895,722 |
TechnipFMC plc | 7,847 | 153,644 |
1,923,757 | ||
Entertainment - 2.0% | ||
Activision Blizzard, Inc. | 13,454 | 626,553 |
Electronic Arts, Inc. (1) | 5,379 | 424,457 |
Netflix, Inc. (1) | 7,819 | 2,092,834 |
Take-Two Interactive Software, Inc. (1) | 2,009 | 206,806 |
Twenty-First Century Fox, Inc., Class A | 18,953 | 912,018 |
Twenty-First Century Fox, Inc., Class B | 8,596 | 410,717 |
Viacom, Inc., Class B | 6,237 | 160,291 |
Walt Disney Co. (The) | 26,693 | 2,926,887 |
7,760,563 | ||
Equity Real Estate Investment Trusts (REITs) - 2.8% | ||
Alexandria Real Estate Equities, Inc. | 1,927 | 222,067 |
American Tower Corp. | 7,898 | 1,249,385 |
Apartment Investment & Management Co., Class A | 2,947 | 129,314 |
AvalonBay Communities, Inc. | 2,516 | 437,910 |
Boston Properties, Inc. | 2,811 | 316,378 |
Crown Castle International Corp. | 7,321 | 795,280 |
Digital Realty Trust, Inc. | 3,750 | 399,563 |
Duke Realty Corp. | 6,687 | 173,193 |
Equinix, Inc. | 1,403 | 494,642 |
Equity Residential | 6,704 | 442,531 |
Essex Property Trust, Inc. | 1,166 | 285,915 |
Extra Space Storage, Inc. | 2,232 | 201,951 |
Federal Realty Investment Trust | 1,393 | 164,430 |
HCP, Inc. | 8,291 | 231,568 |
Host Hotels & Resorts, Inc. | 13,088 | 218,177 |
Iron Mountain, Inc. | 5,271 | 170,833 |
Kimco Realty Corp. (2) | 7,958 | 116,585 |
Macerich Co. (The) | 2,033 | 87,988 |
Mid-America Apartment Communities, Inc. | 2,131 | 203,937 |
Prologis, Inc. | 11,109 | 652,320 |
Public Storage | 2,644 | 535,172 |
Realty Income Corp. | 5,118 | 322,639 |
Regency Centers Corp. | 3,112 | 182,612 |
SBA Communications Corp. (1) | 2,097 | 339,483 |
Simon Property Group, Inc. | 5,457 | 916,721 |
SL Green Realty Corp. | 1,528 | 120,834 |
12 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
UDR, Inc. | 4,724 | 187,165 |
Ventas, Inc. | 6,488 | 380,132 |
Vornado Realty Trust | 3,055 | 189,502 |
Welltower, Inc. | 6,773 | 470,114 |
Weyerhaeuser Co. | 13,784 | 301,318 |
10,939,659 | ||
Food & Staples Retailing - 1.5% | ||
Costco Wholesale Corp. | 7,857 | 1,600,549 |
Kroger Co. (The) | 14,059 | 386,622 |
Sysco Corp. | 8,439 | 528,788 |
Walgreens Boots Alliance, Inc. | 14,415 | 984,977 |
Walmart, Inc. | 25,485 | 2,373,928 |
5,874,864 | ||
Food Products - 1.1% | ||
Archer-Daniels-Midland Co. | 10,182 | 417,157 |
Campbell Soup Co. (2) | 3,662 | 120,809 |
Conagra Brands, Inc. | 8,545 | 182,521 |
General Mills, Inc. | 10,795 | 420,357 |
Hershey Co. (The) | 2,467 | 264,413 |
Hormel Foods Corp. (2) | 4,798 | 204,779 |
J. M. Smucker Co. (The) | 2,007 | 187,634 |
Kellogg Co. | 4,466 | 254,607 |
Kraft Heinz Co. (The) | 10,973 | 472,278 |
Lamb Weston Holdings, Inc. | 2,800 | 205,968 |
McCormick & Co., Inc. | 2,140 | 297,974 |
Mondelez International, Inc., Class A | 25,880 | 1,035,976 |
Tyson Foods, Inc., Class A | 5,222 | 278,855 |
4,343,328 | ||
Health Care Equipment & Supplies - 3.3% | ||
Abbott Laboratories | 31,493 | 2,277,889 |
ABIOMED, Inc. (1) | 800 | 260,032 |
Align Technology, Inc. (1) | 1,313 | 274,982 |
Baxter International, Inc. | 8,970 | 590,405 |
Becton Dickinson and Co. | 4,810 | 1,083,789 |
Boston Scientific Corp. (1) | 24,405 | 862,473 |
Cooper Cos., Inc. (The) | 867 | 220,651 |
Danaher Corp. | 11,060 | 1,140,507 |
DENTSPLY SIRONA, Inc. | 3,924 | 146,012 |
Edwards Lifesciences Corp. (1) | 3,695 | 565,963 |
Hologic, Inc. (1) | 5,113 | 210,144 |
IDEXX Laboratories, Inc. (1) | 1,582 | 294,284 |
Intuitive Surgical, Inc. (1) | 2,048 | 980,828 |
Medtronic plc | 23,998 | 2,182,858 |
ResMed, Inc. | 2,519 | 286,839 |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Stryker Corp. | 5,478 | 858,676 |
Varian Medical Systems, Inc. (1) | 1,616 | 183,109 |
Zimmer Holdings, Inc. | 3,701 | 383,868 |
12,803,309 | ||
Health Care Providers & Services - 3.1% | ||
AmerisourceBergen Corp. | 2,825 | 210,180 |
Anthem, Inc. | 4,587 | 1,204,684 |
Cardinal Health, Inc. | 5,342 | 238,253 |
Centene Corp. (1) | 3,622 | 417,617 |
Cigna Corp. (1) | 6,810 | 1,293,358 |
CVS Health Corp. | 22,981 | 1,505,715 |
DaVita, Inc. (1) | 2,330 | 119,902 |
HCA Healthcare, Inc. | 4,763 | 592,755 |
Henry Schein, Inc. (1)(2) | 2,702 | 212,161 |
Humana, Inc. | 2,431 | 696,433 |
Laboratory Corp. of America Holdings (1) | 1,798 | 227,195 |
McKesson Corp. | 3,525 | 389,407 |
Quest Diagnostics, Inc. | 2,412 | 200,847 |
UnitedHealth Group, Inc. | 17,250 | 4,297,320 |
Universal Health Services, Inc., Class B | 1,519 | 177,055 |
WellCare Health Plans, Inc. (1) | 882 | 208,231 |
11,991,113 | ||
Health Care Technology - 0.1% | ||
Cerner Corp. (1) | 6,042 | 316,842 |
Hotels, Restaurants & Leisure - 1.8% | ||
Carnival Corp. | 7,116 | 350,819 |
Chipotle Mexican Grill, Inc. (1) | 432 | 186,533 |
Darden Restaurants, Inc. | 2,190 | 218,694 |
Hilton Worldwide Holdings, Inc. | 5,262 | 377,812 |
Marriott International, Inc., Class A | 5,082 | 551,702 |
McDonald’s Corp. | 13,781 | 2,447,092 |
MGM Resorts International | 9,124 | 221,348 |
Norwegian Cruise Line Holdings Ltd. (1) | 3,872 | 164,134 |
Royal Caribbean Cruises Ltd. | 3,084 | 301,584 |
Starbucks Corp. | 22,053 | 1,420,213 |
Wynn Resorts Ltd. | 1,796 | 177,642 |
Yum! Brands, Inc. | 5,600 | 514,752 |
6,932,325 | ||
Household Durables - 0.3% | ||
D.R. Horton, Inc. | 6,055 | 209,866 |
Garmin Ltd. | 2,106 | 133,352 |
Leggett & Platt, Inc. (2) | 2,459 | 88,131 |
Lennar Corp., Class A | 5,198 | 203,502 |
14 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Mohawk Industries, Inc. (1) | 1,204 | 140,820 |
Newell Brands, Inc. (2) | 7,984 | 148,422 |
PulteGroup, Inc. | 5,017 | 130,392 |
Whirlpool Corp. | 1,209 | 129,206 |
1,183,691 | ||
Household Products - 1.6% | ||
Church & Dwight Co., Inc. | 4,331 | 284,807 |
Clorox Co. (The) | 2,260 | 348,356 |
Colgate-Palmolive Co. | 15,313 | 911,430 |
Kimberly-Clark Corp. | 6,135 | 699,022 |
Procter & Gamble Co. (The) | 44,673 | 4,106,342 |
6,349,957 | ||
Independent Power and Renewable Electricity Producers - 0.1% | ||
AES Corp. | 12,573 | 181,806 |
NRG Energy, Inc. | 5,355 | 212,058 |
393,864 | ||
Industrial Conglomerates - 1.4% | ||
3M Co. | 10,427 | 1,986,761 |
General Electric Co. | 155,965 | 1,180,655 |
Honeywell International, Inc. | 13,274 | 1,753,761 |
Roper Technologies, Inc. | 1,824 | 486,132 |
5,407,309 | ||
Insurance - 2.3% | ||
Aflac, Inc. | 13,549 | 617,292 |
Allstate Corp. (The) | 6,110 | 504,869 |
American International Group, Inc. | 15,678 | 617,870 |
Aon plc | 4,282 | 622,432 |
Arthur J. Gallagher & Co. | 3,223 | 237,535 |
Assurant, Inc. | 931 | 83,269 |
Brighthouse Financial, Inc. (1) | 2,259 | 68,854 |
Chubb Ltd. | 8,175 | 1,056,047 |
Cincinnati Financial Corp. | 2,841 | 219,950 |
Everest Re Group Ltd. | 768 | 167,240 |
Hartford Financial Services Group, Inc. (The) | 6,325 | 281,146 |
Lincoln National Corp. | 3,824 | 196,209 |
Loews Corp. | 5,107 | 232,471 |
Marsh & McLennan Cos., Inc. | 8,911 | 710,652 |
MetLife, Inc. | 17,556 | 720,849 |
Principal Financial Group, Inc. | 4,849 | 214,180 |
Progressive Corp. (The) | 10,290 | 620,796 |
Prudential Financial, Inc. | 7,359 | 600,127 |
Torchmark Corp. | 1,978 | 147,420 |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Travelers Cos., Inc. (The) | 4,724 | 565,699 |
Unum Group | 4,212 | 123,749 |
Willis Towers Watson plc | 2,308 | 350,493 |
8,959,149 | ||
Interactive Media & Services - 4.4% | ||
Alphabet, Inc., Class A (1) | 5,361 | 5,602,031 |
Alphabet, Inc., Class C (1) | 5,517 | 5,713,460 |
Facebook, Inc., Class A (1) | 43,078 | 5,647,095 |
TripAdvisor, Inc. (1) | 1,951 | 105,237 |
Twitter, Inc. (1) | 12,705 | 365,142 |
17,432,965 | ||
Internet & Direct Marketing Retail - 3.4% | ||
Amazon.com, Inc. (1) | 7,365 | 11,062,009 |
Booking Holdings, Inc. (1) | 838 | 1,443,388 |
eBay, Inc. (1) | 16,229 | 455,548 |
Expedia Group, Inc. | 2,201 | 247,943 |
13,208,888 | ||
IT Services - 4.6% | ||
Accenture plc, Class A | 11,430 | 1,611,744 |
Akamai Technologies, Inc. (1) | 2,991 | 182,690 |
Alliance Data Systems Corp. | 834 | 125,167 |
Automatic Data Processing, Inc. | 7,849 | 1,029,161 |
Broadridge Financial Solutions, Inc. | 2,053 | 197,601 |
Cognizant Technology Solutions Corp., Class A | 10,239 | 649,972 |
DXC Technology Co. | 5,185 | 275,686 |
Fidelity National Information Services, Inc. | 5,803 | 595,098 |
Fiserv, Inc. (1) | 7,146 | 525,160 |
FleetCor Technologies, Inc. (1) | 1,623 | 301,424 |
Gartner, Inc. (1)(2) | 1,603 | 204,928 |
Global Payments, Inc. | 2,905 | 299,593 |
International Business Machines Corp. | 16,296 | 1,852,366 |
Jack Henry & Associates, Inc. | 1,400 | 177,128 |
MasterCard, Inc., Class A | 16,293 | 3,073,674 |
Paychex, Inc. | 5,822 | 379,303 |
PayPal Holdings, Inc. (1) | 21,129 | 1,776,738 |
Total System Services, Inc. | 2,962 | 240,781 |
VeriSign, Inc. (1) | 1,970 | 292,131 |
Visa, Inc., Class A | 31,493 | 4,155,186 |
Western Union Co. (The) (2) | 8,629 | 147,211 |
18,092,742 | ||
16 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Leisure Products - 0.1% | ||
Hasbro, Inc. | 2,129 | 172,981 |
Mattel, Inc. (1)(2) | 6,073 | 60,670 |
233,651 | ||
Life Sciences Tools & Services - 1.0% | ||
Agilent Technologies, Inc. | 5,826 | 393,022 |
Illumina, Inc. (1) | 2,594 | 778,018 |
IQVIA Holdings, Inc. (1) | 2,947 | 342,353 |
Mettler-Toledo International, Inc. (1) | 445 | 251,683 |
PerkinElmer, Inc. (2) | 2,103 | 165,191 |
Thermo Fisher Scientific, Inc. | 7,219 | 1,615,540 |
Waters Corp. (1) | 1,415 | 266,940 |
3,812,747 | ||
Machinery - 1.5% | ||
Caterpillar, Inc. | 10,488 | 1,332,710 |
Cummins, Inc. | 2,651 | 354,280 |
Deere & Co. | 5,677 | 846,838 |
Dover Corp. | 2,713 | 192,487 |
Flowserve Corp. | 2,403 | 91,362 |
Fortive Corp. (2) | 5,270 | 356,568 |
Illinois Tool Works, Inc. | 5,445 | 689,827 |
Ingersoll-Rand plc | 4,329 | 394,935 |
PACCAR, Inc. | 6,406 | 366,039 |
Parker-Hannifin Corp. | 2,421 | 361,068 |
Pentair plc | 3,153 | 119,120 |
Snap-on, Inc. | 1,080 | 156,913 |
Stanley Black & Decker, Inc. | 2,810 | 336,470 |
Xylem, Inc. | 3,170 | 211,502 |
5,810,119 | ||
Media - 1.2% | ||
CBS Corp., Class B | 6,218 | 271,851 |
Charter Communications, Inc., Class A (1) | 3,151 | 897,941 |
Comcast Corp., Class A | 81,166 | 2,763,702 |
Discovery, Inc., Class A (1)(2) | 2,923 | 72,315 |
Discovery, Inc., Class C (1) | 6,463 | 149,166 |
DISH Network Corp., Class A (1) | 4,169 | 104,100 |
Interpublic Group of Cos., Inc. (The) | 7,221 | 148,969 |
News Corp., Class A | 6,766 | 76,794 |
News Corp., Class B | 2,023 | 23,366 |
Omnicom Group, Inc. (2) | 4,138 | 303,067 |
4,811,271 | ||
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Metals & Mining - 0.2% | ||
Freeport-McMoRan, Inc. | 26,612 | 274,370 |
Newmont Mining Corp. | 9,714 | 336,590 |
Nucor Corp. | 5,792 | 300,083 |
911,043 | ||
Multi-Utilities - 1.0% | ||
Ameren Corp. | 4,307 | 280,945 |
CenterPoint Energy, Inc. | 9,125 | 257,599 |
CMS Energy Corp. | 4,999 | 248,200 |
Consolidated Edison, Inc. | 5,658 | 432,611 |
Dominion Energy, Inc. | 11,771 | 841,156 |
DTE Energy Co. | 3,208 | 353,842 |
NiSource, Inc. | 6,143 | 155,725 |
Public Service Enterprise Group, Inc. | 8,917 | 464,130 |
SCANA Corp. | 2,517 | 120,262 |
Sempra Energy | 4,826 | 522,125 |
WEC Energy Group, Inc. | 5,745 | 397,899 |
4,074,494 | ||
Multiline Retail - 0.5% | ||
Dollar General Corp. | 4,686 | 506,463 |
Dollar Tree, Inc. (1) | 4,329 | 390,995 |
Kohl’s Corp. | 2,942 | 195,172 |
Macy’s, Inc. | 5,802 | 172,784 |
Nordstrom, Inc. (2) | 2,105 | 98,114 |
Target Corp. | 9,289 | 613,910 |
1,977,438 | ||
Oil, Gas & Consumable Fuels - 4.6% | ||
Anadarko Petroleum Corp. | 9,037 | 396,182 |
Apache Corp. (2) | 6,750 | 177,187 |
Cabot Oil & Gas Corp. | 8,103 | 181,102 |
Chevron Corp. | 34,262 | 3,727,363 |
Cimarex Energy Co. | 1,817 | 112,018 |
Concho Resources, Inc. (1) | 3,534 | 363,260 |
ConocoPhillips | 20,508 | 1,278,674 |
Devon Energy Corp. | 8,329 | 187,736 |
Diamondback Energy, Inc. | 2,750 | 254,925 |
EOG Resources, Inc. | 10,398 | 906,810 |
Exxon Mobil Corp. | 75,916 | 5,176,712 |
Hess Corp. (2) | 4,442 | 179,901 |
HollyFrontier Corp. | 2,977 | 152,184 |
Kinder Morgan, Inc. | 33,492 | 515,107 |
Marathon Oil Corp. | 15,073 | 216,147 |
Marathon Petroleum Corp. | 12,388 | 731,016 |
Newfield Exploration Co. (1) | 4,119 | 60,384 |
18 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Noble Energy, Inc. | 8,821 | 165,482 |
Occidental Petroleum Corp. | 13,495 | 828,323 |
ONEOK, Inc. | 7,485 | 403,816 |
Phillips 66 | 7,537 | 649,312 |
Pioneer Natural Resources Co. | 3,007 | 395,481 |
Valero Energy Corp. | 7,542 | 565,424 |
Williams Cos., Inc. (The) | 21,770 | 480,028 |
18,104,574 | ||
Personal Products - 0.1% | ||
Coty, Inc., Class A (2) | 8,988 | 58,961 |
Estee Lauder Cos., Inc. (The), Class A | 3,955 | 514,546 |
573,507 | ||
Pharmaceuticals - 5.0% | ||
Allergan plc | 5,631 | 752,639 |
Bristol-Myers Squibb Co. | 29,267 | 1,521,299 |
Eli Lilly & Co. | 16,868 | 1,951,965 |
Johnson & Johnson | 48,090 | 6,206,014 |
Merck & Co., Inc. | 46,627 | 3,562,769 |
Mylan NV (1) | 9,386 | 257,176 |
Nektar Therapeutics (1) | 3,063 | 100,681 |
Perrigo Co. plc | 2,412 | 93,465 |
Pfizer, Inc. | 103,649 | 4,524,279 |
Zoetis, Inc. | 8,503 | 727,347 |
19,697,634 | ||
Professional Services - 0.3% | ||
Equifax, Inc. | 2,125 | 197,901 |
IHS Markit Ltd. (1) | 6,484 | 311,038 |
Nielsen Holdings plc | 6,382 | 148,892 |
Robert Half International, Inc. | 2,365 | 135,278 |
Verisk Analytics, Inc. (1) | 2,953 | 321,995 |
1,115,104 | ||
Real Estate Management & Development - 0.1% | ||
CBRE Group, Inc., Class A (1) | 5,752 | 230,310 |
Road & Rail - 1.0% | ||
CSX Corp. | 14,398 | 894,548 |
JB Hunt Transport Services, Inc. | 1,630 | 151,655 |
Kansas City Southern | 1,803 | 172,096 |
Norfolk Southern Corp. | 4,942 | 739,027 |
Union Pacific Corp. | 13,211 | 1,826,156 |
3,783,482 | ||
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT 19
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Semiconductors & Semiconductor Equipment - 3.6% | ||
Advanced Micro Devices, Inc. (1)(2) | 15,756 | 290,856 |
Analog Devices, Inc. | 6,559 | 562,959 |
Applied Materials, Inc. | 17,347 | 567,941 |
Broadcom, Inc. | 7,413 | 1,884,978 |
Intel Corp. | 81,831 | 3,840,329 |
KLA-Tencor Corp. | 2,838 | 253,972 |
Lam Research Corp. | 2,781 | 378,689 |
Maxim Integrated Products, Inc. | 5,000 | 254,250 |
Microchip Technology, Inc. (2) | 4,280 | 307,817 |
Micron Technology, Inc. (1) | 20,467 | 649,418 |
NVIDIA Corp. | 10,938 | 1,460,223 |
Qorvo, Inc. (1) | 2,408 | 146,238 |
QUALCOMM, Inc. | 21,569 | 1,227,492 |
Skyworks Solutions, Inc. | 3,315 | 222,171 |
Texas Instruments, Inc. | 17,156 | 1,621,242 |
Xilinx, Inc. | 4,614 | 392,974 |
14,061,549 | ||
Software - 5.9% | ||
Adobe, Inc. (1) | 8,706 | 1,969,645 |
ANSYS, Inc. (1) | 1,488 | 212,695 |
Autodesk, Inc. (1) | 3,858 | 496,177 |
Cadence Design Systems, Inc. (1) | 4,991 | 217,009 |
Citrix Systems, Inc. | 2,274 | 232,994 |
Fortinet, Inc. (1) | 2,537 | 178,681 |
Intuit, Inc. | 4,654 | 916,140 |
Microsoft Corp. | 138,587 | 14,076,282 |
Oracle Corp. | 45,633 | 2,060,330 |
Red Hat, Inc. (1) | 3,130 | 549,753 |
Salesforce.com, Inc. (1) | 13,717 | 1,878,818 |
Symantec Corp. | 10,968 | 207,240 |
Synopsys, Inc. (1) | 2,622 | 220,877 |
23,216,641 | ||
Specialty Retail - 2.2% | ||
Advance Auto Parts, Inc. | 1,307 | 205,800 |
AutoZone, Inc. (1) | 452 | 378,930 |
Best Buy Co., Inc. | 4,289 | 227,146 |
CarMax, Inc. (1)(2) | 3,242 | 203,371 |
Foot Locker, Inc. | 2,314 | 123,105 |
Gap, Inc. (The) | 4,154 | 107,007 |
Home Depot, Inc. (The) | 20,306 | 3,488,977 |
L Brands, Inc. | 4,029 | 103,424 |
Lowe’s Cos., Inc. | 14,312 | 1,321,856 |
O’Reilly Automotive, Inc. (1) | 1,422 | 489,637 |
Ross Stores, Inc. | 6,645 | 552,864 |
20 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Tiffany & Co. | 1,940 | 156,189 |
TJX Cos., Inc. (The) | 22,132 | 990,186 |
Tractor Supply Co. | 2,150 | 179,396 |
Ulta Beauty, Inc. (1) | 1,043 | 255,368 |
8,783,256 | ||
Technology Hardware, Storage & Peripherals - 3.7% | ||
Apple, Inc. | 80,835 | 12,750,913 |
Hewlett Packard Enterprise Co. | 25,970 | 343,064 |
HP, Inc. | 27,925 | 571,346 |
NetApp, Inc. | 4,575 | 272,990 |
Seagate Technology plc | 4,800 | 185,232 |
Western Digital Corp. | 5,351 | 197,826 |
Xerox Corp. | 3,695 | 73,013 |
14,394,384 | ||
Textiles, Apparel & Luxury Goods - 0.7% | ||
Hanesbrands, Inc. (2) | 6,857 | 85,918 |
Michael Kors Holdings Ltd. (1) | 2,807 | 106,441 |
NIKE, Inc., Class B | 22,827 | 1,692,394 |
PVH Corp. | 1,464 | 136,079 |
Ralph Lauren Corp. | 1,057 | 109,357 |
Tapestry, Inc. | 5,423 | 183,026 |
Under Armour, Inc., Class A (1)(2) | 3,534 | 62,446 |
Under Armour, Inc., Class C (1)(2) | 3,507 | 56,708 |
VF Corp. | 5,737 | 409,278 |
2,841,647 | ||
Tobacco - 0.9% | ||
Altria Group, Inc. | 33,693 | 1,664,097 |
Philip Morris International, Inc. | 27,874 | 1,860,868 |
3,524,965 | ||
Trading Companies & Distributors - 0.2% | ||
Fastenal Co. (2) | 5,064 | 264,796 |
United Rentals, Inc. (1) | 1,520 | 155,846 |
W.W. Grainger, Inc. | 835 | 235,771 |
656,413 | ||
Water Utilities - 0.1% | ||
American Water Works Co., Inc. | 3,185 | 289,102 |
Total Common Stocks (Cost $225,767,739) | 377,198,890 | |
www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT 21
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 0.9% | ||
SPDR S&P 500 ETF Trust (2) | 13,500 | 3,373,920 |
Total Exchange-Traded Funds (Cost $3,677,230) | 3,373,920 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. TREASURY OBLIGATIONS - 0.2% | ||
U.S. Treasury Bill, 0.00%, 7/18/19 | 1,000,000 | 986,127 |
Total U.S. Treasury Obligations (Cost $986,511) | 986,127 | |
TOTAL INVESTMENTS (Cost $230,431,480) - 97.5% | 381,558,937 | |
Other assets and liabilities, net - 2.5% | 9,782,621 | |
NET ASSETS - 100.0% | 391,341,558 |
NOTES TO SCHEDULE OF INVESTMENTS | |
(1) Non-income producing security. | |
(2) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $8,549,368. | |
(3) Amount is less than 0.05%. |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini S&P 500 Index | 18 | 3/15/19 | $2,254,680 | ($31,170 | ) | |||
S&P 500 Index | 13 | 3/14/19 | 8,141,900 | (161,753) | ||||
Total Long | ($192,923 | ) | ||||||
See notes to financial statements. |
22 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP S&P 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $230,431,480) - including $8,549,368 of securities on loan | $381,558,937 | ||
Receivable for variation margin on open futures contracts | 79,680 | ||
Cash | 9,383,019 | ||
Receivable for investments sold | 116,504 | ||
Receivable for capital shares sold | 211,572 | ||
Dividends and interest receivable | 456,491 | ||
Securities lending income receivable | 1,232 | ||
Receivable from affiliate | 67,086 | ||
Directors’ deferred compensation plan | 80,430 | ||
Other assets | 14,208 | ||
Total assets | 391,969,159 | ||
LIABILITIES | |||
Payable for investments purchased | 252,039 | ||
Payable for capital shares redeemed | 58,665 | ||
Payable to affiliates: | |||
Investment advisory fee | 61,992 | ||
Administrative fee | 41,328 | ||
Sub-transfer agency fee | 67 | ||
Directors’ deferred compensation plan | 80,430 | ||
Accrued expenses | 133,080 | ||
Total liabilities | 627,601 | ||
NET ASSETS | $391,341,558 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(30,000,000 shares of $0.10 par value authorized) | $208,691,240 | ||
Distributable earnings | 182,650,318 | ||
Total | $391,341,558 | ||
NET ASSET VALUE PER SHARE (based on net assets of $391,341,558 and 3,176,607 shares outstanding) | $123.19 | ||
See notes to financial statements. |
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CALVERT VP S&P 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income | $9,056,737 | ||
Interest income | 70,807 | ||
Securities lending income, net | 18,972 | ||
Total investment income | 9,146,516 | ||
EXPENSES | |||
Investment advisory fee | 841,166 | ||
Administrative fee | 560,777 | ||
Directors’ fees and expenses | 23,475 | ||
Custodian fees | 66,772 | ||
Transfer agency fees and expenses | 19,409 | ||
Accounting fees | 104,341 | ||
Professional fees | 52,791 | ||
Reports to shareholders | 60,685 | ||
Licensing fees | 55,895 | ||
Miscellaneous | 34,186 | ||
Total expenses | 1,819,497 | ||
Waiver and/or reimbursement of expenses by affiliate | (492,664) | ||
Reimbursement of expenses-other | (8,595) | ||
Net expenses | 1,318,238 | ||
Net investment income | 7,828,278 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 31,063,416 | ||
Futures contracts | (503,493) | ||
30,559,923 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (55,187,344) | ||
Futures contracts | (245,148) | ||
(55,432,492) | |||
Net realized and unrealized loss | (24,872,569) | ||
Net decrease in net assets resulting from operations | ($17,044,291 | ) | |
See notes to financial statements. |
24 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP S&P 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $7,828,278 | $8,546,834 | |||||
Net realized gain | 30,559,923 | 33,377,808 | |||||
Net change in unrealized appreciation (depreciation) | (55,432,492) | 54,749,034 | |||||
Net increase (decrease) in net assets resulting from operations | (17,044,291) | 96,673,676 | |||||
Distributions to shareholders(1) | (39,153,308) | (25,606,069) | |||||
Net decrease in net assets from capital share transactions | (67,565,551) | (37,644,256) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (123,763,150) | 33,423,351 | |||||
NET ASSETS | |||||||
Beginning of year | 515,104,708 | 481,681,357 | |||||
End of year | $391,341,558 | $515,104,708(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was as follows: Net investment income - ($7,126,469) Net realized gain - ($18,479,600) The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $8,526,776 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
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CALVERT VP S&P 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
2018(1) | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | ||||||||||
Net asset value, beginning | $141.18 | $122.44 | $112.07 | $113.07 | $110.62 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 2.39 | 2.30 | 2.14 | 1.88 | 1.94 | |||||||||
Net realized and unrealized gain (loss) | (7.33) | 23.60 | 10.84 | (0.74) | 12.80 | |||||||||
Total from investment operations | (4.94) | 25.90 | 12.98 | 1.14 | 14.74 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (2.84) | (1.99) | (1.48) | (0.21) | (1.95) | |||||||||
Net realized gain | (10.21) | (5.17) | (1.13) | (1.93) | (10.34) | |||||||||
Total distributions | (13.05) | (7.16) | (2.61) | (2.14) | (12.29) | |||||||||
Total increase (decrease) in net asset value | (17.99) | 18.74 | 10.37 | (1.00) | 2.45 | |||||||||
Net asset value, ending | $123.19 | $141.18 | $122.44 | $112.07 | $113.07 | |||||||||
Total return (2) | (4.74 | %) | 21.46 | % | 11.58 | % | 0.98 | % | 13.21 | % | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.39 | % | 0.40 | % | 0.48 | % | 0.46 | % | 0.46 | % | ||||
Net expenses | 0.28 | % | 0.28 | % | 0.40 | % | 0.42 | % | 0.42 | % | ||||
Net investment income | 1.68 | % | 1.72 | % | 1.84 | % | 1.65 | % | 1.59 | % | ||||
Portfolio turnover | 7 | % | 5 | % | 6 | % | (4) | 4 | % | 9 | % | |||
Net assets, ending (in thousands) | $391,342 | $515,105 | $481,681 | $347,965 | $361,482 | |||||||||
(1) Net investment income (loss) per share was computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(4) During the year ended December 31, 2016, the Fund incurred sales of $55,737,177 to realign the combined portfolio in connection with the reorganization of Calvert VP Large Cap Core Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. | ||||||||||||||
See notes to financial statements. |
26 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP S&P 500 Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of U.S. common stocks, as represented by the S&P 500 Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy.
Short-Term Debt Securities. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information
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obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||
Common Stocks | $ | 377,198,890 | (1) | $ | — | $ | — | $ | 377,198,890 | ||||
Exchange-Traded Funds | 3,373,920 | — | — | 3,373,920 | |||||||||
U.S. Treasury Obligations | — | 986,127 | — | 986,127 | |||||||||
Total Investments | $ | 380,572,810 | $ | 986,127 | $ | — | $ | 381,558,937 | |||||
Liabilities | |||||||||||||
Futures Contracts(2) | $ | (192,923 | ) | $ | — | $ | — | $ | (192,923 | ) | |||
(1) The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. | |||||||||||||
(2) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Non-cash dividends are recorded at the fair value of the securities received. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
E. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
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G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.18% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $841,166.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.28% of the Fund’s average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $459,468.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the year ended December 31, 2018, CRM was paid administrative fees of $560,777, of which $33,196 were waived.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $283 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $8,595, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, expenses incurred under the Servicing Plan amounted to $16,753 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $31,995,725 and $128,105,545, respectively.
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NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | ||||||
2018 | 2017 | |||||
Ordinary income | $10,407,743 | $7,126,469 | ||||
Long-term capital gains | $28,745,565 | $18,479,600 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $7,871,500 | ||
Undistributed long-term capital gains | $27,990,893 | ||
Deferred capital losses | ($424,149 | ) | |
Net unrealized appreciation (depreciation) | $147,212,074 |
At December 31, 2018, the Fund, for federal income tax purposes, had deferred capital losses of $424,149 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at December 31, 2018, $424,149 are long-term.
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $234,346,863 | ||
Gross unrealized appreciation | $160,192,825 | ||
Gross unrealized depreciation | (12,980,751) | ||
Net unrealized appreciation (depreciation) | $147,212,074 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at December 31, 2018 is included in the Schedule of Investments. During the year ended December 31, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At December 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||
Futures contracts | Distributable earnings | $— | ($192,923 | ) | (1) | |
(1) Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the year ended December 31, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($503,493) | ($245,148) |
Total | ($503,493) | ($245,148) |
The average notional cost of futures contracts (long) outstanding during the year ended December 31, 2018 was approximately $11,361,000.
30 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $8,549,368 and the total value of collateral received was $8,658,740, comprised of U.S. Goverment and/or agencies securities.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Common Stocks | $5,280,736 | $— | $— | $— | $5,280,736 | ||||
Exchange-Traded Funds | 3,378,004 | — | — | — | 3,378,004 | ||||
Total | $8,658,740 | $— | $— | $— | $8,658,740 |
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Shares sold | 94,820 | $13,407,566 | 107,122 | $14,199,241 | |||||||
Reinvestment of distributions | 275,378 | 39,153,308 | 190,763 | 25,606,069 | |||||||
Shares redeemed | (842,048 | ) | (120,126,425 | ) | (583,560 | ) | (77,449,566 | ) | |||
Net decrease | (471,850 | ) | ($67,565,551 | ) | (285,675 | ) | ($37,644,256 | ) |
At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 68.1% of the value of the outstanding shares of the Fund.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP S&P 500 Index Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
32 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT
FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the dividends received deduction for corporations and capital gains dividends.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2018 ordinary income dividends, 100% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2018, $27,991,032 or, if subsequently determined to be different, the net capital gain of such year.
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MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
34 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
36 www.calvert.com CALVERT VP S&P 500 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP S&P 500 INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24221 12.31.2018 |
Calvert VP Investment Grade Bond Index Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions A strong U.S. economy and rising interest rates throughout much of the year gave way to mounting political tensions in the fourth quarter, triggering uncertainties over the sustainability of the domestic expansion. For the 12-month period ended December 31, 2018, U.S. fixed-income markets, depending on the segment of the market, eked out meager positive or negative returns. U.S. investment-grade fixed-income securities marginally advanced during the period, with the Bloomberg Barclays U.S. Aggregate Bond Index2 returning 0.01%. Hurt by growing volatility late in the period, higher-risk assets retreated, with the ICE BofAML U.S. High Yield Index returning -2.26%. The 10-year U.S. Treasury bond yield closed at 2.69%, up from 2.40% at the outset of the period. Boosted by U.S. tax reform, corporate earnings accelerated alongside the overall U.S. economy during the first three quarters of the year. Growth in the nation’s gross domestic product reached an annualized rate of 4.2% before falling back to 3.5% later in the period. The U.S. unemployment rate reached a 17-year low, while inflation remained near the U.S. Federal Reserve (the Fed) target rate of 2%. To counter this strength and the prospect of future inflation, the Fed raised interest rates four times during the period. In the fourth quarter, slowing U.S. and global economic growth, central bank tightening, and falling oil prices drove down the appeal of higher-risk investment markets. As liquidity tightened, investors became more sensitive to geopolitical issues ─ mainly the U.S.-China trade conflict ─ which motivated some to sell riskier assets. In December 2018, the Fed raised the federal funds rate to 2.5%, the highest level since January 2008. However, signs that U.S. growth may be slowing led to significant repricing of the market in anticipation of fewer future rate hikes. Late in the period, the Fed trimmed its 2019 projections from three to two potential rate hikes. Toward the end of the period, U.S. Treasury yields moved lower and the yield curve5 continued to flatten, feeding fears of a future recession. Investor worries regarding highly leveraged corporations with proportionately large debt on their balance sheets ─ making them potentially vulnerable to a possible market downturn ─ created additional headwinds for the investment-grade credit market. The spreads of investment-grade and high-yield securities ─ the differences between the yields of these securities and those of U.S. Treasurys with comparable maturities ─ widened significantly, while there were large retail outflows from the floating-rate loan market during the period. | Investment Strategy Calvert VP Investment Grade Bond Index Portfolio (the Fund) employs a passive management approach in an effort to track, as closely as possible, the performance of the Bloomberg Barclays U.S. Aggregate Bond Index (the Index). However, with more than 10,000 securities in the Index, full replication is not feasible. The Fund, therefore, uses a stratified sampling strategy to create a portfolio of securities with similar characteristics as the Index, including duration,6 sector allocation, and quality.7 Stratified sampling requires the portfolio manager to select securities that represent each sector in the Index. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -0.37% for Class I shares at net asset value (NAV). By comparison, the Fund’s benchmark, the Index, returned 0.01% for the same period. The Index is unmanaged and returns do not reflect any fees and operating expenses. With increased volatility in the market, corporate bond spreads widened over the course of the year, making the corporate sector the worst-performing sector in both the Index and the Fund during the period. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Tina J. Udell, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class I at NAV | 03/31/2003 | 03/31/2003 | -0.37 | % | 2.31 | % | 3.16 | % | ||||||
Class F at NAV | 10/30/2015 | 03/31/2003 | -0.61 | 2.15 | 3.07 | |||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | 0.01 | % | 2.52 | % | 3.48 | % | ||||||
% Total Annual Operating Expense Ratios4 | Class I | Class F | ||||||||||||
Gross | 0.45 | % | 1.21 | % | ||||||||||
Net | 0.32 | 0.57 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class I of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class F | $10,000 | 12/31/2008 | $13,538 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
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FUND PROFILE
PORTFOLIO COMPOSITION (% of total investments) | ||||||
U.S. Treasury Obligations | 37.5 | % | ||||
Corporate Bonds | 27.5 | % | ||||
U.S. Government Agency Mortgage-Backed Securities | 27.5 | % | ||||
U.S. Government Agencies and Instrumentalities | 3.6 | % | ||||
Commercial Mortgage-Backed Securities | 2.2 | % | ||||
Taxable Municipal Obligations | 0.7 | % | ||||
Sovereign Government Bonds | 0.7 | % | ||||
Asset-Backed Securities | 0.3 | % | ||||
Floating Rate Loans | 0.0 | % | * | |||
Total | 100.0 | % | ||||
* Amount is less than 0.05%. | ||||||
See Endnotes and Additional Disclosures in this report.
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Endnotes and Additional Disclosures |
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.
2 | Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. ICE BofAML U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
3 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. |
Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class F is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
5 | Yield curve is a graphical representation of the yields offered by bonds of various maturities. The yield curve flattens when long-term rates fall and/or short-term rates increase, and the yield curve steepens when long-term rates increase and/or short-term rates fall. |
6 | Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. |
7 Ratings are based on Moody’s Investors Service, Inc. (“Moody’s”), S&P Global Ratings (“S&P”) or Fitch Ratings (“Fitch”), as applicable. If securities are rated differently by the ratings agencies, the highest rating is applied. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by S&P or Fitch (Baa or higher by Moody’s) are considered to be investment-grade quality. Credit ratings are based largely on the ratings agency’s analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer’s current financial condition and does not necessarily reflect its assessment of the volatility of a security’s market value or of the liquidity of an investment in the security.
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FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $1,014.20 | $1.62** | 0.32% |
Class F | $1,000.00 | $1,013.10 | $2.89** | 0.57% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.59 | $1.63** | 0.32% |
Class F | $1,000.00 | $1,022.33 | $2.91** | 0.57% |
* Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. TREASURY OBLIGATIONS - 37.1% | ||
U.S. Treasury Bonds: | ||
2.50%, 2/15/45 | 1,000,000 | 908,284 |
3.00%, 5/15/42 | 1,000,000 | 1,003,295 |
3.00%, 5/15/47 | 1,000,000 | 997,784 |
3.125%, 11/15/41 | 1,000,000 | 1,026,082 |
3.125%, 8/15/44 | 1,600,000 | 1,636,745 |
3.125%, 5/15/48 | 750,000 | 765,776 |
3.75%, 11/15/43 | 1,045,000 | 1,182,594 |
3.875%, 8/15/40 | 1,000,000 | 1,150,546 |
4.375%, 5/15/41 | 1,200,000 | 1,479,874 |
6.25%, 8/15/23 | 1,000,000 | 1,162,183 |
8.00%, 11/15/21 | 1,000,000 | 1,151,899 |
8.125%, 5/15/21 | 1,000,000 | 1,128,393 |
U.S. Treasury Notes: | ||
0.875%, 9/15/19 | 1,000,000 | 987,696 |
1.125%, 4/30/20 | 1,000,000 | 981,252 |
1.375%, 9/15/20 | 500,000 | 490,590 |
1.625%, 11/15/22 | 2,500,000 | 2,421,033 |
1.75%, 5/15/22 | 1,600,000 | 1,562,889 |
1.875%, 7/31/22 | 1,250,000 | 1,224,373 |
2.00%, 2/15/22 | 2,000,000 | 1,972,286 |
2.00%, 2/15/25 | 1,500,000 | 1,451,707 |
2.00%, 11/15/26 | 1,000,000 | 955,568 |
2.125%, 9/30/24 | 2,750,000 | 2,688,171 |
2.25%, 3/31/21 | 200,000 | 198,979 |
2.25%, 11/15/24 | 2,000,000 | 1,966,332 |
2.25%, 2/15/27 | 2,100,000 | 2,041,311 |
2.25%, 11/15/27 | 1,750,000 | 1,692,266 |
2.625%, 8/15/20 | 2,750,000 | 2,754,211 |
2.625%, 11/15/20 | 3,000,000 | 3,005,741 |
2.625%, 6/30/23 | 250,000 | 251,356 |
2.75%, 11/15/23 | 1,000,000 | 1,011,214 |
2.75%, 2/15/24 | 3,000,000 | 3,032,892 |
3.125%, 5/15/21 | 3,500,000 | 3,552,455 |
3.375%, 11/15/19 | 1,100,000 | 1,106,711 |
3.625%, 8/15/19 | 1,000,000 | 1,006,390 |
3.625%, 2/15/20 | 1,000,000 | 1,010,954 |
3.625%, 2/15/21 | 1,000,000 | 1,023,255 |
Total U.S. Treasury Obligations (Cost $51,626,274) | 51,983,087 |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT 7
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 27.2% | ||
Basic Materials - 1.0% | ||
Barrick North America Finance LLC, 5.75%, 5/1/43 | 100,000 | 105,685 |
Dow Chemical Co. (The), 4.375%, 11/15/42 | 100,000 | 88,173 |
Ecolab, Inc., 4.35%, 12/8/21 | 122,000 | 125,422 |
LYB International Finance BV, 5.25%, 7/15/43 | 100,000 | 95,769 |
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 200,000 | 202,238 |
Sherwin-Williams Co. (The), 4.20%, 1/15/22 | 300,000 | 304,087 |
Vale Overseas Ltd., 4.375%, 1/11/22 | 500,000 | 510,000 |
1,431,374 | ||
Communications - 4.0% | ||
21st Century Fox America, Inc., 5.40%, 10/1/43 | 100,000 | 115,970 |
Amazon.com, Inc., 2.50%, 11/29/22 | 200,000 | 195,710 |
AT&T, Inc.: | ||
3.90%, 3/11/24 | 200,000 | 198,870 |
5.20%, 3/15/20 | 200,000 | 204,361 |
5.45%, 3/1/47 | 1,000,000 | 981,393 |
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | 500,000 | 497,643 |
Comcast Corp., 3.125%, 7/15/22 | 100,000 | 99,780 |
Discovery Communications LLC, 5.05%, 6/1/20 | 200,000 | 204,524 |
NBCUniversal Media LLC: | ||
2.875%, 1/15/23 | 100,000 | 98,222 |
4.45%, 1/15/43 | 200,000 | 193,453 |
Rogers Communications, Inc., 3.625%, 12/15/25 | 1,000,000 | 976,918 |
Time Warner, Inc.: | ||
4.00%, 1/15/22 | 290,000 | 293,762 |
5.375%, 10/15/41 | 100,000 | 96,733 |
Verizon Communications, Inc., 5.15%, 9/15/23 | 300,000 | 319,804 |
Warner Media LLC, 4.90%, 6/15/42 | 200,000 | 183,051 |
WPP Finance 2010, 3.75%, 9/19/24 | 1,000,000 | 935,639 |
5,595,833 | ||
Consumer, Cyclical - 2.0% | ||
Cintas Corp. No. 2, 3.25%, 6/1/22 | 350,000 | 348,013 |
Ford Motor Co., 5.291%, 12/8/46 | 1,000,000 | 824,641 |
Ford Motor Credit Co. LLC, 5.875%, 8/2/21 | 200,000 | 205,228 |
General Motors Co., 5.00%, 4/1/35 | 1,000,000 | 853,252 |
Lowe’s Cos., Inc., 3.875%, 9/15/23 | 100,000 | 100,836 |
Wal-Mart Stores, Inc.: | ||
2.55%, 4/11/23 | 100,000 | 97,546 |
6.50%, 8/15/37 | 250,000 | 324,959 |
2,754,475 | ||
Consumer, Non-cyclical - 3.5% | ||
AbbVie, Inc., 2.90%, 11/6/22 | 200,000 | 194,770 |
Amgen, Inc., 4.10%, 6/15/21 | 700,000 | 714,131 |
8 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Anheuser-Busch InBev Finance, Inc.: | ||
2.625%, 1/17/23 | 100,000 | 95,263 |
4.00%, 1/17/43 | 100,000 | 82,111 |
4.625%, 2/1/44 | 1,000,000 | 893,850 |
Cigna Corp., 4.00%, 2/15/22 | 400,000 | 404,350 |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 79,638 | 84,827 |
Dr Pepper Snapple Group, Inc., 3.20%, 11/15/21 | 75,000 | 73,738 |
Equifax, Inc., 3.30%, 12/15/22 | 450,000 | 442,292 |
Gilead Sciences, Inc., 3.70%, 4/1/24 | 100,000 | 99,897 |
Kraft Foods Group, Inc., 3.50%, 6/6/22 | 100,000 | 99,249 |
Kroger Co. (The), 3.85%, 8/1/23 | 100,000 | 100,915 |
Laboratory Corporation of America Holdings, 4.00%, 11/1/23 | 100,000 | 100,875 |
Life Technologies Corp., 6.00%, 3/1/20 | 100,000 | 102,816 |
Molson Coors Brewing Co., 5.00%, 5/1/42 | 100,000 | 94,555 |
PepsiCo, Inc., 2.75%, 3/5/22 | 100,000 | 99,032 |
Pfizer, Inc., 4.40%, 5/15/44 | 1,000,000 | 1,045,189 |
Tyson Foods, Inc., 3.95%, 8/15/24 | 100,000 | 99,537 |
Zoetis, Inc., 4.70%, 2/1/43 | 100,000 | 101,884 |
4,929,281 | ||
Energy - 4.1% | ||
BP Capital Markets plc, 2.50%, 11/6/22 | 500,000 | 484,098 |
Chevron Corp., 3.191%, 6/24/23 | 100,000 | 99,899 |
CNOOC Curtis Funding No. 1 Pty. Ltd., 4.50%, 10/3/23 (1) | 100,000 | 102,331 |
Colonial Pipeline Co., 6.58%, 8/28/32 (1) | 100,000 | 124,187 |
Enbridge Energy Partners LP, 5.20%, 3/15/20 | 300,000 | 306,463 |
HollyFrontier Corp., 5.875%, 4/1/26 | 1,000,000 | 1,012,794 |
Petroleos Mexicanos, 6.375%, 1/23/45 | 500,000 | 404,375 |
Shell International Finance BV: | ||
2.25%, 1/6/23 | 200,000 | 192,435 |
4.125%, 5/11/35 | 1,350,000 | 1,355,518 |
4.55%, 8/12/43 | 100,000 | 104,314 |
Texas Eastern Transmission LP, 2.80%, 10/15/22 (1) | 400,000 | 384,979 |
TransCanada PipeLines Ltd., 4.875%, 1/15/26 | 1,000,000 | 1,036,337 |
TransContinental Gas Pipe Line Co. LLC, 4.45%, 8/1/42 | 100,000 | 92,501 |
5,700,231 | ||
Financial - 7.8% | ||
American International Group, Inc., 4.875%, 6/1/22 | 250,000 | 259,572 |
Australia & New Zealand Banking Group Ltd., 4.875%, 1/12/21 (1) | 800,000 | 825,865 |
Bank of America Corp., 4.125%, 1/22/24 | 300,000 | 304,274 |
Berkshire Hathaway Finance Corp.: | ||
3.00%, 5/15/22 | 200,000 | 199,627 |
4.30%, 5/15/43 | 1,000,000 | 1,014,255 |
Boston Properties LP, 3.85%, 2/1/23 | 100,000 | 100,261 |
Capital One Bank, 3.375%, 2/15/23 | 200,000 | 193,286 |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT 9
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
Citigroup, Inc.: | ||
4.075% to 4/23/28, 4/23/29 (2) | 500,000 | 488,529 |
5.50%, 9/13/25 | 80,000 | 84,105 |
Discover Financial Services, 3.85%, 11/21/22 | 200,000 | 198,780 |
ERP Operating LP, 4.625%, 12/15/21 | 100,000 | 103,497 |
Excalibur One 77B LLC, 1.492%, 1/1/25 | 23,215 | 22,393 |
General Electric Co., 4.625%, 1/7/21 | 100,000 | 100,303 |
General Electric Co. / LJ VP Holdings LLC, 3.80%, 6/18/19 (1) | 400,000 | 397,836 |
Goldman Sachs Group, Inc. (The): | ||
2.625%, 1/31/19 | 200,000 | 199,878 |
4.00%, 3/3/24 | 500,000 | 493,694 |
5.375%, 3/15/20 | 150,000 | 153,361 |
Hartford Financial Services Group, Inc. (The), 5.125%, 4/15/22 | 100,000 | 104,902 |
JPMorgan Chase & Co.: | ||
2.35%, 1/28/19 | 300,000 | 299,855 |
3.375%, 5/1/23 | 700,000 | 685,060 |
4.50%, 1/24/22 | 400,000 | 412,313 |
Liberty Property LP, 3.375%, 6/15/23 | 350,000 | 345,080 |
MetLife, Inc., 4.875%, 11/13/43 | 100,000 | 103,659 |
Morgan Stanley: | ||
4.10%, 5/22/23 | 500,000 | 501,191 |
5.00%, 11/24/25 | 150,000 | 153,241 |
Prudential Financial, Inc., 5.10%, 8/15/43 | 1,000,000 | 1,042,010 |
SunTrust Banks, Inc., 2.90%, 3/3/21 | 200,000 | 198,377 |
Ventas Realty LP / Ventas Capital Corp., 3.25%, 8/15/22 | 250,000 | 247,227 |
Wells Fargo & Co., 2.625%, 7/22/22 | 400,000 | 385,879 |
Welltower, Inc., 5.25%, 1/15/22 | 800,000 | 832,150 |
Westpac Banking Corp., 2.65%, 1/25/21 | 539,000 | 533,696 |
10,984,156 | ||
Industrial - 2.3% | ||
BNSF Funding Trust I, 6.613% to 1/15/26, 12/15/55 (2) | 540,000 | 583,200 |
Cummins, Inc., 4.875%, 10/1/43 | 100,000 | 110,478 |
Deere & Co., 6.55%, 10/1/28 | 250,000 | 305,141 |
GATX Corp., 4.85%, 6/1/21 | 900,000 | 929,227 |
General Electric Co., 4.50%, 3/11/44 | 100,000 | 81,940 |
Northrop Grumman Corp., 3.25%, 8/1/23 | 150,000 | 147,765 |
Stanley Black & Decker, Inc., 2.90%, 11/1/22 | 650,000 | 638,898 |
United Parcel Service, Inc., 6.20%, 1/15/38 | 250,000 | 305,392 |
United Technologies Corp., 4.50%, 6/1/42 | 100,000 | 94,671 |
3,196,712 | ||
Technology - 1.4% | ||
Apple, Inc., 3.85%, 5/4/43 | 1,100,000 | 1,049,473 |
Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.875%, 1/15/27 | 500,000 | 449,603 |
CA, Inc., 5.375%, 12/1/19 | 200,000 | 202,620 |
10 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - CONT’D | ||
International Business Machines Corp.: | ||
2.90%, 11/1/21 | 100,000 | 98,682 |
3.625%, 2/12/24 | 100,000 | 99,696 |
NetApp, Inc., 3.25%, 12/15/22 | 100,000 | 97,746 |
1,997,820 | ||
Utilities - 1.1% | ||
Duke Energy Corp., 3.15%, 8/15/27 | 500,000 | 468,655 |
PacifiCorp, 4.10%, 2/1/42 | 100,000 | 97,447 |
Public Service Electric & Gas Co., 3.95%, 5/1/42 | 1,000,000 | 978,229 |
1,544,331 | ||
Total Corporate Bonds (Cost $38,514,743) | 38,134,213 | |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 27.2% | ||
Federal Home Loan Mortgage Corp.: | ||
2.50%, with various maturities to 2031 | 1,406,670 | 1,377,451 |
3.00%, with maturity at 2043 | 949,123 | 932,519 |
3.50%, with various maturities to 2042 | 1,597,136 | 1,612,659 |
4.00%, with various maturities to 2048 | 1,420,938 | 1,453,072 |
4.50%, with various maturities to 2044 | 1,656,912 | 1,730,539 |
5.00%, with various maturities to 2040 | 1,110,567 | 1,179,832 |
6.00%, with various maturities to 2040 | 84,163 | 93,974 |
6.50%, with maturity at 2037 | 14,566 | 15,802 |
Federal National Mortgage Association: | ||
2.50%, with various maturities to 2043 | 2,389,122 | 2,317,819 |
3.00%, with various maturities to 2046 | 7,240,976 | 7,102,365 |
3.50%, with various maturities to 2047 | 7,821,535 | 7,855,338 |
4.00%, with various maturities to 2047 | 5,165,526 | 5,289,379 |
4.499%, (1 yr. USD LIBOR + 1.781%), with maturity at 2038 (3) | 257,458 | 270,646 |
4.50%, with various maturities to 2044 | 2,637,705 | 2,758,079 |
5.00%, with various maturities to 2034 | 132,734 | 140,755 |
5.50%, with various maturities to 2038 | 524,851 | 563,946 |
6.00%, with various maturities to 2038 | 541,840 | 603,013 |
6.50%, with various maturities to 2036 | 102,269 | 112,523 |
Government National Mortgage Association: | ||
4.00%, with various maturities to 2042 | 1,266,131 | 1,306,745 |
4.50%, with maturity at 2033 | 175,978 | 183,445 |
5.00%, with various maturities to 2039 | 603,492 | 639,772 |
5.50%, with maturity at 2034 | 67,319 | 71,913 |
6.00%, with various maturities to 2038 | 445,170 | 499,209 |
Total U.S. Government Agency Mortgage-Backed Securities (Cost $38,713,366) | 38,110,795 | |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT 11
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. GOVERNMENT AGENCIES AND INSTRUMENTALITIES - 3.5% | ||
Federal Home Loan Mortgage Corp.: | ||
3.75%, 3/27/19 | 2,200,000 | 2,206,587 |
6.75%, 3/15/31 | 1,300,000 | 1,769,536 |
Federal National Mortgage Association, 2.00%, 1/5/22 | ||
1,000,000 | 985,588 | |
Total U.S. Government Agencies and Instrumentalities (Cost $4,914,659) | 4,961,711 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.1% | ||
Citigroup Commercial Mortgage Trust: | ||
Series 2013-GC17, Class A4, 4.131%, 11/10/46 | 422,000 | 437,218 |
Series 2014-GC21, Class A5, 3.855%, 5/10/47 | 645,000 | 659,725 |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45 | 625,000 | 618,210 |
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/48 | 1,275,000 | 1,253,673 |
Total Commercial Mortgage-Backed Securities (Cost $3,007,513) | 2,968,826 | |
SOVEREIGN GOVERNMENT BONDS - 0.7% | ||
Mexico Government International Bond, 5.55%, 1/21/45 | 500,000 | 507,125 |
Province of Ontario Canada, 2.45%, 6/29/22 | 400,000 | 394,313 |
Province of Quebec Canada, 2.625%, 2/13/23 | 75,000 | 74,387 |
Total Sovereign Government Bonds (Cost $971,822) | 975,825 | |
TAXABLE MUNICIPAL OBLIGATIONS - 0.7% | ||
General Obligations - 0.7% | ||
New York, NY, 3.60%, 8/1/28 | 1,000,000 | 1,008,610 |
Total Taxable Municipal Obligations (Cost $990,685) | 1,008,610 | |
ASSET-BACKED SECURITIES - 0.3% | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.50%, 2/20/21 (1) | 150,000 | 149,343 |
MVW Owner Trust, Series 2013-1A, Class A, 2.15%, 4/22/30 (1) | 15,985 | 15,795 |
World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.14%, 1/17/23 | 250,000 | 249,984 |
Total Asset-Backed Securities (Cost $424,488) | 415,122 | |
12 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |
FLOATING RATE LOANS (4) - 0.0% (5) | ||
Financial - 0.0% (5) | ||
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 (6)(7)(8) | 96,336 | 1,520 |
Total Floating Rate Loans (Cost $96,336) | 1,520 | |
TOTAL INVESTMENTS (Cost $139,259,886) - 98.8% | 138,559,709 | |
Other assets and liabilities, net - 1.2% | 1,630,914 | |
NET ASSETS - 100.0% | 140,190,623 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $2,000,336, which represents 1.4% of the net assets of the Fund as of December 31, 2018. | ||
(2) Security converts to floating rate after the indicated fixed-rate coupon period. | ||
(3) Variable rate security. The stated interest rate represents the rate in effect at December 31, 2018. | ||
(4) Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. | ||
(5) Amount is less than 0.05%. | ||
(6) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | ||
(7) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. | ||
(8) Restricted security. Total market value of restricted securities amounts to $1,520, which represents less than 0.05% of the net assets of the Fund as of December 31, 2018. | ||
Abbreviations: | ||
LIBOR: | London Interbank Offered Rate | |
USD: | United States Dollar |
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 | 5/26/05-6/13/07 | 96,336 |
See notes to financial statements. |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT 13
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $139,259,886) | $138,559,709 | ||
Cash | 1,023,837 | ||
Receivable for capital shares sold | 457 | ||
Interest receivable | 1,002,736 | ||
Securities lending income receivable | 134 | ||
Receivable from affiliate | 30,114 | ||
Directors’ deferred compensation plan | 25,813 | ||
Other assets | 4,695 | ||
Total assets | 140,647,495 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 351,529 | ||
Payable to affiliates: | |||
Investment advisory fee | 24,070 | ||
Administrative fee | 14,442 | ||
Distribution and service fees | 98 | ||
Sub-transfer agency fee | 45 | ||
Directors’ deferred compensation plan | 25,813 | ||
Accrued expenses | 40,875 | ||
Total liabilities | 456,872 | ||
NET ASSETS | $140,190,623 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $138,480,197 | ||
Distributable earnings | 1,710,426 | ||
Total | $140,190,623 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $139,729,370 and 2,636,079 shares outstanding) | $53.01 | ||
Class F (based on net assets of $461,253 and 8,789 shares outstanding) | $52.48 | ||
See notes to financial statements. |
14 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Interest and other income | $4,747,818 | ||
Securities lending income, net | 2,325 | ||
Total investment income | 4,750,143 | ||
EXPENSES | |||
Investment advisory fee | 303,494 | ||
Administrative fee | 182,096 | ||
Distribution and service fees: | |||
Class F | 861 | ||
Directors’ fees and expenses | 7,775 | ||
Custodian fees | 45,980 | ||
Transfer agency fees and expenses | 12,959 | ||
Accounting fees | 33,308 | ||
Professional fees | 34,643 | ||
Reports to shareholders | 27,178 | ||
Miscellaneous | 15,022 | ||
Total expenses | 663,316 | ||
Waiver and/or reimbursement of expenses by affiliate | (171,626) | ||
Reimbursement of expenses-other | (2,898) | ||
Net expenses | 488,792 | ||
Net investment income | 4,261,351 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized loss | (128,338) | ||
Net change in unrealized appreciation (depreciation) | (5,189,619) | ||
Net realized and unrealized loss | (5,317,957) | ||
Net decrease in net assets resulting from operations | ($1,056,606 | ) | |
See notes to financial statements. |
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT 15
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $4,261,351 | $4,335,022 | |||||
Net realized gain (loss) | (128,338) | 419,692 | |||||
Net change in unrealized appreciation (depreciation) | (5,189,619) | 959,291 | |||||
Net increase (decrease) in net assets resulting from operations | (1,056,606) | 5,714,005 | |||||
Distributions to shareholders:(1) | |||||||
Class I shares | (4,586,530) | (4,625,022) | |||||
Class F shares | (14,184) | (11,611) | |||||
Total distributions to shareholders | (4,600,714) | (4,636,633) | |||||
Capital share transactions: | |||||||
Class I shares | (21,278,138) | (849,688) | |||||
Class F shares | (18,417) | 295,839 | |||||
Net decrease in net assets from capital share transactions | (21,296,555) | (553,849) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (26,953,875) | 523,523 | |||||
NET ASSETS | |||||||
Beginning of year | 167,144,498 | 166,620,975 | |||||
End of year | $140,190,623 | $167,144,498(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was from net investment income. The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $4,327,580 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
16 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS I SHARES | 2018 (1) | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | |||||||||
Net asset value, beginning | $54.93 | $54.60 | $54.84 | $54.90 | $53.11 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 1.50 | 1.44 | 1.33 | 1.19 | 1.19 | |||||||||
Net realized and unrealized gain (loss) | (1.73) | 0.46 | 0.08 | (1.17) | 1.96 | |||||||||
Total from investment operations | (0.23) | 1.90 | 1.41 | 0.02 | 3.15 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (1.69) | (1.57) | (1.65) | (0.08) | (1.36) | |||||||||
Total distributions | (1.69) | (1.57) | (1.65) | (0.08) | (1.36) | |||||||||
Total increase (decrease) in net asset value | (1.92) | 0.33 | (0.24) | (0.06) | 1.79 | |||||||||
Net asset value, ending | $53.01 | $54.93 | $54.60 | $54.84 | $54.90 | |||||||||
Total return (2) | (0.37 | %) | 3.49 | % | 2.59 | % | 0.04 | % | 5.93 | % | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.44 | % | 0.45 | % | 0.54 | % | 0.52 | % | 0.50 | % | ||||
Net expenses | 0.32 | % | 0.32 | % | 0.46 | % | 0.52 | % | 0.50 | % | ||||
Net investment income | 2.81 | % | 2.60 | % | 2.34 | % | 2.16 | % | 2.17 | % | ||||
Portfolio turnover | 7 | % | 14 | % | 10 | % | 6 | % | 24 | % | ||||
Net assets, ending (in thousands) | $139,729 | $166,650 | $166,414 | $190,437 | $211,930 | |||||||||
(1) Net investment income per share was computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
See notes to financial statements. |
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CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | Period Ended December 31, 2015 (1) | ||||||||||||
CLASS F SHARES | 2018 | 2017 | 2016 | ||||||||||
Net asset value, beginning | $54.53 | $54.36 | $54.79 | $55.33 | |||||||||
Income from investment operations: | |||||||||||||
Net investment income (2) | 1.36 | 1.30 | 1.19 | 0.19 | |||||||||
Net realized and unrealized gain (loss) | (1.72) | 0.44 | 0.09 | (0.62) | |||||||||
Total from investment operations | (0.36) | 1.74 | 1.28 | (0.43) | |||||||||
Distributions from: | |||||||||||||
Net investment income | (1.69) | (1.57) | (1.71) | (0.11) | |||||||||
Total distributions | (1.69) | (1.57) | (1.71) | (0.11) | |||||||||
Total increase (decrease) in net asset value | (2.05) | 0.17 | (0.43) | (0.54) | |||||||||
Net asset value, ending | $52.48 | $54.53 | $54.36 | $54.79 | |||||||||
Total return (3) | (0.61 | %) | 3.21 | % | 2.36 | % | (0.78 | %) | (4) | ||||
Ratios to average net assets: (5) | |||||||||||||
Total expenses | 0.69 | % | 1.21 | % | 3.18 | % | 0.78 | % | (6) | ||||
Net expenses | 0.57 | % | 0.57 | % | 0.71 | % | 0.78 | % | (6) | ||||
Net investment income | 2.57 | % | 2.37 | % | 2.09 | % | 2.01 | % | (6) | ||||
Portfolio turnover | 7 | % | 14 | % | 10 | % | 6 | % | (4) | ||||
Net assets, ending (in thousands) | $461 | $495 | $206 | $99 | |||||||||
(1) From October 30, 2015 inception. | |||||||||||||
(2) Computed using average shares outstanding. | |||||||||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | |||||||||||||
(4) Not annualized. | |||||||||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | |||||||||||||
(6) Annualized. | |||||||||||||
See notes to financial statements. |
18 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Investment Grade Bond Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of the bond market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class-specific expenses; (b) exchange privileges; and (c) class-specific voting rights.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Floating Rate Loans. Interests in floating rate loans for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate
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stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | ||||||||
U.S. Treasury Obligations | $ | — | $ | 51,983,087 | $ | — | $ | 51,983,087 | ||||
Corporate Bonds | — | 38,134,213 | — | 38,134,213 | ||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 38,110,795 | — | 38,110,795 | ||||||||
U.S. Government Agencies and Instrumentalities | — | 4,961,711 | — | 4,961,711 | ||||||||
Commercial Mortgage-Backed Securities | — | 2,968,826 | — | 2,968,826 | ||||||||
Sovereign Government Bonds | — | 975,825 | — | 975,825 | ||||||||
Taxable Municipal Obligations | — | 1,008,610 | — | 1,008,610 | ||||||||
Asset-Backed Securities | — | 415,122 | — | 415,122 | ||||||||
Floating Rate Loans | — | — | 1,520 | 1,520 | ||||||||
Total Investments | $ | — | $ | 138,558,189 | $ | 1,520 | $ | 138,559,709 | ||||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
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 year ended December 31, 2018 is not presented.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Floating Rate Loans: The Fund may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. The Fund’s investment in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower of the loan. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of such payments by the lender from the borrower. The Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is issuing the participation interest.
E. Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
F. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
G. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
20 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
H. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.20% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $303,494.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.32% for Class I and 0.57% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $161,374.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the year ended December 31, 2018, CRM was paid administrative fees of $182,096 of which $10,252 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $861 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $184 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $2,898, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
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NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, expenses incurred under the Servicing Plan amounted to $9,158 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than U.S. government and agency securities and short-term securities, and including maturities and paydowns, were $5,947,401 and $9,576,920, respectively. Purchases and sales of U.S. government and agency securities, including paydowns, were $4,462,832 and $20,514,480, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | ||||||
2018 | 2017 | |||||
Ordinary income | $4,600,714 | $4,636,633 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $4,460,647 | ||
Deferred capital losses | ($1,556,954 | ) | |
Net unrealized appreciation (depreciation) | ($1,193,267 | ) |
At December 31, 2018, the Fund, for federal income tax purposes, had deferred capital losses of $1,556,954 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at December 31, 2018, $584,307 are short-term and $972,647 are long-term.
The cost and unrealized appreciation (depreciation) of investments of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $139,752,976 | ||
Gross unrealized appreciation | $1,667,727 | ||
Gross unrealized depreciation | (2,860,994) | ||
Net unrealized appreciation (depreciation) | ($1,193,267 | ) |
NOTE 6 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
22 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
The Fund did not have any securities on loan at December 31, 2018.
NOTE 7 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
NOTE 8 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 122,409 | $6,586,407 | 187,505 | $10,343,746 | |||||||
Reinvestment of distributions | 87,865 | 4,586,530 | 84,414 | 4,625,022 | |||||||
Shares redeemed | (608,227 | ) | (32,451,075 | ) | (285,677 | ) | (15,818,456 | ) | |||
Net decrease | (397,953 | ) | ($21,278,138 | ) | (13,758 | ) | ($849,688 | ) | |||
Class F | |||||||||||
Shares sold | 4,097 | $218,257 | 7,078 | $393,845 | |||||||
Reinvestment of distributions | 274 | 14,184 | 213 | 11,611 | |||||||
Shares redeemed | (4,656 | ) | (250,858 | ) | (2,015 | ) | (109,617 | ) | |||
Net increase (decrease) | (285 | ) | ($18,417 | ) | 5,276 | $295,839 |
At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 93.4% of the value of the outstanding shares of the Fund.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP Investment Grade Bond Index Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians and agent banks. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
24 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
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Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
26 www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 27
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CALVERT VP INVESTMENT GRADE BOND INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24231 12.31.2018 |
Calvert VP S&P MidCap 400 Index Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Fund Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stock indexes declined during the 12-month period ended December 31, 2018, as a sharp downturn in the final quarter of the year erased earlier gains. U.S. stocks opened the period on an upswing, as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. The broad tariffs drew retaliatory actions from impacted countries including China, Canada, and certain countries in the European Union. U.S. stocks bounced back during the summer months led by technology stocks, which rebounded following an earlier setback from a wave of data-privacy scandals. Markets plunged in the final three months of the period amid global trade war fears and sagging economies in China and Europe. Despite a partial rebound in the final days of the period, the U.S. stock market’s December 2018 plunge was the worst monthly loss since the 2008 financial crisis. Amid investor worries, however, U.S. economic data remained largely positive during the period, prompting the U.S. Federal Reserve (the Fed) to raise the federal funds rate in December 2018 for the fourth time during the period. Since then, the Fed has indicated that it may reconsider its planned 2019 rate hikes. For the 12-month period ended December 31, 2018, the blue-chip Dow Jones Industrial Average®2 declined 3.48%, while the broader U.S. equity market represented by the S&P 500® Index fell 4.38%. The technology-laden NASDAQ Composite Index fell 2.84% during the period. Large-cap U.S. stocks as measured by the S&P 500® Index generally outperformed their small-cap counterparts as measured by the Russell 2000® Index during the period. Growth stocks as a group outpaced value stocks in both the large- and small-cap categories, as measured by the Russell Growth and Value Indexes. | Investment Strategy As an index fund, Calvert VP S&P MidCap 400 Index Portfolio (the Fund) seeks to replicate as closely as possible the holdings and match the performance of the S&P MidCap 400® Index (the Index). The Fund seeks to accomplish this by employing a passive management approach and holding each constituent of the Index in approximately the same proportion as the Index. Cash holdings may gain exposure to the Index via futures contracts, allowing the Fund’s assets to be fully invested. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -11.33% for Class I shares at net asset value (NAV). By comparison, the Fund’s benchmark, the Index, returned -11.08% for the same period. The Index is unmanaged and returns do not reflect any fees and operating expenses. Mid-cap stocks trailed large-cap stocks during the period. All but three of the market sectors in the Index ─ health care, utilities, and communication services ─ had negative returns during the period. Energy, a relatively small sector in the Index, had the steepest decline, falling nearly 30%. Financials and industrials, among the largest sectors in the Index, were also among the weakest-performing sectors during the period. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class I at NAV | 05/03/1999 | 05/03/1999 | -11.33 | % | 5.61 | % | 13.14 | % | ||||||
Class F at NAV | 10/01/2007 | 05/03/1999 | -11.57 | 5.35 | 12.87 | |||||||||
S&P MidCap 400® Index | — | — | -11.08 | % | 6.03 | % | 13.67 | % | ||||||
% Total Annual Operating Expense Ratios4 | Class I | Class F | ||||||||||||
Gross | 0.43 | % | 0.64 | % | ||||||||||
Net | 0.30 | 0.55 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class I of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class F | $10,000 | 12/31/2008 | $33,565 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 3
FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST HOLDINGS (% of net assets)6 | ||||||
Financials | 16.3 | % | Teleflex, Inc. | 0.8 | % | ||
Industrials | 15.3 | % | Atmos Energy Corp. | 0.7 | % | ||
Information Technology | 15.1 | % | Domino’s Pizza, Inc. | 0.7 | % | ||
Consumer Discretionary | 11.6 | % | IDEX Corp. | 0.6 | % | ||
Health Care | 9.9 | % | UGI Corp. | 0.6 | % | ||
Real Estate | 9.6 | % | Alleghany Corp. | 0.6 | % | ||
Materials | 6.6 | % | STERIS plc | 0.6 | % | ||
Utilities | 5.6 | % | PTC, Inc. | 0.6 | % | ||
Energy | 3.7 | % | Reinsurance Group of America, Inc. | 0.6 | % | ||
Consumer Staples | 3.0 | % | Zebra Technologies Corp., Class A | 0.5 | % | ||
Communication Services | 2.5 | % | Total | 6.3 | % | ||
Exchange-Traded Funds | 0.6 | % | |||||
U.S. Treasury Obligations | 0.2 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures |
1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
2 | Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. S&P MidCap 400® Index is an unmanaged index of 400 U.S. mid-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
3 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
5 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
6 Excludes cash and cash equivalents.
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $858.10 | $1.41** | 0.30% |
Class F | $1,000.00 | $856.90 | $2.57** | 0.55% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.69 | $1.53** | 0.30% |
Class F | $1,000.00 | $1,022.43 | $2.80** | 0.55% |
* Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
COMMON STOCKS - 97.4% | ||
Aerospace & Defense - 1.0% | ||
Curtiss-Wright Corp. | 12,996 | 1,327,152 |
Esterline Technologies Corp. (1) | 7,830 | 950,953 |
Teledyne Technologies, Inc. (1) | 10,645 | 2,204,260 |
4,482,365 | ||
Airlines - 0.3% | ||
JetBlue Airways Corp. (1) | 89,576 | 1,438,591 |
Auto Components - 0.8% | ||
Adient plc | 25,659 | 386,424 |
Dana, Inc. | 43,259 | 589,620 |
Delphi Technologies plc | 26,371 | 377,633 |
Gentex Corp. | 77,036 | 1,556,898 |
Visteon Corp. (1) | 8,497 | 512,199 |
3,422,774 | ||
Automobiles - 0.2% | ||
Thor Industries, Inc. | 14,654 | 762,008 |
Banks - 7.2% | ||
Associated Banc-Corp. | 48,723 | 964,228 |
BancorpSouth Bank | 26,537 | 693,677 |
Bank of Hawaii Corp. (2) | 12,271 | 826,084 |
Bank OZK | 35,911 | 819,848 |
Cathay General Bancorp | 22,756 | 763,009 |
Chemical Financial Corp. | 21,283 | 779,171 |
Commerce Bancshares, Inc. | 29,176 | 1,644,648 |
Cullen/Frost Bankers, Inc. | 18,884 | 1,660,659 |
East West Bancorp, Inc. | 42,851 | 1,865,304 |
First Horizon National Corp. | 96,034 | 1,263,807 |
FNB Corp. (2) | 96,688 | 951,410 |
Fulton Financial Corp. | 52,314 | 809,821 |
Hancock Whitney Corp. | 25,030 | 867,290 |
Home BancShares, Inc. (2) | 47,360 | 773,862 |
International Bancshares Corp. | 16,230 | 558,312 |
MB Financial, Inc. | 25,120 | 995,506 |
PacWest Bancorp | 36,176 | 1,203,937 |
Pinnacle Financial Partners, Inc. | 21,631 | 997,189 |
Prosperity Bancshares, Inc. | 19,604 | 1,221,329 |
Signature Bank | 15,689 | 1,612,986 |
Sterling Bancorp | 66,873 | 1,104,073 |
Synovus Financial Corp. | 49,075 | 1,569,909 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT 7
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
TCF Financial Corp. | 49,758 | 969,783 | |
Texas Capital Bancshares, Inc. (1) | 14,832 | 757,767 | |
Trustmark Corp. | 19,953 | 567,264 | |
UMB Financial Corp. | 13,338 | 813,218 | |
Umpqua Holdings Corp. | 65,112 | 1,035,281 | |
United Bankshares, Inc. (2) | 30,678 | 954,393 | |
Valley National Bancorp (2) | 97,945 | 869,752 | |
Webster Financial Corp. | 27,236 | 1,342,462 | |
Wintrust Financial Corp. | 16,656 | 1,107,457 | |
32,363,436 | |||
Beverages - 0.1% | |||
Boston Beer Company, Inc. (The), Class A (1)(2) | 2,528 | 608,844 | |
Biotechnology - 0.9% | |||
Exelixis, Inc. (1) | 88,066 | 1,732,258 | |
Ligand Pharmaceuticals, Inc. (1)(2) | 6,275 | 851,518 | |
United Therapeutics Corp. (1) | 12,868 | 1,401,325 | |
3,985,101 | |||
Building Products - 0.7% | |||
Lennox International, Inc. | 10,705 | 2,342,896 | |
Resideo Technologies, Inc. (1) | 36,600 | 752,130 | |
3,095,026 | |||
Capital Markets - 2.9% | |||
Eaton Vance Corp. (3) | 34,247 | 1,204,809 | |
Evercore, Inc., Class A | 12,043 | 861,797 | |
FactSet Research Systems, Inc. (2) | 11,179 | 2,237,253 | |
Federated Investors, Inc., Class B | 28,574 | 758,640 | |
Interactive Brokers Group, Inc., Class A | 22,300 | 1,218,695 | |
Janus Henderson Group plc | 49,743 | 1,030,675 | |
Legg Mason, Inc. | 25,159 | 641,806 | |
MarketAxess Holdings, Inc. | 11,121 | 2,349,979 | |
SEI Investments Co. | 38,399 | 1,774,034 | |
Stifel Financial Corp. | 21,039 | 871,435 | |
12,949,123 | |||
Chemicals - 2.6% | |||
Ashland Global Holdings, Inc. | 18,365 | 1,303,180 | |
Cabot Corp. | 17,642 | 757,547 | |
Chemours Co. (The) | 50,282 | 1,418,958 | |
Minerals Technologies, Inc. | 10,587 | 543,537 | |
NewMarket Corp. (2) | 2,640 | 1,087,918 | |
Olin Corp. | 49,646 | 998,381 | |
PolyOne Corp. | 23,650 | 676,390 | |
RPM International, Inc. | 39,006 | 2,292,773 |
8 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Scotts Miracle-Gro Co. (The), Class A | 11,461 | 704,393 | |
Sensient Technologies Corp. | 12,520 | 699,242 | |
Valvoline, Inc. | 55,301 | 1,070,074 | |
11,552,393 | |||
Commercial Services & Supplies - 1.4% | |||
Brink’s Co. (The) | 14,876 | 961,733 | |
Clean Harbors, Inc. (1) | 15,082 | 744,297 | |
Deluxe Corp. | 13,610 | 523,168 | |
Healthcare Services Group, Inc. (2) | 22,000 | 883,960 | |
Herman Miller, Inc. | 17,660 | 534,215 | |
HNI Corp. | 12,966 | 459,385 | |
MSA Safety, Inc. | 10,335 | 974,281 | |
Pitney Bowes, Inc. | 54,948 | 324,743 | |
Stericycle, Inc. (1) | 25,200 | 924,588 | |
Travel Centers of America LLC (1)(4) | 60,000 | 0 | |
6,330,370 | |||
Communications Equipment - 1.4% | |||
ARRIS International plc (1) | 48,031 | 1,468,307 | |
Ciena Corp. (1) | 42,137 | 1,428,866 | |
InterDigital, Inc. | 9,946 | 660,713 | |
Lumentum Holdings, Inc. (1)(2) | 21,500 | 903,215 | |
NetScout Systems, Inc. (1) | 20,554 | 485,691 | |
Plantronics, Inc. | 9,782 | 323,784 | |
ViaSat, Inc. (1)(2) | 16,540 | 975,033 | |
6,245,609 | |||
Construction & Engineering - 1.2% | |||
AECOM (1) | 45,952 | 1,217,728 | |
Dycom Industries, Inc. (1) | 9,263 | 500,572 | |
EMCOR Group, Inc. | 16,917 | 1,009,776 | |
Granite Construction, Inc. | 13,445 | 541,565 | |
KBR, Inc. | 42,118 | 639,351 | |
MasTec, Inc. (1)(2) | 19,000 | 770,640 | |
Valmont Industries, Inc. | 6,621 | 734,600 | |
5,414,232 | |||
Construction Materials - 0.2% | |||
Eagle Materials, Inc. | 13,781 | 841,054 | |
Consumer Finance - 0.4% | |||
Navient Corp. | 67,476 | 594,463 | |
SLM Corp. (1) | 128,989 | 1,071,899 | |
1,666,362 | |||
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT 9
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Containers & Packaging - 1.4% | |||
AptarGroup, Inc. | 18,485 | 1,738,884 | |
Bemis Co., Inc. | 26,894 | 1,234,435 | |
Greif, Inc., Class A | 7,865 | 291,870 | |
Owens-Illinois, Inc. (1) | 47,055 | 811,228 | |
Silgan Holdings, Inc. | 22,880 | 540,426 | |
Sonoco Products Co. | 29,431 | 1,563,669 | |
6,180,512 | |||
Distributors - 0.4% | |||
Pool Corp. | 11,930 | 1,773,395 | |
Diversified Consumer Services - 1.0% | |||
Adtalem Global Education, Inc. (1) | 17,265 | 816,980 | |
Graham Holdings Co., Class B | 1,275 | 816,740 | |
Service Corp. International | 53,294 | 2,145,616 | |
Sotheby’s (1)(2) | 10,360 | 411,706 | |
Weight Watchers International, Inc. (1) | 11,418 | 440,164 | |
4,631,206 | |||
Electric Utilities - 1.6% | |||
ALLETE, Inc. | 15,220 | 1,160,068 | |
Hawaiian Electric Industries, Inc. | 31,999 | 1,171,803 | |
IDACORP, Inc. | 14,890 | 1,385,664 | |
OGE Energy Corp. | 59,067 | 2,314,836 | |
PNM Resources, Inc. | 23,410 | 961,917 | |
6,994,288 | |||
Electrical Equipment - 1.3% | |||
Acuity Brands, Inc. | 11,873 | 1,364,801 | |
EnerSys | 12,387 | 961,355 | |
Hubbell, Inc. | 16,225 | 1,611,792 | |
nVent Electric plc | 48,014 | 1,078,394 | |
Regal-Beloit Corp. | 12,840 | 899,442 | |
5,915,784 | |||
Electronic Equipment, Instruments & Components - 3.9% | |||
Arrow Electronics, Inc. (1) | 25,822 | 1,780,427 | |
Avnet, Inc. | 32,689 | 1,180,073 | |
Belden, Inc. (2) | 12,021 | 502,117 | |
Cognex Corp. | 50,833 | 1,965,712 | |
Coherent, Inc. (1) | 7,180 | 758,998 | |
Jabil, Inc. | 42,253 | 1,047,452 | |
Littelfuse, Inc. | 7,406 | 1,269,981 | |
National Instruments Corp. | 33,206 | 1,506,888 | |
SYNNEX Corp. | 12,316 | 995,625 | |
Tech Data Corp. (1) | 10,968 | 897,292 |
10 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Trimble, Inc. (1) | 73,884 | 2,431,523 | |
Vishay Intertechnology, Inc. (2) | 39,475 | 710,945 | |
Zebra Technologies Corp., Class A (1) | 15,891 | 2,530,324 | |
17,577,357 | |||
Energy Equipment & Services - 1.1% | |||
Apergy Corp. (1) | 23,050 | 624,194 | |
Core Laboratories NV | 13,127 | 783,157 | |
Diamond Offshore Drilling, Inc. (1)(2) | 19,400 | 183,136 | |
Dril-Quip, Inc. (1)(2) | 10,515 | 315,765 | |
Ensco plc, Class A (2) | 129,334 | 460,429 | |
McDermott International, Inc. (1) | 53,366 | 349,014 | |
Oceaneering International, Inc. (1) | 28,910 | 349,811 | |
Patterson-UTI Energy, Inc. | 63,898 | 661,344 | |
Rowan Companies plc, Class A (1) | 37,543 | 314,986 | |
Transocean Ltd. (1)(2) | 149,248 | 1,035,781 | |
5,077,617 | |||
Entertainment - 0.9% | |||
Cinemark Holdings, Inc. | 31,244 | 1,118,535 | |
Live Nation Entertainment, Inc. (1) | 40,771 | 2,007,972 | |
World Wrestling Entertainment, Inc., Class A | 12,815 | 957,537 | |
4,084,044 | |||
Equity Real Estate Investment Trusts (REITs) - 8.9% | |||
Alexander & Baldwin, Inc. | 20,129 | 369,971 | |
American Campus Communities, Inc. | 40,422 | 1,673,067 | |
Camden Property Trust | 27,436 | 2,415,740 | |
CoreCivic, Inc. | 35,357 | 630,415 | |
CoreSite Realty Corp. | 10,745 | 937,286 | |
Corporate Office Properties Trust | 32,183 | 676,809 | |
Cousins Properties, Inc. | 125,355 | 990,305 | |
CyrusOne, Inc. (2) | 30,951 | 1,636,689 | |
Douglas Emmett, Inc. | 47,698 | 1,627,933 | |
EPR Properties | 21,969 | 1,406,675 | |
First Industrial Realty Trust, Inc. | 37,073 | 1,069,927 | |
GEO Group, Inc. (The) | 36,382 | 716,725 | |
Healthcare Realty Trust, Inc. | 37,095 | 1,054,982 | |
Highwoods Properties, Inc. | 30,571 | 1,182,792 | |
Hospitality Properties Trust | 48,567 | 1,159,780 | |
JBG SMITH Properties | 32,000 | 1,113,920 | |
Kilroy Realty Corp. | 29,741 | 1,870,114 | |
Lamar Advertising Co., Class A | 24,985 | 1,728,462 | |
Liberty Property Trust | 43,677 | 1,829,193 | |
Life Storage, Inc. | 13,696 | 1,273,591 | |
Mack-Cali Realty Corp. | 26,485 | 518,841 | |
Medical Properties Trust, Inc. | 107,811 | 1,733,601 |
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT 11
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
National Retail Properties, Inc. | 46,771 | 2,268,861 | |
Omega Healthcare Investors, Inc. | 58,895 | 2,070,159 | |
Pebblebrook Hotel Trust | 37,624 | 1,065,135 | |
PotlatchDeltic Corp. | 19,795 | 626,314 | |
Rayonier, Inc. | 38,552 | 1,067,505 | |
Sabra Health Care REIT, Inc. | 52,681 | 868,183 | |
Senior Housing Properties Trust | 70,221 | 822,990 | |
Tanger Factory Outlet Centers, Inc. (2) | 27,599 | 558,052 | |
Taubman Centers, Inc. | 18,162 | 826,189 | |
Uniti Group, Inc. (2) | 51,913 | 808,285 | |
Urban Edge Properties | 33,693 | 559,978 | |
Weingarten Realty Investors | 35,195 | 873,188 | |
40,031,657 | |||
Food & Staples Retailing - 0.5% | |||
Casey’s General Stores, Inc. | 10,813 | 1,385,578 | |
Sprouts Farmers Market, Inc. (1) | 37,553 | 882,871 | |
2,268,449 | |||
Food Products - 1.7% | |||
Flowers Foods, Inc. (2) | 54,213 | 1,001,314 | |
Hain Celestial Group, Inc. (The) (1)(2) | 26,416 | 418,958 | |
Ingredion, Inc. | 20,780 | 1,899,292 | |
Lancaster Colony Corp. | 5,741 | 1,015,353 | |
Post Holdings, Inc. (1) | 19,686 | 1,754,613 | |
Sanderson Farms, Inc. | 6,000 | 595,740 | |
Tootsie Roll Industries, Inc. (2) | 5,809 | 194,021 | |
TreeHouse Foods, Inc. (1)(2) | 16,657 | 844,676 | |
7,723,967 | |||
Gas Utilities - 2.4% | |||
Atmos Energy Corp. | 34,344 | 3,184,376 | |
National Fuel Gas Co. | 25,265 | 1,293,063 | |
New Jersey Resources Corp. | 25,867 | 1,181,346 | |
ONE Gas, Inc. | 15,437 | 1,228,785 | |
Southwest Gas Holdings, Inc. | 15,443 | 1,181,389 | |
UGI Corp. | 51,196 | 2,731,307 | |
10,800,266 | |||
Health Care Equipment & Supplies - 4.5% | |||
Avanos Medical, Inc. (1) | 13,758 | 616,221 | |
Cantel Medical Corp. | 10,735 | 799,221 | |
Globus Medical, Inc., Class A (1) | 22,342 | 966,962 | |
Haemonetics Corp. (1) | 15,274 | 1,528,164 | |
Hill-Rom Holdings, Inc. | 19,741 | 1,748,065 | |
ICU Medical, Inc. (1) | 4,899 | 1,124,957 | |
Inogen, Inc. (1) | 5,180 | 643,201 |
12 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Integra LifeSciences Holdings Corp. (1)(2) | 20,862 | 940,876 | |
LivaNova plc (1) | 14,358 | 1,313,326 | |
Masimo Corp. (1) | 14,329 | 1,538,505 | |
NuVasive, Inc. (1) | 15,161 | 751,379 | |
STERIS plc | 24,834 | 2,653,513 | |
Teleflex, Inc. | 13,532 | 3,497,751 | |
West Pharmaceutical Services, Inc. | 21,759 | 2,133,035 | |
20,255,176 | |||
Health Care Providers & Services - 1.9% | |||
Acadia Healthcare Co., Inc. (1) | 26,084 | 670,620 | |
Chemed Corp. | 4,706 | 1,333,116 | |
Encompass Health Corp. | 29,075 | 1,793,927 | |
HealthEquity, Inc. (1) | 16,006 | 954,758 | |
Mednax, Inc. (1) | 26,280 | 867,240 | |
Molina Healthcare, Inc. (1) | 18,350 | 2,132,637 | |
Patterson Cos., Inc. (2) | 24,269 | 477,128 | |
Tenet Healthcare Corp. (1) | 24,149 | 413,914 | |
8,643,340 | |||
Health Care Technology - 0.4% | |||
Allscripts Healthcare Solutions, Inc. (1) | 51,595 | 497,376 | |
Medidata Solutions, Inc. (1)(2) | 17,984 | 1,212,481 | |
1,709,857 | |||
Hotels, Restaurants & Leisure - 3.9% | |||
Boyd Gaming Corp. | 24,300 | 504,954 | |
Brinker International, Inc. (2) | 11,439 | 503,087 | |
Cheesecake Factory, Inc. (The) (2) | 12,459 | 542,091 | |
Churchill Downs, Inc. | 3,527 | 860,376 | |
Cracker Barrel Old Country Store, Inc. (2) | 7,105 | 1,135,805 | |
Domino’s Pizza, Inc. | 12,225 | 3,031,678 | |
Dunkin’ Brands Group, Inc. | 24,275 | 1,556,513 | |
Eldorado Resorts, Inc. (1)(2) | 19,196 | 695,087 | |
International Speedway Corp., Class A | 7,464 | 327,371 | |
Jack in the Box, Inc. | 7,754 | 601,943 | |
Marriott Vacations Worldwide Corp. | 12,156 | 857,120 | |
Papa John’s International, Inc. (2) | 6,645 | 264,538 | |
Penn National Gaming, Inc. (1)(2) | 31,300 | 589,379 | |
Scientific Games Corp., Class A (1)(2) | 15,800 | 282,504 | |
Six Flags Entertainment Corp. (2) | 21,111 | 1,174,405 | |
Texas Roadhouse, Inc. | 19,575 | 1,168,628 | |
Wendy’s Co. (The) | 55,322 | 863,576 | |
Wyndham Destinations, Inc. | 28,641 | 1,026,493 | |
Wyndham Hotels & Resorts, Inc. | 29,150 | 1,322,536 | |
17,308,084 | |||
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT 13
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Household Durables - 1.5% | |||
Helen of Troy Ltd. (1) | 7,872 | 1,032,649 | |
KB Home | 25,197 | 481,263 | |
NVR, Inc. (1) | 999 | 2,434,553 | |
Tempur Sealy International, Inc. (1)(2) | 13,513 | 559,438 | |
Toll Brothers, Inc. | 40,061 | 1,319,209 | |
TRI Pointe Group, Inc. (1)(2) | 41,948 | 458,492 | |
Tupperware Brands Corp. | 14,278 | 450,756 | |
6,736,360 | |||
Household Products - 0.2% | |||
Energizer Holdings, Inc. (2) | 17,763 | 801,999 | |
Industrial Conglomerates - 0.4% | |||
Carlisle Cos., Inc. | 17,652 | 1,774,379 | |
Insurance - 5.0% | |||
Alleghany Corp. | 4,361 | 2,718,298 | |
American Financial Group, Inc. | 20,796 | 1,882,662 | |
Aspen Insurance Holdings Ltd. | 17,545 | 736,715 | |
Brown & Brown, Inc. | 69,201 | 1,907,180 | |
CNO Financial Group, Inc. | 48,627 | 723,570 | |
First American Financial Corp. | 33,001 | 1,473,165 | |
Genworth Financial, Inc., Class A (1) | 146,928 | 684,684 | |
Hanover Insurance Group, Inc. (The) | 12,580 | 1,468,967 | |
Kemper Corp. | 17,983 | 1,193,711 | |
Mercury General Corp. | 8,011 | 414,249 | |
Old Republic International Corp. | 84,011 | 1,728,106 | |
Primerica, Inc. | 12,743 | 1,245,118 | |
Reinsurance Group of America, Inc. | 18,450 | 2,587,243 | |
RenaissanceRe Holdings Ltd. | 11,911 | 1,592,501 | |
WR Berkley Corp. | 28,425 | 2,100,892 | |
22,457,061 | |||
Interactive Media & Services - 0.3% | |||
Cars.com, Inc. (1) | 18,957 | 407,576 | |
Yelp, Inc. (1) | 22,775 | 796,897 | |
1,204,473 | |||
IT Services - 2.5% | |||
CACI International, Inc., Class A (1) | 7,320 | 1,054,300 | |
CoreLogic, Inc. (1) | 23,918 | 799,339 | |
Leidos Holdings, Inc. | 44,014 | 2,320,418 | |
LiveRamp Holdings, Inc. (1) | 19,989 | 772,175 | |
MAXIMUS, Inc. | 18,982 | 1,235,538 | |
Perspecta, Inc. | 42,183 | 726,391 | |
Sabre Corp. | 80,914 | 1,750,979 |
14 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Science Applications International Corp. | 12,498 | 796,123 | |
WEX, Inc. (1) | 12,733 | 1,783,384 | |
11,238,647 | |||
Leisure Products - 0.6% | |||
Brunswick Corp. | 25,777 | 1,197,342 | |
Polaris Industries, Inc. (2) | 17,068 | 1,308,774 | |
2,506,116 | |||
Life Sciences Tools & Services - 1.5% | |||
Bio-Rad Laboratories, Inc., Class A (1) | 5,920 | 1,374,742 | |
Bio-Techne Corp. | 11,172 | 1,616,812 | |
Charles River Laboratories International, Inc. (1) | 14,115 | 1,597,536 | |
PRA Health Sciences, Inc. (1) | 17,100 | 1,572,516 | |
Syneos Health, Inc. (1) | 17,964 | 706,883 | |
6,868,489 | |||
Machinery - 5.0% | |||
AGCO Corp. | 19,326 | 1,075,878 | |
Crane Co. | 14,969 | 1,080,462 | |
Donaldson Co., Inc. | 37,587 | 1,630,900 | |
Graco, Inc. | 48,916 | 2,047,135 | |
IDEX Corp. | 22,545 | 2,846,532 | |
ITT, Inc. | 25,847 | 1,247,635 | |
Kennametal, Inc. | 24,106 | 802,248 | |
Lincoln Electric Holdings, Inc. | 18,941 | 1,493,498 | |
Nordson Corp. | 15,464 | 1,845,628 | |
Oshkosh Corp. | 21,130 | 1,295,480 | |
Terex Corp. | 19,164 | 528,352 | |
Timken Co. (The) | 20,526 | 766,030 | |
Toro Co. (The) | 31,083 | 1,736,918 | |
Trinity Industries, Inc. | 43,648 | 898,712 | |
Wabtec Corp. | 25,344 | 1,780,416 | |
Woodward, Inc. | 16,536 | 1,228,460 | |
22,304,284 | |||
Marine - 0.2% | |||
Kirby Corp. (1) | 15,889 | 1,070,283 | |
Media - 1.1% | |||
AMC Networks, Inc., Class A (1)(2) | 13,428 | 736,929 | |
Cable One, Inc. | 1,466 | 1,202,267 | |
John Wiley & Sons, Inc., Class A | 13,214 | 620,661 | |
Meredith Corp. | 11,818 | 613,827 | |
New York Times Co., (The), Class A (2) | 41,697 | 929,426 | |
TEGNA, Inc. | 64,254 | 698,441 | |
4,801,551 | |||
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT 15
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Metals & Mining - 2.0% | |||
Allegheny Technologies, Inc. (1)(2) | 37,138 | 808,494 | |
Carpenter Technology Corp. | 13,773 | 490,457 | |
Commercial Metals Co. | 34,710 | 556,054 | |
Compass Minerals International, Inc. (2) | 9,963 | 415,357 | |
Reliance Steel & Aluminum Co. | 20,700 | 1,473,219 | |
Royal Gold, Inc. (2) | 19,357 | 1,657,927 | |
Steel Dynamics, Inc. | 67,465 | 2,026,649 | |
United States Steel Corp. | 52,267 | 953,350 | |
Worthington Industries, Inc. | 11,937 | 415,885 | |
8,797,392 | |||
Multi-Utilities - 1.1% | |||
Black Hills Corp. (2) | 15,999 | 1,004,417 | |
MDU Resources Group, Inc. | 57,757 | 1,376,927 | |
NorthWestern Corp. | 14,868 | 883,754 | |
Vectren Corp. | 24,570 | 1,768,549 | |
5,033,647 | |||
Multiline Retail - 0.4% | |||
Big Lots, Inc. (2) | 11,920 | 344,726 | |
Dillard’s, Inc., Class A (2) | 5,431 | 327,544 | |
Ollie’s Bargain Outlet Holdings, Inc. (1) | 15,192 | 1,010,420 | |
1,682,690 | |||
Oil, Gas & Consumable Fuels - 2.5% | |||
Callon Petroleum Co. (1)(2) | 66,741 | 433,149 | |
Chesapeake Energy Corp. (1)(2) | 270,592 | 568,243 | |
CNX Resources Corp. (1) | 59,838 | 683,350 | |
EQT Corp. (2) | 74,776 | 1,412,519 | |
Equitrans Midstream Corp. (1) | 60,323 | 1,207,666 | |
Matador Resources Co. (1)(2) | 30,900 | 479,877 | |
Murphy Oil Corp. | 48,415 | 1,132,427 | |
Oasis Petroleum, Inc. (1) | 78,500 | 434,105 | |
PBF Energy, Inc., Class A | 35,413 | 1,156,943 | |
QEP Resources, Inc. (1) | 70,298 | 395,778 | |
Range Resources Corp. (2) | 61,180 | 585,493 | |
SM Energy Co. | 30,671 | 474,787 | |
Southwestern Energy Co. (1)(2) | 173,245 | 590,765 | |
World Fuel Services Corp. | 20,115 | 430,662 | |
WPX Energy, Inc. (1) | 117,083 | 1,328,892 | |
11,314,656 | |||
Paper & Forest Products - 0.3% | |||
Domtar Corp. | 18,767 | 659,285 | |
Louisiana-Pacific Corp. | 42,171 | 937,039 | |
1,596,324 | |||
16 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Personal Products - 0.4% | |||
Edgewell Personal Care Co. (1) | 16,070 | 600,214 | |
Nu Skin Enterprises, Inc., Class A | 16,326 | 1,001,274 | |
1,601,488 | |||
Pharmaceuticals - 0.5% | |||
Catalent, Inc. (1) | 42,570 | 1,327,333 | |
Mallinckrodt plc (1)(2) | 24,571 | 388,222 | |
Prestige Consumer Healthcare, Inc. (1)(2) | 15,287 | 472,062 | |
2,187,617 | |||
Professional Services - 1.0% | |||
ASGN, Inc. (1) | 15,500 | 844,750 | |
Dun & Bradstreet Corp. (The) | 10,913 | 1,557,722 | |
Insperity, Inc. | 11,300 | 1,054,968 | |
Manpowergroup, Inc. | 18,172 | 1,177,545 | |
4,634,985 | |||
Real Estate Management & Development - 0.5% | |||
Jones Lang LaSalle, Inc. | 13,392 | 1,695,427 | |
Realogy Holdings Corp. (2) | 34,726 | 509,778 | |
2,205,205 | |||
Road & Rail - 1.6% | |||
Avis Budget Group, Inc. (1) | 19,657 | 441,889 | |
Genesee & Wyoming, Inc., Class A (1) | 17,161 | 1,270,257 | |
Knight-Swift Transportation Holdings, Inc. (2) | 36,934 | 925,936 | |
Landstar System, Inc. | 12,142 | 1,161,625 | |
Old Dominion Freight Line, Inc. | 19,221 | 2,373,601 | |
Ryder System, Inc. | 15,843 | 762,841 | |
Werner Enterprises, Inc. | 13,124 | 387,683 | |
7,323,832 | |||
Semiconductors & Semiconductor Equipment - 3.0% | |||
Cirrus Logic, Inc. (1) | 17,588 | 583,570 | |
Cree, Inc. (1)(2) | 30,124 | 1,288,554 | |
Cypress Semiconductor Corp. | 106,830 | 1,358,877 | |
First Solar, Inc. (1) | 22,297 | 946,619 | |
Integrated Device Technology, Inc. (1) | 38,228 | 1,851,382 | |
MKS Instruments, Inc. | 15,866 | 1,025,102 | |
Monolithic Power Systems, Inc. | 11,535 | 1,340,944 | |
Silicon Laboratories, Inc. (1) | 12,749 | 1,004,749 | |
Synaptics, Inc. (1) | 10,266 | 381,998 | |
Teradyne, Inc. | 52,681 | 1,653,130 | |
Universal Display Corp. (2) | 12,525 | 1,171,964 | |
Versum Materials, Inc. | 32,600 | 903,672 | |
13,510,561 | |||
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT 17
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Software - 3.8% | |||
ACI Worldwide, Inc. (1) | 34,493 | 954,421 | |
Blackbaud, Inc. | 14,401 | 905,823 | |
CDK Global, Inc. | 37,846 | 1,812,066 | |
Commvault Systems, Inc. (1) | 11,352 | 670,790 | |
Fair Isaac Corp. (1) | 8,510 | 1,591,370 | |
j2 Global, Inc. | 13,823 | 959,040 | |
LogMeIn, Inc. | 15,036 | 1,226,487 | |
Manhattan Associates, Inc. (1) | 19,431 | 823,291 | |
PTC, Inc. (1) | 31,336 | 2,597,754 | |
Teradata Corp. (1) | 34,739 | 1,332,588 | |
Tyler Technologies, Inc. (1) | 11,421 | 2,122,250 | |
Ultimate Software Group, Inc. (The) (1) | 9,219 | 2,257,457 | |
17,253,337 | |||
Specialty Retail - 2.1% | |||
Aaron’s, Inc. | 20,441 | 859,544 | |
American Eagle Outfitters, Inc. | 49,618 | 959,116 | |
AutoNation, Inc. (1)(2) | 16,995 | 606,722 | |
Bed Bath & Beyond, Inc. (2) | 41,415 | 468,818 | |
Dick’s Sporting Goods, Inc. (2) | 21,679 | 676,385 | |
Five Below, Inc. (1) | 16,450 | 1,683,164 | |
Michaels Cos., Inc. (The) (1)(2) | 26,417 | 357,686 | |
Murphy USA, Inc. (1) | 8,842 | 677,651 | |
Sally Beauty Holdings, Inc. (1) | 36,107 | 615,624 | |
Signet Jewelers Ltd. | 15,339 | 487,320 | |
Urban Outfitters, Inc. (1) | 22,536 | 748,195 | |
Williams-Sonoma, Inc. (2) | 23,803 | 1,200,861 | |
9,341,086 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
NCR Corp. (1)(2) | 35,236 | 813,247 | |
Textiles, Apparel & Luxury Goods - 0.7% | |||
Carter’s, Inc. | 13,475 | 1,099,829 | |
Deckers Outdoor Corp. (1) | 8,559 | 1,095,124 | |
Skechers U.S.A., Inc., Class A (1) | 39,347 | 900,653 | |
3,095,606 | |||
Thrifts & Mortgage Finance - 0.5% | |||
LendingTree, Inc. (1)(2) | 2,197 | 482,395 | |
New York Community Bancorp, Inc. (2) | 144,895 | 1,363,462 | |
Washington Federal, Inc. | 23,952 | 639,758 | |
2,485,615 | |||
18 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | ||
COMMON STOCKS - CONT’D | |||
Trading Companies & Distributors - 0.8% | |||
GATX Corp. (2) | 11,051 | 782,521 | |
MSC Industrial Direct Co., Inc., Class A | 13,345 | 1,026,497 | |
NOW, Inc. (1) | 31,682 | 368,779 | |
Watsco, Inc. | 9,525 | 1,325,309 | |
3,503,106 | |||
Water Utilities - 0.4% | |||
Aqua America, Inc. (2) | 52,610 | 1,798,736 | |
Wireless Telecommunication Services - 0.2% | |||
Telephone & Data Systems, Inc. | 27,489 | 894,492 | |
Total Common Stocks (Cost $408,684,610) | 436,969,551 | ||
EXCHANGE-TRADED FUNDS - 0.6% | |||
SPDR S&P MidCap 400 ETF Trust (2) | 8,300 | 2,512,161 | |
Total Exchange-Traded Funds (Cost $2,710,941) | 2,512,161 | ||
PRINCIPAL AMOUNT ($) | VALUE ($) | ||
U.S. TREASURY OBLIGATIONS - 0.2% | |||
U.S. Treasury Bill, 0.00%, 7/18/19 (5) | 1,000,000 | 986,127 | |
Total U.S. Treasury Obligations (Cost $986,511) | 986,127 | ||
SHARES | VALUE ($) | ||
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.5% | |||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% | 6,762,443 | 6,762,443 | |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $6,762,443) | 6,762,443 | ||
TOTAL INVESTMENTS (Cost $419,144,505) - 99.7% | 447,230,282 | ||
Other assets and liabilities, net - 0.3% | 1,176,224 | ||
NET ASSETS - 100.0% | 448,406,506 |
NOTES TO SCHEDULE OF INVESTMENTS |
(1) Non-income producing security. |
(2) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $50,631,426. |
(3) Represents an investment in an affiliate effective December 31, 2016 due to the issuer’s affiliation with the Fund’s investment adviser. |
(4) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(5) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini S&P MidCap 400 Index | 53 | 3/15/19 | $8,809,660 | ($64,305 | ) | |||
See notes to financial statements. |
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20 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $417,975,367) - including $50,631,426 of securities on loan | $446,025,473 | ||
Investments in securities of affiliated issuers, at value (identified cost $1,169,138) | 1,204,809 | ||
Receivable for variation margin on open futures contracts | 86,390 | ||
Cash | 7,569,313 | ||
Receivable for investments sold | 108,023 | ||
Receivable for capital shares sold | 659,409 | ||
Dividends receivable | 521,940 | ||
Securities lending income receivable | 9,827 | ||
Receivable from affiliate | 91,257 | ||
Directors’ deferred compensation plan | 95,821 | ||
Other assets | 16,178 | ||
Total assets | 456,388,440 | ||
LIABILITIES | |||
Payable for investments purchased | 460,800 | ||
Payable for capital shares redeemed | 306,179 | ||
Deposits for securities loaned | 6,762,443 | ||
Payable to affiliates: | |||
Investment advisory fee | 79,577 | ||
Administrative fee | 47,746 | ||
Distribution and service fees | 43,694 | ||
Sub-transfer agency fee | 85 | ||
Directors’ deferred compensation plan | 95,821 | ||
Accrued expenses | 185,589 | ||
Total liabilities | 7,981,934 | ||
NET ASSETS | $448,406,506 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $378,761,564 | ||
Distributable earnings | 69,644,942 | ||
Total | $448,406,506 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $202,330,107 and 2,085,658 shares outstanding) | $97.01 | ||
Class F (based on net assets of $246,076,399 and 2,518,535 shares outstanding) | $97.71 | ||
See notes to financial statements. |
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CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $4,346) | $8,580,686 | ||
Dividend income - affiliated issuers | 45,170 | ||
Interest income | 58,867 | ||
Securities lending income, net | 169,729 | ||
Total investment income | 8,854,452 | ||
EXPENSES | |||
Investment advisory fee | 1,069,869 | ||
Administrative fee | 641,921 | ||
Distribution and service fees: | |||
Class F | 581,039 | ||
Directors’ fees and expenses | 27,278 | ||
Custodian fees | 61,440 | ||
Transfer agency fees and expenses | 203,304 | ||
Accounting fees | 118,806 | ||
Professional fees | 55,047 | ||
Reports to shareholders | 46,559 | ||
Miscellaneous | 154,234 | ||
Total expenses | 2,959,497 | ||
Waiver and/or reimbursement of expenses by affiliate | (613,254) | ||
Reimbursement of expenses-other | (10,213) | ||
Net expenses | 2,336,030 | ||
Net investment income | 6,518,422 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities - unaffiliated issuers | 36,225,786 | ||
Investment securities - affiliated issuers | (14,776) | ||
Futures contracts | (1,200,770) | ||
35,010,240 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities - unaffiliated issuers | (97,906,493) | ||
Investment securities - affiliated issuers | (728,038) | ||
Futures contracts | (91,805) | ||
(98,726,336) | |||
Net realized and unrealized loss | (63,716,096) | ||
Net decrease in net assets resulting from operations | ($57,197,674 | ) | |
See notes to financial statements. |
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CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $6,518,422 | $6,098,806 | |||||
Net realized gain | 35,010,240 | 31,408,880 | |||||
Net change in unrealized appreciation (depreciation) | (98,726,336) | 39,629,135 | |||||
Net increase (decrease) in net assets resulting from operations | (57,197,674) | 77,136,821 | |||||
Distributions to shareholders:(1) | |||||||
Class I shares | (17,139,326) | (11,195,694) | |||||
Class F shares | (20,564,765) | (12,589,187) | |||||
Total distributions to shareholders | (37,704,091) | (23,784,881) | |||||
Capital share transactions: | |||||||
Class I shares | (11,340,005) | (15,847,445) | |||||
Class F shares | 3,819,388 | 6,008,544 | |||||
Net decrease in net assets from capital share transactions | (7,520,617) | (9,838,901) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (102,422,382) | 43,513,039 | |||||
NET ASSETS | |||||||
Beginning of year | 550,828,888 | 507,315,849 | |||||
End of year | $448,406,506 | $550,828,888(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was as follows: Net investment income - Class I ($1,742,988) and Class F ($1,959,932) Net realized gain - Class I ($9,452,706) and Class F ($10,629,255) The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $6,099,305 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
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CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS I SHARES | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||
Net asset value, beginning | $117.50 | $106.11 | $91.52 | $95.73 | $96.10 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (1) | 1.58 | 1.44 | 1.12 | 1.02 | 1.00 | |||||||||
Net realized and unrealized gain (loss) | (13.43) | 15.18 | 17.43 | (3.56) | 7.99 | |||||||||
Total from investment operations | (11.85) | 16.62 | 18.55 | (2.54) | 8.99 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (1.40) | (0.81) | (0.44) | (0.09) | (1.01) | |||||||||
Net realized gain | (7.24) | (4.42) | (3.52) | (1.58) | (8.35) | |||||||||
Total distributions | (8.64) | (5.23) | (3.96) | (1.67) | (9.36) | |||||||||
Total increase (decrease) in net asset value | (20.49) | 11.39 | 14.59 | (4.21) | (0.37) | |||||||||
Net asset value, ending | $97.01 | $117.50 | $106.11 | $91.52 | $95.73 | |||||||||
Total return (2) | (11.33 | %) | 15.88 | % | 20.27 | % | (2.68 | %) | 9.25 | % | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.44 | % | 0.43 | % | 0.54 | % | 0.54 | % | 0.53 | % | ||||
Net expenses | 0.30 | % | 0.30 | % | 0.41 | % | 0.54 | % | 0.53 | % | ||||
Net investment income | 1.35 | % | 1.29 | % | 1.15 | % | 1.05 | % | 1.01 | % | ||||
Portfolio turnover | 14 | % | 16 | % | 20 | % | 13 | % | 14 | % | ||||
Net assets, ending (in thousands) | $202,330 | $256,043 | $246,310 | $222,462 | $241,929 | |||||||||
(1) Computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
See notes to financial statements. |
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CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS F SHARES | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||
Net asset value, beginning | $118.58 | $107.30 | $92.83 | $97.20 | $97.32 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (1) | 1.31 | 1.18 | 1.14 | 0.85 | 0.81 | |||||||||
Net realized and unrealized gain (loss) | (13.54) | 15.33 | 17.40 | (3.64) | 8.04 | |||||||||
Total from investment operations | (12.23) | 16.51 | 18.54 | (2.79) | 8.85 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (1.40) | (0.81) | (0.55) | — | (0.62) | |||||||||
Net realized gain | (7.24) | (4.42) | (3.52) | (1.58) | (8.35) | |||||||||
Total distributions | (8.64) | (5.23) | (4.07) | (1.58) | (8.97) | |||||||||
Total increase (decrease) in net asset value | (20.87) | 11.28 | 14.47 | (4.37) | (0.12) | |||||||||
Net asset value, ending | $97.71 | $118.58 | $107.30 | $92.83 | $97.20 | |||||||||
Total return (2) | (11.57 | %) | 15.63 | % | 19.96 | % | (2.90 | %) | 9.00 | % | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.64 | % | 0.64 | % | 0.79 | % | 0.77 | % | 0.75 | % | ||||
Net expenses | 0.55 | % | 0.55 | % | 0.66 | % | 0.77 | % | 0.75 | % | ||||
Net investment income | 1.11 | % | 1.05 | % | 1.10 | % | 0.86 | % | 0.81 | % | ||||
Portfolio turnover | 14 | % | 16 | % | 20 | % | 13 | % | 14 | % | ||||
Net assets, ending (in thousands) | $246,076 | $294,786 | $261,005 | $13,051 | $8,601 | |||||||||
(1) Computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP S&P MidCap 400 Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of U.S. common stocks, as represented by the S&P MidCap 400 Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class-specific expenses; (b) exchange privileges; and (c) class-specific voting rights.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy.
Short-Term Debt Securities. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are
26 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | |||||||||
Common Stocks | $ | 436,969,551 | (2) | $ | — | $ | — | $ | 436,969,551 | ||||
Exchange-Traded Funds | 2,512,161 | — | — | 2,512,161 | |||||||||
U.S. Treasury Obligations | — | 986,127 | — | 986,127 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 6,762,443 | — | — | 6,762,443 | |||||||||
Total Investments | $ | 446,244,155 | $ | 986,127 | $ | — | $ | 447,230,282 | |||||
Liabilities | |||||||||||||
Futures Contracts(3) | $ | (64,305 | ) | $ | — | $ | — | $ | (64,305 | ) | |||
(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. | |||||||||||||
(3) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
Level 3 investments at the beginning and end of the period were valued at $0 and accordingly, a reconciliation of Level 3 assets for the year ended December 31, 2018 is not presented.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Foreign Currency Transactions: The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income, and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations
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under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
F. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
G. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.20% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $1,069,869.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.30% for Class I and 0.55% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $578,878.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the year ended December 31, 2018, CRM was paid administrative fees of $641,921, of which $34,376 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.20% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $581,039 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $356 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000
28 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $10,213, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, expenses incurred under the Servicing Plan amounted to $198,190 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $73,103,424 and $115,422,528, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | ||||||
2018 | 2017 | |||||
Ordinary income | $11,891,912 | $3,702,920 | ||||
Long-term capital gains | $25,812,179 | $20,081,961 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $8,005,510 | ||
Undistributed long-term capital gains | $33,141,067 | ||
Net unrealized appreciation (depreciation) | $28,498,365 |
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $418,731,917 | ||
Gross unrealized appreciation | $82,002,607 | ||
Gross unrealized depreciation | (53,504,242) | ||
Net unrealized appreciation (depreciation) | $28,498,365 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at December 31, 2018 is included in the Schedule of Investments. During the year ended December 31, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At December 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT 29
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||||
Futures contracts | Distributable earnings | $— | ($64,305 | ) | (1) | |||
(1) Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the year ended December 31, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($1,200,770) | ($91,805) |
The average notional cost of futures contracts (long) outstanding during the year ended December 31, 2018 was approximately $10,436,000.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $50,631,426 and the total value of collateral received was $51,686,339, comprised of cash of $6,762,443 and U.S. Government and/or agencies securities of $44,923,896.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $49,210,261 | $— | $— | $— | $49,210,261 | ||||||||||
Exchange-Traded Funds | 2,476,078 | — | — | — | 2,476,078 | ||||||||||
Total | $51,686,339 | $— | $— | $— | $51,686,339 |
The carrying amount of the liability for deposits for securities loaned at December 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at December 31, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month
30 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT
London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
NOTE 9 — AFFILIATED COMPANIES
An affiliated company is a company in which a fund has a direct or indirect ownership of, control of, or voting power of 5 percent or more of the outstanding voting shares, or a company that is under common ownership or control with a fund. At December 31, 2018, the value of the Fund’s investment in affiliated companies was $1,204,809, which represents 0.27% of the Fund’s net assets. Transactions in affiliated companies by the Fund for the year ended December 31, 2018 were as follows:
Name of Affiliated Company | Shares, beginning of period | Gross Additions | Gross Reductions | Shares, end of period | Value, end of period | Dividend Income | Net Realized Gain (Loss) | Capital Gains Distributions Received | Change In Unrealized Appreciation (Depreciation) | ||||||||||||||
Eaton Vance Corp. | 35,345 | 388 | (1,486 | ) | 34,247 | $1,204,809 | $45,170 | ($14,776 | ) | $— | ($728,038 | ) | |||||||||||
Totals | $1,204,809 | $45,170 | ($14,776 | ) | $— | ($728,038 | ) |
NOTE 10 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 111,777 | $12,820,442 | 131,946 | $14,716,014 | |||||||
Reinvestment of distributions | 146,678 | 17,139,326 | 99,837 | 11,195,694 | |||||||
Shares redeemed | (351,907 | ) | (41,299,773 | ) | (374,019 | ) | (41,759,153 | ) | |||
Net decrease | (93,452 | ) | ($11,340,005 | ) | (142,236 | ) | ($15,847,445 | ) | |||
Class F | |||||||||||
Shares sold | 57,086 | $6,760,577 | 105,042 | $11,838,411 | |||||||
Reinvestment of distributions | 174,618 | 20,564,765 | 111,182 | 12,589,187 | |||||||
Shares redeemed | (199,149 | ) | (23,505,954 | ) | (162,627 | ) | (18,419,054 | ) | |||
Net increase | 32,555 | $3,819,388 | 53,597 | $6,008,544 |
At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP and a separate account of another insurance company owned 35.3% and 52.5%, respectively, of the value of the outstanding shares of the Fund.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP S&P MidCap 400 Index Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
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FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the dividends received deduction for corporations and capital gains dividends.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2018 ordinary income dividends, 74.47% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2018, $33,141,462 or, if subsequently determined to be different, the net capital gain of such year.
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MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
34 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
36 www.calvert.com CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP S&P MIDCAP 400 INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial
Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background
of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling
1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at
www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24223 12.31.18 |
Calvert VP Russell 2000® Small Cap Index Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Fund Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stock indexes declined during the 12-month period ended December 31, 2018, as a sharp downturn in the final quarter of the year erased earlier gains. U.S. stocks opened the period on an upswing, as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. The broad tariffs drew retaliatory actions from impacted countries including China, Canada, and certain countries in the European Union. U.S. stocks bounced back during the summer months led by technology stocks, which rebounded following an earlier setback from a wave of data-privacy scandals. Markets plunged in the final three months of the period amid global trade war fears and sagging economies in China and Europe. Despite a partial rebound in the final days of the period, the U.S. stock market’s December 2018 plunge was the worst monthly loss since the 2008 financial crisis. Amid investor worries, however, U.S. economic data remained largely positive during the period, prompting the U.S. Federal Reserve (the Fed) to raise the federal funds rate in December 2018 for the fourth time during the period. Since then, the Fed has indicated that it may reconsider its planned 2019 rate hikes. For the 12-month period ended December 31, 2018, the blue-chip Dow Jones Industrial Average®2 declined 3.48%, while the broader U.S. equity market represented by the S&P 500® Index fell 4.38%. The technology-laden NASDAQ Composite Index fell 2.84% during the period. Large-cap U.S. stocks as measured by the S&P 500® Index generally outperformed their small-cap counterparts as measured by the Russell 2000® Index during the period. Growth stocks as a group outpaced value stocks in both the large- and small-cap categories, as measured by the Russell Growth and Value Indexes. | Investment Strategy As an index fund, Calvert VP Russell 2000® Small Cap Index Portfolio (the Fund) seeks to replicate as closely as possible the holdings and match the performance of the Russell 2000® Index (the Index). To accomplish this, the Fund employs a passive management approach and holds each constituent of the Index in approximately the same proportion as the Index. The Fund may also invest in exchange-traded funds (“ETFs”) that provide the same exposure to the Index. Cash holdings may gain exposure to the Index via futures contracts, allowing the Fund’s assets to be fully invested. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -11.23% for Class I shares at net asset value (NAV). By comparison, the Fund’s benchmark, the Index, returned -11.01% for the same period. The Index is unmanaged and returns do not reflect any fees and operating expenses. Small-cap stocks were among the weakest performers among domestic stock capitalization groups, underperforming their larger-cap counterparts during the period. Within the Index, eight of the 11 sectors declined during the period, led by energy, which lost nearly 40%. Utilities and communication services were the best performing sectors with each making small gains for the year. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class I at NAV | 04/27/2000 | 04/27/2000 | -11.23 | % | 3.92 | % | 11.31 | % | ||||||
Class F at NAV | 10/04/2005 | 04/27/2000 | -11.46 | 3.68 | 11.07 | |||||||||
Russell 2000® Index | — | — | -11.01 | % | 4.41 | % | 11.97 | % | ||||||
% Total Annual Operating Expense Ratios4 | Class I | Class F | ||||||||||||
Gross | 0.65 | % | 0.86 | % | ||||||||||
Net | 0.38 | 0.63 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class I of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class F | $10,000 | 12/31/2008 | $28,588 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 3
FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST HOLDINGS (% of net assets)6 | ||||||
Financials | 17.8 | % | iShares Russell 2000 ETF | 1.9 | % | ||
Health Care | 14.9 | % | Integrated Device Technology, Inc. | 0.3 | % | ||
Industrials | 14.6 | % | Etsy, Inc. | 0.3 | % | ||
Information Technology | 14.3 | % | Five Below, Inc. | 0.3 | % | ||
Consumer Discretionary | 11.9 | % | Haemonetics Corp. | 0.3 | % | ||
Real Estate | 7.1 | % | Ciena Corp. | 0.3 | % | ||
Utilities | 3.7 | % | Planet Fitness, Inc., Class A | 0.3 | % | ||
Materials | 3.7 | % | IDACORP, Inc. | 0.2 | % | ||
Energy | 3.4 | % | HubSpot, Inc. | 0.2 | % | ||
Communication Services | 3.2 | % | LivaNova plc | 0.2 | % | ||
Consumer Staples | 2.8 | % | Total | 4.3 | % | ||
Exchange-Traded Funds | 1.9 | % | |||||
U.S. Treasury Obligations | 0.7 | % | |||||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures |
1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
2 | Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
3 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
5 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
6 Excludes cash and cash equivalents.
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $825.90 | $1.75** | 0.38% |
Class F | $1,000.00 | $824.70 | $2.90** | 0.63% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,023.29 | $1.94** | 0.38% |
Class F | $1,000.00 | $1,022.03 | $3.21** | 0.63% |
* Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
COMMON STOCKS - 94.0% | ||
Aerospace & Defense - 1.2% | ||
AAR Corp. | 2,738 | 102,237 |
Aerojet Rocketdyne Holdings, Inc. (1) | 5,811 | 204,722 |
Aerovironment, Inc. (1) | 1,707 | 115,991 |
Astronics Corp. (1) | 1,883 | 57,337 |
Axon Enterprise, Inc. (1) | 4,728 | 206,850 |
Cubic Corp. | 2,177 | 116,992 |
Ducommun, Inc. (1) | 914 | 33,196 |
Engility Holdings, Inc. (1) | 1,480 | 42,121 |
Esterline Technologies Corp. (1) | 2,184 | 265,247 |
KeyW Holding Corp. (The) (1) | 3,749 | 25,081 |
Kratos Defense & Security Solutions, Inc. (1)(2) | 7,415 | 104,477 |
Maxar Technologies Ltd. (2) | 4,750 | 56,810 |
Mercury Systems, Inc. (1) | 3,775 | 178,520 |
Moog, Inc., Class A | 2,677 | 207,414 |
National Presto Industries, Inc. | 420 | 49,106 |
Sparton Corp. (1) | 882 | 16,044 |
Triumph Group, Inc. | 4,259 | 48,978 |
Vectrus, Inc. (1) | 813 | 17,545 |
Wesco Aircraft Holdings, Inc. (1) | 4,699 | 37,122 |
1,885,790 | ||
Air Freight & Logistics - 0.3% | ||
Air Transport Services Group, Inc. (1) | 5,010 | 114,278 |
Atlas Air Worldwide Holdings, Inc. (1) | 1,930 | 81,427 |
Echo Global Logistics, Inc. (1) | 2,286 | 46,474 |
Forward Air Corp. | 2,396 | 131,421 |
Hub Group, Inc., Class A (1) | 2,690 | 99,718 |
Radiant Logistics, Inc. (1) | 2,087 | 8,870 |
482,188 | ||
Airlines - 0.5% | ||
Allegiant Travel Co. | 1,085 | 108,739 |
Hawaiian Holdings, Inc. | 4,284 | 113,140 |
Mesa Air Group, Inc. (1) | 801 | 6,176 |
SkyWest, Inc. | 4,287 | 190,643 |
Spirit Airlines, Inc. (1) | 5,800 | 335,936 |
754,634 | ||
Auto Components - 1.0% | ||
American Axle & Manufacturing Holdings, Inc. (1) | 8,943 | 99,267 |
Cooper Tire & Rubber Co. | 4,233 | 136,853 |
Cooper-Standard Holding, Inc. (1) | 1,470 | 91,316 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Dana, Inc. | 12,507 | 170,470 |
Dorman Products, Inc. (1) | 2,276 | 204,886 |
Fox Factory Holding Corp. (1) | 3,008 | 177,081 |
Gentherm, Inc. (1) | 2,898 | 115,862 |
LCI Industries | 2,000 | 133,600 |
Modine Manufacturing Co. (1) | 4,047 | 43,748 |
Motorcar Parts of America, Inc. (1) | 1,400 | 23,296 |
Shiloh Industries, Inc. (1) | 764 | 4,454 |
Standard Motor Products, Inc. | 1,855 | 89,838 |
Stoneridge, Inc. (1) | 2,174 | 53,589 |
Superior Industries International, Inc. | 1,957 | 9,413 |
Tenneco, Inc., Class A | 4,240 | 116,134 |
Tower International, Inc. | 1,846 | 43,935 |
1,513,742 | ||
Automobiles - 0.0% (3) | ||
Winnebago Industries, Inc. | 2,579 | 62,438 |
Banks - 9.1% | ||
1st Constitution Bancorp | 623 | 12,416 |
1st Source Corp. | 1,262 | 50,909 |
Access National Corp. | 1,047 | 22,333 |
ACNB Corp. | 464 | 18,212 |
Allegiance Bancshares, Inc. (1) | 856 | 27,709 |
Amalgamated Bank, Class A | 808 | 15,756 |
American National Bankshares, Inc. | 705 | 20,664 |
Ameris Bancorp | 3,398 | 107,615 |
Ames National Corp. | 756 | 19,218 |
Arrow Financial Corp. | 1,094 | 35,030 |
Atlantic Capital Bancshares, Inc. (1) | 1,833 | 30,006 |
Auburn National Bancorporation, Inc. | 201 | 6,364 |
Banc of California, Inc. (2) | 3,886 | 51,723 |
BancFirst Corp. | 1,474 | 73,553 |
Bancorp, Inc. (The) (1) | 4,384 | 34,897 |
BancorpSouth Bank | 7,859 | 205,434 |
Bank of Commerce Holdings | 1,360 | 14,906 |
Bank of Marin Bancorp | 1,090 | 44,952 |
Bank of NT Butterfield & Son Ltd. (The) | 4,538 | 142,266 |
Bank of Princeton (The) | 486 | 13,559 |
Bankwell Financial Group, Inc. | 446 | 12,805 |
Banner Corp. | 2,588 | 138,406 |
Bar Harbor Bankshares | 1,146 | 25,705 |
Baycom Corp. (1) | 848 | 19,580 |
BCB Bancorp, Inc. | 832 | 8,711 |
Berkshire Hills Bancorp, Inc. | 3,404 | 91,806 |
Blue Hills Bancorp, Inc. | 1,921 | 40,994 |
Boston Private Financial Holdings, Inc. | 7,071 | 74,740 |
8 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Bridge Bancorp, Inc. | 1,543 | 39,331 |
Brookline Bancorp, Inc. | 6,592 | 91,101 |
Bryn Mawr Bank Corp. | 1,617 | 55,625 |
Business First Bancshares, Inc. | 766 | 18,560 |
Byline Bancorp, Inc. (1) | 1,418 | 23,624 |
C&F Financial Corp. | 251 | 13,356 |
Cadence BanCorp | 5,977 | 100,294 |
Cambridge Bancorp | 320 | 26,640 |
Camden National Corp. | 1,318 | 47,408 |
Capital Bancorp, Inc. (1) | 525 | 5,990 |
Capital City Bank Group, Inc. | 1,232 | 28,595 |
Capstar Financial Holdings, Inc. | 756 | 11,136 |
Carolina Financial Corp. | 1,663 | 49,208 |
Cathay General Bancorp | 6,414 | 215,061 |
CB Financial Services, Inc. | 399 | 9,887 |
CBTX, Inc. (2) | 1,510 | 44,394 |
CenterState Bank Corp. | 7,660 | 161,166 |
Central Pacific Financial Corp. | 2,617 | 63,724 |
Central Valley Community Bancorp | 682 | 12,869 |
Century Bancorp, Inc., Class A | 277 | 18,761 |
Chemical Financial Corp. | 5,896 | 215,853 |
Chemung Financial Corp. | 245 | 10,121 |
Citizens & Northern Corp. | 1,125 | 29,734 |
City Holding Co. | 1,332 | 90,030 |
Civista Bancshares, Inc. | 871 | 15,173 |
CNB Financial Corp. | 1,282 | 29,422 |
Coastal Financial Corp. (1) | 530 | 8,072 |
Codorus Valley Bancorp, Inc. | 695 | 14,769 |
Columbia Banking System, Inc. | 6,012 | 218,175 |
Community Bank System, Inc. | 4,148 | 241,828 |
Community Bankers Trust Corp. (1) | 1,884 | 13,602 |
Community Financial Corp. (The) | 347 | 10,146 |
Community Trust Bancorp, Inc. | 1,316 | 52,127 |
ConnectOne Bancorp, Inc. | 2,307 | 42,610 |
County Bancorp, Inc. | 375 | 6,514 |
Customers Bancorp, Inc. (1) | 2,287 | 41,623 |
CVB Financial Corp. | 9,305 | 188,240 |
Eagle Bancorp, Inc. (1) | 2,641 | 128,643 |
Enterprise Bancorp, Inc. | 790 | 25,406 |
Enterprise Financial Services Corp. | 1,978 | 74,432 |
Equity Bancshares, Inc., Class A (1) | 935 | 32,959 |
Esquire Financial Holdings, Inc. (1) | 506 | 10,980 |
Evans Bancorp, Inc. | 406 | 13,199 |
Farmers & Merchants Bancorp, Inc. | 778 | 29,945 |
Farmers National Banc Corp. | 1,937 | 24,677 |
FB Financial Corp. | 1,361 | 47,662 |
FCB Financial Holdings, Inc., Class A (1) | 3,537 | 118,772 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Fidelity D&D Bancorp, Inc. (2) | 249 | 15,981 |
Fidelity Southern Corp. | 1,909 | 49,672 |
Financial Institutions, Inc. | 1,134 | 29,144 |
First Bancorp / Southern Pines NC | 2,504 | 81,781 |
First Bancorp, Inc. / ME | 691 | 18,173 |
First BanCorp. / Puerto Rico | 17,713 | 152,332 |
First Bancshares, Inc. (The) | 1,032 | 31,218 |
First Bank / Hamilton | 1,315 | 15,938 |
First Busey Corp. | 3,623 | 88,908 |
First Business Financial Services, Inc. | 708 | 13,813 |
First Choice Bancorp | 529 | 11,955 |
First Commonwealth Financial Corp. | 8,496 | 102,632 |
First Community Bankshares, Inc. | 1,464 | 46,087 |
First Community Corp. / SC | 613 | 11,911 |
First Financial Bancorp | 8,144 | 193,176 |
First Financial Bankshares, Inc. (2) | 5,513 | 318,045 |
First Financial Corp. / IN | 992 | 39,829 |
First Financial Northwest, Inc. | 708 | 10,953 |
First Foundation, Inc. (1) | 3,136 | 40,329 |
First Guaranty Bancshares, Inc. (2) | 375 | 8,704 |
First Internet Bancorp | 680 | 13,899 |
First Interstate BancSystem, Inc., Class A | 2,729 | 99,772 |
First Merchants Corp. | 4,068 | 139,410 |
First Mid-Illinois Bancshares, Inc. | 882 | 28,153 |
First Midwest Bancorp, Inc. | 8,833 | 174,982 |
First Northwest Bancorp | 864 | 12,813 |
First of Long Island Corp. (The) | 2,051 | 40,917 |
First Savings Financial Group, Inc. | 150 | 7,791 |
First United Corp. | 582 | 9,265 |
Flushing Financial Corp. | 2,270 | 48,873 |
Franklin Financial Network, Inc. (1) | 950 | 25,051 |
Fulton Financial Corp. | 14,217 | 220,079 |
FVCBankcorp, Inc. (1)(2) | 150 | 2,642 |
German American Bancorp, Inc. | 1,728 | 47,987 |
Glacier Bancorp, Inc. | 6,919 | 274,131 |
Great Southern Bancorp, Inc. | 940 | 43,268 |
Great Western Bancorp, Inc. | 5,101 | 159,406 |
Green Bancorp, Inc. | 2,056 | 35,240 |
Guaranty Bancorp | 2,062 | 42,786 |
Guaranty Bancshares, Inc. | 666 | 19,860 |
Hancock Whitney Corp. | 7,187 | 249,030 |
Hanmi Financial Corp. | 2,767 | 54,510 |
HarborOne Bancorp, Inc. (1) | 1,232 | 19,576 |
Heartland Financial USA, Inc. | 2,421 | 106,403 |
Heritage Commerce Corp. | 3,178 | 36,039 |
Heritage Financial Corp. (2) | 2,803 | 83,305 |
Hilltop Holdings, Inc. | 6,020 | 107,337 |
10 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Home BancShares, Inc. | 13,082 | 213,760 |
HomeTrust Bancshares, Inc. | 1,500 | 39,270 |
Hope Bancorp, Inc. | 9,898 | 117,390 |
Horizon Bancorp | 3,088 | 48,729 |
Howard Bancorp, Inc. (1) | 773 | 11,054 |
IBERIABANK Corp. | 4,610 | 296,331 |
Independent Bank Corp. | 1,586 | 33,338 |
Independent Bank Corp. / Rockland | 2,235 | 157,143 |
Independent Bank Group, Inc. | 1,681 | 76,939 |
International Bancshares Corp. | 4,729 | 162,678 |
Investar Holding Corp. | 717 | 17,782 |
Investors Bancorp, Inc. | 20,815 | 216,476 |
Lakeland Bancorp, Inc. | 3,940 | 58,351 |
Lakeland Financial Corp. | 2,121 | 85,179 |
LCNB Corp. | 686 | 10,393 |
LegacyTexas Financial Group, Inc. | 4,150 | 133,173 |
Level One Bancorp, Inc. | 116 | 2,602 |
Live Oak Bancshares, Inc. (2) | 1,938 | 28,702 |
Macatawa Bank Corp. | 2,061 | 19,827 |
MB Financial, Inc. | 6,935 | 274,834 |
MBT Financial Corp. | 1,386 | 12,890 |
Mercantile Bank Corp. | 1,239 | 35,014 |
Metropolitan Bank Holding Corp. (1) | 542 | 16,721 |
Mid Penn Bancorp, Inc. | 399 | 9,185 |
Middlefield Banc Corp. | 230 | 9,759 |
Midland States Bancorp, Inc. | 1,739 | 38,849 |
MidSouth Bancorp, Inc. | 780 | 8,268 |
MidWestOne Financial Group, Inc. | 980 | 24,333 |
MutualFirst Financial, Inc. | 424 | 11,266 |
MVB Financial Corp. | 740 | 13,350 |
National Bank Holdings Corp., Class A | 2,417 | 74,613 |
National Bankshares, Inc. | 531 | 19,344 |
National Commerce Corp. (1) | 1,452 | 52,272 |
NBT Bancorp, Inc. | 3,663 | 126,703 |
Nicolet Bankshares, Inc. (1) | 785 | 38,308 |
Northeast Bancorp | 637 | 10,657 |
Northrim BanCorp, Inc. | 525 | 17,257 |
Norwood Financial Corp. | 502 | 16,566 |
Oak Valley Bancorp | 573 | 10,486 |
OFG Bancorp | 3,440 | 56,622 |
Ohio Valley Banc Corp. | 358 | 12,670 |
Old Line Bancshares, Inc. | 1,302 | 34,269 |
Old National Bancorp | 12,485 | 192,269 |
Old Second Bancorp, Inc. | 2,274 | 29,562 |
Opus Bank | 1,820 | 35,654 |
Origin Bancorp, Inc. (2) | 1,393 | 47,473 |
Orrstown Financial Services, Inc. | 576 | 10,489 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 11
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Pacific City Financial Corp. | 976 | 15,274 |
Pacific Mercantile Bancorp (1) | 1,193 | 8,530 |
Pacific Premier Bancorp, Inc. (1) | 3,799 | 96,950 |
Park National Corp. | 1,149 | 97,608 |
Parke Bancorp, Inc. | 552 | 10,331 |
Peapack Gladstone Financial Corp. | 1,336 | 33,640 |
Penns Woods Bancorp, Inc. | 415 | 16,700 |
People’s Utah Bancorp | 1,248 | 37,627 |
Peoples Bancorp of North Carolina, Inc. | 408 | 9,980 |
Peoples Bancorp, Inc. | 1,418 | 42,682 |
Peoples Financial Services Corp. | 676 | 29,785 |
Preferred Bank / Los Angeles | 1,057 | 45,821 |
Premier Financial Bancorp, Inc. | 911 | 13,583 |
QCR Holdings, Inc. | 1,089 | 34,946 |
RBB Bancorp | 1,147 | 20,153 |
Reliant Bancorp, Inc. (2) | 609 | 14,031 |
Renasant Corp. | 4,017 | 121,233 |
Republic Bancorp, Inc., Class A | 907 | 35,119 |
Republic First Bancorp, Inc. (1) | 4,071 | 24,304 |
S&T Bancorp, Inc. | 2,878 | 108,904 |
Sandy Spring Bancorp, Inc. | 2,871 | 89,977 |
SB One Bancorp (2) | 601 | 12,284 |
Seacoast Banking Corp. of Florida (1) | 3,832 | 99,709 |
Select Bancorp, Inc. (1) | 954 | 11,811 |
ServisFirst Bancshares, Inc. | 3,980 | 126,843 |
Shore Bancshares, Inc. | 977 | 14,206 |
Sierra Bancorp | 987 | 23,718 |
Simmons First National Corp., Class A | 7,638 | 184,305 |
SmartFinancial, Inc. (1) | 629 | 11,492 |
South State Corp. | 3,090 | 185,245 |
Southern First Bancshares, Inc. (1) | 447 | 14,335 |
Southern National Bancorp of Virginia, Inc. | 1,573 | 20,795 |
Southside Bancshares, Inc. | 2,786 | 88,455 |
Spirit of Texas Bancshares, Inc. (1)(2) | 771 | 17,563 |
State Bank Financial Corp. | 3,294 | 71,117 |
Stock Yards Bancorp, Inc. | 1,843 | 60,450 |
Summit Financial Group, Inc. | 649 | 12,532 |
Tompkins Financial Corp. | 1,253 | 93,988 |
TowneBank | 5,463 | 130,839 |
TriCo Bancshares | 2,032 | 68,661 |
TriState Capital Holdings, Inc. (1) | 1,979 | 38,511 |
Triumph Bancorp, Inc. (1) | 1,993 | 59,192 |
Trustmark Corp. | 5,505 | 156,507 |
UMB Financial Corp. | 3,745 | 228,333 |
Union Bankshares Corp. | 5,323 | 150,268 |
Union Bankshares, Inc. | 303 | 14,468 |
United Bankshares, Inc. | 8,225 | 255,880 |
12 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
United Community Banks, Inc. | 6,587 | 141,357 |
United Security Bancshares | 1,143 | 10,950 |
Unity Bancorp, Inc. | 677 | 14,055 |
Univest Corp. of Pennsylvania | 2,279 | 49,158 |
Valley National Bancorp | 26,810 | 238,073 |
Veritex Holdings, Inc. (1) | 1,984 | 42,418 |
Washington Trust Bancorp, Inc. | 1,232 | 58,557 |
WesBanco, Inc. | 4,305 | 157,950 |
West BanCorp., Inc. | 1,387 | 26,478 |
Westamerica BanCorp. | 2,132 | 118,710 |
14,400,010 | ||
Beverages - 0.3% | ||
Boston Beer Company, Inc. (The), Class A (1) | 712 | 171,478 |
Castle Brands, Inc. (1) | 7,620 | 6,481 |
Celsius Holdings, Inc. (1)(2) | 1,928 | 6,690 |
Coca-Cola Bottling Co. Consolidated | 413 | 73,258 |
Craft Brew Alliance, Inc. (1) | 855 | 12,235 |
MGP Ingredients, Inc. (2) | 1,083 | 61,785 |
National Beverage Corp. | 989 | 70,981 |
Primo Water Corp. (1) | 2,722 | 38,135 |
441,043 | ||
Biotechnology - 5.7% | ||
Abeona Therapeutics, Inc. (1)(2) | 2,704 | 19,307 |
ACADIA Pharmaceuticals, Inc. (1) | 8,124 | 131,365 |
Acceleron Pharma, Inc. (1)(2) | 3,252 | 141,625 |
Achaogen, Inc. (1) | 2,546 | 3,132 |
Achillion Pharmaceuticals, Inc. (1) | 10,118 | 16,088 |
Acorda Therapeutics, Inc. (1) | 3,713 | 57,849 |
Adamas Pharmaceuticals, Inc. (1)(2) | 1,883 | 16,081 |
ADMA Biologics, Inc. (1) | 1,642 | 3,924 |
Aduro Biotech, Inc. (1) | 5,545 | 14,639 |
Adverum Biotechnologies, Inc. (1) | 4,398 | 13,854 |
Aeglea BioTherapeutics, Inc. (1) | 1,379 | 10,329 |
Agenus, Inc. (1)(2) | 5,577 | 13,273 |
AgeX Therapeutics, Inc. (1)(2) | 600 | 1,794 |
Aimmune Therapeutics, Inc. (1)(2) | 3,609 | 86,327 |
Akebia Therapeutics, Inc. (1)(2) | 6,669 | 36,877 |
Albireo Pharma, Inc. (1) | 688 | 16,877 |
Alder Biopharmaceuticals, Inc. (1) | 4,871 | 49,928 |
Aldeyra Therapeutics, Inc. (1) | 1,388 | 11,520 |
Allakos, Inc. (1)(2) | 682 | 35,648 |
Allena Pharmaceuticals, Inc. (1) | 460 | 2,507 |
Allogene Therapeutics, Inc. (1) | 1,763 | 47,478 |
AMAG Pharmaceuticals, Inc. (1) | 3,012 | 45,752 |
Amicus Therapeutics, Inc. (1)(2) | 15,657 | 149,994 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
AnaptysBio, Inc. (1) | 1,633 | 104,169 |
Apellis Pharmaceuticals, Inc. (1) | 3,089 | 40,744 |
Aptinyx, Inc. (1) | 1,097 | 18,144 |
Arbutus Biopharma Corp. (1) | 2,944 | 11,276 |
Arcus Biosciences, Inc. (1)(2) | 2,532 | 27,270 |
Ardelyx, Inc. (1) | 2,393 | 4,283 |
Arena Pharmaceuticals, Inc. (1) | 4,139 | 161,214 |
ArQule, Inc. (1) | 7,731 | 21,415 |
Array BioPharma, Inc. (1)(2) | 16,999 | 242,236 |
Arrowhead Pharmaceuticals, Inc. (1)(2) | 7,256 | 90,119 |
Arsanis, Inc. (1) | 392 | 909 |
Atara Biotherapeutics, Inc. (1) | 3,329 | 115,649 |
Athenex, Inc. (1)(2) | 3,528 | 44,770 |
Athersys, Inc. (1)(2) | 11,234 | 16,177 |
Audentes Therapeutics, Inc. (1) | 2,496 | 53,215 |
AVEO Pharmaceuticals, Inc. (1) | 8,174 | 13,078 |
Avid Bioservices, Inc. (1) | 4,695 | 19,249 |
Avrobio, Inc. (1) | 502 | 8,358 |
Bellicum Pharmaceuticals, Inc. (1) | 4,333 | 12,652 |
BioCryst Pharmaceuticals, Inc. (1)(2) | 8,297 | 66,957 |
Biohaven Pharmaceutical Holding Co., Ltd. (1) | 2,329 | 86,126 |
BioSpecifics Technologies Corp. (1) | 496 | 30,058 |
BioTime, Inc. (1)(2) | 6,005 | 5,483 |
Blueprint Medicines Corp. (1) | 3,442 | 185,558 |
Calithera Biosciences, Inc. (1) | 2,688 | 10,779 |
Calyxt, Inc. (1)(2) | 700 | 7,252 |
Cara Therapeutics, Inc. (1) | 2,765 | 35,945 |
CareDx, Inc. (1) | 2,924 | 73,509 |
CASI Pharmaceuticals, Inc. (1)(2) | 4,345 | 17,467 |
Catalyst Biosciences, Inc. (1) | 991 | 7,819 |
Catalyst Pharmaceuticals, Inc. (1)(2) | 9,063 | 17,401 |
Celcuity, Inc. (1)(2) | 240 | 5,758 |
Cellular Biomedicine Group, Inc. (1)(2) | 958 | 16,918 |
ChemoCentryx, Inc. (1) | 2,120 | 23,129 |
Chimerix, Inc. (1) | 3,539 | 9,095 |
Clovis Oncology, Inc. (1) | 3,967 | 71,247 |
Cohbar, Inc. (1) | 2,016 | 6,270 |
Coherus Biosciences, Inc. (1)(2) | 3,902 | 35,313 |
Concert Pharmaceuticals, Inc. (1) | 1,527 | 19,164 |
Constellation Pharmaceuticals, Inc. (1) | 200 | 802 |
Corbus Pharmaceuticals Holdings, Inc. (1)(2) | 3,888 | 22,706 |
Corvus Pharmaceuticals, Inc. (1) | 1,216 | 4,463 |
Crinetics Pharmaceuticals, Inc. (1) | 574 | 17,214 |
CTI BioPharma Corp. (1)(2) | 4,450 | 3,265 |
Cue Biopharma, Inc. (1)(2) | 1,576 | 7,407 |
Cytokinetics, Inc. (1)(2) | 3,647 | 23,049 |
CytomX Therapeutics, Inc. (1) | 3,239 | 48,909 |
14 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Deciphera Pharmaceuticals, Inc. (1) | 700 | 14,693 |
Denali Therapeutics, Inc. (1)(2) | 3,705 | 76,545 |
Dicerna Pharmaceuticals, Inc. (1) | 3,620 | 38,698 |
Dynavax Technologies Corp. (1) | 5,186 | 47,452 |
Eagle Pharmaceuticals, Inc. (1) | 867 | 34,931 |
Editas Medicine, Inc. (1)(2) | 3,601 | 81,923 |
Eidos Therapeutics, Inc. (1)(2) | 500 | 6,880 |
Emergent BioSolutions, Inc. (1) | 3,733 | 221,292 |
Enanta Pharmaceuticals, Inc. (1) | 1,395 | 98,808 |
Epizyme, Inc. (1) | 4,180 | 25,749 |
Equillium, Inc. (1) | 425 | 3,468 |
Esperion Therapeutics, Inc. (1)(2) | 1,993 | 91,678 |
Evelo Biosciences, Inc. (1) | 373 | 4,853 |
Fate Therapeutics, Inc. (1)(2) | 4,100 | 52,603 |
Fennec Pharmaceuticals, Inc. (1) | 914 | 5,831 |
FibroGen, Inc. (1) | 6,232 | 288,417 |
Five Prime Therapeutics, Inc. (1) | 2,790 | 25,947 |
Flexion Therapeutics, Inc. (1)(2) | 2,654 | 30,043 |
Fortress Biotech, Inc. (1)(2) | 2,656 | 2,284 |
Forty Seven, Inc. (1)(2) | 625 | 9,825 |
G1 Therapeutics, Inc. (1)(2) | 1,618 | 30,985 |
Genomic Health, Inc. (1) | 1,734 | 111,687 |
Geron Corp. (1) | 13,270 | 13,270 |
Global Blood Therapeutics, Inc. (1)(2) | 4,051 | 166,294 |
GlycoMimetics, Inc. (1) | 2,997 | 28,382 |
Gritstone Oncology, Inc. (1)(2) | 570 | 8,806 |
GTx, Inc. (1)(2) | 403 | 314 |
Halozyme Therapeutics, Inc. (1) | 10,685 | 156,322 |
Heron Therapeutics, Inc. (1) | 5,671 | 147,106 |
Homology Medicines, Inc. (1) | 864 | 19,319 |
Idera Pharmaceuticals, Inc. (1) | 1,498 | 4,149 |
Immune Design Corp. (1) | 2,948 | 3,832 |
ImmunoGen, Inc. (1) | 11,811 | 56,693 |
Immunomedics, Inc. (1) | 11,693 | 166,859 |
Inovio Pharmaceuticals, Inc. (1)(2) | 6,941 | 27,764 |
Insmed, Inc. (1) | 6,347 | 83,273 |
Insys Therapeutics, Inc. (1)(2) | 1,760 | 6,160 |
Intellia Therapeutics, Inc. (1) | 2,581 | 35,231 |
Intercept Pharmaceuticals, Inc. (1)(2) | 1,808 | 182,228 |
Intrexon Corp. (1)(2) | 5,972 | 39,057 |
Invitae Corp. (1) | 5,418 | 59,923 |
Iovance Biotherapeutics, Inc. (1) | 8,758 | 77,508 |
Ironwood Pharmaceuticals, Inc. (1)(2) | 11,821 | 122,466 |
Jounce Therapeutics, Inc. (1) | 1,233 | 4,155 |
Kadmon Holdings, Inc. (1)(2) | 5,939 | 12,353 |
Karyopharm Therapeutics, Inc. (1)(2) | 4,019 | 37,658 |
Kezar Life Sciences, Inc. (1)(2) | 410 | 9,676 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Kindred Biosciences, Inc. (1) | 2,568 | 28,120 |
Kiniksa Pharmaceuticals Ltd., Class A (1)(2) | 535 | 15,028 |
Kodiak Sciences, Inc. (1) | 785 | 5,573 |
Kura Oncology, Inc. (1)(2) | 2,350 | 32,994 |
La Jolla Pharmaceutical Co. (1) | 1,535 | 14,475 |
Lexicon Pharmaceuticals, Inc. (1) | 3,782 | 25,112 |
Ligand Pharmaceuticals, Inc. (1)(2) | 1,744 | 236,661 |
LogicBio Therapeutics, Inc. (1) | 670 | 6,968 |
Loxo Oncology, Inc. (1) | 2,213 | 309,975 |
MacroGenics, Inc. (1) | 3,254 | 41,326 |
Madrigal Pharmaceuticals, Inc. (1) | 598 | 67,407 |
Magenta Therapeutics, Inc. (1)(2) | 330 | 1,881 |
MannKind Corp. (1)(2) | 11,365 | 12,047 |
MediciNova, Inc. (1)(2) | 3,274 | 26,749 |
MeiraGTx Holdings plc (1)(2) | 275 | 2,651 |
Mersana Therapeutics, Inc. (1) | 944 | 3,852 |
Minerva Neurosciences, Inc. (1) | 2,206 | 14,868 |
Miragen Therapeutics, Inc. (1) | 1,109 | 3,360 |
Mirati Therapeutics, Inc. (1)(2) | 1,566 | 66,430 |
Molecular Templates, Inc. (1) | 723 | 2,921 |
Momenta Pharmaceuticals, Inc. (1) | 6,446 | 71,164 |
Mustang Bio, Inc. (1) | 1,620 | 4,763 |
Myriad Genetics, Inc. (1) | 5,525 | 160,612 |
NantKwest, Inc. (1) | 2,681 | 3,110 |
Natera, Inc. (1) | 2,682 | 37,441 |
Neon Therapeutics, Inc. (1) | 485 | 2,440 |
NewLink Genetics Corp. (1) | 1,605 | 2,440 |
Novavax, Inc. (1) | 32,730 | 60,223 |
Nymox Pharmaceutical Corp. (1)(2) | 2,502 | 3,278 |
OPKO Health, Inc. (1)(2) | 26,562 | 79,952 |
Organovo Holdings, Inc. (1)(2) | 8,100 | 7,752 |
Ovid Therapeutics, Inc. (1) | 443 | 1,072 |
Palatin Technologies, Inc. (1) | 16,946 | 12,005 |
PDL BioPharma, Inc. (1) | 12,664 | 36,726 |
Pfenex, Inc. (1) | 1,821 | 5,809 |
Pieris Pharmaceuticals, Inc. (1) | 3,015 | 8,020 |
PolarityTE, Inc. (1) | 503 | 6,785 |
Portola Pharmaceuticals, Inc. (1) | 5,426 | 105,915 |
Principia Biopharma, Inc. (1) | 475 | 13,010 |
Progenics Pharmaceuticals, Inc. (1) | 5,871 | 24,658 |
Proteostasis Therapeutics, Inc. (1)(2) | 2,293 | 7,429 |
Prothena Corp. plc (1) | 3,249 | 33,465 |
PTC Therapeutics, Inc. (1) | 3,919 | 134,500 |
Puma Biotechnology, Inc. (1)(2) | 2,522 | 51,323 |
Ra Pharmaceuticals, Inc. (1)(2) | 1,195 | 21,749 |
Radius Health, Inc. (1) | 3,266 | 53,856 |
Recro Pharma, Inc. (1) | 1,196 | 8,492 |
16 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
REGENXBIO, Inc. (1)(2) | 2,605 | 109,280 |
Repligen Corp. (1) | 3,200 | 168,768 |
Replimune Group, Inc. (1)(2) | 616 | 6,160 |
Retrophin, Inc. (1) | 3,493 | 79,047 |
Rhythm Pharmaceuticals, Inc. (1) | 1,016 | 27,310 |
Rigel Pharmaceuticals, Inc. (1) | 12,610 | 29,003 |
Rocket Pharmaceuticals, Inc. (1)(2) | 1,870 | 27,713 |
Rubius Therapeutics, Inc. (1)(2) | 1,003 | 16,128 |
Sangamo Therapeutics, Inc. (1) | 8,265 | 94,882 |
Savara, Inc. (1) | 2,257 | 17,085 |
Scholar Rock Holding Corp. (1)(2) | 513 | 11,784 |
Selecta Biosciences, Inc. (1) | 1,029 | 2,737 |
Seres Therapeutics, Inc. (1)(2) | 1,389 | 6,278 |
Solid Biosciences, Inc. (1) | 1,002 | 26,854 |
Sorrento Therapeutics, Inc. (1)(2) | 7,245 | 17,388 |
Spark Therapeutics, Inc. (1)(2) | 2,622 | 102,625 |
Spectrum Pharmaceuticals, Inc. (1)(2) | 8,414 | 73,622 |
Spero Therapeutics, Inc. (1) | 500 | 3,075 |
Spring Bank Pharmaceuticals, Inc. (1) | 1,085 | 11,273 |
Stemline Therapeutics, Inc. (1)(2) | 1,930 | 18,335 |
Surface Oncology, Inc. (1) | 567 | 2,404 |
Sutro Biopharma, Inc. (1) | 525 | 4,735 |
Syndax Pharmaceuticals, Inc. (1) | 1,000 | 4,450 |
Synergy Pharmaceuticals, Inc. (1) | 19,906 | 2,267 |
Synlogic, Inc. (1)(2) | 1,223 | 8,573 |
Syros Pharmaceuticals, Inc. (1)(2) | 2,602 | 14,493 |
T2 Biosystems, Inc. (1)(2) | 2,618 | 7,880 |
TG Therapeutics, Inc. (1)(2) | 4,898 | 20,082 |
Tocagen, Inc. (1) | 1,527 | 12,537 |
Translate Bio, Inc. (1)(2) | 750 | 5,625 |
Twist Bioscience Corp. (1) | 420 | 9,698 |
Tyme Technologies, Inc. (1)(2) | 6,120 | 22,583 |
Ultragenyx Pharmaceutical, Inc. (1)(2) | 3,953 | 171,876 |
UNITY Biotechnology, Inc. (1)(2) | 2,053 | 33,382 |
Unum Therapeutics, Inc. (1) | 276 | 1,214 |
Vanda Pharmaceuticals, Inc. (1) | 4,281 | 111,863 |
Veracyte, Inc. (1) | 2,344 | 29,488 |
Verastem, Inc. (1)(2) | 5,019 | 16,864 |
Vericel Corp. (1)(2) | 3,341 | 58,133 |
Viking Therapeutics, Inc. (1)(2) | 4,271 | 32,673 |
Vital Therapies, Inc. (1)(2) | 2,566 | 478 |
Voyager Therapeutics, Inc. (1) | 1,721 | 16,177 |
Xencor, Inc. (1) | 3,865 | 139,758 |
XOMA Corp. (1)(2) | 495 | 6,262 |
Y-mAbs Therapeutics, Inc. (1) | 575 | 11,695 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Zafgen, Inc. (1) | 2,005 | 9,925 |
ZIOPHARM Oncology, Inc. (1) | 10,966 | 20,506 |
9,064,903 | ||
Building Products - 1.1% | ||
AAON, Inc. | 3,489 | 122,324 |
Advanced Drainage Systems, Inc. | 3,084 | 74,787 |
American Woodmark Corp. (1) | 1,194 | 66,482 |
Apogee Enterprises, Inc. | 2,452 | 73,192 |
Armstrong Flooring, Inc. (1) | 1,823 | 21,584 |
Builders FirstSource, Inc. (1) | 9,570 | 104,409 |
Caesarstone Ltd. | 1,950 | 26,481 |
Continental Building Products, Inc. (1) | 3,099 | 78,869 |
CSW Industrials, Inc. (1) | 1,308 | 63,242 |
Gibraltar Industries, Inc. (1) | 2,724 | 96,947 |
Griffon Corp. | 2,639 | 27,578 |
Insteel Industries, Inc. | 1,366 | 33,166 |
JELD-WEN Holding, Inc. (1)(2) | 5,765 | 81,921 |
Masonite International Corp. (1) | 2,269 | 101,719 |
NCI Building Systems, Inc. (1) | 3,510 | 25,447 |
Patrick Industries, Inc. (1) | 1,955 | 57,888 |
PGT Innovations, Inc. (1) | 4,125 | 65,381 |
Quanex Building Products Corp. | 3,015 | 40,974 |
Simpson Manufacturing Co., Inc. | 3,460 | 187,290 |
Trex Co., Inc. (1) | 4,927 | 292,467 |
Universal Forest Products, Inc. | 5,136 | 133,331 |
1,775,479 | ||
Capital Markets - 1.2% | ||
Arlington Asset Investment Corp., Class A | 1,962 | 14,205 |
Artisan Partners Asset Management, Inc., Class A | 3,911 | 86,472 |
Ashford, Inc. (1) | 73 | 3,789 |
Associated Capital Group, Inc., Class A | 224 | 7,892 |
B. Riley Financial, Inc. (2) | 1,801 | 25,574 |
Blucora, Inc. (1) | 3,911 | 104,189 |
BrightSphere Investment Group plc | 6,685 | 71,396 |
Cohen & Steers, Inc. | 1,874 | 64,316 |
Cowen, Inc., Class A (1) | 2,148 | 28,654 |
Diamond Hill Investment Group, Inc. | 250 | 37,362 |
Donnelley Financial Solutions, Inc. (1) | 2,855 | 40,056 |
Federated Investors, Inc., Class B | 8,020 | 212,931 |
Focus Financial Partners, Inc., Class A (1) | 1,551 | 40,838 |
GAIN Capital Holdings, Inc. (2) | 3,144 | 19,367 |
GAMCO Investors, Inc., Class A | 342 | 5,776 |
Greenhill & Co., Inc. | 1,714 | 41,822 |
Hamilton Lane, Inc., Class A | 1,211 | 44,807 |
Houlihan Lokey, Inc. | 2,706 | 99,581 |
18 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
INTL. FCStone, Inc. (1) | 1,181 | 43,201 |
Investment Technology Group, Inc. | 2,642 | 79,894 |
Ladenburg Thalmann Financial Services, Inc. | 8,462 | 19,716 |
Moelis & Co., Class A | 3,659 | 125,796 |
Oppenheimer Holdings, Inc., Class A | 932 | 23,813 |
Piper Jaffray Cos. | 1,194 | 78,613 |
PJT Partners, Inc., Class A | 1,588 | 61,551 |
Pzena Investment Management, Inc., Class A | 1,231 | 10,648 |
Safeguard Scientifics, Inc. (1) | 1,902 | 16,395 |
Siebert Financial Corp. (1) | 596 | 8,618 |
Silvercrest Asset Management Group, Inc., Class A | 548 | 7,250 |
Stifel Financial Corp. | 5,788 | 239,739 |
Value Line, Inc. | 91 | 2,367 |
Virtus Investment Partners, Inc. | 589 | 46,784 |
Waddell & Reed Financial, Inc., Class A | 6,858 | 123,993 |
Westwood Holdings Group, Inc. | 603 | 20,502 |
WisdomTree Investments, Inc. | 9,928 | 66,021 |
1,923,928 | ||
Chemicals - 1.8% | ||
Advanced Emissions Solutions, Inc. (2) | 1,851 | 19,528 |
AdvanSix, Inc. (1) | 2,631 | 64,039 |
AgroFresh Solutions, Inc. (1)(2) | 1,715 | 6,500 |
American Vanguard Corp. | 2,506 | 38,066 |
Amyris, Inc. (1)(2) | 2,003 | 6,690 |
Balchem Corp. | 2,718 | 212,955 |
Chase Corp. | 627 | 62,731 |
Ferro Corp. (1) | 7,188 | 112,708 |
Flotek Industries, Inc. (1) | 4,728 | 5,153 |
FutureFuel Corp. | 1,874 | 29,722 |
GCP Applied Technologies, Inc. (1) | 5,997 | 147,226 |
Hawkins, Inc. | 749 | 30,672 |
HB Fuller Co. | 4,330 | 184,761 |
Ingevity Corp. (1) | 3,544 | 296,597 |
Innophos Holdings, Inc. | 1,613 | 39,567 |
Innospec, Inc. | 2,039 | 125,929 |
Intrepid Potash, Inc. (1) | 8,313 | 21,614 |
Koppers Holdings, Inc. (1) | 1,811 | 30,859 |
Kraton Corp. (1) | 2,659 | 58,073 |
Kronos Worldwide, Inc. | 1,877 | 21,623 |
Livent Corp. (1) | 1,984 | 27,379 |
LSB Industries, Inc. (1) | 1,588 | 8,766 |
Marrone Bio Innovations, Inc. (1) | 4,928 | 7,244 |
Minerals Technologies, Inc. | 2,994 | 153,712 |
OMNOVA Solutions, Inc. (1) | 3,910 | 28,660 |
PolyOne Corp. | 6,798 | 194,423 |
PQ Group Holdings, Inc. (1) | 3,089 | 45,748 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 19
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Quaker Chemical Corp. | 1,117 | 198,502 |
Rayonier Advanced Materials, Inc. (2) | 4,190 | 44,623 |
Sensient Technologies Corp. | 3,523 | 196,760 |
Stepan Co. | 1,696 | 125,504 |
Trecora Resources (1) | 1,798 | 14,024 |
Tredegar Corp. | 2,145 | 34,020 |
Trinseo SA | 3,620 | 165,724 |
Tronox Ltd., Class A | 7,808 | 60,746 |
Valhi, Inc. | 1,474 | 2,845 |
2,823,693 | ||
Commercial Services & Supplies - 2.5% | ||
ABM Industries, Inc. | 5,683 | 182,481 |
ACCO Brands Corp. | 8,823 | 59,820 |
Advanced Disposal Services, Inc. (1) | 5,991 | 143,425 |
Brady Corp., Class A | 3,952 | 171,754 |
BrightView Holdings, Inc. (1) | 2,037 | 20,798 |
Brink’s Co. (The) | 4,191 | 270,948 |
Casella Waste Systems, Inc., Class A (1) | 3,332 | 94,929 |
CECO Environmental Corp. (1) | 2,281 | 15,397 |
Charah Solutions, Inc. (1) | 610 | 5,094 |
Cimpress NV (1) | 1,851 | 191,430 |
CompX International, Inc. | 124 | 1,688 |
Covanta Holding Corp. | 9,669 | 129,758 |
Deluxe Corp. | 3,829 | 147,187 |
Ennis, Inc. | 2,271 | 43,717 |
Essendant, Inc. | 2,957 | 37,199 |
Healthcare Services Group, Inc. | 6,074 | 244,053 |
Heritage-Crystal Clean, Inc. (1) | 1,244 | 28,624 |
Herman Miller, Inc. | 5,172 | 156,453 |
HNI Corp. | 3,661 | 129,709 |
Interface, Inc. | 5,094 | 72,590 |
Kimball International, Inc., Class B | 2,797 | 39,689 |
Knoll, Inc. | 4,151 | 68,408 |
LSC Communications, Inc. | 2,936 | 20,552 |
Matthews International Corp., Class A | 2,488 | 101,063 |
McGrath RentCorp | 2,018 | 103,887 |
Mobile Mini, Inc. | 3,826 | 121,476 |
MSA Safety, Inc. | 2,816 | 265,464 |
Multi-Color Corp. | 1,200 | 42,108 |
NL Industries, Inc. (1) | 532 | 1,867 |
PICO Holdings, Inc. (1) | 1,974 | 18,042 |
Pitney Bowes, Inc. | 15,446 | 91,286 |
Quad / Graphics, Inc. | 2,476 | 30,504 |
RR Donnelley & Sons Co. | 6,159 | 24,390 |
SP Plus Corp. (1) | 1,895 | 55,978 |
Steelcase, Inc., Class A | 7,435 | 110,261 |
20 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Team, Inc. (1) | 2,411 | 35,321 |
Tetra Tech, Inc. | 4,620 | 239,177 |
UniFirst Corp. | 1,305 | 186,706 |
US Ecology, Inc. | 1,886 | 118,780 |
Viad Corp. | 1,775 | 88,910 |
VSE Corp. | 650 | 19,442 |
3,930,365 | ||
Communications Equipment - 1.6% | ||
Acacia Communications, Inc. (1) | 2,413 | 91,694 |
ADTRAN, Inc. | 4,115 | 44,195 |
Aerohive Networks, Inc. (1) | 1,801 | 5,871 |
Applied Optoelectronics, Inc. (1)(2) | 1,515 | 23,377 |
CalAmp Corp. (1) | 3,105 | 40,396 |
Calix, Inc. (1) | 3,092 | 30,147 |
Casa Systems, Inc. (1) | 2,241 | 29,424 |
Ciena Corp. (1) | 12,039 | 408,243 |
Clearfield, Inc. (1) | 1,022 | 10,138 |
Comtech Telecommunications Corp. | 1,754 | 42,692 |
DASAN Zhone Solutions, Inc. (1) | 513 | 7,136 |
Digi International, Inc. (1) | 2,313 | 23,338 |
Extreme Networks, Inc. (1) | 9,584 | 58,463 |
Finisar Corp. (1) | 9,795 | 211,572 |
Harmonic, Inc. (1) | 5,980 | 28,226 |
Infinera Corp. (1) | 13,303 | 53,079 |
InterDigital, Inc. | 2,888 | 191,850 |
KVH Industries, Inc. (1) | 1,491 | 15,342 |
Lumentum Holdings, Inc. (1)(2) | 6,120 | 257,101 |
NETGEAR, Inc. (1) | 2,672 | 139,024 |
NetScout Systems, Inc. (1) | 6,378 | 150,712 |
Plantronics, Inc. | 2,716 | 89,900 |
Quantenna Communications, Inc. (1) | 2,962 | 42,505 |
Ribbon Communications, Inc. (1) | 4,404 | 21,227 |
ViaSat, Inc. (1)(2) | 4,556 | 268,576 |
Viavi Solutions, Inc. (1) | 19,339 | 194,357 |
2,478,585 | ||
Construction & Engineering - 1.0% | ||
Aegion Corp. (1) | 2,830 | 46,186 |
Ameresco, Inc., Class A (1) | 1,452 | 20,473 |
Argan, Inc. | 1,155 | 43,705 |
Comfort Systems USA, Inc. | 3,048 | 133,137 |
Dycom Industries, Inc. (1) | 2,549 | 137,748 |
EMCOR Group, Inc. | 4,838 | 288,780 |
Granite Construction, Inc. | 3,643 | 146,740 |
Great Lakes Dredge & Dock Corp. (1) | 5,123 | 33,914 |
HC2 Holdings, Inc. (1) | 3,578 | 9,446 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 21
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
IES Holdings, Inc. (1) | 610 | 9,486 |
Infrastructure and Energy Alternatives, Inc. (1) | 1,410 | 11,548 |
KBR, Inc. | 11,969 | 181,689 |
MasTec, Inc. (1) | 5,283 | 214,278 |
MYR Group, Inc. (1) | 1,170 | 32,959 |
Northwest Pipe Co. (1) | 837 | 19,494 |
NV5 Global, Inc. (1) | 775 | 46,926 |
Orion Group Holdings, Inc. (1) | 2,350 | 10,081 |
Primoris Services Corp. | 3,477 | 66,515 |
Sterling Construction Co., Inc. (1) | 2,268 | 24,699 |
Tutor Perini Corp. (1) | 3,186 | 50,880 |
Willscot Corp. (1) | 2,728 | 25,698 |
1,554,382 | ||
Construction Materials - 0.1% | ||
Forterra, Inc. (1)(2) | 1,612 | 6,061 |
Summit Materials, Inc., Class A (1)(2) | 9,531 | 118,185 |
United States Lime & Minerals, Inc. | 156 | 11,076 |
US Concrete, Inc. (1)(2) | 1,337 | 47,169 |
182,491 | ||
Consumer Finance - 0.7% | ||
Curo Group Holdings Corp. (1)(2) | 974 | 9,243 |
Elevate Credit, Inc. (1) | 1,265 | 5,667 |
Encore Capital Group, Inc. (1) | 2,107 | 49,514 |
Enova International, Inc. (1) | 2,903 | 56,492 |
EZCORP, Inc., Class A (1) | 4,319 | 33,386 |
FirstCash, Inc. | 3,573 | 258,507 |
Green Dot Corp., Class A (1) | 4,013 | 319,114 |
LendingClub Corp. (1) | 26,066 | 68,554 |
Nelnet, Inc., Class A | 1,533 | 80,237 |
PRA Group, Inc. (1) | 3,720 | 90,656 |
Regional Management Corp. (1) | 935 | 22,487 |
World Acceptance Corp. (1) | 500 | 51,130 |
1,044,987 | ||
Containers & Packaging - 0.1% | ||
Greif, Inc., Class A | 2,211 | 82,050 |
Greif, Inc., Class B | 446 | 19,802 |
Myers Industries, Inc. | 2,705 | 40,873 |
UFP Technologies, Inc. (1) | 499 | 14,990 |
157,715 | ||
Distributors - 0.1% | ||
Core-Mark Holding Co., Inc. | 3,796 | 88,257 |
Funko, Inc., Class A (1) | 900 | 11,835 |
22 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Weyco Group, Inc. | 562 | 16,394 |
116,486 | ||
Diversified Consumer Services - 0.9% | ||
Adtalem Global Education, Inc. (1) | 4,967 | 235,038 |
American Public Education, Inc. (1) | 1,323 | 37,653 |
Career Education Corp. (1) | 5,930 | 67,721 |
Carriage Services, Inc. | 1,152 | 17,856 |
Chegg, Inc. (1) | 8,873 | 252,171 |
Houghton Mifflin Harcourt Co. (1) | 9,080 | 80,449 |
K12, Inc. (1) | 3,081 | 76,378 |
Laureate Education, Inc., Class A (1) | 6,569 | 100,111 |
Regis Corp. (1) | 3,158 | 53,528 |
Sotheby’s (1) | 3,109 | 123,552 |
Strategic Education, Inc. | 1,687 | 191,339 |
Weight Watchers International, Inc. (1) | 3,213 | 123,861 |
1,359,657 | ||
Diversified Financial Services - 0.2% | ||
Banco Latinoamericano de Comercio Exterior SA | 2,614 | 45,222 |
Cannae Holdings, Inc. (1) | 5,606 | 95,975 |
FGL Holdings (1) | 11,884 | 79,148 |
Marlin Business Services Corp. | 795 | 17,752 |
On Deck Capital, Inc. (1) | 3,739 | 22,060 |
260,157 | ||
Diversified Telecommunication Services - 0.5% | ||
ATN International, Inc. | 816 | 58,369 |
Cincinnati Bell, Inc. (1) | 3,835 | 29,836 |
Cogent Communications Holdings, Inc. | 3,590 | 162,304 |
Consolidated Communications Holdings, Inc. | 5,584 | 55,170 |
Frontier Communications Corp. (2) | 8,904 | 21,192 |
Intelsat SA (1) | 4,634 | 99,121 |
Iridium Communications, Inc. (1)(2) | 8,007 | 147,729 |
Ooma, Inc. (1) | 1,488 | 20,653 |
ORBCOMM, Inc. (1) | 5,583 | 46,116 |
pdvWireless, Inc. (1) | 782 | 29,239 |
Vonage Holdings Corp. (1) | 18,939 | 165,337 |
Windstream Holdings, Inc. (1)(2) | 3,346 | 6,993 |
842,059 | ||
Electric Utilities - 1.1% | ||
ALLETE, Inc. | 4,295 | 327,365 |
El Paso Electric Co. | 3,374 | 169,139 |
IDACORP, Inc. | 4,125 | 383,872 |
MGE Energy, Inc. | 2,834 | 169,927 |
Otter Tail Corp. | 3,182 | 157,954 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 23
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
PNM Resources, Inc. | 6,412 | 263,469 |
Portland General Electric Co. | 7,322 | 335,714 |
Spark Energy, Inc., Class A | 1,012 | 7,519 |
1,814,959 | ||
Electrical Equipment - 0.7% | ||
Allied Motion Technologies, Inc. | 482 | 21,541 |
Atkore International Group, Inc. (1) | 3,386 | 67,178 |
AZZ, Inc. | 2,237 | 90,285 |
Babcock & Wilcox Enterprises, Inc. (1) | 2,775 | 1,083 |
Encore Wire Corp. | 1,601 | 80,338 |
Energous Corp. (1)(2) | 1,605 | 9,293 |
EnerSys | 3,559 | 276,214 |
Enphase Energy, Inc. (1)(2) | 6,624 | 31,332 |
FuelCell Energy, Inc. (1)(2) | 8,365 | 4,605 |
Generac Holdings, Inc. (1) | 5,185 | 257,695 |
Plug Power, Inc. (1)(2) | 19,616 | 24,324 |
Powell Industries, Inc. | 811 | 20,283 |
Preformed Line Products Co. | 222 | 12,044 |
Sunrun, Inc. (1) | 7,461 | 81,250 |
Thermon Group Holdings, Inc. (1) | 2,669 | 54,127 |
TPI Composites, Inc. (1)(2) | 1,211 | 29,766 |
Vicor Corp. (1) | 1,422 | 53,737 |
Vivint Solar, Inc. (1)(2) | 1,800 | 6,858 |
1,121,953 | ||
Electronic Equipment, Instruments & Components - 2.4% | ||
Anixter International, Inc. (1) | 2,505 | 136,047 |
Arlo Technologies, Inc. (1)(2) | 977 | 9,750 |
AVX Corp. | 3,566 | 54,382 |
Badger Meter, Inc. | 2,464 | 121,253 |
Bel Fuse, Inc., Class B | 968 | 17,831 |
Belden, Inc. | 3,395 | 141,809 |
Benchmark Electronics, Inc. | 3,994 | 84,593 |
Control4 Corp. (1) | 2,143 | 37,717 |
CTS Corp. | 2,562 | 66,330 |
Daktronics, Inc. | 2,960 | 21,904 |
Electro Scientific Industries, Inc. (1) | 2,738 | 82,030 |
ePlus, Inc. (1) | 1,064 | 75,725 |
Fabrinet (1) | 3,011 | 154,494 |
FARO Technologies, Inc. (1) | 1,341 | 54,498 |
Fitbit, Inc., Class A (1)(2) | 16,812 | 83,556 |
II-VI, Inc. (1) | 5,140 | 166,844 |
Insight Enterprises, Inc. (1) | 2,991 | 121,883 |
Iteris, Inc. (1) | 2,069 | 7,717 |
Itron, Inc. (1) | 2,889 | 136,621 |
KEMET Corp. | 4,697 | 82,385 |
24 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Kimball Electronics, Inc. (1) | 2,097 | 32,483 |
Knowles Corp. (1) | 7,626 | 101,502 |
Maxwell Technologies, Inc. (1) | 2,454 | 5,080 |
Mesa Laboratories, Inc. (2) | 273 | 56,890 |
Methode Electronics, Inc. | 2,959 | 68,915 |
MTS Systems Corp. | 1,475 | 59,192 |
Napco Security Technologies, Inc. (1) | 1,045 | 16,459 |
nLight, Inc. (1)(2) | 1,840 | 32,715 |
Novanta, Inc. (1) | 2,830 | 178,290 |
OSI Systems, Inc. (1) | 1,376 | 100,861 |
PAR Technology Corp. (1) | 873 | 18,988 |
Park Electrochemical Corp. | 1,804 | 32,598 |
PC Connection, Inc. | 756 | 22,476 |
Plexus Corp. (1) | 2,731 | 139,500 |
Rogers Corp. (1) | 1,584 | 156,911 |
Sanmina Corp. (1) | 5,713 | 137,455 |
ScanSource, Inc. (1) | 2,089 | 71,820 |
SYNNEX Corp. | 3,517 | 284,314 |
Tech Data Corp. (1) | 3,189 | 260,892 |
TTM Technologies, Inc. (1) | 8,112 | 78,930 |
Vishay Intertechnology, Inc. | 11,320 | 203,873 |
Vishay Precision Group, Inc. (1) | 1,011 | 30,563 |
3,748,076 | ||
Energy Equipment & Services - 1.1% | ||
Archrock, Inc. | 10,193 | 76,346 |
Basic Energy Services, Inc. (1) | 1,528 | 5,868 |
Bristow Group, Inc. (1) | 2,689 | 6,534 |
C&J Energy Services, Inc. (1) | 5,518 | 74,493 |
Cactus, Inc., Class A (1) | 3,064 | 83,984 |
CARBO Ceramics, Inc. (1) | 1,515 | 5,272 |
Covia Holdings Corp. (1)(2) | 2,723 | 9,313 |
Dawson Geophysical Co. (1) | 1,845 | 6,236 |
Diamond Offshore Drilling, Inc. (1)(2) | 5,679 | 53,610 |
Dril-Quip, Inc. (1) | 3,073 | 92,282 |
Era Group, Inc. (1) | 1,735 | 15,164 |
Exterran Corp. (1) | 2,624 | 46,445 |
Forum Energy Technologies, Inc. (1) | 6,985 | 28,848 |
Frank’s International NV (1) | 6,452 | 33,679 |
FTS International, Inc. (1) | 2,704 | 19,225 |
Helix Energy Solutions Group, Inc. (1) | 11,574 | 62,615 |
Independence Contract Drilling, Inc. (1) | 2,336 | 7,288 |
ION Geophysical Corp. (1) | 954 | 4,942 |
Keane Group, Inc. (1) | 4,505 | 36,851 |
Key Energy Services, Inc. (1) | 906 | 1,875 |
KLX Energy Services Holdings, Inc. (1) | 1,703 | 39,935 |
Liberty Oilfield Services, Inc., Class A (2) | 3,659 | 47,384 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 25
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Mammoth Energy Services, Inc. (2) | 1,056 | 18,987 |
Matrix Service Co. (1) | 2,252 | 40,401 |
McDermott International, Inc. (1) | 15,081 | 98,630 |
Natural Gas Services Group, Inc. (1) | 1,066 | 17,525 |
NCS Multistage Holdings, Inc. (1) | 969 | 4,932 |
Newpark Resources, Inc. (1) | 7,671 | 52,700 |
Nine Energy Service, Inc. (1) | 1,242 | 27,995 |
Noble Corp. plc (1)(2) | 21,442 | 56,178 |
Nuverra Environmental Solutions, Inc. (1) | 99 | 812 |
Oceaneering International, Inc. (1) | 7,995 | 96,740 |
Oil States International, Inc. (1) | 5,061 | 72,271 |
PHI, Inc. (1)(2) | 1,085 | 2,007 |
Pioneer Energy Services Corp. (1) | 5,200 | 6,396 |
Profire Energy, Inc. (1)(2) | 2,116 | 3,068 |
ProPetro Holding Corp. (1)(2) | 5,771 | 71,099 |
Quintana Energy Services, Inc. (1) | 520 | 1,799 |
RigNet, Inc. (1) | 1,109 | 14,018 |
Rowan Companies plc, Class A (1) | 10,600 | 88,934 |
SEACOR Holdings, Inc. (1) | 1,397 | 51,689 |
SEACOR Marine Holdings, Inc. (1) | 1,248 | 14,676 |
Select Energy Services, Inc., Class A (1) | 3,794 | 23,978 |
Smart Sand, Inc. (1)(2) | 1,879 | 4,171 |
Solaris Oilfield Infrastructure, Inc., Class A (2) | 2,541 | 30,721 |
Superior Energy Services, Inc. (1) | 13,369 | 44,786 |
TETRA Technologies, Inc. (1) | 9,415 | 15,817 |
Tidewater, Inc. (1)(2) | 2,421 | 46,314 |
Unit Corp. (1) | 4,371 | 62,418 |
US Silica Holdings, Inc. | 6,531 | 66,486 |
1,793,737 | ||
Entertainment - 0.5% | ||
AMC Entertainment Holdings, Inc., Class A (2) | 3,946 | 48,457 |
Eros International plc (1)(2) | 2,968 | 24,605 |
Glu Mobile, Inc. (1) | 9,287 | 74,946 |
IMAX Corp. (1) | 4,366 | 82,124 |
Liberty Media Corp-Liberty Braves, Class A (1) | 713 | 17,782 |
Liberty Media Corp-Liberty Braves, Class C (1) | 3,012 | 74,969 |
LiveXLive Media, Inc. (1)(2) | 401 | 1,985 |
Marcus Corp. (The) | 1,417 | 55,972 |
Pandora Media, Inc. (1) | 20,690 | 167,382 |
Reading International, Inc., Class A (1) | 1,506 | 21,897 |
Rosetta Stone, Inc. (1) | 1,504 | 24,666 |
World Wrestling Entertainment, Inc., Class A | 3,520 | 263,014 |
857,799 | ||
26 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Equity Real Estate Investment Trusts (REITs) - 6.3% | ||
Acadia Realty Trust | 6,593 | 156,650 |
Agree Realty Corp. | 2,776 | 164,117 |
Alexander & Baldwin, Inc. | 5,720 | 105,134 |
Alexander’s, Inc. | 184 | 56,072 |
American Assets Trust, Inc. | 3,378 | 135,694 |
Americold Realty Trust | 7,406 | 189,149 |
Armada Hoffler Properties, Inc. | 3,925 | 55,185 |
Ashford Hospitality Trust, Inc. | 6,276 | 25,104 |
Bluerock Residential Growth REIT, Inc. | 1,454 | 13,115 |
Braemar Hotels & Resorts, Inc. | 2,002 | 17,878 |
BRT Apartments Corp. | 682 | 7,802 |
CareTrust REIT, Inc. | 6,329 | 116,833 |
CatchMark Timber Trust, Inc., Class A | 3,692 | 26,213 |
CBL & Associates Properties, Inc. | 14,116 | 27,103 |
Cedar Realty Trust, Inc. | 7,099 | 22,291 |
Chatham Lodging Trust | 3,800 | 67,184 |
Chesapeake Lodging Trust | 5,134 | 125,013 |
City Office REIT, Inc. | 2,990 | 30,647 |
Clipper Realty, Inc. | 1,313 | 17,161 |
Community Healthcare Trust, Inc. | 1,465 | 42,236 |
CoreCivic, Inc. | 9,800 | 174,734 |
CorEnergy Infrastructure Trust, Inc. (2) | 821 | 27,159 |
CorePoint Lodging, Inc. | 3,663 | 44,872 |
Cousins Properties, Inc. | 35,581 | 281,090 |
DiamondRock Hospitality Co. | 16,505 | 149,865 |
Easterly Government Properties, Inc. | 4,821 | 75,593 |
EastGroup Properties, Inc. | 2,915 | 267,393 |
Essential Properties Realty Trust, Inc. | 2,933 | 40,593 |
Farmland Partners, Inc. (2) | 2,798 | 12,703 |
First Industrial Realty Trust, Inc. | 10,407 | 300,346 |
Four Corners Property Trust, Inc. | 5,646 | 147,925 |
Franklin Street Properties Corp. (2) | 9,022 | 56,207 |
Front Yard Residential Corp. | 4,415 | 38,543 |
GEO Group, Inc. (The) | 10,121 | 199,384 |
Getty Realty Corp. | 2,646 | 77,819 |
Gladstone Commercial Corp. | 2,047 | 36,682 |
Gladstone Land Corp. | 1,115 | 12,800 |
Global Medical REIT, Inc. | 1,307 | 11,619 |
Global Net Lease, Inc. | 5,678 | 100,046 |
Government Properties Income Trust | 8,106 | 55,688 |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 4,061 | 77,362 |
Healthcare Realty Trust, Inc. | 10,336 | 293,956 |
Hersha Hospitality Trust | 3,227 | 56,602 |
Independence Realty Trust, Inc. | 7,263 | 66,674 |
Industrial Logistics Properties Trust | 5,414 | 106,484 |
InfraREIT, Inc. (1) | 3,727 | 78,342 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 27
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Innovative Industrial Properties, Inc. (2) | 554 | 25,146 |
Investors Real Estate Trust | 989 | 48,550 |
iStar, Inc. (2) | 5,663 | 51,930 |
Jernigan Capital, Inc. | 1,483 | 29,393 |
Kite Realty Group Trust | 6,589 | 92,839 |
Lexington Realty Trust | 17,733 | 145,588 |
LTC Properties, Inc. | 3,456 | 144,046 |
Mack-Cali Realty Corp. | 7,712 | 151,078 |
MedEquities Realty Trust, Inc. | 2,516 | 17,209 |
Monmouth Real Estate Investment Corp. | 7,225 | 89,590 |
National Health Investors, Inc. | 3,368 | 254,419 |
National Storage Affiliates Trust | 4,691 | 124,124 |
New Senior Investment Group, Inc. | 7,208 | 29,697 |
NexPoint Residential Trust, Inc. | 1,463 | 51,278 |
NorthStar Realty Europe Corp. | 3,827 | 55,645 |
One Liberty Properties, Inc. | 1,012 | 24,511 |
Pebblebrook Hotel Trust | 11,393 | 322,536 |
Pennsylvania Real Estate Investment Trust | 5,900 | 35,046 |
Physicians Realty Trust | 14,836 | 237,821 |
Piedmont Office Realty Trust, Inc., Class A | 10,600 | 180,624 |
PotlatchDeltic Corp. | 5,595 | 177,026 |
Preferred Apartment Communities, Inc., Class A | 3,317 | 46,637 |
PS Business Parks, Inc. | 1,703 | 223,093 |
QTS Realty Trust, Inc., Class A | 4,209 | 155,943 |
Retail Opportunity Investments Corp. | 9,292 | 147,557 |
Rexford Industrial Realty, Inc. | 7,542 | 222,263 |
RLJ Lodging Trust | 14,536 | 238,390 |
RPT Realty | 6,804 | 81,308 |
Ryman Hospitality Properties, Inc. | 3,736 | 249,154 |
Sabra Health Care REIT, Inc. (2) | 14,986 | 246,969 |
Safety Income & Growth, Inc. | 882 | 16,590 |
Saul Centers, Inc. | 978 | 46,181 |
Select Income REIT | 7,378 | 54,302 |
Seritage Growth Properties REIT, Class A (2) | 2,736 | 88,455 |
Spirit MTA REIT | 3,524 | 25,126 |
STAG Industrial, Inc. | 8,107 | 201,702 |
Summit Hotel Properties, Inc. | 8,982 | 87,395 |
Sunstone Hotel Investors, Inc. | 18,974 | 246,852 |
Tanger Factory Outlet Centers, Inc. | 7,419 | 150,012 |
Terreno Realty Corp. | 4,565 | 160,551 |
Tier REIT, Inc. | 4,188 | 86,398 |
UMH Properties, Inc. | 2,445 | 28,949 |
Universal Health Realty Income Trust | 1,113 | 68,305 |
Urban Edge Properties | 8,983 | 149,297 |
Urstadt Biddle Properties, Inc., Class A | 2,285 | 43,918 |
Washington Prime Group, Inc. (2) | 16,051 | 78,008 |
Washington Real Estate Investment Trust | 6,781 | 155,963 |
28 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Whitestone REIT | 3,231 | 39,612 |
Xenia Hotels & Resorts, Inc. | 9,363 | 161,044 |
9,979,132 | ||
Food & Staples Retailing - 0.6% | ||
Andersons, Inc. (The) | 2,192 | 65,519 |
BJ’s Wholesale Club Holdings, Inc. (1)(2) | 5,786 | 128,218 |
Chefs’ Warehouse, Inc. (The) (1) | 1,833 | 58,619 |
Ingles Markets, Inc., Class A | 1,087 | 29,588 |
Natural Grocers by Vitamin Cottage, Inc. (1) | 875 | 13,414 |
Performance Food Group Co. (1) | 8,343 | 269,229 |
PriceSmart, Inc. | 1,788 | 105,671 |
Rite Aid Corp. (1) | 87,000 | 61,622 |
Smart & Final Stores, Inc. (1) | 1,874 | 8,883 |
SpartanNash Co. | 3,190 | 54,804 |
United Natural Foods, Inc. (1) | 4,050 | 42,889 |
Village Super Market, Inc., Class A | 640 | 17,113 |
Weis Markets, Inc. | 747 | 35,692 |
891,261 | ||
Food Products - 1.1% | ||
Alico, Inc. | 267 | 7,877 |
B&G Foods, Inc. | 5,223 | 150,997 |
Cal-Maine Foods, Inc. | 2,448 | 103,550 |
Calavo Growers, Inc. | 1,337 | 97,548 |
Darling Ingredients, Inc. (1) | 13,576 | 261,202 |
Dean Foods Co. | 7,914 | 30,152 |
Farmer Bros Co. (1) | 847 | 19,761 |
Fresh Del Monte Produce, Inc. | 2,531 | 71,551 |
Freshpet, Inc. (1) | 2,152 | 69,208 |
Hostess Brands, Inc. (1) | 8,294 | 90,736 |
J&J Snack Foods Corp. | 1,240 | 179,292 |
John B. Sanfilippo & Son, Inc. | 716 | 39,853 |
Lancaster Colony Corp. | 1,572 | 278,024 |
Landec Corp. (1) | 2,282 | 27,019 |
Limoneira Co. | 1,228 | 24,007 |
Sanderson Farms, Inc. | 1,728 | 171,573 |
Seneca Foods Corp., Class A (1) | 594 | 16,763 |
Simply Good Foods Co. (The) (1) | 5,116 | 96,692 |
Tootsie Roll Industries, Inc. | 1,569 | 52,405 |
1,788,210 | ||
Gas Utilities - 1.1% | ||
Chesapeake Utilities Corp. | 1,388 | 112,844 |
New Jersey Resources Corp. | 7,271 | 332,067 |
Northwest Natural Holding Co. | 2,294 | 138,695 |
ONE Gas, Inc. | 4,345 | 345,862 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 29
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
RGC Resources, Inc. | 587 | 17,587 |
South Jersey Industries, Inc. | 7,169 | 199,298 |
Southwest Gas Holdings, Inc. | 4,026 | 307,989 |
Spire, Inc. | 4,040 | 299,283 |
1,753,625 | ||
Health Care Equipment & Supplies - 3.5% | ||
Accuray, Inc. (1) | 6,420 | 21,892 |
AngioDynamics, Inc. (1) | 3,206 | 64,537 |
Anika Therapeutics, Inc. (1) | 1,202 | 40,399 |
Antares Pharma, Inc. (1) | 12,612 | 34,305 |
AtriCure, Inc. (1) | 2,794 | 85,496 |
Atrion Corp. | 110 | 81,519 |
Avanos Medical, Inc. (1) | 3,913 | 175,263 |
AxoGen, Inc. (1)(2) | 2,668 | 54,507 |
Axonics Modulation Technologies, Inc. (1) | 570 | 8,613 |
Cardiovascular Systems, Inc. (1) | 2,803 | 79,857 |
Cerus Corp. (1) | 10,738 | 54,442 |
CONMED Corp. | 2,086 | 133,921 |
CryoLife, Inc. (1) | 3,149 | 89,369 |
CryoPort, Inc. (1) | 2,090 | 23,053 |
Cutera, Inc. (1) | 1,118 | 19,028 |
CytoSorbents Corp. (1)(2) | 2,668 | 21,557 |
ElectroCore, Inc. (1)(2) | 480 | 3,005 |
Endologix, Inc. (1) | 7,000 | 5,012 |
FONAR Corp. (1) | 535 | 10,828 |
GenMark Diagnostics, Inc. (1) | 3,729 | 18,123 |
Glaukos Corp. (1) | 2,754 | 154,692 |
Globus Medical, Inc., Class A (1) | 6,051 | 261,887 |
Haemonetics Corp. (1) | 4,317 | 431,916 |
Helius Medical Technologies, Inc. (1)(2) | 1,518 | 13,905 |
Heska Corp. (1) | 514 | 44,255 |
Inogen, Inc. (1) | 1,440 | 178,805 |
Integer Holdings Corp. (1) | 2,583 | 196,980 |
IntriCon Corp. (1) | 564 | 14,878 |
Invacare Corp. | 2,498 | 10,741 |
iRadimed Corp. (1)(2) | 282 | 6,898 |
iRhythm Technologies, Inc. (1) | 1,981 | 137,640 |
Lantheus Holdings, Inc. (1) | 3,109 | 48,656 |
LeMaitre Vascular, Inc. | 1,302 | 30,779 |
LivaNova plc (1) | 4,059 | 371,277 |
Meridian Bioscience, Inc. | 3,556 | 61,732 |
Merit Medical Systems, Inc. (1) | 4,386 | 244,783 |
Natus Medical, Inc. (1) | 2,809 | 95,590 |
Neogen Corp. (1) | 4,194 | 239,058 |
Neuronetics, Inc. (1)(2) | 526 | 10,178 |
Nevro Corp. (1) | 2,432 | 94,581 |
30 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Novocure Ltd. (1)(2) | 6,033 | 201,985 |
NuVasive, Inc. (1) | 4,291 | 212,662 |
Nuvectra Corp. (1) | 1,129 | 18,448 |
NxStage Medical, Inc. (1) | 5,498 | 157,353 |
OraSure Technologies, Inc. (1) | 4,811 | 56,192 |
Orthofix Medical, Inc. (1) | 1,448 | 76,006 |
OrthoPediatrics Corp. (1) | 400 | 13,952 |
Oxford Immunotec Global plc (1) | 1,917 | 24,499 |
Pulse Biosciences, Inc. (1) | 800 | 9,168 |
Quidel Corp. (1) | 2,752 | 134,353 |
Rockwell Medical, Inc. (1) | 3,471 | 7,844 |
RTI Surgical, Inc. (1) | 4,427 | 16,380 |
SeaSpine Holdings Corp. (1) | 1,048 | 19,116 |
Senseonics Holdings, Inc. (1)(2) | 7,040 | 18,234 |
SI-BONE, Inc. (1) | 690 | 14,414 |
Sientra, Inc. (1) | 2,102 | 26,716 |
STAAR Surgical Co. (1) | 3,475 | 110,887 |
SurModics, Inc. (1) | 1,145 | 54,113 |
Tactile Systems Technology, Inc. (1)(2) | 1,512 | 68,872 |
Tandem Diabetes Care, Inc. (1) | 4,137 | 157,082 |
TransEnterix, Inc. (1)(2) | 12,517 | 28,288 |
Utah Medical Products, Inc. | 296 | 24,592 |
Vapotherm, Inc. (1) | 380 | 7,581 |
Varex Imaging Corp. (1) | 3,308 | 78,333 |
ViewRay, Inc. (1)(2) | 4,356 | 26,441 |
Wright Medical Group NV (1) | 10,340 | 281,455 |
5,518,923 | ||
Health Care Providers & Services - 1.8% | ||
AAC Holdings, Inc. (1) | 500 | 700 |
Addus HomeCare Corp. (1) | 779 | 52,879 |
Amedisys, Inc. (1) | 2,220 | 259,984 |
American Renal Associates Holdings, Inc. (1) | 680 | 7,834 |
AMN Healthcare Services, Inc. (1) | 3,800 | 215,308 |
Apollo Medical Holdings, Inc. (1) | 272 | 5,399 |
BioScrip, Inc. (1) | 9,711 | 34,668 |
BioTelemetry, Inc. (1) | 2,654 | 158,497 |
Brookdale Senior Living, Inc. (1) | 15,634 | 104,748 |
Capital Senior Living Corp. (1) | 2,506 | 17,041 |
Civitas Solutions, Inc. (1) | 1,020 | 17,860 |
Community Health Systems, Inc. (1) | 8,353 | 23,555 |
CorVel Corp. (1) | 831 | 51,289 |
Cross Country Healthcare, Inc. (1) | 2,877 | 21,088 |
Diplomat Pharmacy, Inc. (1)(2) | 4,672 | 62,885 |
Ensign Group, Inc. (The) | 3,978 | 154,307 |
Genesis Healthcare, Inc. (1)(2) | 2,829 | 3,338 |
Guardant Health, Inc. (1) | 1,196 | 44,958 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 31
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
HealthEquity, Inc. (1)(2) | 4,563 | 272,183 |
LHC Group, Inc. (1) | 2,455 | 230,475 |
Magellan Health, Inc. (1) | 1,968 | 111,959 |
National HealthCare Corp. | 985 | 77,273 |
National Research Corp., Class A | 705 | 26,889 |
Owens & Minor, Inc. | 5,393 | 34,138 |
Patterson Cos., Inc. | 6,599 | 129,736 |
PetIQ, Inc. (1)(2) | 843 | 19,785 |
Providence Service Corp. (The) (1) | 931 | 55,879 |
Quorum Health Corp. (1) | 2,427 | 7,014 |
R1 RCM, Inc. (1) | 8,804 | 69,992 |
RadNet, Inc. (1) | 2,930 | 29,798 |
Select Medical Holdings Corp. (1) | 9,219 | 141,512 |
Surgery Partners, Inc. (1)(2) | 1,656 | 16,212 |
Tenet Healthcare Corp. (1) | 6,799 | 116,535 |
Tivity Health, Inc. (1)(2) | 3,207 | 79,566 |
Triple-S Management Corp., Class B (1) | 1,643 | 28,572 |
US Physical Therapy, Inc. | 1,039 | 106,342 |
2,790,198 | ||
Health Care Technology - 1.1% | ||
Allscripts Healthcare Solutions, Inc. (1) | 14,810 | 142,768 |
Castlight Health, Inc., Class B (1) | 5,617 | 12,189 |
Computer Programs & Systems, Inc. | 938 | 23,544 |
Evolent Health, Inc., Class A (1) | 5,757 | 114,852 |
HealthStream, Inc. | 2,005 | 48,421 |
HMS Holdings Corp. (1) | 6,914 | 194,491 |
Inovalon Holdings, Inc., Class A (1)(2) | 5,504 | 78,047 |
Inspire Medical Systems, Inc. (1) | 611 | 25,815 |
Medidata Solutions, Inc. (1) | 4,744 | 319,840 |
NantHealth, Inc. (1) | 548 | 298 |
NextGen Healthcare, Inc. (1) | 4,587 | 69,493 |
Omnicell, Inc. (1) | 3,219 | 197,132 |
Simulations Plus, Inc. | 960 | 19,104 |
Tabula Rasa HealthCare, Inc. (1) | 1,412 | 90,029 |
Teladoc Health, Inc. (1)(2) | 5,572 | 276,204 |
Vocera Communications, Inc. (1)(2) | 2,455 | 96,604 |
1,708,831 | ||
Hotels, Restaurants & Leisure - 2.8% | ||
BBX Capital Corp. | 5,432 | 31,125 |
Belmond Ltd., Class A (1) | 7,456 | 186,624 |
Biglari Holdings, Inc., Class A (1) | 8 | 4,701 |
Biglari Holdings, Inc., Class B (1) | 80 | 9,086 |
BJ’s Restaurants, Inc. | 1,671 | 84,503 |
Bloomin’ Brands, Inc. | 6,931 | 123,996 |
Bluegreen Vacations Corp. (2) | 637 | 8,236 |
32 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Bojangles’, Inc. (1) | 1,522 | 24,474 |
Boyd Gaming Corp. | 6,857 | 142,489 |
Brinker International, Inc. | 3,201 | 140,780 |
Carrols Restaurant Group, Inc. (1) | 3,096 | 30,465 |
Century Casinos, Inc. (1) | 1,662 | 12,282 |
Cheesecake Factory, Inc. (The) | 3,461 | 150,588 |
Churchill Downs, Inc. | 989 | 241,257 |
Chuy’s Holdings, Inc. (1) | 1,271 | 22,548 |
Cracker Barrel Old Country Store, Inc. (2) | 1,603 | 256,256 |
Dave & Buster’s Entertainment, Inc. | 3,322 | 148,028 |
Del Frisco’s Restaurant Group, Inc. (1) | 3,154 | 22,551 |
Del Taco Restaurants, Inc. (1) | 2,895 | 28,921 |
Denny’s Corp. (1) | 4,997 | 81,001 |
Dine Brands Global, Inc. | 1,363 | 91,784 |
Drive Shack, Inc. (1) | 5,300 | 20,776 |
El Pollo Loco Holdings, Inc. (1) | 1,580 | 23,969 |
Eldorado Resorts, Inc. (1)(2) | 5,343 | 193,470 |
Empire Resorts, Inc. (1) | 270 | 2,735 |
Fiesta Restaurant Group, Inc. (1) | 2,070 | 32,106 |
Golden Entertainment, Inc. (1) | 1,501 | 24,046 |
Habit Restaurants, Inc. (The), Class A (1) | 1,773 | 18,617 |
International Speedway Corp., Class A | 2,154 | 94,475 |
J. Alexander’s Holdings, Inc. (1) | 1,066 | 8,773 |
Jack in the Box, Inc. | 2,286 | 177,462 |
Lindblad Expeditions Holdings, Inc. (1) | 1,767 | 23,784 |
Marriott Vacations Worldwide Corp. | 3,312 | 233,529 |
Monarch Casino & Resort, Inc. (1) | 917 | 34,974 |
Nathan’s Famous, Inc. | 237 | 15,749 |
Noodles & Co. (1) | 970 | 6,780 |
Papa John’s International, Inc. | 1,738 | 69,190 |
Penn National Gaming, Inc. (1) | 8,928 | 168,114 |
Planet Fitness, Inc., Class A (1) | 7,399 | 396,734 |
PlayAGS, Inc. (1) | 1,838 | 42,274 |
Potbelly Corp. (1) | 1,684 | 13,556 |
RCI Hospitality Holdings, Inc. | 797 | 17,797 |
Red Lion Hotels Corp. (1) | 1,106 | 9,069 |
Red Robin Gourmet Burgers, Inc. (1) | 1,090 | 29,125 |
Red Rock Resorts, Inc., Class A (2) | 5,966 | 121,170 |
Ruth’s Hospitality Group, Inc. | 2,317 | 52,665 |
Scientific Games Corp., Class A (1)(2) | 4,584 | 81,962 |
SeaWorld Entertainment, Inc. (1) | 4,345 | 95,981 |
Shake Shack, Inc., Class A (1) | 1,927 | 87,524 |
Speedway Motorsports, Inc. | 1,049 | 17,067 |
Texas Roadhouse, Inc. | 5,653 | 337,484 |
Town Sports International Holdings, Inc. (1) | 1,228 | 7,859 |
Wingstop, Inc. | 2,416 | 155,083 |
4,455,594 | ||
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 33
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Household Durables - 1.4% | ||
Bassett Furniture Industries, Inc. | 830 | 16,633 |
Beazer Homes USA, Inc. (1) | 2,686 | 25,463 |
Cavco Industries, Inc. (1) | 750 | 97,785 |
Century Communities, Inc. (1) | 2,337 | 40,337 |
Ethan Allen Interiors, Inc. | 1,924 | 33,843 |
Flexsteel Industries, Inc. | 560 | 12,365 |
GoPro, Inc., Class A (1)(2) | 8,727 | 37,003 |
Green Brick Partners, Inc. (1) | 1,909 | 13,821 |
Hamilton Beach Brands Holding Co., Class A | 584 | 13,701 |
Helen of Troy Ltd. (1) | 2,231 | 292,663 |
Hooker Furniture Corp. | 834 | 21,968 |
Hovnanian Enterprises, Inc., Class A (1) | 9,758 | 6,674 |
Installed Building Products, Inc. (1) | 1,894 | 63,809 |
iRobot Corp. (1) | 2,219 | 185,819 |
KB Home | 7,206 | 137,635 |
La-Z-Boy, Inc. | 3,892 | 107,847 |
LGI Homes, Inc. (1)(2) | 1,518 | 68,644 |
Lifetime Brands, Inc. | 858 | 8,606 |
Lovesac Co. (The) (1) | 300 | 6,882 |
M / I Homes, Inc. (1) | 2,260 | 47,505 |
MDC Holdings, Inc. | 3,875 | 108,926 |
Meritage Homes Corp. (1) | 3,303 | 121,286 |
New Home Co., Inc. (The) (1) | 775 | 4,053 |
Purple Innovation, Inc. (1) | 356 | 2,097 |
Roku, Inc. (1)(2) | 3,600 | 110,304 |
Skyline Champion Corp. | 2,383 | 35,006 |
Sonos, Inc. (1) | 1,321 | 12,972 |
Taylor Morrison Home Corp., Class A (1) | 9,400 | 149,460 |
TopBuild Corp. (1) | 3,024 | 136,080 |
TRI Pointe Group, Inc. (1)(2) | 11,765 | 128,591 |
Tupperware Brands Corp. | 4,279 | 135,088 |
Turtle Beach Corp. (1) | 694 | 9,903 |
Universal Electronics, Inc. (1) | 1,223 | 30,917 |
Vuzix Corp. (1)(2) | 2,084 | 10,024 |
William Lyon Homes, Class A (1) | 2,707 | 28,938 |
ZAGG, Inc. (1) | 2,279 | 22,289 |
2,284,937 | ||
Household Products - 0.2% | ||
Central Garden & Pet Co. (1) | 789 | 27,181 |
Central Garden & Pet Co., Class A (1) | 3,454 | 107,937 |
Oil-Dri Corp. of America | 406 | 10,759 |
WD-40 Co. | 1,138 | 208,550 |
354,427 | ||
34 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Independent Power and Renewable Electricity Producers - 0.3% | ||
Atlantic Power Corp. (1)(2) | 10,236 | 22,212 |
Clearway Energy, Inc., Class A | 2,663 | 45,058 |
Clearway Energy, Inc., Class C | 5,481 | 94,547 |
Ormat Technologies, Inc. | 3,359 | 175,676 |
Pattern Energy Group, Inc., Class A | 6,822 | 127,026 |
TerraForm Power, Inc., Class A | 6,070 | 68,105 |
532,624 | ||
Industrial Conglomerates - 0.1% | ||
Raven Industries, Inc. | 3,174 | 114,867 |
Insurance - 2.7% | ||
Ambac Financial Group, Inc. (1) | 3,798 | 65,478 |
American Equity Investment Life Holding Co. | 7,661 | 214,048 |
AMERISAFE, Inc. | 1,636 | 92,745 |
Argo Group International Holdings Ltd. | 2,702 | 181,710 |
Citizens, Inc. (1) | 3,380 | 25,418 |
CNO Financial Group, Inc. | 13,523 | 201,222 |
Crawford & Co., Class B | 933 | 8,397 |
Donegal Group, Inc., Class A | 916 | 12,499 |
eHealth, Inc. (1) | 1,593 | 61,203 |
EMC Insurance Group, Inc. | 745 | 23,728 |
Employers Holdings, Inc. | 2,669 | 112,018 |
Enstar Group Ltd. (1) | 983 | 164,721 |
FBL Financial Group, Inc., Class A | 766 | 50,288 |
FedNat Holding Co. | 1,014 | 20,199 |
Genworth Financial, Inc., Class A (1) | 43,475 | 202,594 |
Global Indemnity Ltd. | 810 | 29,346 |
Goosehead Insurance, Inc., Class A (1)(2) | 744 | 19,560 |
Greenlight Capital Re Ltd., Class A (1)(2) | 2,647 | 22,817 |
Hallmark Financial Services, Inc. (1) | 1,205 | 12,881 |
HCI Group, Inc. | 611 | 31,045 |
Health Insurance Innovations, Inc., Class A (1)(2) | 983 | 26,276 |
Heritage Insurance Holdings, Inc. | 1,906 | 28,056 |
Horace Mann Educators Corp. | 3,502 | 131,150 |
Independence Holding Co. | 394 | 13,869 |
Investors Title Co. | 111 | 19,611 |
James River Group Holdings Ltd. | 2,155 | 78,744 |
Kemper Corp. | 4,335 | 287,757 |
Kingstone Cos., Inc. | 796 | 14,081 |
Kinsale Capital Group, Inc. | 1,696 | 94,230 |
Maiden Holdings Ltd. | 5,756 | 9,497 |
MBIA, Inc. (1) | 8,169 | 72,867 |
National General Holdings Corp. | 5,186 | 125,553 |
National Western Life Group, Inc., Class A | 193 | 58,035 |
Navigators Group, Inc. (The) | 1,783 | 123,901 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 35
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
NI Holdings, Inc. (1) | 903 | 14,204 |
Primerica, Inc. | 3,614 | 353,124 |
ProAssurance Corp. | 4,418 | 179,194 |
Protective Insurance Corp., Class B | 853 | 14,202 |
RLI Corp. | 3,285 | 226,632 |
Safety Insurance Group, Inc. | 1,242 | 101,608 |
Selective Insurance Group, Inc. | 4,910 | 299,215 |
State Auto Financial Corp. | 1,338 | 45,546 |
Stewart Information Services Corp. | 1,974 | 81,724 |
Third Point Reinsurance Ltd. (1) | 7,030 | 67,769 |
Tiptree, Inc., Class A | 2,311 | 12,919 |
Trupanion, Inc. (1) | 1,971 | 50,182 |
United Fire Group, Inc. | 1,866 | 103,470 |
United Insurance Holdings Corp. | 1,483 | 24,647 |
Universal Insurance Holdings, Inc. | 2,530 | 95,938 |
4,305,918 | ||
Interactive Media & Services - 0.5% | ||
Care.com, Inc. (1) | 1,247 | 24,080 |
Cargurus, Inc. (1) | 4,086 | 137,821 |
Cars.com, Inc. (1) | 5,846 | 125,689 |
Liberty TripAdvisor Holdings, Inc., Class A (1) | 6,271 | 99,646 |
Meet Group, Inc. (The) (1)(2) | 5,878 | 27,215 |
QuinStreet, Inc. (1) | 2,943 | 47,765 |
Travelzoo, Inc. (1) | 416 | 4,089 |
TrueCar, Inc. (1) | 7,838 | 71,012 |
Yelp, Inc. (1) | 6,820 | 238,632 |
775,949 | ||
Internet & Direct Marketing Retail - 1.0% | ||
1-800-Flowers.com, Inc., Class A (1) | 2,081 | 25,451 |
Duluth Holdings, Inc., Class B (1)(2) | 634 | 15,996 |
Etsy, Inc. (1) | 9,959 | 473,750 |
Gaia, Inc. (1)(2) | 1,050 | 10,878 |
Groupon, Inc. (1) | 36,777 | 117,686 |
Lands’ End, Inc. (1)(2) | 879 | 12,491 |
Leaf Group Ltd. (1) | 1,040 | 7,124 |
Liberty Expedia Holdings, Inc., Class A (1) | 4,550 | 177,950 |
Liquidity Services, Inc. (1) | 2,122 | 13,093 |
Nutrisystem, Inc. | 2,608 | 114,439 |
Overstock.com, Inc. (1) | 1,867 | 25,354 |
PetMed Express, Inc. | 1,778 | 41,356 |
Quotient Technology, Inc. (1) | 6,468 | 69,078 |
Remark Holdings, Inc. (1)(2) | 2,607 | 3,154 |
Shutterfly, Inc. (1) | 2,825 | 113,735 |
36 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Shutterstock, Inc. | 1,515 | 54,555 |
Stamps.com, Inc. (1) | 1,448 | 225,367 |
1,501,457 | ||
IT Services - 1.9% | ||
Brightcove, Inc. (1) | 2,425 | 17,072 |
CACI International, Inc., Class A (1) | 2,050 | 295,262 |
Carbonite, Inc. (1) | 2,527 | 63,832 |
Cardtronics plc, Class A (1) | 3,306 | 85,956 |
Cass Information Systems, Inc. | 1,244 | 65,833 |
ConvergeOne Holdings, Inc. | 1,956 | 24,215 |
CSG Systems International, Inc. | 2,770 | 88,003 |
Endurance International Group Holdings, Inc. (1) | 5,998 | 39,887 |
Everi Holdings, Inc. (1) | 5,591 | 28,794 |
EVERTEC, Inc. | 5,077 | 145,710 |
Evo Payments, Inc., Class A (1) | 1,979 | 48,822 |
Exela Technologies, Inc. (1) | 4,038 | 15,708 |
ExlService Holdings, Inc. (1) | 2,811 | 147,915 |
GTT Communications, Inc. (1) | 3,635 | 86,004 |
Hackett Group, Inc. (The) | 1,931 | 30,915 |
I3 Verticals, Inc., Class A (1)(2) | 636 | 15,328 |
Information Services Group, Inc. (1) | 2,421 | 10,265 |
Internap Corp. (1)(2) | 1,753 | 7,275 |
Limelight Networks, Inc. (1) | 9,183 | 21,488 |
LiveRamp Holdings, Inc. (1)(2) | 6,468 | 249,859 |
ManTech International Corp., Class A | 2,262 | 118,291 |
MAXIMUS, Inc. | 5,312 | 345,758 |
MoneyGram International, Inc. (1) | 2,614 | 5,228 |
NIC, Inc. | 5,484 | 68,440 |
Perficient, Inc. (1) | 2,876 | 64,020 |
Perspecta, Inc. | 12,000 | 206,640 |
PFSweb, Inc. (1) | 1,362 | 6,987 |
Presidio, Inc. | 2,664 | 34,765 |
PRGX Global, Inc. (1) | 1,817 | 17,207 |
Science Applications International Corp. | 3,479 | 221,612 |
ServiceSource International, Inc. (1) | 5,266 | 5,687 |
Sykes Enterprises, Inc. (1) | 3,342 | 82,648 |
Travelport Worldwide Ltd. | 10,900 | 170,258 |
TTEC Holdings, Inc. | 1,255 | 35,855 |
Tucows, Inc., Class A (1) | 790 | 47,447 |
Unisys Corp. (1) | 3,852 | 44,799 |
Virtusa Corp. (1) | 2,429 | 103,451 |
3,067,236 | ||
Leisure Products - 0.4% | ||
Acushnet Holdings Corp. | 2,689 | 56,657 |
American Outdoor Brands Corp. (1) | 4,733 | 60,866 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 37
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Callaway Golf Co. | 8,143 | 124,588 |
Clarus Corp. | 1,804 | 18,256 |
Escalade, Inc. | 888 | 10,168 |
Johnson Outdoors, Inc., Class A | 405 | 23,790 |
Malibu Boats, Inc., Class A (1) | 1,736 | 60,413 |
Marine Products Corp. | 813 | 13,748 |
MasterCraft Boat Holdings, Inc. (1) | 1,615 | 30,200 |
Nautilus, Inc. (1) | 2,675 | 29,158 |
Sturm Ruger & Co., Inc. | 1,458 | 77,595 |
Vista Outdoor, Inc. (1) | 5,021 | 56,988 |
YETI Holdings, Inc. (1) | 1,400 | 20,776 |
583,203 | ||
Life Sciences Tools & Services - 0.5% | ||
Accelerate Diagnostics, Inc. (1)(2) | 2,287 | 26,300 |
Cambrex Corp. (1) | 2,752 | 103,916 |
ChromaDex Corp. (1) | 3,310 | 11,353 |
Codexis, Inc. (1) | 4,127 | 68,921 |
Enzo Biochem, Inc. (1) | 3,092 | 8,596 |
Fluidigm Corp. (1) | 2,221 | 19,145 |
Harvard Bioscience, Inc. (1) | 2,884 | 9,171 |
Luminex Corp. | 3,221 | 74,437 |
Medpace Holdings, Inc. (1) | 1,808 | 95,697 |
NanoString Technologies, Inc. (1) | 2,083 | 30,891 |
NeoGenomics, Inc. (1) | 5,232 | 65,976 |
Pacific Biosciences of California, Inc. (1) | 10,109 | 74,807 |
Quanterix Corp. (1)(2) | 420 | 7,690 |
Syneos Health, Inc. (1) | 5,148 | 202,574 |
799,474 | ||
Machinery - 3.5% | ||
Actuant Corp., Class A | 5,083 | 106,692 |
Alamo Group, Inc. | 815 | 63,016 |
Albany International Corp., Class A | 2,473 | 154,389 |
Altra Industrial Motion Corp. | 5,117 | 128,693 |
Astec Industries, Inc. | 1,870 | 56,455 |
Barnes Group, Inc. | 3,944 | 211,477 |
Blue Bird Corp. (1) | 1,311 | 23,847 |
Briggs & Stratton Corp. | 3,442 | 45,021 |
Chart Industries, Inc. (1) | 2,569 | 167,062 |
CIRCOR International, Inc. (2) | 1,323 | 28,180 |
Columbus McKinnon Corp. | 1,673 | 50,424 |
Commercial Vehicle Group, Inc. (1) | 2,209 | 12,591 |
DMC Global, Inc. | 1,092 | 38,351 |
Douglas Dynamics, Inc. | 1,724 | 61,874 |
Eastern Co. (The) | 490 | 11,848 |
Energy Recovery, Inc. (1)(2) | 2,683 | 18,057 |
38 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
EnPro Industries, Inc. | 1,761 | 105,836 |
ESCO Technologies, Inc. | 2,195 | 144,760 |
Evoqua Water Technologies Corp. (1) | 6,364 | 61,094 |
Federal Signal Corp. | 4,825 | 96,018 |
Franklin Electric Co., Inc. | 3,978 | 170,577 |
FreightCar America, Inc. (1) | 1,042 | 6,971 |
Gencor Industries, Inc. (1) | 603 | 6,615 |
Global Brass & Copper Holdings, Inc. | 1,904 | 47,886 |
Gorman-Rupp Co. (The) | 1,373 | 44,499 |
Graham Corp. | 863 | 19,711 |
Greenbrier Cos., Inc. (The) | 2,628 | 103,911 |
Harsco Corp. (1) | 6,801 | 135,068 |
Hillenbrand, Inc. | 5,117 | 194,088 |
Hurco Cos., Inc. | 529 | 18,885 |
Hyster-Yale Materials Handling, Inc. | 907 | 56,198 |
John Bean Technologies Corp. | 2,558 | 183,690 |
Kadant, Inc. | 952 | 77,550 |
Kennametal, Inc. | 6,794 | 226,104 |
LB Foster Co., Class A (1) | 731 | 11,623 |
Lindsay Corp. | 920 | 88,550 |
Lydall, Inc. (1) | 1,313 | 26,667 |
Manitex International, Inc. (1) | 1,323 | 7,515 |
Manitowoc Co., Inc. (The) (1) | 2,727 | 40,278 |
Meritor, Inc. (1) | 6,745 | 114,058 |
Milacron Holdings Corp. (1) | 5,788 | 68,819 |
Miller Industries, Inc. | 1,050 | 28,350 |
Mueller Industries, Inc. | 4,894 | 114,324 |
Mueller Water Products, Inc., Class A | 13,464 | 122,522 |
Navistar International Corp. (1) | 4,102 | 106,447 |
NN, Inc. | 2,378 | 15,956 |
Omega Flex, Inc. | 248 | 13,409 |
Park-Ohio Holdings Corp. | 726 | 22,281 |
Proto Labs, Inc. (1) | 2,312 | 260,771 |
RBC Bearings, Inc. (1) | 1,959 | 256,825 |
REV Group, Inc. | 2,574 | 19,331 |
Rexnord Corp. (1) | 8,796 | 201,868 |
Spartan Motors, Inc. | 2,591 | 18,733 |
SPX Corp. (1) | 3,739 | 104,729 |
SPX FLOW, Inc. (1) | 3,637 | 110,638 |
Standex International Corp. | 1,097 | 73,697 |
Sun Hydraulics Corp. | 2,322 | 77,067 |
Tennant Co. | 1,548 | 80,666 |
Titan International, Inc. | 3,947 | 18,393 |
TriMas Corp. (1) | 3,997 | 109,078 |
Twin Disc, Inc. (1) | 749 | 11,048 |
Wabash National Corp. | 5,241 | 68,552 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 39
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Watts Water Technologies, Inc., Class A | 2,402 | 155,001 |
Woodward, Inc. | 4,454 | 330,888 |
5,555,522 | ||
Marine - 0.1% | ||
Costamare, Inc. | 3,142 | 13,793 |
Eagle Bulk Shipping, Inc. (1) | 3,373 | 15,550 |
Genco Shipping & Trading Ltd. (1) | 675 | 5,326 |
Matson, Inc. | 3,522 | 112,774 |
Safe Bulkers, Inc. (1) | 4,225 | 7,521 |
Scorpio Bulkers, Inc. | 4,249 | 23,497 |
178,461 | ||
Media - 1.3% | ||
Beasley Broadcast Group, Inc., Class A | 429 | 1,609 |
Boston Omaha Corp., Class A (1) | 425 | 9,945 |
Cardlytics, Inc. (1)(2) | 460 | 4,982 |
Central European Media Enterprises Ltd., Class A (1) | 6,603 | 18,356 |
Clear Channel Outdoor Holdings, Inc., Class A | 3,136 | 16,276 |
Daily Journal Corp. (1) | 88 | 20,592 |
Emerald Expositions Events, Inc. | 2,053 | 25,334 |
Entercom Communications Corp., Class A | 10,833 | 61,856 |
Entravision Communications Corp., Class A | 5,618 | 16,348 |
EW Scripps Co. (The), Class A | 3,793 | 59,664 |
Fluent, Inc. (1) | 1,183 | 4,259 |
Gannett Co., Inc. (2) | 10,154 | 86,614 |
Gray Television, Inc. (1) | 6,791 | 100,099 |
Hemisphere Media Group, Inc. (1) | 1,449 | 17,591 |
Liberty Latin America Ltd., Class A (1) | 3,700 | 53,576 |
Liberty Latin America Ltd., Class C (1) | 9,482 | 138,153 |
Loral Space & Communications, Inc. (1) | 1,011 | 37,660 |
MDC Partners, Inc., Class A (1) | 4,777 | 12,468 |
Meredith Corp. | 3,302 | 171,506 |
MSG Networks, Inc., Class A (1) | 4,763 | 112,216 |
National CineMedia, Inc. | 6,430 | 41,666 |
New Media Investment Group, Inc. | 4,995 | 57,792 |
New York Times Co. (The), Class A | 10,749 | 239,595 |
Nexstar Media Group, Inc., Class A (2) | 3,718 | 292,384 |
Saga Communications, Inc., Class A | 394 | 13,093 |
Scholastic Corp. | 2,336 | 94,047 |
Sinclair Broadcast Group, Inc., Class A | 5,587 | 147,162 |
TechTarget, Inc. (1) | 1,656 | 20,220 |
TEGNA, Inc. | 18,200 | 197,834 |
Tribune Publishing Co. (1) | 1,415 | 16,046 |
WideOpenWest, Inc. (1) | 1,802 | 12,848 |
2,101,791 | ||
40 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Metals & Mining - 1.1% | ||
AK Steel Holding Corp. (1) | 27,698 | 62,321 |
Allegheny Technologies, Inc. (1)(2) | 10,475 | 228,041 |
Carpenter Technology Corp. | 3,994 | 142,226 |
Century Aluminum Co. (1) | 4,377 | 31,996 |
Cleveland-Cliffs, Inc. (1) | 25,102 | 193,034 |
Coeur Mining, Inc. (1) | 15,243 | 68,136 |
Commercial Metals Co. | 9,924 | 158,983 |
Compass Minerals International, Inc. (2) | 2,841 | 118,441 |
Ferroglobe Representation & Warranty Insurance Trust (1)(4) | 5,015 | 0 |
Gold Resource Corp. | 3,896 | 15,584 |
Haynes International, Inc. | 1,062 | 28,037 |
Hecla Mining Co. | 37,808 | 89,227 |
Kaiser Aluminum Corp. | 1,334 | 119,113 |
Materion Corp. | 1,555 | 69,959 |
Olympic Steel, Inc. | 846 | 12,072 |
Ramaco Resources, Inc. (1) | 430 | 2,129 |
Ryerson Holding Corp. (1) | 965 | 6,118 |
Schnitzer Steel Industries, Inc., Class A | 2,273 | 48,983 |
SunCoke Energy, Inc. (1) | 5,034 | 43,041 |
Synalloy Corp. | 692 | 11,480 |
Tahoe Resources, Inc. (1) | 26,000 | 94,900 |
TimkenSteel Corp. (1) | 3,081 | 26,928 |
Universal Stainless & Alloy Products, Inc. (1) | 585 | 9,483 |
Warrior Met Coal, Inc. (2) | 3,399 | 81,950 |
Worthington Industries, Inc. | 3,679 | 128,176 |
1,790,358 | ||
Mortgage Real Estate Investment Trusts (REITs) - 1.1% | ||
AG Mortgage Investment Trust, Inc. | 2,395 | 38,152 |
Anworth Mortgage Asset Corp. | 8,089 | 32,680 |
Apollo Commercial Real Estate Finance, Inc. (2) | 10,292 | 171,465 |
Arbor Realty Trust, Inc. | 5,305 | 53,421 |
Ares Commercial Real Estate Corp. | 2,562 | 33,408 |
ARMOUR Residential REIT, Inc. | 3,552 | 72,816 |
Blackstone Mortgage Trust, Inc., Class A (2) | 9,177 | 292,379 |
Capstead Mortgage Corp. | 8,250 | 55,028 |
Cherry Hill Mortgage Investment Corp. | 1,030 | 18,066 |
Colony Credit Real Estate, Inc. | 6,877 | 108,588 |
Dynex Capital, Inc. | 3,496 | 19,997 |
Exantas Capital Corp. (2) | 2,766 | 27,715 |
Granite Point Mortgage Trust, Inc. | 3,660 | 65,990 |
Great Ajax Corp. | 1,009 | 12,158 |
Invesco Mortgage Capital, Inc. | 9,724 | 140,804 |
KKR Real Estate Finance Trust, Inc. | 1,449 | 27,748 |
Ladder Capital Corp. | 7,131 | 110,317 |
New York Mortgage Trust, Inc. | 11,360 | 66,910 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 41
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Orchid Island Capital, Inc. (2) | 3,691 | 23,586 |
PennyMac Mortgage Investment Trust | 5,125 | 95,428 |
Ready Capital Corp. | 1,486 | 20,551 |
Redwood Trust, Inc. | 6,587 | 99,266 |
TPG RE Finance Trust, Inc. | 2,646 | 48,369 |
Western Asset Mortgage Capital Corp. | 3,699 | 30,850 |
1,665,692 | ||
Multi-Utilities - 0.5% | ||
Avista Corp. (2) | 5,439 | 231,049 |
Black Hills Corp. | 4,468 | 280,501 |
NorthWestern Corp. | 4,199 | 249,588 |
Unitil Corp. | 1,083 | 54,843 |
815,981 | ||
Multiline Retail - 0.3% | ||
Big Lots, Inc. | 3,466 | 100,237 |
Dillard’s, Inc., Class A | 920 | 55,485 |
J.C. Penney Co., Inc. (1) | 27,238 | 28,327 |
Ollie’s Bargain Outlet Holdings, Inc. (1) | 4,147 | 275,817 |
459,866 | ||
Oil, Gas & Consumable Fuels - 2.2% | ||
Abraxas Petroleum Corp. (1) | 12,335 | 13,445 |
Adams Resources & Energy, Inc. | 189 | 7,316 |
Alta Mesa Resources, Inc. (1)(2) | 8,216 | 8,216 |
Approach Resources, Inc. (1)(2) | 3,777 | 3,294 |
Arch Coal, Inc., Class A | 1,530 | 126,975 |
Ardmore Shipping Corp. (1) | 2,717 | 12,688 |
Berry Petroleum Corp. (2) | 1,085 | 9,494 |
Bonanza Creek Energy, Inc. (1) | 1,784 | 36,875 |
California Resources Corp. (1)(2) | 3,768 | 64,207 |
Callon Petroleum Co. (1)(2) | 18,975 | 123,148 |
Carrizo Oil & Gas, Inc. (1) | 7,191 | 81,186 |
Clean Energy Fuels Corp. (1) | 11,983 | 20,611 |
Cloud Peak Energy, Inc. (1) | 6,492 | 2,378 |
CONSOL Energy, Inc. (1) | 2,417 | 76,643 |
CVR Energy, Inc. | 1,233 | 42,514 |
Delek US Holdings, Inc. | 6,987 | 227,147 |
Denbury Resources, Inc. (1) | 38,168 | 65,267 |
DHT Holdings, Inc. | 7,166 | 28,091 |
Dorian LPG Ltd. (1) | 2,207 | 12,867 |
Earthstone Energy, Inc., Class A (1) | 1,654 | 7,476 |
Eclipse Resources Corp. (1)(2) | 4,808 | 5,048 |
Energy Fuels, Inc. (1) | 5,894 | 16,798 |
EP Energy Corp., Class A (1) | 3,016 | 2,111 |
Evolution Petroleum Corp. | 1,370 | 9,343 |
42 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Frontline Ltd. (1)(2) | 6,759 | 37,377 |
GasLog Ltd. | 3,212 | 52,870 |
Golar LNG Ltd. | 7,867 | 171,186 |
Goodrich Petroleum Corp. (1) | 727 | 9,815 |
Green Plains, Inc. | 3,369 | 44,168 |
Gulfport Energy Corp. (1) | 14,500 | 94,975 |
Halcon Resources Corp. (1)(2) | 11,000 | 18,700 |
Hallador Energy Co. | 1,408 | 7,139 |
HighPoint Resources Corp. (1) | 8,393 | 20,899 |
International Seaways, Inc. (1) | 1,660 | 27,954 |
Isramco, Inc. (1) | 85 | 10,073 |
Jagged Peak Energy, Inc. (1)(2) | 4,878 | 44,487 |
Laredo Petroleum, Inc. (1) | 12,700 | 45,974 |
Lilis Energy, Inc. (1) | 3,755 | 5,144 |
Matador Resources Co. (1) | 8,752 | 135,919 |
Midstates Petroleum Co., Inc. (1) | 983 | 7,382 |
NACCO Industries, Inc., Class A | 302 | 10,238 |
NextDecade Corp. (1) | 638 | 3,445 |
Nordic American Tankers Ltd. (2) | 11,683 | 23,366 |
Northern Oil and Gas, Inc. (1) | 16,489 | 37,265 |
Oasis Petroleum, Inc. (1) | 22,472 | 124,270 |
Overseas Shipholding Group, Inc., Class A (1) | 2,804 | 4,655 |
Panhandle Oil and Gas, Inc., Class A | 1,238 | 19,189 |
Par Pacific Holdings, Inc. (1) | 2,790 | 39,562 |
PDC Energy, Inc. (1) | 5,418 | 161,240 |
Peabody Energy Corp. | 6,443 | 196,383 |
Penn Virginia Corp. (1) | 1,007 | 54,438 |
Renewable Energy Group, Inc. (1)(2) | 3,095 | 79,541 |
Resolute Energy Corp. (1)(2) | 1,906 | 55,236 |
REX American Resources Corp. (1) | 441 | 30,037 |
Ring Energy, Inc. (1) | 5,049 | 25,649 |
Rosehill Resources, Inc. (1) | 220 | 491 |
Sanchez Energy Corp. (1)(2) | 5,640 | 1,523 |
SandRidge Energy, Inc. (1) | 2,381 | 18,119 |
Scorpio Tankers, Inc. (2) | 30,758 | 54,134 |
SemGroup Corp., Class A | 6,464 | 89,074 |
Ship Finance International Ltd. | 6,931 | 72,983 |
SilverBow Resources, Inc. (1) | 612 | 14,468 |
Southwestern Energy Co. (1) | 49,000 | 167,090 |
SRC Energy, Inc. (1) | 20,639 | 97,003 |
Talos Energy, Inc. (1) | 1,713 | 27,956 |
Teekay Corp. (2) | 5,307 | 17,725 |
Teekay Tankers Ltd., Class A | 15,129 | 14,040 |
Tellurian, Inc. (1)(2) | 6,742 | 46,857 |
Ultra Petroleum Corp. (1) | 12,242 | 9,305 |
Uranium Energy Corp. (1) | 11,981 | 14,976 |
W&T Offshore, Inc. (1)(2) | 8,233 | 33,920 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 43
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
WildHorse Resource Development Corp. (1) | 2,304 | 32,509 |
World Fuel Services Corp. | 5,712 | 122,294 |
Zion Oil & Gas, Inc. (1) | 4,072 | 1,700 |
3,437,881 | ||
Paper & Forest Products - 0.4% | ||
Boise Cascade Co. | 3,372 | 80,422 |
Clearwater Paper Corp. (1) | 1,465 | 35,702 |
Louisiana-Pacific Corp. | 12,014 | 266,951 |
Neenah, Inc. | 1,433 | 84,432 |
PH Glatfelter Co. | 3,755 | 36,649 |
Schweitzer-Mauduit International, Inc. | 2,615 | 65,506 |
Verso Corp., Class A (1) | 2,960 | 66,304 |
635,966 | ||
Personal Products - 0.4% | ||
Edgewell Personal Care Co. (1) | 4,548 | 169,868 |
elf Beauty, Inc. (1) | 1,818 | 15,744 |
Inter Parfums, Inc. | 1,484 | 97,306 |
Medifast, Inc. | 975 | 121,894 |
Natural Health Trends Corp. (2) | 608 | 11,242 |
Nature’s Sunshine Products, Inc. (1) | 1,018 | 8,297 |
Revlon, Inc., Class A (1) | 936 | 23,578 |
USANA Health Sciences, Inc. (1) | 1,018 | 119,849 |
567,778 | ||
Pharmaceuticals - 1.8% | ||
Aclaris Therapeutics, Inc. (1)(2) | 2,238 | 16,539 |
Aerie Pharmaceuticals, Inc. (1)(2) | 2,964 | 107,000 |
Akcea Therapeutics, Inc. (1)(2) | 1,275 | 38,428 |
Akorn, Inc. (1) | 7,647 | 25,923 |
Amneal Pharmaceuticals, Inc. (1) | 7,324 | 99,094 |
Amphastar Pharmaceuticals, Inc. (1) | 3,073 | 61,153 |
Ampio Pharmaceuticals, Inc. (1)(2) | 7,158 | 2,826 |
ANI Pharmaceuticals, Inc. (1) | 616 | 27,732 |
Aquestive Therapeutics, Inc. (1) | 400 | 2,520 |
Aratana Therapeutics, Inc. (1) | 3,555 | 21,792 |
Arvinas Holding Co. LLC (1) | 640 | 8,224 |
Assembly Biosciences, Inc. (1) | 1,696 | 38,364 |
Assertio Therapeutics, Inc. (1) | 5,272 | 19,032 |
Clearside Biomedical, Inc. (1) | 1,815 | 1,942 |
Collegium Pharmaceutical, Inc. (1)(2) | 2,333 | 40,058 |
Corcept Therapeutics, Inc. (1) | 8,144 | 108,804 |
Cymabay Therapeutics, Inc. (1)(2) | 4,918 | 38,705 |
Dermira, Inc. (1)(2) | 3,345 | 24,051 |
Dova Pharmaceuticals, Inc. (1)(2) | 994 | 7,535 |
Durect Corp. (1) | 12,177 | 5,883 |
44 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Eloxx Pharmaceuticals, Inc. (1)(2) | 2,227 | 26,746 |
Endo International plc (1) | 18,600 | 135,780 |
Evolus, Inc. (1) | 425 | 5,057 |
Horizon Pharma plc (1) | 13,933 | 272,251 |
Innovate Biopharmaceuticals, Inc. (1) | 1,450 | 3,350 |
Innoviva, Inc. (1) | 5,742 | 100,198 |
Intersect ENT, Inc. (1) | 2,280 | 64,250 |
Intra-Cellular Therapies, Inc. (1) | 3,739 | 42,587 |
Kala Pharmaceuticals, Inc. (1) | 1,204 | 5,888 |
Lannett Co., Inc. (1) | 2,393 | 11,869 |
Liquidia Technologies, Inc. (1) | 390 | 8,447 |
Mallinckrodt plc (1)(2) | 6,794 | 107,345 |
Marinus Pharmaceuticals, Inc. (1)(2) | 3,474 | 9,970 |
Medicines Co. (The) (1) | 5,811 | 111,223 |
Melinta Therapeutics, Inc. (1)(2) | 1,977 | 1,567 |
Menlo Therapeutics, Inc. (1) | 543 | 2,237 |
MyoKardia, Inc. (1)(2) | 2,822 | 137,883 |
Neos Therapeutics, Inc. (1)(2) | 2,051 | 3,384 |
Ocular Therapeutix, Inc. (1)(2) | 1,979 | 7,876 |
Odonate Therapeutics, Inc. (1) | 570 | 8,026 |
Omeros Corp. (1) | 4,139 | 46,108 |
Optinose, Inc. (1) | 1,284 | 7,961 |
Osmotica Pharmaceuticals plc (1) | 800 | 6,200 |
Pacira Pharmaceuticals, Inc. (1) | 3,449 | 148,376 |
Paratek Pharmaceuticals, Inc. (1) | 2,069 | 10,614 |
Phibro Animal Health Corp., Class A | 1,619 | 52,067 |
Prestige Consumer Healthcare, Inc. (1)(2) | 4,347 | 134,235 |
Reata Pharmaceuticals, Inc., Class A (1)(2) | 1,523 | 85,440 |
resTORbio, Inc. (1)(2) | 555 | 4,784 |
Revance Therapeutics, Inc. (1) | 2,832 | 57,008 |
scPharmaceuticals, Inc. (1) | 625 | 2,350 |
Sienna Biopharmaceuticals, Inc. (1)(2) | 1,275 | 2,958 |
SIGA Technologies, Inc. (1) | 4,584 | 36,214 |
Supernus Pharmaceuticals, Inc. (1) | 4,082 | 135,604 |
Teligent, Inc. (1)(2) | 3,610 | 4,946 |
Tetraphase Pharmaceuticals, Inc. (1) | 4,338 | 4,902 |
TherapeuticsMD, Inc. (1)(2) | 15,161 | 57,763 |
Theravance Biopharma, Inc. (1)(2) | 3,666 | 93,813 |
Tricida, Inc. (1)(2) | 962 | 22,684 |
Verrica Pharmaceuticals, Inc. (1) | 300 | 2,445 |
WaVe Life Sciences Ltd. (1)(2) | 1,470 | 61,799 |
Xeris Pharmaceuticals, Inc. (1)(2) | 545 | 9,265 |
Zogenix, Inc. (1)(2) | 3,420 | 124,693 |
Zomedica Pharmaceuticals Corp. (1)(2) | 2,890 | 3,555 |
2,877,323 | ||
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 45
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Professional Services - 1.4% | ||
Acacia Research Corp. (1) | 4,242 | 12,641 |
ASGN, Inc. (1) | 4,268 | 232,606 |
Barrett Business Services, Inc. | 606 | 34,694 |
BG Staffing, Inc. | 608 | 12,555 |
CBIZ, Inc. (1) | 4,490 | 88,453 |
CRA International, Inc. | 707 | 30,083 |
Exponent, Inc. | 4,418 | 224,037 |
Forrester Research, Inc. | 776 | 34,687 |
Franklin Covey Co. (1) | 1,007 | 22,486 |
FTI Consulting, Inc. (1) | 3,215 | 214,248 |
GP Strategies Corp. (1) | 1,007 | 12,698 |
Heidrick & Struggles International, Inc. | 1,525 | 47,565 |
Huron Consulting Group, Inc. (1) | 1,867 | 95,796 |
ICF International, Inc. | 1,507 | 97,623 |
InnerWorkings, Inc. (1) | 3,972 | 14,855 |
Insperity, Inc. | 3,197 | 298,472 |
Kelly Services, Inc., Class A | 2,680 | 54,886 |
Kforce, Inc. | 1,903 | 58,841 |
Korn / Ferry International | 4,787 | 189,278 |
Mistras Group, Inc. (1) | 1,338 | 19,240 |
Navigant Consulting, Inc. | 3,770 | 90,669 |
Resources Connection, Inc. | 2,400 | 34,080 |
TriNet Group, Inc. (1) | 3,638 | 152,614 |
TrueBlue, Inc. (1) | 3,417 | 76,028 |
Upwork, Inc. (1)(2) | 1,050 | 19,016 |
WageWorks, Inc. (1) | 3,400 | 92,344 |
Willdan Group, Inc. (1) | 662 | 23,157 |
2,283,652 | ||
Real Estate Management & Development - 0.5% | ||
Altisource Portfolio Solutions SA (1) | 900 | 20,241 |
American Realty Investors, Inc. (1) | 174 | 2,100 |
Consolidated-Tomoka Land Co. | 377 | 19,792 |
Cushman & Wakefield plc (1) | 3,742 | 54,147 |
Forestar Group, Inc. (1) | 995 | 13,781 |
FRP Holdings, Inc. (1) | 588 | 27,054 |
Griffin Industrial Realty, Inc. | 55 | 1,755 |
HFF, Inc., Class A | 3,226 | 106,974 |
Kennedy-Wilson Holdings, Inc. | 10,325 | 187,605 |
Marcus & Millichap, Inc. (1) | 1,407 | 48,302 |
Maui Land & Pineapple Co., Inc. (1) | 589 | 5,843 |
Newmark Group, Inc., Class A | 12,362 | 99,143 |
RE / MAX Holdings, Inc., Class A | 1,564 | 48,093 |
Redfin Corp. (1)(2) | 6,174 | 88,906 |
RMR Group, Inc. (The), Class A | 543 | 28,822 |
St. Joe Co. (The) (1) | 3,093 | 40,735 |
46 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Stratus Properties, Inc. (1) | 485 | 11,630 |
Tejon Ranch Co. (1) | 1,572 | 26,064 |
Transcontinental Realty Investors, Inc. (1) | 147 | 4,163 |
Trinity Place Holdings, Inc. (1) | 1,859 | 8,068 |
843,218 | ||
Road & Rail - 0.4% | ||
ArcBest Corp. | 2,213 | 75,817 |
Avis Budget Group, Inc. (1) | 5,737 | 128,968 |
Covenant Transportation Group, Inc., Class A (1) | 905 | 17,376 |
Daseke, Inc. (1) | 2,780 | 10,230 |
Heartland Express, Inc. | 3,887 | 71,132 |
Hertz Global Holdings, Inc. (1)(2) | 4,156 | 56,729 |
Marten Transport Ltd. | 3,366 | 54,496 |
PAM Transportation Services, Inc. (1) | 187 | 7,370 |
Saia, Inc. (1) | 2,126 | 118,673 |
Universal Truckload Services, Inc. | 475 | 8,593 |
US Xpress Enterprises, Inc., Class A (1)(2) | 1,727 | 9,688 |
USA Truck, Inc. (1) | 677 | 10,135 |
Werner Enterprises, Inc. | 3,888 | 114,852 |
YRC Worldwide, Inc. (1) | 2,802 | 8,826 |
692,885 | ||
Semiconductors & Semiconductor Equipment - 2.6% | ||
ACM Research, Inc., Class A (1)(2) | 795 | 8,650 |
Adesto Technologies Corp. (1)(2) | 1,702 | 7,489 |
Advanced Energy Industries, Inc. (1) | 3,267 | 140,252 |
Alpha & Omega Semiconductor Ltd. (1) | 1,700 | 17,323 |
Ambarella, Inc. (1) | 2,765 | 96,720 |
Amkor Technology, Inc. (1) | 8,647 | 56,724 |
Aquantia Corp. (1) | 1,737 | 15,233 |
Axcelis Technologies, Inc. (1) | 2,416 | 43,005 |
AXT, Inc. (1)(2) | 3,267 | 14,211 |
Brooks Automation, Inc. | 6,038 | 158,075 |
Cabot Microelectronics Corp. | 2,434 | 232,082 |
CEVA, Inc. (1) | 1,882 | 41,573 |
Cirrus Logic, Inc. (1) | 5,235 | 173,697 |
Cohu, Inc. | 3,255 | 52,308 |
Cree, Inc. (1) | 8,393 | 359,010 |
Diodes, Inc. (1) | 3,290 | 106,135 |
Entegris, Inc. | 11,839 | 330,249 |
FormFactor, Inc. (1) | 5,937 | 83,652 |
Ichor Holdings Ltd. (1)(2) | 2,126 | 34,654 |
Impinj, Inc. (1) | 1,581 | 23,003 |
Inphi Corp. (1)(2) | 3,689 | 118,601 |
Integrated Device Technology, Inc. (1) | 10,667 | 516,603 |
Kopin Corp. (1) | 6,180 | 6,174 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 47
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Lattice Semiconductor Corp. (1) | 10,361 | 71,698 |
MACOM Technology Solutions Holdings, Inc. (1) | 3,561 | 51,670 |
MaxLinear, Inc., Class A (1)(2) | 5,283 | 92,981 |
Nanometrics, Inc. (1) | 1,885 | 51,517 |
NeoPhotonics Corp. (1) | 2,662 | 17,250 |
NVE Corp. | 408 | 35,716 |
PDF Solutions, Inc. (1) | 2,083 | 17,560 |
Photronics, Inc. (1) | 5,437 | 52,630 |
Power Integrations, Inc. | 2,388 | 145,620 |
Rambus, Inc. (1) | 8,885 | 68,148 |
Rudolph Technologies, Inc. (1) | 2,742 | 56,129 |
Semtech Corp. (1) | 5,395 | 247,469 |
Silicon Laboratories, Inc. (1) | 3,581 | 282,219 |
SMART Global Holdings, Inc. (1)(2) | 804 | 23,879 |
SunPower Corp. (1) | 5,246 | 26,073 |
Synaptics, Inc. (1) | 2,889 | 107,500 |
Ultra Clean Holdings, Inc. (1)(2) | 3,194 | 27,053 |
Veeco Instruments, Inc. (1) | 4,143 | 30,700 |
Xperi Corp. | 4,254 | 78,231 |
4,119,466 | ||
Software - 5.1% | ||
8x8, Inc. (1) | 7,620 | 137,465 |
A10 Networks, Inc. (1) | 3,806 | 23,749 |
ACI Worldwide, Inc. (1) | 9,540 | 263,972 |
Agilysys, Inc. (1) | 1,316 | 18,871 |
Alarm.com Holdings, Inc. (1) | 2,570 | 133,306 |
Altair Engineering, Inc., Class A (1) | 2,062 | 56,870 |
Alteryx, Inc., Class A (1)(2) | 2,420 | 143,917 |
Amber Road, Inc. (1) | 1,500 | 12,345 |
American Software, Inc., Class A | 2,315 | 24,192 |
Anaplan, Inc. (1)(2) | 1,484 | 39,385 |
Appfolio, Inc., Class A (1) | 1,254 | 74,262 |
Apptio, Inc., Class A (1) | 2,790 | 105,908 |
Asure Software, Inc. (1) | 867 | 4,404 |
Avalara, Inc. (1)(2) | 717 | 22,335 |
Avaya Holdings Corp. (1) | 8,728 | 127,080 |
Benefitfocus, Inc. (1)(2) | 1,860 | 85,039 |
Blackbaud, Inc. | 4,058 | 255,248 |
Blackline, Inc. (1)(2) | 3,068 | 125,635 |
Bottomline Technologies (de), Inc. (1) | 3,347 | 160,656 |
Box, Inc., Class A (1) | 9,876 | 166,707 |
Carbon Black, Inc. (1)(2) | 3,172 | 42,568 |
ChannelAdvisor Corp. (1) | 1,855 | 21,054 |
Cision Ltd. (1) | 4,440 | 51,948 |
Cloudera, Inc. (1) | 8,271 | 91,477 |
Commvault Systems, Inc. (1) | 3,343 | 197,538 |
48 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Cornerstone OnDemand, Inc. (1) | 4,572 | 230,566 |
Coupa Software, Inc. (1)(2) | 4,409 | 277,150 |
Digimarc Corp. (1) | 751 | 10,890 |
Domo, Inc., Class B (1) | 662 | 12,995 |
Ebix, Inc. | 2,069 | 88,057 |
eGain Corp. (1)(2) | 1,491 | 9,796 |
Ellie Mae, Inc. (1)(2) | 2,860 | 179,694 |
Envestnet, Inc. (1) | 3,782 | 186,037 |
Everbridge, Inc. (1) | 2,192 | 124,418 |
Five9, Inc. (1) | 4,576 | 200,063 |
ForeScout Technologies, Inc. (1) | 2,474 | 64,299 |
Fusion Connect, Inc. (1) | 1,892 | 3,179 |
Hortonworks, Inc. (1) | 5,771 | 83,218 |
HubSpot, Inc. (1) | 3,020 | 379,705 |
Imperva, Inc. (1) | 2,940 | 163,729 |
Instructure, Inc. (1)(2) | 2,633 | 98,764 |
j2 Global, Inc. | 3,965 | 275,092 |
LivePerson, Inc. (1) | 4,955 | 93,451 |
Majesco (1) | 457 | 3,240 |
MicroStrategy, Inc., Class A (1) | 820 | 104,755 |
MINDBODY, Inc., Class A (1) | 3,578 | 130,239 |
Mitek Systems, Inc. (1) | 2,294 | 24,798 |
MobileIron, Inc. (1) | 4,813 | 22,092 |
Model N, Inc. (1) | 1,727 | 22,848 |
Monotype Imaging Holdings, Inc. | 3,293 | 51,107 |
New Relic, Inc. (1) | 3,723 | 301,451 |
OneSpan, Inc. (1) | 2,265 | 29,332 |
Park City Group, Inc. (1) | 855 | 5,104 |
Paylocity Holding Corp. (1) | 2,402 | 144,624 |
Progress Software Corp. | 3,776 | 134,010 |
PROS Holdings, Inc. (1) | 2,550 | 80,070 |
Q2 Holdings, Inc. (1) | 3,055 | 151,375 |
QAD, Inc., Class A | 789 | 31,031 |
Qualys, Inc. (1) | 2,757 | 206,058 |
Rapid7, Inc. (1) | 3,132 | 97,593 |
Rimini Street, Inc. (1)(2) | 770 | 3,966 |
SailPoint Technologies Holding, Inc. (1) | 5,761 | 135,326 |
SecureWorks Corp., Class A (1)(2) | 472 | 7,972 |
SendGrid, Inc. (1) | 2,332 | 100,672 |
ShotSpotter, Inc. (1)(2) | 604 | 18,833 |
SPS Commerce, Inc. (1) | 1,431 | 117,886 |
SVMK, Inc. (1)(2) | 1,460 | 17,914 |
Telaria, Inc. (1) | 3,708 | 10,123 |
Telenav, Inc. (1) | 2,354 | 9,557 |
Tenable Holdings, Inc. (1) | 1,037 | 23,011 |
TiVo Corp. | 10,113 | 95,163 |
Trade Desk, Inc. (The), Class A (1)(2) | 2,697 | 313,014 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Upland Software, Inc. (1) | 1,374 | 37,345 |
Varonis Systems, Inc. (1) | 2,331 | 123,310 |
Verint Systems, Inc. (1) | 5,365 | 226,993 |
Veritone, Inc. (1) | 767 | 2,915 |
VirnetX Holding Corp. (1)(2) | 3,778 | 9,067 |
Workiva, Inc. (1) | 2,180 | 78,240 |
Yext, Inc. (1) | 6,973 | 103,549 |
Zix Corp. (1) | 5,001 | 28,656 |
Zscaler, Inc. (1)(2) | 3,657 | 143,391 |
8,013,664 | ||
Specialty Retail - 2.9% | ||
Aaron’s, Inc. | 5,748 | 241,703 |
Abercrombie & Fitch Co., Class A | 5,673 | 113,744 |
America’s Car-Mart, Inc. (1) | 586 | 42,456 |
American Eagle Outfitters, Inc. | 13,452 | 260,027 |
Asbury Automotive Group, Inc. (1) | 1,586 | 105,723 |
Ascena Retail Group, Inc. (1) | 14,943 | 37,507 |
At Home Group, Inc. (1)(2) | 3,637 | 67,866 |
Barnes & Noble Education, Inc. (1) | 3,122 | 12,519 |
Barnes & Noble, Inc. | 4,926 | 34,925 |
Bed Bath & Beyond, Inc. | 11,250 | 127,350 |
Big 5 Sporting Goods Corp. (2) | 1,497 | 3,877 |
Boot Barn Holdings, Inc. (1) | 2,323 | 39,561 |
Buckle, Inc. (The) | 2,185 | 42,258 |
Caleres, Inc. | 3,285 | 91,422 |
Camping World Holdings, Inc., Class A (2) | 2,590 | 29,707 |
Carvana Co. (1) | 2,666 | 87,205 |
Cato Corp. (The), Class A | 2,030 | 28,968 |
Chico’s FAS, Inc. | 11,271 | 63,343 |
Children’s Place, Inc. (The) | 1,345 | 121,171 |
Citi Trends, Inc. | 1,298 | 26,466 |
Conn’s, Inc. (1) | 1,614 | 30,440 |
Container Store Group, Inc. (The) (1) | 1,542 | 7,355 |
DSW, Inc., Class A | 5,812 | 143,556 |
Express, Inc. (1) | 6,091 | 31,125 |
Five Below, Inc. (1) | 4,537 | 464,226 |
Francesca’s Holdings Corp. (1) | 3,266 | 3,171 |
GameStop Corp., Class A | 8,361 | 105,516 |
Genesco, Inc. (1) | 1,619 | 71,722 |
GNC Holdings, Inc., Class A (1)(2) | 5,928 | 14,049 |
Group 1 Automotive, Inc. | 1,644 | 86,672 |
Guess?, Inc. | 4,778 | 99,239 |
Haverty Furniture Cos., Inc. | 1,689 | 31,719 |
Hibbett Sports, Inc. (1) | 1,464 | 20,935 |
Hudson Ltd., Class A (1) | 3,363 | 57,675 |
J. Jill, Inc. (1) | 1,035 | 5,517 |
50 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Kirkland’s, Inc. (1) | 1,302 | 12,408 |
Lithia Motors, Inc., Class A | 1,911 | 145,867 |
Lumber Liquidators Holdings, Inc. (1)(2) | 2,470 | 23,514 |
MarineMax, Inc. (1) | 2,047 | 37,481 |
Monro, Inc. | 2,542 | 174,762 |
Murphy USA, Inc. (1) | 2,484 | 190,374 |
National Vision Holdings, Inc. (1) | 5,049 | 142,230 |
Office Depot, Inc. | 47,945 | 123,698 |
Party City Holdco, Inc. (1) | 4,747 | 47,375 |
Pier 1 Imports, Inc. | 6,957 | 2,127 |
Rent-A-Center, Inc. (1) | 3,698 | 59,871 |
RH (1) | 1,608 | 192,671 |
RTW RetailWinds, Inc. (1) | 2,329 | 6,591 |
Sally Beauty Holdings, Inc. (1) | 9,815 | 167,346 |
Shoe Carnival, Inc. | 872 | 29,221 |
Signet Jewelers Ltd. (2) | 4,300 | 136,611 |
Sleep Number Corp. (1) | 2,927 | 92,874 |
Sonic Automotive, Inc., Class A | 2,180 | 29,997 |
Sportsman’s Warehouse Holdings, Inc. (1)(2) | 2,022 | 8,856 |
Tailored Brands, Inc. (2) | 4,129 | 56,320 |
Tile Shop Holdings, Inc. | 2,986 | 16,363 |
Tilly’s, Inc., Class A | 1,202 | 13,054 |
Winmark Corp. | 223 | 35,457 |
Zumiez, Inc. (1) | 1,698 | 32,551 |
4,528,334 | ||
Technology Hardware, Storage & Peripherals - 0.3% | ||
3D Systems Corp. (1)(2) | 9,267 | 94,245 |
Avid Technology, Inc. (1) | 2,494 | 11,847 |
Cray, Inc. (1) | 3,150 | 68,009 |
Diebold Nixdorf, Inc. | 6,637 | 16,526 |
Eastman Kodak Co. (1) | 1,582 | 4,034 |
Electronics For Imaging, Inc. (1) | 3,777 | 93,670 |
Immersion Corp. (1) | 2,323 | 20,814 |
Stratasys Ltd. (1) | 4,388 | 79,028 |
USA Technologies, Inc. (1) | 4,133 | 16,077 |
404,250 | ||
Textiles, Apparel & Luxury Goods - 0.8% | ||
Crocs, Inc. (1) | 5,626 | 146,163 |
Culp, Inc. | 785 | 14,837 |
Deckers Outdoor Corp. (1) | 2,420 | 309,639 |
Fossil Group, Inc. (1)(2) | 3,623 | 56,990 |
G-III Apparel Group Ltd. (1) | 3,714 | 103,583 |
Movado Group, Inc. | 1,238 | 39,146 |
Oxford Industries, Inc. | 1,446 | 102,724 |
Rocky Brands, Inc. | 588 | 15,288 |
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SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Steven Madden Ltd. | 7,323 | 221,594 |
Superior Group of Cos., Inc. | 573 | 10,113 |
Unifi, Inc. (1) | 1,199 | 27,385 |
Vera Bradley, Inc. (1) | 1,814 | 15,546 |
Wolverine World Wide, Inc. | 7,780 | 248,104 |
1,311,112 | ||
Thrifts & Mortgage Finance - 2.2% | ||
Axos Financial, Inc. (1) | 4,828 | 121,569 |
Bank7 Corp. (1) | 280 | 3,738 |
BankFinancial Corp. | 1,183 | 17,686 |
Beneficial Bancorp, Inc. | 5,863 | 83,782 |
Bridgewater Bancshares, Inc. (1) | 1,907 | 20,119 |
BSB Bancorp, Inc. (1) | 625 | 17,537 |
Capitol Federal Financial, Inc. | 11,014 | 140,649 |
Columbia Financial, Inc. (1) | 4,173 | 63,805 |
Dime Community Bancshares, Inc. | 2,402 | 40,786 |
Entegra Financial Corp. (1) | 555 | 11,516 |
ESSA Bancorp, Inc. | 636 | 9,928 |
Essent Group Ltd. (1) | 7,936 | 271,252 |
Federal Agricultural Mortgage Corp., Class C | 669 | 40,434 |
First Defiance Financial Corp. | 1,598 | 39,167 |
Flagstar Bancorp, Inc. (1) | 2,412 | 63,677 |
FS Bancorp, Inc. | 267 | 11,449 |
Greene County Bancorp, Inc. | 235 | 7,313 |
Hingham Institution for Savings | 102 | 20,169 |
Home Bancorp, Inc. | 638 | 22,585 |
HomeStreet, Inc. (1) | 2,092 | 44,413 |
Impac Mortgage Holdings, Inc. (1)(2) | 665 | 2,514 |
Kearny Financial Corp. | 7,950 | 101,919 |
LendingTree, Inc. (1)(2) | 641 | 140,744 |
Luther Burbank Corp. | 1,189 | 10,725 |
Malvern Bancorp, Inc. (1) | 564 | 11,128 |
Merchants Bancorp | 1,329 | 26,527 |
Meridian Bancorp, Inc. | 3,759 | 53,829 |
Meta Financial Group, Inc. | 2,361 | 45,780 |
MGIC Investment Corp. (1) | 30,043 | 314,250 |
Mr. Cooper Group, Inc. (1) | 6,138 | 71,630 |
NMI Holdings, Inc., Class A (1) | 5,225 | 93,266 |
Northfield Bancorp, Inc. | 3,620 | 49,051 |
Northwest Bancshares, Inc. | 8,299 | 140,585 |
OceanFirst Financial Corp. | 3,925 | 88,352 |
Oconee Federal Financial Corp. | 109 | 2,714 |
Ocwen Financial Corp. (1) | 8,291 | 11,110 |
OP Bancorp (1) | 999 | 8,861 |
Oritani Financial Corp. | 3,473 | 51,227 |
PCSB Financial Corp. | 1,589 | 31,081 |
52 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
PennyMac Financial Services, Inc. | 1,668 | 35,462 |
Ponce de Leon Federal Bank (1)(2) | 736 | 9,377 |
Provident Bancorp, Inc. (1) | 344 | 7,458 |
Provident Financial Services, Inc. | 5,275 | 127,286 |
Prudential Bancorp, Inc. | 713 | 12,549 |
Radian Group, Inc. | 17,627 | 288,378 |
Riverview Bancorp, Inc. | 1,689 | 12,296 |
SI Financial Group, Inc. | 867 | 11,037 |
Southern Missouri Bancorp, Inc. | 455 | 15,425 |
Sterling Bancorp, Inc. | 1,471 | 10,223 |
Territorial Bancorp, Inc. | 665 | 17,277 |
Timberland Bancorp, Inc. | 546 | 12,176 |
TrustCo Bank Corp. | 7,825 | 53,679 |
United Community Financial Corp. | 3,416 | 30,232 |
United Financial Bancorp, Inc. | 4,442 | 65,297 |
Walker & Dunlop, Inc. | 2,377 | 102,805 |
Washington Federal, Inc. | 6,850 | 182,963 |
Waterstone Financial, Inc. | 2,330 | 39,051 |
Western New England Bancorp, Inc. | 2,115 | 21,235 |
WSFS Financial Corp. | 2,446 | 92,728 |
3,453,801 | ||
Tobacco - 0.2% | ||
22nd Century Group, Inc. (1)(2) | 9,590 | 23,879 |
Pyxus International, Inc. (1)(2) | 727 | 8,622 |
Turning Point Brands, Inc. | 464 | 12,630 |
Universal Corp. | 2,076 | 112,416 |
Vector Group Ltd. (2) | 8,829 | 85,906 |
243,453 | ||
Trading Companies & Distributors - 1.2% | ||
Aircastle Ltd. | 4,779 | 82,390 |
Applied Industrial Technologies, Inc. | 3,236 | 174,550 |
Beacon Roofing Supply, Inc. (1) | 5,665 | 179,694 |
BlueLinx Holdings, Inc. (1)(2) | 888 | 21,942 |
BMC Stock Holdings, Inc. (1) | 5,748 | 88,979 |
CAI International, Inc. (1) | 1,481 | 34,404 |
DXP Enterprises, Inc. (1) | 1,272 | 35,412 |
EVI Industries, Inc. (2) | 308 | 10,272 |
Foundation Building Materials, Inc. (1) | 1,140 | 9,473 |
GATX Corp. | 3,138 | 222,202 |
General Finance Corp. (1) | 827 | 8,361 |
GMS, Inc. (1) | 2,747 | 40,820 |
H&E Equipment Services, Inc. | 2,694 | 55,011 |
Herc Holdings, Inc. (1) | 1,964 | 51,044 |
Kaman Corp. | 2,318 | 130,017 |
Lawson Products, Inc. (1) | 447 | 14,125 |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 53
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
MRC Global, Inc. (1) | 6,928 | 84,729 |
Nexeo Solutions, Inc. (1) | 2,306 | 19,809 |
NOW, Inc. (1) | 9,243 | 107,589 |
Rush Enterprises, Inc., Class A | 2,612 | 90,062 |
Rush Enterprises, Inc., Class B | 513 | 18,263 |
SiteOne Landscape Supply, Inc. (1)(2) | 3,289 | 181,783 |
Systemax, Inc. | 1,000 | 23,890 |
Textainer Group Holdings Ltd. (1) | 2,237 | 22,281 |
Titan Machinery, Inc. (1) | 1,521 | 20,001 |
Triton International Ltd. | 4,361 | 135,496 |
Veritiv Corp. (1) | 1,008 | 25,170 |
Willis Lease Finance Corp. (1) | 332 | 11,487 |
1,899,256 | ||
Water Utilities - 0.5% | ||
American States Water Co. | 3,156 | 211,578 |
AquaVenture Holdings Ltd. (1) | 599 | 11,315 |
Artesian Resources Corp., Class A | 490 | 17,086 |
Cadiz, Inc. (1) | 1,834 | 18,890 |
California Water Service Group | 4,151 | 197,837 |
Connecticut Water Service, Inc. | 1,008 | 67,405 |
Consolidated Water Co. Ltd. | 1,137 | 13,257 |
Global Water Resources, Inc. | 641 | 6,500 |
Middlesex Water Co. | 1,246 | 66,474 |
Pure Cycle Corp. (1) | 1,502 | 14,915 |
SJW Group | 1,344 | 74,753 |
York Water Co. (The) | 992 | 31,804 |
731,814 | ||
Wireless Telecommunication Services - 0.2% | ||
Boingo Wireless, Inc. (1) | 3,250 | 66,852 |
Gogo, Inc. (1)(2) | 5,004 | 14,962 |
NII Holdings, Inc. (1)(2) | 7,539 | 33,247 |
Shenandoah Telecommunications Co. | 3,879 | 171,646 |
Spok Holdings, Inc. | 1,597 | 21,176 |
307,883 | ||
Total Common Stocks (Cost $131,395,960) | 148,516,529 | |
EXCHANGE-TRADED FUNDS - 1.9% | ||
iShares Russell 2000 ETF (2) | 22,000 | 2,945,800 |
Total Exchange-Traded Funds (Cost $3,306,019) | 2,945,800 |
54 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. TREASURY OBLIGATIONS - 0.6% | ||
U.S. Treasury Bill, 0.00%, 7/18/19 (5) | 1,000,000 | 986,127 |
Total U.S. Treasury Obligations (Cost $986,512) | 986,127 | |
SHARES | VALUE ($) | |
RIGHTS - 0.0% (3) | ||
Biotechnology - 0.0% (3) | ||
Tobira Therapeutics, Inc. CVR (1)(4)(6) | 690 | 9,480 |
Chemicals - 0.0% (3) | ||
A Schulman, Inc. CVR (1)(4)(6) | 2,260 | 4,317 |
Pharmaceuticals - 0.0% (3) | ||
Omthera Pharmaceutical, Inc. CVR (1)(4)(6) | 508 | 305 |
Total Rights (Cost $4,358) | 14,102 | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 3.5% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% | 5,497,572 | 5,497,572 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $5,497,572) | 5,497,572 | |
TOTAL INVESTMENTS (Cost $141,190,421) - 100.0% | 157,960,130 | |
Other assets and liabilities, net - 0.0% (3) | 12,213 | |
NET ASSETS - 100.0% | 157,972,343 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) Non-income producing security. | ||
(2) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $28,559,995. | ||
(3) Amount is less than 0.05%. | ||
(4) For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | ||
(5) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | ||
(6) Restricted security. Total market value of restricted securities amounts to $14,102, which represents less than 0.05% of the net assets of the Fund as of December 31, 2018. | ||
Abbreviations: | ||
CVR: Contingent Value Rights |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini Russell 2000 Index | 93 | 3/15/19 | $6,272,850 | ($190,185 | ) |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 55
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) | |
A Schulman, Inc. CVR | 8/22/18 | 4,317 | |
Omthera Pharmaceutical, Inc. CVR | 7/19/13 | — | |
Tobira Therapeutics, Inc. CVR | 11/2/16 | 41 | |
See notes to financial statements. |
56 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $141,190,421) - including $28,559,995 of securities on loan | $157,960,130 | ||
Cash | 5,112,042 | ||
Receivable for variation margin on open futures contracts | 37,666 | ||
Receivable for investments sold | 48,830 | ||
Receivable for capital shares sold | 420,297 | ||
Dividends receivable | 284,633 | ||
Securities lending income receivable | 12,697 | ||
Receivable from affiliate | 53,080 | ||
Directors’ deferred compensation plan | 34,730 | ||
Other assets | 5,728 | ||
Total assets | 163,969,833 | ||
LIABILITIES | |||
Payable for investments purchased | 137,199 | ||
Payable for capital shares redeemed | 74,115 | ||
Deposits for securities loaned | 5,497,572 | ||
Payable to affiliates: | |||
Investment advisory fee | 34,999 | ||
Administrative fee | 16,800 | ||
Distribution and service fees | 5,405 | ||
Sub-transfer agency fee | 85 | ||
Directors’ deferred compensation plan | 34,730 | ||
Accrued expenses | 196,585 | ||
Total liabilities | 5,997,490 | ||
NET ASSETS | $157,972,343 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $124,963,716 | ||
Distributable earnings | 33,008,627 | ||
Total | $157,972,343 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $127,473,405 and 1,794,617 shares outstanding) | $71.03 | ||
Class F (based on net assets of $30,498,938 and 429,145 shares outstanding) | $71.07 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 57
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $583) | $2,431,623 | ||
Non-cash dividend income | 132,732 | ||
Interest income | 41,394 | ||
Securities lending income, net | 270,197 | ||
Total investment income | 2,875,946 | ||
EXPENSES | |||
Investment advisory fee | 475,612 | ||
Administrative fee | 228,294 | ||
Distribution and service fees: | |||
Class F | 70,743 | ||
Directors’ fees and expenses | 9,753 | ||
Custodian fees | 106,876 | ||
Transfer agency fees and expenses | 77,123 | ||
Accounting fees | 45,535 | ||
Professional fees | 37,625 | ||
Reports to shareholders | 74,502 | ||
Licensing fees | 84,781 | ||
Total expenses | 1,210,844 | ||
Waiver and/or reimbursement of expenses by affiliate | (390,685) | ||
Reimbursement of expenses-other | (3,641) | ||
Net expenses | 816,518 | ||
Net investment income | 2,059,428 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 14,949,475 | ||
Futures contracts | (905,330) | ||
Foreign currency transactions | (25) | ||
14,044,120 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (35,371,718) | ||
Futures contracts | (245,310) | ||
(35,617,028) | |||
Net realized and unrealized loss | (21,572,908) | ||
Net decrease in net assets resulting from operations | ($19,513,480 | ) | |
See notes to financial statements. |
58 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $2,059,428 | $2,019,158 | |||||
Net realized gain | 14,044,120 | 8,832,554 | |||||
Net change in unrealized appreciation (depreciation) | (35,617,028) | 13,675,221 | |||||
Net increase (decrease) in net assets resulting from operations | (19,513,480) | 24,526,933 | |||||
Distributions to shareholders:(1) | |||||||
Class I shares | (9,045,101) | (6,644,511) | |||||
Class F shares | (2,190,621) | (1,327,456) | |||||
Total distributions to shareholders | (11,235,722) | (7,971,967) | |||||
Capital share transactions: | |||||||
Class I shares | (6,653,351) | (5,056,681) | |||||
Class F shares | 4,181,421 | 4,997,387 | |||||
Net decrease in net assets from capital share transactions | (2,471,930) | (59,294) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (33,221,132) | 16,495,672 | |||||
NET ASSETS | |||||||
Beginning of year | 191,193,475 | 174,697,803 | |||||
End of year | $157,972,343 | $191,193,475(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was as follows: Net investment income — Class I ($1,158,774) and Class F ($231,503) Net realized gain — Class I ($5,485,737) and Class F ($1,095,953) The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $1,964,830 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
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CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS I SHARES | 2018 (1) | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | |||||||||
Net asset value, beginning | $84.82 | $77.43 | $69.72 | $75.83 | $82.34 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.98 | 0.93 | 0.90 | 0.55 | 0.50 | |||||||||
Net realized and unrealized gain (loss) | (9.44) | 10.12 | 13.70 | (4.44) | 2.99 | |||||||||
Total from investment operations | (8.46) | 11.05 | 14.60 | (3.89) | 3.49 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.96) | (0.64) | (0.41) | (0.12) | (0.48) | |||||||||
Net realized gain | (4.37) | (3.02) | (6.48) | (2.10) | (9.52) | |||||||||
Total distributions | (5.33) | (3.66) | (6.89) | (2.22) | (10.00) | |||||||||
Total increase (decrease) in net asset value | (13.79) | 7.39 | 7.71 | (6.11) | (6.51) | |||||||||
Net asset value, ending | $71.03 | $84.82 | $77.43 | $69.72 | $75.83 | |||||||||
Total return (2) | (11.23 | %) | 14.37 | % | 20.92 | % | (5.19 | %) | 4.15 | % | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.59 | % | 0.65 | % | 0.75 | % | 0.79 | % | 0.75 | % | ||||
Net expenses | 0.38 | % | 0.38 | % | 0.53 | % | 0.74 | % | 0.74 | % | ||||
Net investment income | 1.13 | % | 1.15 | % | 1.25 | % | 0.72 | % | 0.63 | % | ||||
Portfolio turnover | 15 | % | 15 | % | 17 | % | (4) | 14 | % | 21 | % | |||
Net assets, ending (in thousands) | $127,473 | $158,646 | $149,739 | $119,674 | $150,532 | |||||||||
(1) Net investment income per share was computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(4) During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. | ||||||||||||||
See notes to financial statements. |
60 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS F SHARES | 2018 (1) | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | |||||||||
Net asset value, beginning | $85.07 | $77.84 | $70.13 | $76.31 | $82.79 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.77 | 0.74 | 0.73 | 0.40 | 0.31 | |||||||||
Net realized and unrealized gain (loss) | (9.44) | 10.15 | 13.76 | (4.48) | 3.01 | |||||||||
Total from investment operations | (8.67) | 10.89 | 14.49 | (4.08) | 3.32 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.96) | (0.64) | (0.30) | 0.00 | (0.28) | |||||||||
Net realized gain | (4.37) | (3.02) | (6.48) | (2.10) | (9.52) | |||||||||
Total distributions | (5.33) | (3.66) | (6.78) | (2.10) | (9.80) | |||||||||
Total increase (decrease) in net asset value | (14.00) | 7.23 | 7.71 | (6.18) | (6.48) | |||||||||
Net asset value, ending | $71.07 | $85.07 | $77.84 | $70.13 | $76.31 | |||||||||
Total return (2) | (11.46 | %) | 14.08 | % | 20.63 | % | (5.40 | %) | 3.93 | % | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.79 | % | 0.86 | % | 0.96 | % | 1.01 | % | 0.98 | % | ||||
Net expenses | 0.63 | % | 0.63 | % | 0.78 | % | 0.95 | % | 0.95 | % | ||||
Net investment income | 0.89 | % | 0.91 | % | 1.00 | % | 0.52 | % | 0.43 | % | ||||
Portfolio turnover | 15 | % | 15 | % | 17 | % | (4) | 14 | % | 21 | % | |||
Net assets, ending (in thousands) | $30,499 | $32,547 | $24,959 | $17,439 | $17,153 | |||||||||
(1) Net investment income per share was computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(4) During the year ended December 31, 2016, the Fund incurred sales of $9,332,219 to realign the combined portfolio in connection with the reorganization of Calvert VP Natural Resources Portfolio into the Fund on September 23, 2016. These sales were excluded from the portfolio turnover calculation. | ||||||||||||||
See notes to financial statements. |
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NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Russell 2000® Small Cap Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the investment performance of U.S. common stocks, as represented by the Russell 2000® Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class-specific expenses; (b) exchange privileges; and (c) class-specific voting rights.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy.
Short-Term Debt Securities. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are
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not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | |||||||||
Common Stocks | $148,516,529 | (2) | — | — | $148,516,529 | ||||||||
Exchange-Traded Funds | 2,945,800 | — | — | 2,945,800 | |||||||||
U.S. Treasury Obligations | — | 986,127 | — | 986,127 | |||||||||
Rights | — | — | 14,102 | 14,102 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 5,497,572 | — | — | 5,497,572 | |||||||||
Total Investments | $156,959,901 | $986,127 | $14,102 | $157,960,130 | |||||||||
Liabilities | |||||||||||||
Futures Contracts(3) | ($190,185 | ) | $— | $— | ($190,185 | ) | |||||||
(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. | |||||||||||||
(3) The value listed reflects unrealized appreciation (depreciation) as shown 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 year ended December 31, 2018 is not presented.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Foreign Currency Transactions: The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income, and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market
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which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
F. Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
G. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
H. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
I. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
J. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.25% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $475,612.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.38% for Class I and 0.63% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $378,594.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the year ended December 31, 2018, CRM was paid administrative fees of $228,294, of which $12,091 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.20% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $70,743 for Class F shares.
64 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $356 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $3,641, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, expenses incurred under the Servicing Plan amounted to $72,155 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $27,402,906 and $40,139,383, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | |||||||
2018 | 2017 | ||||||
Ordinary income | $3,544,138 | $1,918,536 | |||||
Long-term capital gains | $7,691,584 | $6,053,431 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $2,673,291 | ||
Undistributed long-term capital gains | $13,135,758 | ||
Net unrealized appreciation (depreciation) | $17,199,578 |
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $140,760,552 | ||
Gross unrealized appreciation | $43,425,952 | ||
Gross unrealized depreciation | ($26,226,374 | ) | |
Net unrealized appreciation (depreciation) | $17,199,578 |
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NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at December 31, 2018 is included in the Schedule of Investments. During the year ended December 31, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At December 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |||
Futures contracts | Distributable earnings | $— | ($190,185 | ) | (1) | |
(1) Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the year ended December 31, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($905,330) | ($245,310) |
The average notional cost of futures contracts (long) outstanding during the year ended December 31, 2018 was approximately $6,428,000.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $28,559,995 and the total value of collateral received was $29,177,586, comprised of cash of $5,497,572 and U.S. Government and/or agencies securities of $23,680,014.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | ||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | ||||||||
Securities Lending Transactions | ||||||||||||
Common Stocks | $26,226,517 | $— | $— | $— | $26,226,517 | |||||||
Exchange-Traded Funds | 2,951,069 | — | — | — | 2,951,069 | |||||||
Total | $29,177,586 | $— | $— | $— | $29,177,586 |
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The carrying amount of the liability for deposits for securities loaned at December 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at December 31, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 141,642 | $12,114,837 | 148,851 | $11,984,172 | |||||||
Reinvestment of distributions | 101,905 | 9,045,101 | 80,132 | 6,644,511 | |||||||
Shares redeemed | (319,334 | ) | (27,813,289 | ) | (292,461 | ) | (23,685,364 | ) | |||
Net decrease | (75,787 | ) | ($6,653,351 | ) | (63,478 | ) | ($5,056,681 | ) | |||
Class F | |||||||||||
Shares sold | 139,194 | $12,310,410 | 114,300 | $9,213,913 | |||||||
Reinvestment of distributions | 24,653 | 2,190,621 | 15,953 | 1,327,456 | |||||||
Shares redeemed | (117,291 | ) | (10,319,610 | ) | (68,302 | ) | (5,543,982 | ) | |||
Net increase | 46,556 | $4,181,421 | 61,951 | $4,997,387 |
At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 56.8% of the value of the outstanding shares of the Fund and separate accounts of two other insurance companies each owned more than 10% of the value of the outstanding shares of the Fund, aggregating 28.5%.
www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT 67
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP Russell 2000® Small Cap Index Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two‑year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five‑year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two‑year period then ended, and the financial highlights for each of the years in the five‑year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
68 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT
FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the dividends received deduction for corporations and capital gains dividends.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2018 ordinary income dividends, 100% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2018, $13,135,766 or, if subsequently determined to be different, the net capital gain of such year.
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MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
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Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
72 www.calvert.com CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP RUSSELL 2000® SMALL CAP INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24225 12.31.2018 |
Calvert VP EAFE International Index Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Fund Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions Global stock indexes declined during the 12-month period ended December 31, 2018, amid trade tensions and weakening economies in China and Europe. While U.S. stocks bucked the trend for most of the year, a sharp pullback in the final quarter left major U.S. indexes lower at the end of the period. U.S. stocks opened the period on an upswing as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. The broad tariffs drew retaliatory actions from impacted countries including China, Canada, and certain countries in the European Union. European stocks, meanwhile, began a prolonged downturn in late January 2018 amid mounting global trade war concerns, political uncertainties, and economic worries. In China, signs of a slowing economy compounded trade concerns, sending Chinese stocks into a prolonged slump that reached bear market territory in late June 2018. U.S. stocks bounced back during the summer months, but international stocks continued to lag. In the final three months of the period, stock indexes worldwide plunged amid global trade war fears and sagging economies in China and Europe. Interest rate concerns mounted after the U.S. Federal Reserve raised the federal funds rate in December 2018 for the fourth time during the period, as U.S. economic data remained largely positive. For the 12-month period ended December 31, 2018, the MSCI World Index,2 a proxy for global equities, declined 8.71%. In the U.S., the blue-chip Dow Jones Industrial Average® lost 3.48%, while the broader U.S. equity market represented by the S&P 500® Index dropped 4.38%. The MSCI EAFE Index of developed-market international equities fell 13.79%, and the MSCI Emerging Markets Index fell 14.58% during the period. | Investment Strategy Calvert VP EAFE International Index Portfolio (the Fund) seeks to substantially replicate the performance of the MSCI EAFE Index (the Index). This is accomplished by investing in all, or virtually all, of the larger capitalization stocks in the Index in approximately the same proportion as the Index and in a sampling of smaller capitalization stocks. The Index is a widely accepted benchmark of international stock performance that is designed to represent the performance of large- and mid-cap securities in 21 developed markets, including countries in Europe, Australasia and the Far East, but excluding the United States and Canada. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -13.58% for Class I shares at net asset value (NAV). By comparison, the Fund’s benchmark, the Index, returned -13.79% for the same period. The Index is unmanaged and returns do not reflect any fees and operating expenses. All 21 countries in the Index had negative returns on a U.S.-dollar basis during the period with virtually all the decline experienced in the final three months of 2018. Returns were influenced by concerns about slowing economic growth in the eurozone and China, as well as continuing uncertainties in Europe because of negotiations around Brexit and Italian debt squabbles. Financials, the largest market sector in the Index, was the worst-performing sector, down 20.1%, while utilities held steady at 1.1% during the period. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Thomas Seto of Calvert Research and Management | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class I at NAV | 11/12/2002 | 11/12/2002 | -13.58 | % | -0.06 | % | 5.34 | % | ||||||
Class F at NAV | 12/17/2007 | 11/12/2002 | -13.80 | -0.29 | 5.09 | |||||||||
MSCI EAFE Index | — | — | -13.79 | % | 0.53 | % | 6.31 | % | ||||||
% Total Annual Operating Expense Ratios4 | Class I | Class F | ||||||||||||
Gross | 0.68 | % | 0.91 | % | ||||||||||
Net | 0.48 | 0.73 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class I of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class F | $10,000 | 12/31/2008 | $16,438 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
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FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST HOLDINGS (% of net assets)6 | ||||||
Financials | 19.5 | % | Nestle SA | 1.9 | % | ||
Industrials | 14.3 | % | Novartis AG | 1.5 | % | ||
Consumer Staples | 11.5 | % | Roche Holding AG PC | 1.4 | % | ||
Health Care | 11.4 | % | HSBC Holdings plc | 1.3 | % | ||
Consumer Discretionary | 11.2 | % | Royal Dutch Shell plc, Class A | 1.1 | % | ||
Materials | 7.4 | % | Toyota Motor Corp. | 1.0 | % | ||
Information Technology | 5.9 | % | Total SA | 1.0 | % | ||
Energy | 5.9 | % | BP plc | 1.0 | % | ||
Communication Services | 5.5 | % | Royal Dutch Shell plc, Class B | 0.9 | % | ||
Utilities | 3.7 | % | AIA Group Ltd. | 0.8 | % | ||
Real Estate | 3.7 | % | Total | 11.9 | % | ||
Total | 100.0 | % |
See Endnotes and Additional Disclosures in this report.
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Endnotes and Additional Disclosures |
1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
2 | MSCI World Index is an unmanaged index of equity securities in the developed markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
3 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. |
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
5 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
6 Excludes cash and cash equivalents.
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FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $887.90 | $2.28** | 0.48% |
Class F | $1,000.00 | $886.80 | $3.52** | 0.74% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.79 | $2.45** | 0.48% |
Class F | $1,000.00 | $1,021.48 | $3.77** | 0.74% |
* Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
COMMON STOCKS - 99.3% | ||
Australia - 6.9% | ||
AGL Energy Ltd. | 6,090 | 88,440 |
Alumina Ltd. | 14,501 | 23,489 |
Amcor Ltd. | 10,280 | 95,989 |
AMP Ltd. | 27,547 | 47,554 |
APA Group | 11,361 | 68,054 |
Aristocrat Leisure Ltd. | 4,773 | 73,475 |
ASX Ltd. | 1,623 | 68,580 |
Aurizon Holdings Ltd. | 16,477 | 49,711 |
AusNet Services | 27,031 | 29,624 |
Australia & New Zealand Banking Group Ltd. | 25,508 | 440,744 |
Bank of Queensland Ltd. | 3,884 | 26,547 |
Bendigo & Adelaide Bank Ltd. | 4,706 | 35,756 |
BGP Holdings plc (1)(2) | 77,172 | - |
BHP Group Ltd. | 26,444 | 639,179 |
BlueScope Steel Ltd. | 4,388 | 33,850 |
Boral Ltd. | 10,917 | 37,991 |
Brambles Ltd. | 14,024 | 100,337 |
Caltex Australia Ltd. | 2,659 | 47,706 |
Challenger Ltd. | 5,824 | 38,937 |
CIMIC Group Ltd. | 1,008 | 30,825 |
Coca-Cola Amatil Ltd. | 5,839 | 33,677 |
Cochlear Ltd. | 583 | 71,434 |
Coles Group Ltd. (2) | 8,208 | 67,873 |
Commonwealth Bank of Australia (3) | 15,572 | 794,291 |
Computershare Ltd. | 3,586 | 43,460 |
Crown Resorts Ltd. | 3,713 | 31,031 |
CSL Ltd. | 4,043 | 528,088 |
Dexus | 9,869 | 73,866 |
Domino’s Pizza Enterprises Ltd. | 625 | 17,904 |
Flight Centre Travel Group Ltd. (3) | 565 | 17,087 |
Fortescue Metals Group Ltd. | 15,873 | 46,806 |
Goodman Group | 14,771 | 110,648 |
GPT Group (The) | 14,077 | 52,972 |
Harvey Norman Holdings Ltd. (3) | 5,671 | 12,623 |
Incitec Pivot Ltd. | 17,202 | 39,763 |
Insurance Australia Group Ltd. | 21,563 | 106,353 |
Lend Lease Group | 5,044 | 41,322 |
Macquarie Group Ltd. | 2,911 | 222,971 |
Medibank Pvt Ltd. | 21,199 | 38,378 |
Mirvac Group | 28,589 | 45,151 |
National Australia Bank Ltd. (3) | 23,635 | 401,070 |
Newcrest Mining Ltd. | 5,337 | 82,025 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Oil Search Ltd. | 12,475 | 62,837 |
Orica Ltd. | 4,087 | 49,675 |
Origin Energy Ltd. (2) | 18,071 | 82,433 |
QBE Insurance Group Ltd. | 9,679 | 68,920 |
Ramsay Health Care Ltd. (3) | 1,442 | 58,655 |
REA Group Ltd. | 537 | 28,017 |
Rio Tinto Ltd. | 3,617 | 200,186 |
Santos Ltd. | 13,517 | 52,130 |
Scentre Group | 45,895 | 126,173 |
Seek Ltd. | 3,336 | 39,799 |
Sonic Healthcare Ltd. | 4,020 | 62,712 |
South32 Ltd. | 48,353 | 115,023 |
Stockland | 19,317 | 47,921 |
Suncorp Group Ltd. | 11,669 | 103,851 |
Sydney Airport | 11,138 | 52,814 |
TABCORP Holdings Ltd. | 15,814 | 47,809 |
Telstra Corp. Ltd. | 37,215 | 74,685 |
TPG Telecom Ltd. | 3,460 | 15,695 |
Transurban Group | 20,409 | 167,507 |
Treasury Wine Estates Ltd. | 6,449 | 67,249 |
Vicinity Centres | 25,959 | 47,567 |
Wesfarmers Ltd. | 10,212 | 232,003 |
Westpac Banking Corp. | 30,242 | 534,373 |
Woodside Petroleum Ltd. | 7,674 | 169,038 |
Woolworths Group Ltd. | 10,629 | 220,488 |
WorleyParsons Ltd. | 4,263 | 34,240 |
7,617,381 | ||
Austria - 0.2% | ||
Andritz AG | 669 | 30,725 |
Erste Group Bank AG | 1,859 | 61,640 |
OMV AG | 1,002 | 43,761 |
Raiffeisen Bank International AG | 1,194 | 30,467 |
Verbund AG | 1,006 | 43,068 |
Voestalpine AG | 1,159 | 34,566 |
244,227 | ||
Belgium - 1.0% | ||
Ageas | 1,514 | 68,154 |
Anheuser-Busch InBev SA/NV | 6,782 | 446,791 |
Colruyt SA | 686 | 48,926 |
Groupe Bruxelles Lambert SA | 572 | 49,846 |
KBC Groep NV | 2,172 | 139,744 |
Proximus | 1,550 | 41,941 |
Solvay SA | 647 | 64,702 |
Telenet Group Holding NV | 537 | 24,977 |
8 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
UCB SA | 1,084 | 88,537 |
Umicore SA | 1,940 | 77,416 |
1,051,034 | ||
China - 0.0% (4) | ||
Minth Group Ltd. | 6,000 | 19,362 |
Denmark - 1.7% | ||
AP Moller - Maersk A/S, Class A | 38 | 45,086 |
AP Moller - Maersk A/S, Class B | 44 | 55,349 |
Carlsberg A/S, Class B | 953 | 101,379 |
Chr Hansen Holding A/S | 842 | 74,741 |
Coloplast A/S, Class B | 1,084 | 100,829 |
Danske Bank A/S | 6,396 | 126,976 |
DSV A/S | 1,748 | 115,442 |
Genmab A/S (2) | 505 | 83,032 |
H Lundbeck A/S | 411 | 18,089 |
ISS A/S | 1,703 | 47,678 |
Novo Nordisk A/S, Class B | 15,234 | 699,653 |
Novozymes A/S, Class B | 1,509 | 67,426 |
Orsted A/S (5) | 1,584 | 105,998 |
Pandora A/S | 992 | 40,498 |
Tryg A/S | 1,180 | 29,761 |
Vestas Wind Systems A/S | 1,796 | 135,955 |
William Demant Holding A/S (2) | 1,220 | 34,736 |
1,882,628 | ||
Finland - 1.2% | ||
Elisa Oyj | 1,450 | 60,058 |
Fortum Oyj | 3,869 | 84,690 |
Kone Oyj, Class B | 2,681 | 127,994 |
Metso Oyj | 1,149 | 30,187 |
Neste Oyj | 1,105 | 85,552 |
Nokia Oyj | 48,318 | 280,492 |
Nokian Renkaat Oyj | 1,167 | 35,843 |
Nordea Bank Abp | 25,452 | 214,260 |
Orion Oyj, Class B | 1,045 | 36,354 |
Sampo Oyj, Class A | 3,936 | 174,442 |
Stora Enso Oyj, Class R | 4,859 | 56,334 |
UPM-Kymmene Oyj | 4,904 | 124,139 |
Wartsila Oyj Abp | 3,830 | 61,138 |
1,371,483 | ||
France - 10.3% | ||
Accor SA | 1,534 | 65,232 |
Aeroports de Paris | 234 | 44,373 |
Air Liquide SA | 3,829 | 475,468 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Alstom SA | 946 | 38,213 |
Amundi SA (5) | 600 | 31,723 |
Arkema SA | 578 | 49,620 |
Atos SE | 785 | 64,319 |
AXA SA | 17,356 | 374,575 |
BioMerieux | 321 | 21,173 |
BNP Paribas SA | 10,367 | 468,181 |
Bollore SA | 8,863 | 35,534 |
Bouygues SA | 2,111 | 75,803 |
Bureau Veritas SA | 2,318 | 47,235 |
Capgemini SE | 1,472 | 146,413 |
Carrefour SA | 4,175 | 71,338 |
Casino Guichard-Perrachon SA (3) | 619 | 25,777 |
Cie de Saint-Gobain | 4,545 | 150,878 |
Cie Generale des Etablissements Michelin SCA | 1,561 | 153,645 |
CNP Assurances | 1,750 | 37,146 |
Covivio | 345 | 33,287 |
Credit Agricole SA | 10,461 | 112,586 |
Danone SA | 5,408 | 381,170 |
Dassault Aviation SA | 9 | 12,481 |
Dassault Systemes SE | 1,153 | 136,953 |
Edenred | 2,118 | 78,004 |
Eiffage SA | 600 | 50,164 |
Electricite de France SA | 4,006 | 63,402 |
Engie SA | 12,598 | 181,007 |
EssilorLuxottica SA | 2,499 | 316,768 |
Eurazeo SE | 454 | 32,142 |
Eutelsat Communications SA | 1,779 | 35,048 |
Faurecia SA | 412 | 15,545 |
Gecina SA | 419 | 54,240 |
Getlink SE | 3,977 | 53,440 |
Hermes International | 241 | 133,890 |
Icade SA | 224 | 17,072 |
Iliad SA | 269 | 37,752 |
Imerys SA | 365 | 17,541 |
Ingenico Group | 559 | 31,711 |
Ipsen SA | 305 | 39,463 |
JC Decaux SA | 757 | 21,268 |
Kering SA | 680 | 318,558 |
Klepierre SA | 1,998 | 61,746 |
L’Oreal SA | 2,126 | 486,480 |
Legrand SA | 2,437 | 137,770 |
LVMH Moet Hennessy Louis Vuitton SE | 2,478 | 725,498 |
Natixis SA | 7,719 | 36,407 |
Orange SA | 19,240 | 311,799 |
Pernod-Ricard SA | 1,915 | 314,291 |
Peugeot SA | 4,946 | 105,487 |
10 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Publicis Groupe SA | 1,322 | 75,429 |
Remy Cointreau SA | 223 | 25,277 |
Renault SA | 1,759 | 109,574 |
Rexel SA | 3,081 | 32,819 |
Safran SA | 3,002 | 360,045 |
Sanofi SA | 10,104 | 876,520 |
Sartorius Stedim Biotech | 397 | 39,747 |
Schneider Electric SE | 5,031 | 341,259 |
SCOR SE | 1,419 | 63,793 |
SEB SA | 175 | 22,617 |
Societe BIC SA | 293 | 29,931 |
Societe Generale SA | 6,891 | 218,476 |
Sodexo SA | 778 | 79,788 |
Suez | 3,330 | 44,065 |
Teleperformance | 379 | 60,629 |
Thales SA | 954 | 111,482 |
Total SA | 21,692 | 1,144,147 |
Ubisoft Entertainment SA (2) | 765 | 61,630 |
Unibail-Rodamco-Westfield | 1,323 | 204,727 |
Valeo SA | 2,186 | 63,756 |
Veolia Environnement SA | 4,212 | 86,258 |
Vinci SA | 4,541 | 373,415 |
Vivendi SA | 9,402 | 227,879 |
Wendel SA | 198 | 23,751 |
11,406,630 | ||
Germany - 8.7% | ||
1&1 Drillisch AG | 500 | 25,536 |
adidas AG | 1,576 | 329,367 |
Allianz SE | 3,977 | 799,199 |
Axel Springer SE | 440 | 24,929 |
BASF SE | 8,199 | 571,090 |
Bayer AG | 7,715 | 536,569 |
Bayerische Motoren Werke AG | 2,983 | 241,936 |
Bayerische Motoren Werke AG, PFC Shares | 555 | 39,578 |
Beiersdorf AG | 943 | 98,357 |
Brenntag AG | 1,412 | 61,633 |
Commerzbank AG (2) | 9,705 | 64,442 |
Continental AG | 995 | 138,540 |
Covestro AG (5) | 1,407 | 69,681 |
Daimler AG | 7,922 | 417,607 |
Delivery Hero SE (2)(5) | 811 | 30,278 |
Deutsche Bank AG | 16,668 | 132,930 |
Deutsche Boerse AG | 1,754 | 209,700 |
Deutsche Lufthansa AG | 2,376 | 53,658 |
Deutsche Post AG | 9,057 | 247,339 |
Deutsche Telekom AG | 29,779 | 506,145 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 11
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Deutsche Wohnen SE | 3,115 | 142,358 |
E.ON SE | 17,371 | 171,475 |
Evonik Industries AG | 1,650 | 41,186 |
Fraport AG Frankfurt Airport Services Worldwide | 424 | 30,345 |
Fresenius Medical Care AG & Co. KGaA | 1,903 | 123,355 |
Fresenius SE & Co. KGaA | 3,759 | 181,688 |
Fuchs Petrolub SE, PFC Shares | 708 | 29,270 |
GEA Group AG | 1,575 | 40,549 |
Hannover Rueck SE | 541 | 72,911 |
HeidelbergCement AG | 1,352 | 82,875 |
Henkel AG & Co. KGaA | 931 | 91,632 |
Henkel AG & Co. KGaA, PFC Shares | 1,492 | 162,970 |
Hochtief AG | 211 | 28,496 |
Hugo Boss AG | 558 | 34,397 |
Infineon Technologies AG | 10,311 | 206,443 |
Innogy SE (5) | 1,405 | 65,608 |
KION Group AG | 300 | 15,256 |
Lanxess AG | 810 | 37,241 |
Merck KGAA | 1,141 | 117,446 |
METRO AG | 1,662 | 25,573 |
MTU Aero Engines AG | 347 | 63,016 |
Muenchener Rueckversicherungs-Gesellschaft AG | 1,354 | 295,305 |
OSRAM Licht AG | 907 | 39,471 |
Porsche Automobil Holding SE, PFC Shares | 1,254 | 73,751 |
ProSiebenSat.1 Media SE | 2,901 | 51,619 |
Puma SE | 56 | 27,381 |
RTL Group SA | 344 | 18,435 |
RWE AG | 3,388 | 73,790 |
SAP SE | 8,724 | 865,854 |
Sartorius AG, PFC Shares | 314 | 39,079 |
Siemens AG | 6,796 | 758,444 |
Siemens Healthineers AG (2)(5) | 1,608 | 67,193 |
Symrise AG | 1,151 | 85,281 |
Telefonica Deutschland Holding AG | 7,582 | 29,842 |
ThyssenKrupp AG | 3,750 | 64,417 |
TUI AG | 4,204 | 60,423 |
Uniper SE | 996 | 25,692 |
United Internet AG | 1,054 | 46,132 |
Volkswagen AG | 330 | 52,791 |
Volkswagen AG, PFC Shares | 1,662 | 265,015 |
Vonovia SE | 4,410 | 198,798 |
Wirecard AG | 921 | 138,843 |
Zalando SE (2)(5) | 881 | 22,764 |
9,662,924 | ||
12 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Hong Kong - 3.8% | ||
AIA Group Ltd. | 107,166 | 890,208 |
ASM Pacific Technology Ltd. | 3,274 | 31,608 |
Bank of East Asia Ltd. (The) | 7,110 | 22,550 |
BOC Hong Kong Holdings Ltd. | 33,956 | 126,035 |
CK Asset Holdings Ltd. | 23,066 | 168,764 |
CK Hutchison Holdings Ltd. | 21,847 | 209,692 |
CK Infrastructure Holdings Ltd. | 6,756 | 51,127 |
CLP Holdings Ltd. | 14,122 | 159,591 |
Dairy Farm International Holdings Ltd. | 3,000 | 27,193 |
Galaxy Entertainment Group Ltd. | 21,913 | 138,417 |
Hang Lung Group Ltd. | 8,939 | 22,792 |
Hang Lung Properties Ltd. | 13,000 | 24,709 |
Hang Seng Bank Ltd. | 6,440 | 144,264 |
Henderson Land Development Co. Ltd. | 13,460 | 66,991 |
HK Electric Investments & HK Electric Investments Ltd. | 27,027 | 27,240 |
HKT Trust & HKT Ltd. | 27,020 | 38,923 |
Hong Kong & China Gas Co. Ltd. | 85,750 | 177,164 |
Hong Kong Exchanges & Clearing Ltd. | 10,306 | 297,931 |
Hongkong Land Holdings Ltd. | 9,294 | 58,591 |
Hysan Development Co. Ltd. | 6,398 | 30,425 |
Jardine Matheson Holdings Ltd. | 2,019 | 140,580 |
Jardine Strategic Holdings Ltd. | 2,100 | 76,995 |
Kerry Properties Ltd. | 6,621 | 22,598 |
Link | 18,689 | 189,464 |
Melco Resorts & Entertainment, Ltd. ADR | 1,940 | 34,183 |
MGM China Holdings Ltd. | 9,686 | 16,170 |
MTR Corp. Ltd. | 11,981 | 63,054 |
New World Development Co. Ltd. | 57,431 | 75,853 |
NWS Holdings Ltd. | 15,628 | 32,090 |
PCCW Ltd. | 42,738 | 24,609 |
Power Assets Holdings Ltd. | 11,042 | 76,713 |
Sands China Ltd. | 19,483 | 84,966 |
Shangri-La Asia Ltd. | 12,775 | 18,859 |
Sino Land Co. Ltd. | 31,433 | 53,854 |
SJM Holdings Ltd. | 21,000 | 19,511 |
Sun Hung Kai Properties Ltd. | 12,652 | 180,564 |
Swire Pacific Ltd., Class A | 4,537 | 47,902 |
Swire Properties Ltd. | 11,929 | 41,914 |
Techtronic Industries Co. Ltd. | 12,025 | 63,813 |
WH Group Ltd. (5) | 81,549 | 62,633 |
Wharf Holdings Ltd. (The) | 8,906 | 23,219 |
Wharf Real Estate Investment Co. Ltd. | 11,905 | 71,203 |
Wheelock & Co. Ltd. | 6,286 | 35,987 |
Wynn Macau Ltd. | 15,891 | 34,593 |
Yue Yuen Industrial Holdings Ltd. | 7,565 | 24,218 |
4,229,760 | ||
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 13
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Ireland - 1.2% | ||
AIB Group plc | 8,000 | 33,734 |
Bank of Ireland Group plc | 7,679 | 42,708 |
CRH plc | 7,474 | 197,962 |
DCC plc | 788 | 60,109 |
Experian plc | 8,558 | 207,462 |
James Hardie Industries plc CDI (3) | 3,691 | 40,213 |
Kerry Group plc, Class A | 1,467 | 145,266 |
Kingspan Group plc | 964 | 41,324 |
Paddy Power Betfair plc | 656 | 53,874 |
Ryanair Holdings plc (2) | 1,686 | 20,687 |
Shire plc | 8,134 | 473,298 |
Smurfit Kappa Group plc | 1,686 | 44,860 |
1,361,497 | ||
Israel - 0.5% | ||
Azrieli Group Ltd. | 432 | 20,668 |
Bank Hapoalim BM | 9,511 | 60,149 |
Bank Leumi Le-Israel BM | 13,251 | 80,102 |
Bezeq The Israeli Telecommunication Corp. Ltd. | 21,147 | 20,636 |
Check Point Software Technologies Ltd. (2) | 1,150 | 118,047 |
Elbit Systems Ltd. | 200 | 22,958 |
Israel Chemicals Ltd. | 5,940 | 33,775 |
Mizrahi Tefahot Bank Ltd. | 1,418 | 23,949 |
Nice Ltd. (2) | 292 | 31,636 |
Teva Pharmaceutical Industries Ltd. ADR | 8,665 | 133,614 |
Wix.com Ltd. (2)(3) | 425 | 38,395 |
583,929 | ||
Italy - 1.9% | ||
Assicurazioni Generali SpA | 9,213 | 153,986 |
Atlantia SpA | 4,209 | 87,106 |
Davide Campari-Milano SpA | 2,900 | 24,558 |
Enel SpA | 72,788 | 421,970 |
Eni SpA | 21,945 | 346,669 |
Ferrari NV | 1,129 | 112,340 |
Intesa Sanpaolo SpA | 130,530 | 290,641 |
Leonardo SpA | 1,654 | 14,572 |
Mediobanca Banca di Credito Finanziario SpA | 5,772 | 48,839 |
Moncler SpA | 1,356 | 45,124 |
Pirelli & C SpA (2)(5) | 2,992 | 19,227 |
Poste Italiane SpA (5) | 5,326 | 42,708 |
Prysmian SpA | 1,988 | 38,681 |
Recordati SpA | 1,418 | 49,106 |
Snam SpA | 21,569 | 94,437 |
Telecom Italia SpA (2) | 103,232 | 57,150 |
Telecom Italia SpA, PFC Shares | 61,458 | 29,476 |
14 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Terna Rete Elettrica Nazionale SpA | 12,851 | 72,983 |
UniCredit SpA | 16,810 | 190,405 |
2,139,978 | ||
Japan - 24.1% | ||
ABC-Mart, Inc. | 336 | 18,607 |
Acom Co. Ltd. | 4,068 | 13,233 |
AEON Co. Ltd. | 5,767 | 112,722 |
AEON Financial Service Co. Ltd. | 1,135 | 20,136 |
AEON Mall Co. Ltd. | 1,161 | 18,497 |
AGC, Inc. (3) | 1,656 | 51,473 |
Air Water, Inc. | 1,519 | 22,893 |
Aisin Seiki Co. Ltd. | 1,652 | 56,789 |
Ajinomoto Co., Inc. | 4,199 | 74,612 |
Alfresa Holdings Corp. | 1,916 | 48,838 |
Alps Electric Co. Ltd. | 1,919 | 37,210 |
Amada Holdings Co. Ltd. | 2,469 | 22,164 |
ANA Holdings, Inc. | 883 | 31,699 |
Aozora Bank Ltd. | 906 | 27,003 |
Asahi Group Holdings Ltd. | 3,315 | 128,469 |
Asahi Intecc Co. Ltd. | 800 | 33,844 |
Asahi Kasei Corp. | 11,670 | 119,774 |
Asics Corp. (3) | 1,631 | 20,715 |
Astellas Pharma, Inc. | 17,401 | 222,326 |
Bandai Namco Holdings, Inc. | 1,737 | 77,990 |
Bank of Kyoto Ltd. (The) | 618 | 25,397 |
Benesse Holdings, Inc. | 678 | 17,247 |
Bridgestone Corp. | 5,684 | 218,071 |
Brother Industries Ltd. | 1,905 | 28,196 |
Calbee, Inc. (3) | 818 | 25,550 |
Canon, Inc. (3) | 7,200 | 198,113 |
Casio Computer Co. Ltd. (3) | 1,531 | 18,152 |
Central Japan Railway Co. | 1,259 | 265,633 |
Chiba Bank Ltd. (The) | 5,241 | 29,195 |
Chubu Electric Power Co., Inc. | 3,969 | 56,397 |
Chugai Pharmaceutical Co. Ltd. (3) | 1,982 | 114,954 |
Chugoku Electric Power Co., Inc. (The) | 2,837 | 36,869 |
Coca-Cola Bottlers Japan Holdings, Inc. (3) | 1,200 | 35,785 |
Concordia Financial Group Ltd. | 9,831 | 37,566 |
Credit Saison Co. Ltd. | 1,512 | 17,715 |
CyberAgent, Inc. | 600 | 23,195 |
Dai Nippon Printing Co. Ltd. | 2,105 | 43,940 |
Dai-ichi Life Holdings, Inc. | 9,813 | 152,392 |
Daicel Corp. | 2,854 | 29,298 |
Daifuku Co. Ltd. | 400 | 18,136 |
Daiichi Sankyo Co. Ltd. | 5,200 | 166,326 |
Daikin Industries Ltd. | 2,273 | 241,519 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 15
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Daito Trust Construction Co. Ltd. | 616 | 84,333 |
Daiwa House Industry Co. Ltd. | 5,132 | 163,703 |
Daiwa House REIT Investment Corp. | 11 | 24,641 |
Daiwa Securities Group, Inc. | 14,525 | 73,724 |
DeNA Co., Ltd. | 1,400 | 23,352 |
Denso Corp. | 4,022 | 178,045 |
Dentsu, Inc. | 1,905 | 85,079 |
Disco Corp. | 200 | 23,254 |
Don Quijote Holdings Co. Ltd. (3) | 909 | 56,200 |
East Japan Railway Co. | 2,950 | 260,515 |
Eisai Co. Ltd. | 2,251 | 174,272 |
Electric Power Development Co. Ltd. | 1,493 | 35,429 |
FamilyMart UNY Holdings Co. Ltd. (3) | 633 | 79,666 |
FANUC Corp. | 1,662 | 252,224 |
Fast Retailing Co. Ltd. | 536 | 273,757 |
Fuji Electric Co. Ltd. | 1,141 | 33,605 |
FUJIFILM Holdings Corp. | 3,627 | 140,599 |
Fujitsu Ltd. | 1,652 | 102,979 |
Fukuoka Financial Group, Inc. | 1,577 | 31,971 |
Hakuhodo DY Holdings, Inc. | 2,178 | 31,081 |
Hamamatsu Photonics KK | 1,451 | 48,627 |
Hankyu Hanshin Holdings, Inc. | 2,062 | 68,557 |
Hikari Tsushin, Inc. (3) | 219 | 34,231 |
Hino Motors Ltd. | 2,636 | 24,822 |
Hirose Electric Co. Ltd. | 342 | 33,459 |
Hisamitsu Pharmaceutical Co., Inc. | 630 | 34,778 |
Hitachi Chemical Co. Ltd. | 1,062 | 15,976 |
Hitachi Construction Machinery Co. Ltd. | 1,096 | 25,648 |
Hitachi High-Technologies Corp. | 702 | 21,983 |
Hitachi Ltd. | 8,784 | 232,866 |
Hitachi Metals Ltd. | 2,186 | 22,736 |
Honda Motor Co. Ltd. | 13,901 | 366,223 |
Hoshizaki Corp. | 316 | 19,174 |
HOYA Corp. | 3,523 | 212,437 |
Hulic Co. Ltd. | 3,040 | 27,167 |
Idemitsu Kosan Co. Ltd. | 897 | 29,176 |
IHI Corp. | 1,298 | 35,749 |
Iida Group Holdings Co. Ltd. | 1,500 | 25,982 |
INPEX Corp. | 8,491 | 75,237 |
Isetan Mitsukoshi Holdings Ltd. | 3,424 | 37,831 |
Isuzu Motors Ltd. | 5,055 | 70,907 |
ITOCHU Corp. | 13,048 | 221,591 |
J Front Retailing Co. Ltd. | 2,460 | 28,156 |
Japan Airlines Co. Ltd. | 820 | 29,062 |
Japan Airport Terminal Co. Ltd. | 400 | 13,828 |
Japan Exchange Group, Inc. | 4,518 | 72,875 |
Japan Post Bank Co. Ltd. | 2,200 | 24,221 |
16 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Japan Post Holdings Co. Ltd. | 12,700 | 146,635 |
Japan Prime Realty Investment Corp. (3) | 8 | 30,379 |
Japan Real Estate Investment Corp. | 10 | 56,147 |
Japan Retail Fund Investment Corp. | 20 | 39,911 |
Japan Tobacco, Inc. (3) | 8,834 | 209,905 |
JFE Holdings, Inc. | 4,625 | 73,668 |
JGC Corp. | 2,113 | 29,739 |
JSR Corp. | 1,959 | 29,406 |
JTEKT Corp. | 2,275 | 25,161 |
JXTG Holdings, Inc. | 26,738 | 138,864 |
Kajima Corp. | 3,581 | 48,104 |
Kakaku.com, Inc. | 1,455 | 25,737 |
Kamigumi Co. Ltd. | 1,188 | 24,305 |
Kaneka Corp. | 570 | 20,413 |
Kansai Electric Power Co., Inc. (The) | 6,078 | 91,150 |
Kansai Paint Co. Ltd. | 1,523 | 29,253 |
Kao Corp. | 4,501 | 333,153 |
Kawasaki Heavy Industries Ltd. | 1,447 | 30,879 |
KDDI Corp. | 16,267 | 388,698 |
Keihan Holdings Co. Ltd. | 838 | 34,146 |
Keikyu Corp. | 2,389 | 39,039 |
Keio Corp. | 979 | 56,971 |
Keisei Electric Railway Co. Ltd. | 1,406 | 44,051 |
Keyence Corp. | 840 | 424,574 |
Kikkoman Corp. | 1,101 | 58,920 |
Kintetsu Group Holdings Co. Ltd. | 1,546 | 67,178 |
Kirin Holdings Co. Ltd. | 7,326 | 152,759 |
Kobayashi Pharmaceutical Co. Ltd. | 400 | 27,126 |
Kobe Steel Ltd. | 3,157 | 21,882 |
Koito Manufacturing Co. Ltd. | 947 | 48,859 |
Komatsu Ltd. | 8,346 | 179,355 |
Konami Holdings Corp. | 951 | 41,789 |
Konica Minolta, Inc. | 4,612 | 41,515 |
Kose Corp. | 308 | 48,380 |
Kubota Corp. | 9,011 | 128,080 |
Kuraray Co. Ltd. | 2,718 | 38,227 |
Kurita Water Industries Ltd. | 1,032 | 24,986 |
Kyocera Corp. | 2,948 | 147,356 |
Kyowa Hakko Kirin Co. Ltd. | 2,644 | 49,961 |
Kyushu Electric Power Co., Inc. | 3,051 | 36,330 |
Kyushu Railway Co. | 900 | 30,449 |
Lawson, Inc. | 500 | 31,627 |
LINE Corp. (2)(3) | 439 | 14,993 |
Lion Corp. | 1,722 | 35,589 |
LIXIL Group Corp. | 2,113 | 26,195 |
M3, Inc. | 3,958 | 53,319 |
Makita Corp. | 1,948 | 69,185 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 17
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Marubeni Corp. | 14,833 | 104,076 |
Marui Group Co. Ltd. | 2,130 | 41,279 |
Maruichi Steel Tube Ltd. | 575 | 18,038 |
Mazda Motor Corp. | 4,510 | 46,365 |
McDonald’s Holdings Company (Japan), Ltd. (3) | 677 | 28,758 |
Mebuki Financial Group, Inc. | 9,500 | 25,124 |
Medipal Holdings Corp. | 1,745 | 37,333 |
MEIJI Holdings Co. Ltd. | 967 | 78,808 |
MinebeaMitsumi, Inc. | 3,459 | 49,879 |
MISUMI Group, Inc. | 2,280 | 48,032 |
Mitsubishi Chemical Holdings Corp. | 11,222 | 84,782 |
Mitsubishi Corp. | 11,890 | 325,983 |
Mitsubishi Electric Corp. | 16,660 | 183,720 |
Mitsubishi Estate Co. Ltd. | 9,268 | 145,818 |
Mitsubishi Gas Chemical Co., Inc. | 1,148 | 17,197 |
Mitsubishi Heavy Industries Ltd. | 2,244 | 80,520 |
Mitsubishi Materials Corp. | 1,000 | 26,351 |
Mitsubishi Motors Corp. | 3,200 | 17,426 |
Mitsubishi Tanabe Pharma Corp. | 1,789 | 25,825 |
Mitsubishi UFJ Financial Group, Inc. | 106,076 | 520,584 |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 4,566 | 21,885 |
Mitsui & Co. Ltd. | 15,475 | 237,747 |
Mitsui Chemicals, Inc. | 1,475 | 33,300 |
Mitsui Fudosan Co. Ltd. | 7,831 | 173,941 |
Mitsui OSK Lines Ltd. | 1,100 | 23,804 |
Mizuho Financial Group, Inc. | 208,814 | 323,084 |
MonotaRO Co. Ltd. | 1,600 | 39,442 |
MS&AD Insurance Group Holdings, Inc. | 4,228 | 120,182 |
Murata Manufacturing Co. Ltd. | 1,438 | 193,770 |
Nabtesco Corp. (3) | 1,148 | 24,855 |
Nagoya Railroad Co. Ltd. | 1,275 | 33,579 |
NEC Corp. | 1,755 | 52,183 |
Nexon Co. Ltd. (2) | 3,550 | 45,829 |
NGK Insulators Ltd. | 1,971 | 26,715 |
NGK Spark Plug Co. Ltd. | 1,223 | 24,209 |
NH Foods Ltd. | 883 | 33,194 |
Nidec Corp. | 2,014 | 227,878 |
Nikon Corp. | 2,874 | 42,809 |
Nintendo Co. Ltd. | 1,021 | 271,115 |
Nippon Building Fund, Inc. | 12 | 75,562 |
Nippon Electric Glass Co. Ltd. | 900 | 22,050 |
Nippon Express Co. Ltd. | 576 | 31,999 |
Nippon Paint Holdings Co. Ltd. (3) | 1,458 | 49,676 |
Nippon Prologis REIT, Inc. | 10 | 21,105 |
Nippon Steel & Sumitomo Metal Corp. | 3,675 | 63,140 |
Nippon Telegraph & Telephone Corp. | 5,902 | 240,797 |
Nippon Yusen KK | 1,300 | 19,878 |
18 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Nissan Chemical Corp. | 1,247 | 65,072 |
Nissan Motor Co. Ltd. | 20,743 | 165,930 |
Nisshin Seifun Group, Inc. | 1,417 | 29,185 |
Nissin Foods Holdings Co. Ltd. | 498 | 31,203 |
Nitori Holdings Co. Ltd. | 716 | 89,672 |
Nitto Denko Corp. | 1,470 | 73,727 |
Nomura Holdings, Inc. | 31,557 | 119,589 |
Nomura Real Estate Holdings, Inc. | 1,270 | 23,289 |
Nomura Real Estate Master Fund, Inc. | 29 | 38,155 |
Nomura Research Institute Ltd. | 1,000 | 37,083 |
NSK Ltd. | 3,396 | 29,137 |
NTT Data Corp. | 6,430 | 70,278 |
NTT DoCoMo, Inc. | 11,724 | 263,429 |
Obayashi Corp. | 5,320 | 48,172 |
Obic Co. Ltd. | 660 | 50,944 |
Odakyu Electric Railway Co. Ltd. | 2,305 | 50,688 |
Oji Holdings Corp. | 8,273 | 42,270 |
Olympus Corp. | 1,969 | 60,221 |
Omron Corp. | 1,663 | 60,287 |
Ono Pharmaceutical Co. Ltd. | 3,505 | 71,575 |
Oracle Corp. Japan | 389 | 24,693 |
Oriental Land Co. Ltd. | 1,824 | 183,439 |
ORIX Corp. | 12,102 | 176,833 |
Osaka Gas Co. Ltd. | 3,123 | 56,970 |
Otsuka Corp. | 1,064 | 29,283 |
Otsuka Holdings Co. Ltd. | 3,552 | 145,150 |
Panasonic Corp. | 19,947 | 179,192 |
Park24 Co. Ltd. | 1,041 | 22,924 |
Persol Holdings Co. Ltd. | 1,200 | 17,800 |
Pigeon Corp. | 900 | 38,387 |
Pola Orbis Holdings, Inc. | 932 | 25,116 |
Rakuten, Inc. (2)(3) | 5,200 | 34,885 |
Recruit Holdings Co. Ltd. | 10,057 | 242,964 |
Renesas Electronics Corp. (2) | 4,000 | 18,168 |
Resona Holdings, Inc. | 19,311 | 92,625 |
Ricoh Co. Ltd. | 5,835 | 57,019 |
Rinnai Corp. | 346 | 22,783 |
Rohm Co. Ltd. | 907 | 57,889 |
Ryohin Keikaku Co. Ltd. | 243 | 58,996 |
Sankyo Co. Ltd. | 600 | 22,818 |
Santen Pharmaceutical Co. Ltd. | 2,900 | 41,842 |
SBI Holdings, Inc. | 1,575 | 30,716 |
Secom Co. Ltd. | 1,648 | 136,702 |
Sega Sammy Holdings, Inc. | 1,500 | 20,911 |
Seibu Holdings, Inc. | 1,400 | 24,351 |
Seiko Epson Corp. | 2,252 | 31,453 |
Sekisui Chemical Co. Ltd. | 3,264 | 48,521 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 19
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Sekisui House Ltd. | 4,350 | 63,880 |
Seven & I Holdings Co. Ltd. | 6,826 | 296,625 |
Seven Bank Ltd. | 6,071 | 17,331 |
SG Holdings Co. Ltd. | 1,400 | 36,403 |
Sharp Corp. | 1,524 | 15,258 |
Shimadzu Corp. | 2,014 | 39,716 |
Shimamura Co. Ltd. (3) | 225 | 17,230 |
Shimano, Inc. | 650 | 91,629 |
Shimizu Corp. | 5,627 | 45,775 |
Shin-Etsu Chemical Co. Ltd. | 3,335 | 256,237 |
Shinsei Bank Ltd. | 1,822 | 21,660 |
Shionogi & Co. Ltd. | 2,421 | 138,180 |
Shiseido Co. Ltd. | 3,474 | 217,569 |
Shizuoka Bank Ltd. (The) | 3,925 | 30,596 |
Showa Denko KK | 600 | 17,817 |
Showa Shell Sekiyu KK | 1,921 | 26,614 |
SMC Corp. | 479 | 144,214 |
SoftBank Group Corp. | 7,492 | 490,720 |
Sohgo Security Services Co. Ltd. | 728 | 34,014 |
Sompo Holdings, Inc. | 2,899 | 98,479 |
Sony Corp. | 11,280 | 543,804 |
Sony Financial Holdings, Inc. | 1,774 | 33,061 |
Stanley Electric Co. Ltd. | 1,134 | 31,723 |
Subaru Corp. | 4,928 | 105,279 |
Sumco Corp. (3) | 1,000 | 11,137 |
Sumitomo Chemical Co. Ltd. | 13,034 | 63,120 |
Sumitomo Corp. | 10,225 | 145,080 |
Sumitomo Dainippon Pharma Co. Ltd. | 1,622 | 51,726 |
Sumitomo Electric Industries Ltd. | 6,690 | 88,598 |
Sumitomo Heavy Industries Ltd. | 1,127 | 33,417 |
Sumitomo Metal Mining Co. Ltd. | 2,120 | 56,772 |
Sumitomo Mitsui Financial Group, Inc. | 11,997 | 395,482 |
Sumitomo Mitsui Trust Holdings, Inc. | 2,582 | 94,029 |
Sumitomo Realty & Development Co. Ltd. | 2,468 | 90,350 |
Sumitomo Rubber Industries Ltd. (3) | 1,700 | 20,014 |
Sundrug Co. Ltd. | 700 | 20,845 |
Suntory Beverage & Food Ltd. | 1,117 | 50,435 |
Suzuken Co. Ltd. | 500 | 25,461 |
Suzuki Motor Corp. | 2,978 | 150,125 |
Sysmex Corp. | 1,393 | 66,155 |
T&D Holdings, Inc. | 5,006 | 57,907 |
Taiheiyo Cement Corp. | 1,231 | 37,884 |
Taisei Corp. | 1,849 | 79,190 |
Taisho Pharmaceutical Holdings Co. Ltd. | 167 | 16,761 |
Taiyo Nippon Sanso Corp. | 1,324 | 21,524 |
Takashimaya Co. Ltd. | 1,540 | 19,663 |
Takeda Pharmaceutical Co. Ltd. (3) | 6,400 | 216,925 |
20 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
TDK Corp. | 1,255 | 87,857 |
Teijin Ltd. | 1,307 | 20,860 |
Terumo Corp. | 2,659 | 149,981 |
THK Co. Ltd. | 1,228 | 22,941 |
Tobu Railway Co. Ltd. | 1,973 | 53,271 |
Toho Co. Ltd. | 1,156 | 41,885 |
Toho Gas Co. Ltd. | 772 | 32,474 |
Tohoku Electric Power Co., Inc. | 3,514 | 46,265 |
Tokio Marine Holdings, Inc. | 6,100 | 289,803 |
Tokyo Century Corp. | 500 | 22,021 |
Tokyo Electric Power Co. Holdings, Inc. (2) | 11,600 | 68,904 |
Tokyo Electron Ltd. | 1,488 | 167,510 |
Tokyo Gas Co. Ltd. | 3,362 | 85,032 |
Tokyu Corp. | 2,784 | 45,493 |
Tokyu Fudosan Holdings Corp. | 5,227 | 25,764 |
Toppan Printing Co. Ltd. | 2,674 | 39,306 |
Toray Industries, Inc. | 11,862 | 83,866 |
Toshiba Corp. | 4,474 | 126,332 |
Tosoh Corp. | 1,600 | 20,754 |
TOTO Ltd. | 1,143 | 39,537 |
Toyo Seikan Group Holdings Ltd. | 1,665 | 38,109 |
Toyo Suisan Kaisha Ltd. | 904 | 31,480 |
Toyoda Gosei Co. Ltd. | 662 | 13,033 |
Toyota Industries Corp. | 1,361 | 62,674 |
Toyota Motor Corp. | 19,830 | 1,147,890 |
Toyota Tsusho Corp. | 1,765 | 51,860 |
Trend Micro, Inc. (2) | 1,144 | 61,817 |
Tsuruha Holdings, Inc. | 372 | 31,855 |
Unicharm Corp. | 3,314 | 107,181 |
United Urban Investment Corp. | 22 | 34,072 |
USS Co. Ltd. | 2,235 | 37,500 |
Welcia Holdings Co. Ltd. | 800 | 36,160 |
West Japan Railway Co. | 1,478 | 104,422 |
Yahoo Japan Corp. | 23,517 | 58,504 |
Yakult Honsha Co. Ltd. | 896 | 62,723 |
Yamada Denki Co. Ltd. | 6,405 | 30,761 |
Yamaguchi Financial Group, Inc. | 2,021 | 19,318 |
Yamaha Corp. | 1,409 | 59,938 |
Yamaha Motor Co. Ltd. | 2,354 | 45,959 |
Yamato Holdings Co. Ltd. (3) | 2,964 | 81,263 |
Yamazaki Baking Co. Ltd. | 1,347 | 28,209 |
Yaskawa Electric Corp. (3) | 2,183 | 53,362 |
Yokogawa Electric Corp. | 2,328 | 40,187 |
Yokohama Rubber Co. Ltd. (The) (3) | 1,123 | 21,003 |
ZOZO, Inc. | 1,807 | 33,106 |
26,715,334 | ||
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 21
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Luxembourg - 0.3% | ||
ArcelorMittal | 5,939 | 122,939 |
Aroundtown SA | 6,058 | 50,257 |
Eurofins Scientific SE | 110 | 41,083 |
Millicom International Cellular SA SDR | 674 | 42,648 |
SES SA FDR | 3,178 | 60,846 |
Tenaris SA | 4,814 | 51,740 |
369,513 | ||
Netherlands - 6.1% | ||
ABN AMRO Group NV (5) | 2,854 | 67,160 |
Aegon NV | 16,563 | 77,575 |
AerCap Holdings NV (2) | 1,228 | 48,629 |
Airbus SE | 5,180 | 493,860 |
Akzo Nobel NV | 2,298 | 185,067 |
ASML Holding NV | 3,587 | 561,937 |
CNH Industrial NV | 9,151 | 82,682 |
EXOR NV | 898 | 48,750 |
Fiat Chrysler Automobiles NV (2) | 9,199 | 132,634 |
Heineken Holding NV | 1,027 | 86,768 |
Heineken NV | 2,142 | 189,324 |
ING Groep NV | 33,790 | 363,465 |
Koninklijke Ahold Delhaize NV | 11,589 | 292,763 |
Koninklijke DSM NV | 1,668 | 135,318 |
Koninklijke KPN NV | 27,289 | 79,711 |
Koninklijke Philips NV | 8,460 | 296,603 |
Koninklijke Vopak NV | 716 | 32,469 |
NN Group NV | 2,795 | 111,125 |
NXP Semiconductors NV | 2,976 | 218,081 |
QIAGEN NV (2) | 2,172 | 74,219 |
Randstad NV | 975 | 44,704 |
Royal Dutch Shell plc, Class A | 40,237 | 1,184,289 |
Royal Dutch Shell plc, Class B | 33,195 | 992,447 |
STMicroelectronics NV | 5,943 | 84,234 |
Unilever NV | 14,064 | 761,879 |
Wolters Kluwer NV | 2,422 | 142,431 |
6,788,124 | ||
New Zealand - 0.2% | ||
a2 Milk Co., Ltd. (2) | 7,329 | 55,060 |
Auckland International Airport Ltd. | 7,512 | 36,256 |
Fisher & Paykel Healthcare Corp. Ltd. | 2,978 | 26,024 |
Fletcher Building Ltd. (2) | 7,060 | 23,147 |
Meridian Energy Ltd. | 13,065 | 29,895 |
Ryman Healthcare Ltd. | 3,823 | 27,590 |
Spark New Zealand Ltd. | 18,656 | 52,039 |
250,011 | ||
22 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Norway - 0.7% | ||
Aker BP ASA | 1,364 | 34,391 |
DNB ASA | 8,213 | 131,832 |
Equinor ASA | 10,475 | 222,197 |
Gjensidige Forsikring ASA | 2,039 | 31,898 |
Marine Harvest ASA | 3,437 | 72,443 |
Norsk Hydro ASA | 12,075 | 54,712 |
Orkla ASA | 6,708 | 52,523 |
Schibsted ASA, Class B | 908 | 27,621 |
Telenor ASA | 5,788 | 112,405 |
Yara International ASA | 1,585 | 61,101 |
801,123 | ||
Portugal - 0.2% | ||
Banco Espirito Santo SA (1)(2) | 34,023 | - |
EDP - Energias de Portugal SA | 23,611 | 82,598 |
Galp Energia SGPS SA | 5,073 | 79,878 |
Jeronimo Martins SGPS SA | 1,795 | 21,272 |
183,748 | ||
Singapore - 1.4% | ||
Ascendas Real Estate Investment Trust | 19,131 | 36,104 |
CapitaLand Commercial Trust | 21,099 | 27,100 |
CapitaLand Ltd. | 26,148 | 59,629 |
CapitaLand Mall Trust | 25,281 | 41,923 |
City Developments Ltd. | 4,171 | 24,866 |
ComfortDelGro Corp. Ltd. | 21,978 | 34,715 |
DBS Group Holdings Ltd. | 16,148 | 280,811 |
Genting Singapore Ltd. | 48,954 | 35,042 |
Golden Agri-Resources Ltd. | 123,300 | 22,137 |
Jardine Cycle & Carriage Ltd. | 1,007 | 26,070 |
Keppel Corp. Ltd. | 14,828 | 64,371 |
Oversea-Chinese Banking Corp. Ltd. | 28,436 | 235,211 |
SATS Ltd. | 6,826 | 23,380 |
SembCorp Industries Ltd. | 12,300 | 22,916 |
Singapore Airlines Ltd. | 3,300 | 22,798 |
Singapore Exchange Ltd. | 5,000 | 26,204 |
Singapore Press Holdings Ltd. | 15,419 | 26,571 |
Singapore Technologies Engineering Ltd. | 10,618 | 27,219 |
Singapore Telecommunications Ltd. | 62,191 | 133,850 |
Suntec Real Estate Investment Trust | 24,465 | 31,913 |
United Overseas Bank Ltd. | 12,114 | 219,142 |
UOL Group Ltd. | 4,870 | 22,148 |
Venture Corp. Ltd. | 2,000 | 20,534 |
Wilmar International Ltd. | 10,700 | 24,504 |
Yangzijiang Shipbuilding Holdings Ltd. | 20,000 | 18,377 |
1,507,535 | ||
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 23
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Spain - 3.1% | ||
ACS Actividades de Construccion y Servicios SA | 1,960 | 75,866 |
Aena SME SA (5) | 615 | 95,553 |
Amadeus IT Group SA, Class A | 3,966 | 275,945 |
Banco Bilbao Vizcaya Argentaria SA | 59,631 | 316,749 |
Banco de Sabadell SA | 46,278 | 52,952 |
Banco Santander SA | 142,961 | 649,185 |
Bankia SA (3) | 11,742 | 34,355 |
Bankinter SA | 5,419 | 43,483 |
CaixaBank SA | 33,360 | 120,811 |
Enagas SA (3) | 2,312 | 62,498 |
Endesa SA | 3,238 | 74,670 |
Ferrovial SA | 4,427 | 89,659 |
Grifols SA | 2,499 | 65,603 |
Iberdrola SA | 55,236 | 443,538 |
Industria de Diseno Textil SA | 8,964 | 228,803 |
International Consolidated Airlines Group SA | 5,802 | 45,997 |
Mapfre SA (3) | 10,989 | 29,186 |
Naturgy Energy Group SA | 2,975 | 75,894 |
Red Electrica Corp. SA | 4,173 | 93,059 |
Repsol SA | 10,766 | 173,085 |
Siemens Gamesa Renewable Energy SA (2)(3) | 1,846 | 22,476 |
Telefonica SA | 39,336 | 331,107 |
3,400,474 | ||
Sweden - 2.5% | ||
Alfa Laval AB | 2,993 | 64,341 |
Assa Abloy AB, Class B | 8,723 | 156,201 |
Atlas Copco AB, Class A | 5,827 | 139,021 |
Atlas Copco AB, Class B | 3,558 | 77,962 |
Boliden AB | 2,356 | 51,052 |
Electrolux AB, Series B | 1,958 | 41,272 |
Epiroc AB, Class A (2) | 5,827 | 55,383 |
Epiroc AB, Class B (2) | 3,558 | 31,760 |
Essity AB, Class B | 5,585 | 137,288 |
Hennes & Mauritz AB, Class B (3) | 7,113 | 101,155 |
Hexagon AB, Class B | 2,400 | 110,946 |
Husqvarna AB, Class B | 4,245 | 31,515 |
ICA Gruppen AB (3) | 820 | 29,294 |
Industrivarden AB, Class C | 1,673 | 33,872 |
Investor AB, Class B | 4,344 | 184,595 |
Kinnevik AB, Class B | 1,988 | 48,108 |
L E Lundbergforetagen AB, Class B | 510 | 15,061 |
Lundin Petroleum AB | 1,894 | 47,301 |
Sandvik AB | 10,353 | 148,341 |
Securitas AB, Class B | 3,192 | 51,423 |
Skandinaviska Enskilda Banken AB, Class A | 13,044 | 126,799 |
24 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Skanska AB, Class B | 2,734 | 43,594 |
SKF AB, Class B | 3,325 | 50,535 |
Svenska Handelsbanken AB, Class A | 12,961 | 144,200 |
Swedbank AB, Class A | 7,827 | 174,942 |
Swedish Match AB | 1,590 | 62,594 |
Tele2 AB, Class B | 3,663 | 46,717 |
Telefonaktiebolaget LM Ericsson, Class B | 24,333 | 215,395 |
Telia Co. AB | 25,833 | 122,885 |
Volvo AB, Class B | 14,184 | 185,726 |
2,729,278 | ||
Switzerland - 9.1% | ||
ABB Ltd. | 16,743 | 319,726 |
Adecco Group AG | 1,418 | 66,649 |
Baloise Holding AG | 415 | 57,295 |
Barry Callebaut AG | 22 | 34,335 |
Chocoladefabriken Lindt & Sprungli AG | 1 | 74,632 |
Chocoladefabriken Lindt & Sprungli AG PC | 10 | 62,139 |
Cie Financiere Richemont SA | 4,675 | 301,480 |
Clariant AG | 1,110 | 20,470 |
Coca-Cola HBC AG | 1,844 | 57,713 |
Credit Suisse Group AG | 19,153 | 209,375 |
Dufry AG (3) | 109 | 10,379 |
EMS-Chemie Holding AG | 52 | 24,758 |
Ferguson plc | 2,176 | 139,043 |
Geberit AG | 344 | 133,961 |
Givaudan SA | 68 | 157,670 |
Glencore plc | 99,586 | 370,267 |
Julius Baer Group Ltd. | 2,030 | 72,342 |
Kuehne & Nagel International AG | 489 | 62,947 |
LafargeHolcim Ltd. | 4,164 | 171,842 |
Lonza Group AG | 692 | 179,889 |
Nestle SA | 26,527 | 2,153,004 |
Novartis AG | 19,191 | 1,643,598 |
Pargesa Holding SA | 354 | 25,531 |
Partners Group Holding AG (3) | 156 | 94,902 |
Roche Holding AG PC | 6,221 | 1,544,418 |
Schindler Holding AG | 110 | 21,380 |
Schindler Holding AG PC | 412 | 81,804 |
SGS SA | 49 | 110,300 |
Sika AG | 1,200 | 152,428 |
Sonova Holding AG | 543 | 89,294 |
Straumann Holding AG | 95 | 59,998 |
Swatch Group AG (The) | 505 | 29,210 |
Swatch Group AG (The), Bearer Shares | 228 | 66,544 |
Swiss Life Holding AG | 289 | 111,545 |
Swiss Prime Site AG | 646 | 52,327 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 25
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Swiss Re AG | 2,847 | 261,925 |
Swisscom AG | 201 | 96,073 |
Temenos AG | 441 | 52,992 |
UBS Group AG | 34,537 | 430,788 |
Vifor Pharma AG (3) | 390 | 42,438 |
Zurich Insurance Group AG | 1,356 | 404,208 |
10,051,619 | ||
United Kingdom - 14.2% | ||
3i Group plc | 8,757 | 86,407 |
Admiral Group plc | 1,608 | 41,959 |
Anglo American plc | 8,632 | 193,017 |
Antofagasta plc | 4,020 | 40,206 |
Ashtead Group plc | 4,542 | 94,743 |
Associated British Foods plc | 3,229 | 84,159 |
AstraZeneca plc | 11,256 | 840,214 |
Auto Trader Group plc (5) | 8,362 | 48,528 |
Aviva plc | 31,617 | 151,319 |
Babcock International Group plc | 2,322 | 14,483 |
BAE Systems plc | 28,922 | 169,161 |
Barclays plc | 148,320 | 283,776 |
Barratt Developments plc | 8,797 | 51,891 |
Berkeley Group Holdings plc | 1,068 | 47,369 |
BHP Group plc (2) | 18,945 | 400,327 |
BP plc | 175,243 | 1,107,831 |
British American Tobacco plc | 19,976 | 635,617 |
British Land Co. plc (The) | 8,346 | 56,755 |
BT Group plc | 72,149 | 219,376 |
Bunzl plc | 2,897 | 87,486 |
Burberry Group plc | 3,925 | 86,189 |
Carnival plc | 1,546 | 74,242 |
Centrica plc | 43,792 | 75,540 |
Coca-Cola European Partners plc (2)(6) | 1 | 46 |
Coca-Cola European Partners plc (2)(6) | 1,736 | 79,996 |
Compass Group plc | 14,287 | 300,667 |
ConvaTec Group plc (5) | 9,566 | 16,944 |
Croda International plc | 1,191 | 71,128 |
Diageo plc | 21,906 | 782,798 |
Direct Line Insurance Group plc | 11,922 | 48,462 |
easyJet plc | 1,619 | 22,813 |
Fresnillo plc | 2,253 | 24,756 |
G4S plc | 12,759 | 32,208 |
GlaxoSmithKline plc | 43,689 | 832,626 |
GVC Holdings plc | 4,677 | 40,152 |
Hammerson plc | 8,073 | 33,987 |
Hargreaves Lansdown plc | 2,659 | 62,712 |
HSBC Holdings plc | 176,853 | 1,458,990 |
26 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Imperial Brands plc | 8,611 | 261,359 |
Informa plc | 8,510 | 68,307 |
InterContinental Hotels Group plc | 1,612 | 87,198 |
Intertek Group plc | 1,422 | 87,030 |
Investec plc | 6,644 | 37,351 |
ITV plc | 34,182 | 54,406 |
J Sainsbury plc | 16,600 | 56,116 |
John Wood Group plc | 4,732 | 30,445 |
Johnson Matthey plc | 1,639 | 58,522 |
Kingfisher plc | 19,212 | 50,514 |
Land Securities Group plc | 6,865 | 70,489 |
Legal & General Group plc | 47,541 | 140,073 |
Lloyds Banking Group plc | 630,386 | 415,538 |
London Stock Exchange Group plc | 2,871 | 148,949 |
Marks & Spencer Group plc | 16,551 | 51,910 |
Meggitt plc | 7,904 | 47,480 |
Melrose Industries plc | 36,399 | 76,041 |
Merlin Entertainments plc (5) | 7,236 | 29,310 |
Micro Focus International plc | 3,814 | 66,816 |
Mondi plc | 3,206 | 66,774 |
National Grid plc | 30,455 | 297,951 |
Next plc | 1,210 | 61,609 |
NMC Health plc | 541 | 18,882 |
Pearson plc | 7,041 | 84,350 |
Persimmon plc | 2,734 | 67,327 |
Prudential plc | 23,298 | 416,020 |
Randgold Resources Ltd. | 955 | 79,480 |
Reckitt Benckiser Group plc | 5,982 | 458,079 |
RELX plc (6) | 9,710 | 200,224 |
RELX plc (6) | 8,296 | 170,692 |
Rio Tinto plc | 10,812 | 517,812 |
Rolls-Royce Holdings plc | 15,214 | 160,279 |
Royal Bank of Scotland Group plc | 36,146 | 100,271 |
Royal Mail plc | 7,310 | 25,372 |
RSA Insurance Group plc | 8,671 | 56,906 |
Sage Group plc (The) | 9,664 | 74,117 |
Schroders plc | 934 | 29,088 |
Segro plc | 8,386 | 62,955 |
Severn Trent plc | 2,400 | 55,634 |
Smith & Nephew plc | 7,814 | 146,268 |
Smiths Group plc | 3,491 | 60,775 |
SSE plc | 9,191 | 126,924 |
St James’s Place plc | 4,702 | 56,630 |
Standard Chartered plc | 27,254 | 211,809 |
Standard Life Aberdeen plc | 21,252 | 69,586 |
Taylor Wimpey plc | 27,593 | 47,980 |
Tesco plc | 66,118 | 160,347 |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 27
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Unilever plc | 10,060 | 528,178 |
United Utilities Group plc | 6,952 | 65,366 |
Vodafone Group plc | 226,145 | 439,691 |
Weir Group plc (The) | 2,420 | 40,073 |
Whitbread plc | 1,607 | 93,844 |
WM Morrison Supermarkets plc | 18,613 | 50,600 |
WPP plc | 9,814 | 106,806 |
15,745,433 | ||
Total Common Stocks (Cost $93,485,084) | 110,113,025 | |
RIGHTS - 0.0% (4) | ||
Spain - 0.0% (4) | ||
Repsol SA, Exp. 1/9/19 (2)(3) | 10,766 | 4,934 |
Total Rights (Cost $5,045) | 4,934 | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.0% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% | 1,076,135 | 1,076,135 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $1,076,135) | 1,076,135 | |
TOTAL INVESTMENTS (Cost $94,566,264) - 100.3% | 111,194,094 | |
Other assets and liabilities, net - (0.3%) | (381,983) | |
NET ASSETS - 100.0% | 110,812,111 |
NOTES TO SCHEDULE OF INVESTMENTS |
(1) For fair value measurement purposes, security is categorized as Level 3 (see Note 1A). |
(2) Non-income producing security. |
(3) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $3,043,293. |
(4) Amount is less than 0.05%. |
(5) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $775,308, which represents 0.7% of the net assets of the Fund as of December 31, 2018. |
(6) Securities are traded on separate exchanges for the same entity. |
28 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
At December 31, 2018, the concentration of the Fund’s investments in the various sectors, determined as a percentage of total investments, was as follows: | ||
ECONOMIC SECTORS | % of total investments* | |
Financials | 19.5 | % |
Industrials | 14.3 | % |
Consumer Staples | 11.5 | % |
Health Care | 11.4 | % |
Consumer Discretionary | 11.2 | % |
Materials | 7.4 | % |
Information Technology | 5.9 | % |
Energy | 5.9 | % |
Communication Services | 5.5 | % |
Utilities | 3.7 | % |
Real Estate | 3.7 | % |
Total | 100.0 | % |
* Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
Abbreviations: | |
ADR: | American Depositary Receipt |
CDI: | CHESS Depositary Interest |
FDR: | Fiduciary Depositary Receipt |
PC: | Participation Certificate |
PFC Shares: | Preference Shares |
SDR: | Swedish Depositary Receipt |
See notes to financial statements. |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 29
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $94,566,264) - including $3,043,293 of securities on loan | $111,194,094 | ||
Cash | 103,956 | ||
Cash denominated in foreign currency, at value (cost $132,287) | 131,869 | ||
Receivable for investments sold | 26,756 | ||
Receivable for capital shares sold | 191,451 | ||
Dividends receivable | 128,269 | ||
Securities lending income receivable | 1,637 | ||
Tax reclaims receivable | 210,619 | ||
Receivable from affiliate | 23,599 | ||
Directors’ deferred compensation plan | 22,340 | ||
Other assets | 3,989 | ||
Total assets | 112,038,579 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 4,225 | ||
Deposits for securities loaned | 1,076,135 | ||
Payable to affiliates: | |||
Investment advisory fee | 28,706 | ||
Administrative fee | 11,483 | ||
Distribution and service fee | 1,314 | ||
Sub-transfer agency fee | 76 | ||
Directors’ deferred compensation plan | 22,340 | ||
Accrued expenses | 82,189 | ||
Total liabilities | 1,226,468 | ||
NET ASSETS | $110,812,111 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(20,000,000 shares per class of $0.10 par value authorized) | $96,530,708 | ||
Distributable earnings | 14,281,403 | ||
Total | $110,812,111 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $103,167,512 and 1,351,931 shares outstanding) | $76.31 | ||
Class F (based on net assets of $7,644,599 and 99,938 shares outstanding) | $76.49 | ||
See notes to financial statements. |
30 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $390,473) | $4,128,192 | ||
Interest income | 602 | ||
Securities lending income, net | 40,884 | ||
Total investment income | 4,169,678 | ||
EXPENSES | |||
Investment advisory fee | 396,799 | ||
Administrative fee | 158,720 | ||
Distribution and service fees: | |||
Class F | 15,619 | ||
Directors’ fees and expenses | 6,600 | ||
Custodian fees | 127,801 | ||
Transfer agency fees and expenses | 18,978 | ||
Accounting fees | 48,993 | ||
Professional fees | 33,786 | ||
Reports to shareholders | 34,236 | ||
Licensing fees | 61,160 | ||
Interest expense and fees | 6,704 | ||
Miscellaneous | 16,586 | ||
Total expenses | 925,982 | ||
Waiver and/or reimbursement of expenses by affiliate | (261,031) | ||
Reimbursement of expenses-other | (2,393) | ||
Net expenses | 662,558 | ||
Net investment income | 3,507,120 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | (1,103,565) | ||
Foreign currency transactions | (30,229) | ||
(1,133,794) | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (19,777,427) | ||
Foreign currency | (8,914) | ||
(19,786,341) | |||
Net realized and unrealized loss | (20,920,135) | ||
Net decrease in net assets resulting from operations | ($17,413,015 | ) | |
See notes to financial statements. |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 31
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $3,507,120 | $3,490,680 | |||||
Net realized loss | (1,133,794) | (1,679,323) | |||||
Net change in unrealized appreciation (depreciation) | (19,786,341) | 28,968,942 | |||||
Net increase (decrease) in net assets resulting from operations | (17,413,015) | 30,780,299 | |||||
Distributions to shareholders:(1) | |||||||
Class I shares | (3,852,123) | (3,425,465) | |||||
Class F shares | (275,444) | (161,044) | |||||
Total distributions to shareholders | (4,127,567) | (3,586,509) | |||||
Capital share transactions: | |||||||
Class I shares | (17,855,847) | (9,744,253) | |||||
Class F shares | 1,900,879 | 1,687,228 | |||||
Net decrease in net assets from capital share transactions | (15,954,968) | (8,057,025) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (37,495,550) | 19,136,765 | |||||
NET ASSETS | |||||||
Beginning of year | 148,307,661 | 129,170,896 | |||||
End of year | $110,812,111 | $148,307,661(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was from net investment income. The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $3,043,508 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
32 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS I SHARES | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||
Net asset value, beginning | $91.21 | $74.93 | $76.87 | $78.33 | $85.97 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (1) | 2.36 | 2.11 | 1.88 | 1.63 | 2.24 | |||||||||
Net realized and unrealized gain (loss) | (14.36) | 16.39 | (1.54) | (2.88) | (7.75) | |||||||||
Total from investment operations | (12.00) | 18.50 | 0.34 | (1.25) | (5.51) | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (2.90) | (2.22) | (2.28) | (0.21) | (2.13) | |||||||||
Total distributions | (2.90) | (2.22) | (2.28) | (0.21) | (2.13) | |||||||||
Total increase (decrease) in net asset value | (14.90) | 16.28 | (1.94) | (1.46) | (7.64) | |||||||||
Net asset value, ending | $76.31 | $91.21 | $74.93 | $76.87 | $78.33 | |||||||||
Total return (2) | (13.58 | %) | 24.76 | % | 0.46 | % | (1.61 | %) | (6.44 | %) | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.69 | % | (4) | 0.68 | % | 0.98 | % | 0.95 | % | 0.98 | % | |||
Net expenses | 0.49 | % | (4) | 0.48 | % | 0.97 | % | 0.95 | % | 0.98 | % | |||
Net investment income | 2.67 | % | 2.49 | % | 2.50 | % | 2.01 | % | 2.63 | % | ||||
Portfolio turnover | 6 | % | 3 | % | 22 | % | 10 | % | 28 | % | ||||
Net assets, ending (in thousands) | $103,168 | $141,082 | $124,685 | $154,811 | $170,425 | |||||||||
(1) Computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(4) Includes interest expense of 0.01%. | ||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 33
CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS F SHARES | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||
Net asset value, beginning | $91.65 | $75.47 | $77.45 | $78.93 | $86.41 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (1) | 2.09 | 1.87 | 1.60 | 1.44 | 2.03 | |||||||||
Net realized and unrealized gain (loss) | (14.35) | 16.53 | (1.43) | (2.90) | (7.74) | |||||||||
Total from investment operations | (12.26) | 18.40 | 0.17 | (1.46) | (5.71) | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (2.90) | (2.22) | (2.15) | (0.02) | (1.77) | |||||||||
Total distributions | (2.90) | (2.22) | (2.15) | (0.02) | (1.77) | |||||||||
Total increase (decrease) in net asset value | (15.16) | 16.18 | (1.98) | (1.48) | (7.48) | |||||||||
Net asset value, ending | $76.49 | $91.65 | $75.47 | $77.45 | $78.93 | |||||||||
Total return (2) | (13.80 | %) | 24.44 | % | 0.24 | % | (1.84 | %) | (6.62 | %) | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.89 | % | (4) | 0.91 | % | 1.26 | % | 1.24 | % | 1.32 | % | |||
Net expenses | 0.74 | % | (4) | 0.73 | % | 1.19 | % | 1.19 | % | 1.19 | % | |||
Net investment income | 2.37 | % | 2.18 | % | 2.11 | % | 1.75 | % | 2.37 | % | ||||
Portfolio turnover | 6 | % | 3 | % | 22 | % | 10 | % | 28 | % | ||||
Net assets, ending (in thousands) | $7,645 | $7,226 | $4,486 | $3,906 | $3,926 | |||||||||
(1) Computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(4) Includes interest expense of 0.01%. | ||||||||||||||
See notes to financial statements. |
34 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP EAFE International Index Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the total return performance of common stocks as represented by the MSCI EAFE Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class-specific expenses; (b) exchange privileges; and (c) class-specific voting rights.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Fund’s Board has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Such securities are categorized as Level 2 in the hierarchy.
Short-Term Debt Securities. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a
www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT 35
consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Level 4 | |||||||||
Common Stocks | |||||||||||||
Australia | $67,873 | $7,549,508 | $— | $7,617,381 | |||||||||
Hong Kong | 34,183 | 4,195,577 | — | 4,229,760 | |||||||||
Israel | 290,056 | 293,873 | — | 583,929 | |||||||||
Netherlands | 266,710 | 6,521,414 | — | 6,788,124 | |||||||||
Portugal | — | 183,748 | — | 183,748 | |||||||||
United Kingdom | 46 | 15,745,387 | — | 15,745,433 | |||||||||
Other Countries(2) | — | 74,964,650 | — | 74,964,650 | |||||||||
Total Common Stocks | $658,868 | $109,454,157 | (3) | $— | $110,113,025 | ||||||||
Rights | 4,934 | — | — | 4,934 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 1,076,135 | — | — | 1,076,135 | |||||||||
Total Investments | $1,739,937 | $109,454,157 | $— | $111,194,094 | |||||||||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | |||||||||||||
(2) For further breakdown of equity securities by country, please refer to the Schedule of Investments. | |||||||||||||
(3) Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Level 3 investments at the beginning and end of the period were valued at $0 and accordingly, a reconciliation of Level 3 assets for the year ended December 31, 2018 is not presented.
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. In consideration of recent decisions rendered by European courts, the Fund has filed additional tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Due to the uncertainty as to the ultimate resolution of these proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment, no amounts are reflected in the financial statements for such outstanding reclaims. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Foreign Currency Transactions: The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current
36 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
exchange rate. Security transactions, income, and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
F. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
H. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.30% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $396,799.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.48% for Class I and 0.73% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $251,729.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the year ended December 31, 2018, CRM was paid administrative fees of $158,720, of which $9,302 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.20% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $15,619 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $317 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the
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Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $2,393, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, expenses incurred under the Servicing Plan amounted to $14,154 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $7,438,208 and $23,997,343, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | ||||||
2018 | 2017 | |||||
Ordinary income | $4,127,567 | $3,586,509 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $3,243,086 | ||
Deferred capital losses | ($2,815,952 | ) | |
Net unrealized appreciation (depreciation) | $13,854,269 |
At December 31, 2018, the Fund, for federal income tax purposes, had deferred capital losses of $2,815,952 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at December 31, 2018, $2,815,952 are long-term.
The cost and unrealized appreciation (depreciation) of investments of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $97,338,848 | ||
Gross unrealized appreciation | $23,762,797 | ||
Gross unrealized depreciation | (9,907,551) | ||
Net unrealized appreciation (depreciation) | $13,855,246 |
38 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
NOTE 6 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $3,043,293 and the total value of collateral received was $3,181,558, comprised of cash of $1,076,135 and U.S. Government and/or agencies securities of $2,105,423.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $3,176,713 | $— | $— | $— | $3,176,713 | ||||||||||
Rights | 4,845 | 4,845 | |||||||||||||
Total | $3,181,558 | $— | $— | $— | $3,181,558 |
The carrying amount of the liability for deposits for securities loaned at December 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at December 31, 2018.
NOTE 7 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings outstanding pursuant to this line of credit at December 31, 2018. Average borrowings and the weighted average interest rate (excluding fees) for the year ended December 31, 2018 were $209,152 and 3.21%, respectively.
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NOTE 8 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||
Shares | Amount | Shares | Amount | ||||||
Class I | |||||||||
Shares sold | 114,272 | $10,056,808 | 109,781 | $9,335,003 | |||||
Reinvestment of distributions | 43,749 | 3,852,123 | 38,510 | 3,425,465 | |||||
Shares redeemed | (352,849) | (31,764,778) | (265,463) | (22,504,721) | |||||
Net decrease | (194,828) | ($17,855,847 | ) | (117,172) | ($9,744,253 | ) | |||
Class F | |||||||||
Shares sold | 36,805 | $3,296,228 | 36,010 | $3,096,651 | |||||
Reinvestment of distributions | 3,119 | 275,444 | 1,801 | 161,044 | |||||
Shares redeemed | (18,831) | (1,670,793) | (18,403) | (1,570,467) | |||||
Net increase | 21,093 | $1,900,879 | 19,408 | $1,687,228 |
At December 31, 2018, separate accounts of an insurance company owned 76.9% of the value of the outstanding shares of the Fund.
NOTE 9 — RISKS ASSOCIATED WITH FOREIGN INVESTMENTS
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
40 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP EAFE International Index Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
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FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the foreign tax credit.
Foreign Tax Credit. For the fiscal year ended December 31, 2018, the Fund paid foreign taxes of $268,237 and recognized foreign source income of $4,518,648.
42 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
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Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
44 www.calvert.com CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT VP EAFE INTERNATIONAL INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
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Calvert VP Volatility Managed Moderate Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Fund Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions Global stock indexes declined during the 12-month period ended December 31, 2018, amid trade tensions and weakening economies in China and Europe. While U.S. stocks bucked the trend for most of the year, a sharp pullback in the final quarter left major U.S. indexes lower at the end of the period. U.S. stocks opened the period on an upswing as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. European stocks, meanwhile, began a prolonged downturn in late January 2018 amid mounting global trade war concerns, political uncertainties, and economic worries. In China, signs of a slowing economy compounded trade concerns, sending Chinese stocks into a prolonged slump that reached bear market territory in late June 2018. U.S. stocks bounced back during the summer months, but international stocks continued to lag. In the final three months of the period, stock indexes worldwide plunged amid global trade war fears and sagging economies in China and Europe. For the 12-month period ended December 31, 2018, the MSCI World Index,2 a proxy for global equities, declined 8.71%. In the U.S., the blue-chip Dow Jones Industrial Average® lost 3.48%, while the broader U.S. equity market represented by the S&P 500® Index dropped 4.38%. The MSCI EAFE Index of developed-market international equities fell 13.79%, and the MSCI Emerging Markets Index fell 14.58% during the period. As the economy showed signs of strength for most of the year, the Fed raised interest rates four times during the period with the federal funds rate ending the year at 2.5%, the highest level since January 2008. U.S. fixed-income markets, depending on the segment of the market, eked out meager positive or negative returns during the period. U.S. investment-grade fixed-income securities marginally advanced during the period, with the Bloomberg Barclays U.S. Aggregate Bond Index returning 0.01%. Hurt by growing volatility late in the period, higher-risk assets retreated, with the ICE BofAML U.S. High Yield Index returning -2.26%. The 10-year U.S. Treasury bond yield closed at 2.69%, up from 2.40% at the outset of the period. | Investment Strategy Calvert VP Volatility Managed Moderate Portfolio (the Fund) invests in exchange-traded funds (ETFs) representing a broad range of asset classes. The Fund uses a macro strategy that entails setting an asset-allocation target weight, along with a typical allocation range. Market capitalizations, investment styles, and economic sectors are among the variables considered when securities are selected for the Fund. Target asset weights will change periodically based on economic conditions and other factors. The Fund implements a volatility-management and capital protection strategy that uses equity index futures contracts in an effort to stabilize portfolio volatility around a target level, capture growth in up markets, and hedge against declines in the value of the Fund’s ETF investments. The strategy continuously monitors and attempts to forecast market volatility and will adjust the Fund’s futures contract positions in an effort to meet these goals. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -5.73% for Class F shares at net asset value (NAV), underperforming its primary benchmark, the S&P 500 Daily Risk Control 7.5% Index (the Index), which returned -0.97% for the period. Fund performance is also measured against a secondary, custom-blended composite benchmark based on a mix of market indexes that more closely reflects the Fund’s asset-allocation strategy than the single asset-class Index, which is used to capture the impact of the volatility-management strategy. The Fund underperformed its secondary composite benchmark, which returned -3.07% for the period. The Fund underperformed the Index by 4.76% for the period. The Fund consists of multiple asset classes, while the Index consists of two components: the S&P 500® Index and cash. When market volatility is high, as it was during the period, the Index has a smaller allocation to the S&P 500® Index, which returned -4.38% in 2018, and a larger allocation to cash. Relative to the secondary composite benchmark, the Fund was generally overweight in stocks throughout the period with mixed results as equity markets were much more volatile than in recent years. Within domestic stocks, a small overweight position in the health care sector was the largest positive contributor as it was the best-performing market sector in the secondary benchmark in 2018. A modest overweight position in small-cap stocks and the financials sector were the largest detractors. Small-cap stocks trailed large-cap stocks significantly and the financials sector underperformed the broad market. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Kevin L. Keene, CFA of Ameritas Investment Partners, Inc., Adam Schenck, CFA, FRM and Blake Graves, CFA, FRM, each of Milliman Financial Risk Management LLC | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | |||||||||
Class F at NAV | 04/30/2013 | 04/30/2013 | -5.73 | % | 3.61 | 3.53 | % | |||||||
S&P 500 Daily Risk Control 7.5% Index | — | — | -0.97 | % | 5.44 | % | 6.63 | % | ||||||
Moderate Portfolio Custom Blended Benchmark | — | — | -3.07 | 4.43 | 4.92 | |||||||||
% Total Annual Operating Expense Ratios4 | Class F | |||||||||||||
Gross | 0.97 | % | ||||||||||||
Net | 0.91 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class F of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT (Unaudited) 3
FUND PROFILE
ASSET ALLOCATION (% of total investments)5 | ||||||
Equity Funds | 50.6 | % | ||||
Fixed-Income Funds | 49.4 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures |
1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
2 | MSCI World Index is an unmanaged index of equity securities in the developed markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P 500 Daily Risk Control 7.5% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 7.5%. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. ICE BofAML U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. ICE BofAML 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Moderate Portfolio Custom Blended Benchmark is an internally |
constructed benchmark which is comprised of a blend of 48% Bloomberg Barclays U.S. Aggregate Bond Index, 36% Russell 3000® Index, 10% MSCI EAFE Index, 4% ICE BofAML 3-Month U.S. Treasury Bill Index, and 2% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.
3 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
5 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
Fund profile subject to change due to active management.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT (Unaudited) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class F | $1,000.00 | $954.80 | $4.09** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,021.02 | $4.23** | 0.83% |
* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 95.2% | ||
Equity Exchange-Traded Funds - 48.2% | ||
Financial Select Sector SPDR Fund (1) | 67,000 | 1,595,940 |
Health Care Select Sector SPDR Fund (1) | 18,000 | 1,557,180 |
iShares Core S&P Mid-Cap ETF | 24,000 | 3,985,440 |
iShares Russell 2000 ETF (1) | 27,000 | 3,615,300 |
iShares S&P 500 Growth ETF (1) | 27,000 | 4,068,090 |
iShares S&P 500 Value ETF | 30,000 | 3,034,200 |
iShares S&P Mid-Cap 400 Value ETF | 7,000 | 968,380 |
Technology Select Sector SPDR Fund (1) | 24,000 | 1,487,520 |
Vanguard FTSE Developed Markets ETF | 256,000 | 9,497,600 |
Vanguard FTSE Emerging Markets ETF | 27,000 | 1,028,700 |
Vanguard REIT ETF | 26,000 | 1,938,820 |
Vanguard S&P 500 ETF | 74,000 | 17,005,940 |
49,783,110 | ||
Fixed-Income Exchange-Traded Funds - 47.0% | ||
iShares Core U.S. Aggregate Bond ETF | 228,000 | 24,279,720 |
Vanguard Total Bond Market ETF | 306,000 | 24,238,260 |
48,517,980 | ||
Total Exchange-Traded Funds (Cost $95,277,230) | 98,301,090 | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 4.1% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% | 4,229,199 | 4,229,199 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $4,229,199) | 4,229,199 | |
TOTAL INVESTMENTS (Cost $99,506,429) - 99.3% | 102,530,289 | |
Other assets and liabilities, net - 0.7% | 674,747 | |
NET ASSETS - 100.0% | 103,205,036 |
NOTES TO SCHEDULE OF INVESTMENTS |
(1) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $6,194,257. |
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT 7
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Short: | ||||||||
E-mini Russell 2000 Index | (43) | 3/15/19 | ($2,900,350 | ) | $63,523 | |||
E-mini S&P 500 Index | (92) | 3/15/19 | (11,523,920) | 189,221 | ||||
E-mini S&P MidCap 400 Index | (13) | 3/15/19 | (2,160,860) | 43,910 | ||||
MSCI EAFE Index | (52) | 3/15/19 | (4,461,600) | 30,451 | ||||
Total Short | $327,105 | |||||||
See notes to financial statements. |
8 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT
CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $99,506,429) - including $6,194,257 of securities on loan | $102,530,289 | ||
Cash | 3,510,989 | ||
Receivable for investments sold | 554,753 | ||
Securities lending income receivable | 3,563 | ||
Receivable from affiliate | 18,267 | ||
Deposits at broker for futures contracts | 1,045,250 | ||
Directors’ deferred compensation plan | 19,872 | ||
Other assets | 3,459 | ||
Total assets | 107,686,442 | ||
LIABILITIES | |||
Payable for variation margin on open futures contracts | 124,598 | ||
Payable for capital shares redeemed | 14,093 | ||
Deposits for securities loaned | 4,229,199 | ||
Payable to affiliates: | |||
Investment advisory fee | 37,370 | ||
Administrative fee | 10,677 | ||
Distribution and service fees | 22,244 | ||
Sub-transfer agency fee | 18 | ||
Directors’ deferred compensation plan | 19,872 | ||
Accrued expenses | 23,335 | ||
Total liabilities | 4,481,406 | ||
NET ASSETS | $103,205,036 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(100,000,000 shares of $0.10 par value authorized) | $98,004,713 | ||
Distributable earnings | 5,200,323 | ||
Total | $103,205,036 | ||
NET ASSET VALUE PER SHARE | |||
Class F (based on net assets of $103,205,036 and 6,257,540 shares outstanding) | $16.49 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT 9
CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income | $2,587,766 | ||
Interest income | 19,927 | ||
Securities lending income, net | 25,228 | ||
Total investment income | 2,632,921 | ||
EXPENSES | |||
Investment advisory fee | 473,666 | ||
Administrative fee | 135,333 | ||
Distribution and service fees | 281,944 | ||
Directors’ fees and expenses | 5,743 | ||
Custodian fees | 23,211 | ||
Transfer agency fees and expenses | 1,632 | ||
Accounting fees | 27,116 | ||
Professional fees | 24,789 | ||
Reports to shareholders | 15,879 | ||
Miscellaneous | 9,557 | ||
Total expenses | 998,870 | ||
Waiver and/or reimbursement of expenses by affiliate | (62,268) | ||
Reimbursement of expenses-other | (2,175) | ||
Net expenses | 934,427 | ||
Net investment income | 1,698,494 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 2,159,417 | ||
Futures contracts | (1,694,484) | ||
Capital gains distributions received | 6,361 | ||
471,294 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (8,767,719) | ||
Futures contracts | 223,116 | ||
(8,544,603) | |||
Net realized and unrealized loss | (8,073,309) | ||
Net decrease in net assets resulting from operations | ($6,374,815 | ) | |
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT
CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $1,698,494 | $1,536,522 | |||||
Net realized gain | 471,294 | 2,626,333 | |||||
Net change in unrealized appreciation (depreciation) | (8,544,603) | 9,091,093 | |||||
Net increase (decrease) in net assets resulting from operations | (6,374,815) | 13,253,948 | |||||
Distributions to shareholders(1) | (4,315,296) | (2,214,092) | |||||
Net decrease in net assets from capital share transactions | (4,582,374) | (2,629,055) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (15,272,485) | 8,410,801 | |||||
NET ASSETS | |||||||
Beginning of year | 118,477,521 | 110,066,720 | |||||
End of year | $103,205,036 | $118,477,521(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was as follows: Net investment income - ($1,504,805) Net realized gain - ($709,287) The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $1,531,855 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS F SHARES | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||
Net asset value, beginning | $18.18 | $16.52 | $15.50 | $16.01 | $15.17 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (1) | 0.27 | 0.23 | 0.24 | 0.23 | 0.29 | |||||||||
Net realized and unrealized gain (loss) | (1.26) | 1.77 | 0.78 | (0.42) | 0.81 | |||||||||
Total from investment operations | (0.99) | 2.00 | 1.02 | (0.19) | 1.10 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.25) | (0.23) | — | (2) | (0.22) | (0.16) | ||||||||
Net realized gain | (0.45) | (0.11) | — | (2) | (0.10) | (0.10) | ||||||||
Total distributions | (0.70) | (0.34) | — | (2) | (0.32) | (0.26) | ||||||||
Total increase (decrease) in net asset value | (1.69) | 1.66 | 1.02 | (0.51) | 0.84 | |||||||||
Net asset value, ending | $16.49 | $18.18 | $16.52 | $15.50 | $16.01 | |||||||||
Total return (3) | (5.73 | %) | 12.16 | % | 6.61 | % | (1.22 | %) | 7.25 | % | ||||
Ratios to average net assets: (4)(5) | ||||||||||||||
Total expenses | 0.89 | % | 0.89 | % | 0.90 | % | 0.88 | % | 0.93 | % | ||||
Net expenses | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | ||||
Net investment income | 1.51 | % | 1.33 | % | 1.48 | % | 1.42 | % | 1.80 | % | ||||
Portfolio turnover | 11 | % | 9 | % | 10 | % | 21 | % | 36 | % | ||||
Net assets, ending (in thousands) | $103,205 | $118,478 | $110,067 | $96,245 | $99,765 | |||||||||
(1) Computed using average shares outstanding. | ||||||||||||||
(2) Amount is less than $(0.005). | ||||||||||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(5) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. |
12 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Volatility Managed Moderate Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to pursue current income and modest growth potential consistent with preservation of capital, while seeking to manage overall portfolio volatility. The Fund invests primarily in exchange-traded funds representing a broad range of asset classes (the Underlying Funds).
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class F shares.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
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Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Funds | $ | 98,301,090 | $ | — | $ | — | $ | 98,301,090 | ||||
Short Term Investment of Cash Collateral for Securities Loaned | 4,229,199 | — | — | 4,229,199 | ||||||||
Total Investments | $ | 102,530,289 | $ | — | $ | — | $ | 102,530,289 | ||||
Futures Contracts(1) | $ | 327,105 | $ | — | $ | — | $ | 327,105 | ||||
Total | $ | 102,857,394 | $ | — | $ | — | $ | 102,857,394 | ||||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Distributions from the Underlying Funds are recorded on the ex-dividend date. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds.
C. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
E. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.42% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $473,666.
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Ameritas Investment Partners, Inc. (AIP) and Milliman Financial Risk Management LLC provide sub-advisory services to the Fund pursuant to sub-advisory agreements with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.83% of the Fund’s average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $54,969.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the year ended December 31, 2018, CRM was paid administrative fees of $135,333, of which $7,299 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $281,944 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $75 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $2,175, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, no expenses were incurred under the Servicing Plan.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $12,049,555 and $20,275,003, respectively.
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NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | |||||||
2018 | 2017 | ||||||
Ordinary income | $2,102,260 | $1,564,069 | |||||
Long-term capital gains | $2,213,036 | $650,023 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $1,673,197 | ||
Undistributed long-term capital gains | $736,385 | ||
Net unrealized appreciation (depreciation) | $2,790,741 |
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $99,739,548 | ||
Gross unrealized appreciation | $4,806,859 | ||
Gross unrealized depreciation | (2,016,118) | ||
Net unrealized appreciation (depreciation) | $2,790,741 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at December 31, 2018 is included in the Schedule of Investments. During the year ended December 31, 2018, futures contracts were used to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At December 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities |
Futures contracts | Distributable earnings | $327,105(1) | $— |
(1) Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the year ended December 31, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($1,694,484) | $223,116 |
The average notional cost of futures contracts (long) and futures contracts (short) outstanding during the year ended December 31, 2018 was approximately $5,616,000 and $2,606,000, respectively.
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NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $6,194,257 and the total value of collateral received was $6,269,631, comprised of cash of $4,229,199 and U.S. Government and/or agencies securities of $2,040,432.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Exchange-Traded Funds | $6,269,631 | $— | $— | $— | $6,269,631 |
The carrying amount of the liability for deposits for securities loaned at December 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at December 31, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class F | |||||||||||
Shares sold | 113,620 | $2,049,417 | 249,301 | $4,296,112 | |||||||
Reinvestment of distributions | 243,252 | 4,315,296 | 124,667 | 2,214,092 | |||||||
Shares redeemed | (615,999 | ) | (10,947,087 | ) | (520,288 | ) | (9,139,259 | ) | |||
Net decrease | (259,127 | ) | ($4,582,374 | ) | (146,320 | ) | ($2,629,055 | ) |
At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 100% of the value of the outstanding shares of the Fund.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP Volatility Managed Moderate Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
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FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the dividends received deduction for corporations and capital gains dividends.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2018 ordinary income dividends, 20.16% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2018, $736,562 or, if subsequently determined to be different, the net capital gain of such year.
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MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
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Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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CALVERT VP VOLATILITY MANAGED MODERATE PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Advisers Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 Milliman Financial Risk Management LLC 71 South Wacker Drive, 31st Floor Chicago, IL 60606 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24233 12.31.2018 |
Calvert VP Volatility Managed Moderate Growth Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Fund Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions Global stock indexes declined during the 12-month period ended December 31, 2018, amid trade tensions and weakening economies in China and Europe. While U.S. stocks bucked the trend for most of the year, a sharp pullback in the final quarter left major U.S. indexes lower at the end of the period. U.S. stocks opened the period on an upswing as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. European stocks, meanwhile, began a prolonged downturn in late January 2018 amid mounting global trade war concerns, political uncertainties, and economic worries. In China, signs of a slowing economy compounded trade concerns, sending Chinese stocks into a prolonged slump that reached bear market territory in late June 2018. U.S. stocks bounced back during the summer months, but international stocks continued to lag. In the final three months of the period, stock indexes worldwide plunged amid global trade war fears and sagging economies in China and Europe. For the 12-month period ended December 31, 2018, the MSCI World Index,2 a proxy for global equities, declined 8.71%. In the U.S., the blue-chip Dow Jones Industrial Average® lost 3.48%, while the broader U.S. equity market represented by the S&P 500® Index dropped 4.38%. The MSCI EAFE Index of developed-market international equities fell 13.79%, and the MSCI Emerging Markets Index fell 14.58% during the period. As the economy showed signs of strength for most of the year, the Fed raised interest rates four times during the period with the federal funds rate ending the year at 2.5%, the highest level since January 2008. U.S. fixed-income markets, depending on the segment of the market, eked out meager positive or negative returns during the period. U.S. investment-grade fixed-income securities marginally advanced during the period, with the Bloomberg Barclays U.S. Aggregate Bond Index returning 0.01%. Hurt by growing volatility late in the period, higher-risk assets retreated, with the ICE BofAML U.S. High Yield Index returning -2.26%. The 10-year U.S. Treasury bond yield closed at 2.69%, up from 2.40% at the outset of the period. | Investment Strategy Calvert VP Volatility Managed Moderate Growth Portfolio (the Fund) invests in exchange-traded funds (ETFs) representing a broad range of asset classes. The Fund uses a macro strategy that entails setting an asset-allocation target weight, along with a typical allocation range. Market capitalizations, investment styles, and economic sectors are among the variables considered when securities are selected for the Fund. Target asset weights will change periodically based on economic conditions and other factors. The Fund implements a volatility-management and capital protection strategy that uses equity index futures contracts in an effort to stabilize portfolio volatility around a target level, capture growth in up markets, and hedge against declines in the value of the Fund’s ETF investments. The strategy continuously monitors and attempts to forecast market volatility and will adjust the Fund’s futures contract positions in an effort to meet these goals. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -6.69% for Class F shares at net asset value (NAV), underperforming its primary benchmark, the S&P 500 Daily Risk Control 10% Index (the Index), which returned -1.30% for the period. Fund performance is also measured against a secondary, custom-blended composite benchmark based on a mix of market indexes that more closely reflects the Fund’s asset-allocation strategy than the single asset-class Index, which is used to capture the impact of the volatility-management strategy. The Fund underperformed its secondary composite benchmark, which returned -4.12% for the period. The Fund underperformed the Index by 5.39% for the period. The Fund consists of multiple asset classes, while the Index consists of two components: the S&P 500® Index and cash. When market volatility is high, as it was during the period, the Index has a smaller allocation to the S&P 500® Index, which returned -4.38% in 2018, and a larger allocation to cash. Relative to the secondary composite benchmark, the Fund was generally overweight in stocks throughout the period with mixed results as equity markets were much more volatile than in recent years. Within domestic stocks, a small overweight position in the health care sector was the largest positive contributor as it was the best-performing market sector in the secondary benchmark in 2018. A modest overweight position in small-cap stocks and the financials sector were the largest detractors. Small-cap stocks trailed large-cap stocks significantly and the financials sector underperformed the broad market. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Kevin L. Keene, CFA of Ameritas Investment Partners, Inc., Adam Schenck, CFA, FRM and Blake Graves, CFA, FRM, each of Milliman Financial Risk Management LLC | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | |||||||||
Class F at NAV | 04/30/2013 | 04/30/2013 | -6.69 | % | 3.59 | 3.87 | % | |||||||
S&P 500 Daily Risk Control 10% Index | — | — | -1.30 | % | 7.02 | 8.61 | % | |||||||
Moderate Growth Portfolio Custom Blended Benchmark | — | — | -4.12 | 5.01 | 5.89 | |||||||||
% Total Annual Operating Expense Ratios4 | Class F | |||||||||||||
Gross | 1.00 | % | ||||||||||||
Net | 0.92 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class F of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited) 3
FUND PROFILE
ASSET ALLOCATION (% of total investments)5 | ||||||
Equity Funds | 66.6 | % | ||||
Fixed-Income Funds | 33.4 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures |
1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
2 | MSCI World Index is an unmanaged index of equity securities in the developed markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P 500 Daily Risk Control 10% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 10%. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. ICE BofAML U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. ICE BofAML 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Moderate Growth Portfolio Custom Blended Benchmark is an |
internally constructed benchmark which is comprised of a blend of 47% Russell 3000® Index, 33% Bloomberg Barclays U.S. Aggregate Bond Index, 13% MSCI EAFE Index, 4% ICE BofAML 3-Month U.S. Treasury Bill Index, and 3% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.
3 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
5 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
Fund profile subject to change due to active management.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class F | $1,000.00 | $944.10 | $4.07** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,021.02 | $4.23** | 0.83% |
* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 94.6% | ||
Equity Exchange-Traded Funds - 63.0% | ||
Financial Select Sector SPDR Fund (1) | 70,000 | 1,667,400 |
Health Care Select Sector SPDR Fund (1) | 19,000 | 1,643,690 |
iShares Core S&P Mid-Cap ETF | 28,000 | 4,649,680 |
iShares Russell 2000 ETF (1) | 28,000 | 3,749,200 |
iShares S&P 500 Growth ETF (1) | 30,000 | 4,520,100 |
iShares S&P 500 Value ETF | 36,000 | 3,641,040 |
iShares S&P Mid-Cap 400 Value ETF | 6,000 | 830,040 |
Technology Select Sector SPDR Fund | 27,000 | 1,673,460 |
Vanguard FTSE Developed Markets ETF | 273,000 | 10,128,300 |
Vanguard FTSE Emerging Markets ETF | 28,000 | 1,066,800 |
Vanguard REIT ETF | 32,000 | 2,386,240 |
Vanguard S&P 500 ETF | 72,000 | 16,546,320 |
52,502,270 | ||
Fixed-Income Exchange-Traded Funds - 31.6% | ||
iShares Core U.S. Aggregate Bond ETF | 161,000 | 17,144,890 |
Vanguard Total Bond Market ETF | 116,000 | 9,188,360 |
26,333,250 | ||
Total Exchange-Traded Funds (Cost $75,436,604) | 78,835,520 | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 2.0% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% | 1,704,370 | 1,704,370 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $1,704,370) | 1,704,370 | |
TOTAL INVESTMENTS (Cost $77,140,974) - 96.6% | 80,539,890 | |
Other assets and liabilities, net - 3.4% | 2,804,728 | |
NET ASSETS - 100.0% | 83,344,618 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $8,597,931. |
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT 7
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Short: | ||||||||
E-mini Russell 2000 Index | (57) | 3/15/19 | ($3,844,650 | ) | $134,952 | |||
E-mini S&P 500 Index | (112) | 3/15/19 | (14,029,120) | 370,864 | ||||
E-mini S&P MidCap 400 Index | (17) | 3/15/19 | (2,825,740) | 93,667 | ||||
MSCI EAFE Index | (66) | 3/15/19 | (5,662,800) | 55,221 | ||||
Total Short | $654,704 | |||||||
See notes to financial statements. |
8 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $77,140,974) - including $8,597,931 of securities on loan | $80,539,890 | ||
Cash | 3,337,535 | ||
Receivable for investments sold | 105,949 | ||
Receivable for capital shares sold | 52 | ||
Securities lending income receivable | 3,014 | ||
Receivable from affiliate | 13,557 | ||
Deposits at broker for futures contracts | 1,310,750 | ||
Directors’ deferred compensation plan | 16,103 | ||
Other assets | 2,778 | ||
Total assets | 85,329,628 | ||
LIABILITIES | |||
Payable for variation margin on open futures contracts | 156,529 | ||
Payable for capital shares redeemed | 28,170 | ||
Deposits for securities loaned | 1,704,370 | ||
Payable to affiliates: | |||
Investment advisory fee | 30,148 | ||
Administrative fee | 8,614 | ||
Distribution and service fees | 17,945 | ||
Sub-transfer agency fee | 18 | ||
Directors’ deferred compensation plan | 16,103 | ||
Accrued expenses | 23,113 | ||
Total liabilities | 1,985,010 | ||
NET ASSETS | $83,344,618 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(100,000,000 shares of $0.10 par value authorized) | $77,650,010 | ||
Distributable earnings | 5,694,608 | ||
Total | $83,344,618 | ||
NET ASSET VALUE PER SHARE | |||
Class F (based on net assets of $83,344,618 and 4,852,085 shares outstanding) | $17.18 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT 9
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income | $2,000,134 | ||
Interest income | 17,523 | ||
Securities lending income, net | 24,343 | ||
Total investment income | 2,042,000 | ||
EXPENSES | |||
Investment advisory fee | 384,209 | ||
Administrative fee | 109,774 | ||
Distribution and service fees | 228,696 | ||
Directors’ fees and expenses | 4,652 | ||
Custodian fees | 23,406 | ||
Transfer agency fees and expenses | 1,632 | ||
Accounting fees | 21,407 | ||
Professional fees | 23,654 | ||
Reports to shareholders | 10,851 | ||
Miscellaneous | 8,450 | ||
Total expenses | 816,731 | ||
Waiver and/or reimbursement of expenses by affiliate | (54,383) | ||
Reimbursement of expenses-other | (1,758) | ||
Net expenses | 760,590 | ||
Net investment income | 1,281,410 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 2,128,785 | ||
Futures contracts | (1,685,830) | ||
Capital gains distributions received | 2,414 | ||
445,369 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (8,355,572) | ||
Futures contracts | 581,404 | ||
(7,774,168) | |||
Net realized and unrealized loss | (7,328,799) | ||
Net decrease in net assets resulting from operations | ($6,047,389 | ) | |
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT
CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $1,281,410 | $1,127,020 | |||||
Net realized gain | 445,369 | 1,912,477 | |||||
Net change in unrealized appreciation (depreciation) | (7,774,168) | 8,839,959 | |||||
Net increase (decrease) in net assets resulting from operations | (6,047,389) | 11,879,456 | |||||
Distributions to shareholders(1) | (2,393,411) | (1,050,959) | |||||
Net increase (decrease) in net assets from capital share transactions | (2,903,536) | 2,001,198 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (11,344,336) | 12,829,695 | |||||
NET ASSETS | |||||||
Beginning of year | 94,688,954 | 81,859,259 | |||||
End of year | $83,344,618 | $94,688,954(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was from net investment income. The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $1,123,613 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS F SHARES | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||
Net asset value, beginning | $18.90 | $16.69 | $15.65 | $16.20 | $15.47 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (1) | 0.26 | 0.23 | 0.24 | 0.24 | 0.26 | |||||||||
Net realized and unrealized gain (loss) | (1.49) | 2.19 | 0.82 | (0.61) | 0.82 | |||||||||
Total from investment operations | (1.23) | 2.42 | 1.06 | (0.37) | 1.08 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.23) | (0.21) | (0.02) | (0.16) | (0.17) | |||||||||
Net realized gain | (0.26) | — | — | (0.02) | (0.18) | |||||||||
Total distributions | (0.49) | (0.21) | (0.02) | (0.18) | (0.35) | |||||||||
Total increase (decrease) in net asset value | (1.72) | 2.21 | 1.04 | (0.55) | 0.73 | |||||||||
Net asset value, ending | $17.18 | $18.90 | $16.69 | $15.65 | $16.20 | |||||||||
Total return (2) | (6.69 | %) | 14.55 | % | 6.78 | % | (2.29 | %) | 6.99 | % | ||||
Ratios to average net assets: (3)(4) | ||||||||||||||
Total expenses | 0.89 | % | 0.91 | % | 0.94 | % | 0.90 | % | 1.06 | % | ||||
Net expenses | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | ||||
Net investment income | 1.40 | % | 1.29 | % | 1.49 | % | 1.48 | % | 1.64 | % | ||||
Portfolio turnover | 14 | % | 8 | % | 6 | % | 16 | % | 46 | % | ||||
Net assets, ending (in thousands) | $83,345 | $94,689 | $81,859 | $64,310 | $35,428 | |||||||||
(1) Computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(4) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. |
12 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Volatility Managed Moderate Growth Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to pursue a balance of current income and growth potential, while seeking to manage overall portfolio volatility. The Fund invests primarily in exchange-traded funds representing a broad range of asset classes (the Underlying Funds).
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class F shares.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
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Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Funds | $ | 78,835,520 | $ | — | $ | — | $ | 78,835,520 | ||||
Short Term Investment of Cash Collateral for Securities Loaned | 1,704,370 | — | — | 1,704,370 | ||||||||
Total Investments | $ | 80,539,890 | $ | — | $ | — | $ | 80,539,890 | ||||
Futures Contracts(1) | $ | 654,704 | $ | — | $ | — | $ | 654,704 | ||||
Total | $ | 81,194,594 | $ | — | $ | — | $ | 81,194,594 | ||||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Distributions from the Underlying Funds are recorded on the ex-dividend date. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds.
C. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
E. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
14 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
NOTE 2 - RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.42% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $384,209.
Ameritas Investment Partners, Inc. (AIP) and Milliman Financial Risk Management LLC provide sub-advisory services to the Fund pursuant to sub-advisory agreements with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.83% of the Fund’s average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $48,455.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the year ended December 31, 2018, CRM was paid administrative fees of $109,774, of which $5,928 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $228,696 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $75 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $1,758, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 - SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, no expenses were incurred under the Servicing Plan.
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NOTE 4 - INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $11,915,151 and $16,356,854, respectively.
NOTE 5 - DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | |||||||
2018 | 2017 | ||||||
Ordinary income | $1,124,083 | $1,050,959 | |||||
Long-term capital gains | $1,269,328 | $— |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $1,253,190 | ||
Undistributed long-term capital gains | $1,072,493 | ||
Net unrealized appreciation (depreciation) | $3,368,925 |
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $77,170,965 | ||
Gross unrealized appreciation | $4,754,705 | ||
Gross unrealized depreciation | (1,385,780) | ||
Net unrealized appreciation (depreciation) | $3,368,925 |
NOTE 6 - FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at December 31, 2018 is included in the Schedule of Investments. During the year ended December 31, 2018, futures contracts were used to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At December 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities |
Futures contracts | Distributable earnings | $654,704(1) | $— |
(1) Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the year ended December 31, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($1,685,830) | $581,404 |
The average notional cost of futures contracts (long) and futures contracts (short) outstanding during the year ended December 31, 2018 was approximately $4,064,000 and $4,309,000, respectively.
16 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
NOTE 7 - SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $8,597,931 and the total value of collateral received was $8,692,668, comprised of cash of $1,704,370 and U.S. Government and/or agencies securities of $6,988,298.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Exchange-Traded Funds | $8,692,668 | $— | $— | $— | $8,692,668 |
The carrying amount of the liability for deposits for securities loaned at December 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at December 31, 2018.
NOTE 8 - LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
NOTE 9 - CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||
Shares | Amount | Shares | Amount | |||||||
Class F | ||||||||||
Shares sold | 262,606 | $4,913,488 | 359,019 | $6,446,048 | ||||||
Reinvestment of distributions | 127,241 | 2,393,411 | 57,211 | 1,050,959 | ||||||
Shares redeemed | (547,958) | (10,210,435) | (309,493) | (5,495,809) | ||||||
Net increase (decrease) | (158,111) | ($2,903,536) | 106,737 | $2,001,198 |
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At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 100% of the value of the outstanding shares of the Fund.
18 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP Volatility Managed Moderate Growth Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
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FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the dividends received deduction for corporations and capital gains dividends.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2018 ordinary income dividends, 25.96% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2018, $1,072,831 or, if subsequently determined to be different, the net capital gain of such year.
20 www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
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Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
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IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO ANNUAL REPORT (Unaudited) 23
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CALVERT VP VOLATILITY MANAGED MODERATE GROWTH PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Advisers Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 Milliman Financial Risk Management LLC 71 South Wacker Drive, 31st Floor Chicago, IL 60606 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24235 12.31.2018 |
Calvert VP Volatility Managed Growth Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
Performance | ||||
Fund Profile | ||||
Endnotes and Additional Disclosures | ||||
Fund Expenses | ||||
Financial Statements | ||||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions Global stock indexes declined during the 12-month period ended December 31, 2018, amid trade tensions and weakening economies in China and Europe. While U.S. stocks bucked the trend for most of the year, a sharp pullback in the final quarter left major U.S. indexes lower at the end of the period. U.S. stocks opened the period on an upswing as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. European stocks, meanwhile, began a prolonged downturn in late January 2018 amid mounting global trade war concerns, political uncertainties, and economic worries. In China, signs of a slowing economy compounded trade concerns, sending Chinese stocks into a prolonged slump that reached bear market territory in late June 2018. U.S. stocks bounced back during the summer months, but international stocks continued to lag. In the final three months of the period, stock indexes worldwide plunged amid global trade war fears and sagging economies in China and Europe. For the 12-month period ended December 31, 2018, the MSCI World Index,2 a proxy for global equities, declined 8.71%. In the U.S., the blue-chip Dow Jones Industrial Average® lost 3.48%, while the broader U.S. equity market represented by the S&P 500® Index dropped 4.38%. The MSCI EAFE Index of developed-market international equities fell 13.79%, and the MSCI Emerging Markets Index fell 14.58% during the period. As the economy showed signs of strength for most of the year, the Fed raised interest rates four times during the period with the federal funds rate ending the year at 2.5%, the highest level since January 2008. U.S. fixed-income markets, depending on the segment of the market, eked out meager positive or negative returns during the period. U.S. investment-grade fixed-income securities marginally advanced during the period, with the Bloomberg Barclays U.S. Aggregate Bond Index returning 0.01%. Hurt by growing volatility late in the period, higher-risk assets retreated, with the ICE BofAML U.S. High Yield Index returning -2.26%. The 10-year U.S. Treasury bond yield closed at 2.69%, up from 2.40% at the outset of the period. | Investment Strategy Calvert VP Volatility Managed Growth Portfolio (the Fund) invests in exchange-traded funds (ETFs) representing a broad range of asset classes. The Fund uses a macro strategy that entails setting an asset-allocation target weight, along with a typical allocation range. Market capitalizations, investment styles, and economic sectors are among the variables considered when securities are selected for the Fund. Target asset weights will change periodically based on economic conditions and other factors. The Fund implements a volatility-management and capital protection strategy that uses equity index futures contracts in an effort to stabilize portfolio volatility around a target level, capture growth in up markets, and hedge against declines in the value of the Fund’s ETF investments. The strategy continuously monitors and attempts to forecast market volatility and will adjust the Fund’s futures contract positions in an effort to meet these goals. Fund Performance For the 12-month period ended December 31, 2018, the Fund returned -7.50% for Class F shares at net asset value (NAV), underperforming its primary benchmark, the S&P 500 Daily Risk Control 12% Index (the Index), which returned -2.93% for the period. Fund performance is also measured against a secondary, custom-blended composite benchmark based on a mix of market indexes that more closely reflects the Fund’s asset-allocation strategy than the single asset-class Index, which is used to capture the impact of the volatility-management strategy. The Fund underperformed its secondary composite benchmark, which returned -5.21% for the period. The Fund underperformed the Index by 4.57% for the period. The Fund consists of multiple asset classes, while the Index consists of two components: the S&P 500® Index and cash. When market volatility is high, as it was during the period, the Index has a smaller allocation to the S&P 500® Index, which returned -4.38% in 2018, and a larger allocation to cash. Relative to the secondary composite benchmark, the Fund was generally overweight in stocks throughout the period with mixed results as equity markets were much more volatile than in recent years. Within domestic stocks, a small overweight position in the health care sector was the largest positive contributor as it was the best-performing market sector in the secondary benchmark in 2018. A modest overweight position in small-cap stocks and the financials sector were the largest detractors. Small-cap stocks trailed large-cap stocks significantly and the financials sector underperformed the broad market. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Managers Kevin L. Keene, CFA of Ameritas Investment Partners, Inc., Adam Schenck, CFA, FRM and Blake Graves, CFA, FRM, each of Milliman Financial Risk Management LLC | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Since Inception | |||||||||
Class F at NAV | 04/30/2013 | 04/30/2013 | -7.50 | % | 3.07 | % | 3.87 | % | ||||||
S&P 500 Daily Risk Control 12% Index | — | — | -2.93 | % | 7.53 | % | 9.55 | % | ||||||
Growth Portfolio Custom Blended Benchmark | — | — | -5.21 | 5.55 | 6.84 | |||||||||
% Total Annual Operating Expense Ratios4 | Class F | |||||||||||||
Gross | 0.97 | % | ||||||||||||
Net | 0.93 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class F of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited) 3
FUND PROFILE
ASSET ALLOCATION (% of total investments)5 | ||||||
Equity Funds | 82.7 | % | ||||
Fixed-Income Funds | 17.3 | % | ||||
Total | 100.0 | % | ||||
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures |
1 The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission.
2 MSCI World Index is an unmanaged index of equity securities in the developed markets. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. MSCI USA IMI/Equity REITs Index is an unmanaged index of U.S. equity REITs. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P 500 Daily Risk Control 12% Index is an unmanaged index of U.S. large-cap stocks with a volatility target of 12%. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. ICE BofAML U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. ICE BofAML 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. ICE® BofAML® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofAML® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Growth Portfolio Custom Blended Benchmark is an internally
constructed benchmark which is comprised of a blend of 58% Russell 3000® Index, 18% Bloomberg Barclays U.S. Aggregate Bond Index, 16% MSCI EAFE Index, 4% ICE BofAML 3-Month U.S. Treasury Bill Index, and 4% MSCI USA IMI/Equity REITs Index, which is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index.
3 There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable.
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 Source: Fund prospectus. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.
5 Does not include Short Term Investment of Cash Collateral for Securities Loaned.
Fund profile subject to change due to active management.
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second line of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class F | $1,000.00 | $938.60 | $4.06** | 0.83% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class F | $1,000.00 | $1,021.02 | $4.23** | 0.83% |
* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated and/or unaffiliated funds. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
EXCHANGE-TRADED FUNDS - 93.8% | ||
Equity Exchange-Traded Funds - 77.6% | ||
Financial Select Sector SPDR Fund (1) | 155,000 | 3,692,100 |
Health Care Select Sector SPDR Fund (1) | 42,000 | 3,633,420 |
iShares Core S&P Mid-Cap ETF (1) | 66,000 | 10,959,960 |
iShares Russell 2000 ETF (1) | 62,000 | 8,301,800 |
iShares S&P 500 Growth ETF (1) | 73,000 | 10,998,910 |
iShares S&P 500 Value ETF (1) | 86,000 | 8,698,040 |
iShares S&P Mid-Cap 400 Value ETF (1) | 10,000 | 1,383,400 |
Technology Select Sector SPDR Fund (1) | 59,000 | 3,656,820 |
Vanguard FTSE Developed Markets ETF | 608,000 | 22,556,800 |
Vanguard FTSE Emerging Markets ETF | 59,000 | 2,247,900 |
Vanguard REIT ETF | 78,000 | 5,816,460 |
Vanguard S&P 500 ETF | 150,000 | 34,471,500 |
116,417,110 | ||
Fixed-Income Exchange-Traded Funds - 16.2% | ||
iShares Core U.S. Aggregate Bond ETF | 228,000 | 24,279,720 |
Total Exchange-Traded Funds (Cost $131,642,744) | 140,696,830 | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 10.5% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% | 15,760,146 | 15,760,146 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $15,760,146) | 15,760,146 | |
TOTAL INVESTMENTS (Cost $147,402,890) - 104.3% | 156,456,976 | |
Other assets and liabilities, net - (4.3%) | (6,409,980) | |
NET ASSETS - 100.0% | 150,046,996 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $31,674,717. |
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT 7
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Short: | ||||||||
E-mini Russell 2000 Index | (148) | 3/15/19 | ($9,982,600 | ) | $453,994 | |||
E-mini S&P 500 Index | (285) | 3/15/19 | (35,699,100) | 1,216,169 | ||||
E-mini S&P MidCap 400 Index | (46) | 3/15/19 | (7,646,120) | 294,646 | ||||
MSCI EAFE Index | (169) | 3/15/19 | (14,500,200) | 190,463 | ||||
Total Short | $2,155,272 | |||||||
See notes to financial statements. |
8 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT
CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $147,402,890) - including $31,674,717 of securities on loan | $156,456,976 | ||
Cash | 6,344,619 | ||
Receivable for investments sold | 105,949 | ||
Receivable for capital shares sold | 33,644 | ||
Securities lending income receivable | 5,855 | ||
Receivable from affiliate | 12,296 | ||
Deposits at broker for futures contracts | 3,373,100 | ||
Directors’ deferred compensation plan | 28,363 | ||
Other assets | 4,804 | ||
Total assets | 166,365,606 | ||
LIABILITIES | |||
Payable for variation margin on open futures contracts | 406,262 | ||
Payable for capital shares redeemed | 343 | ||
Deposits for securities loaned | 15,760,146 | ||
Payable to affiliates: | |||
Investment advisory fee | 54,409 | ||
Administrative fee | 15,545 | ||
Distribution and service fees | 32,386 | ||
Sub-transfer agency fee | 9 | ||
Directors’ deferred compensation plan | 28,363 | ||
Accrued expenses | 21,147 | ||
Total liabilities | 16,318,610 | ||
NET ASSETS | $150,046,996 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(100,000,000 shares of $0.10 par value authorized) | $139,048,424 | ||
Distributable earnings | 10,998,572 | ||
Total | $150,046,996 | ||
NET ASSET VALUE PER SHARE | |||
Class F (based on net assets of $150,046,996 and 8,490,161 shares outstanding) | $17.67 | ||
See notes to financial statements. |
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT 9
CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income | $3,342,312 | ||
Interest income | 35,845 | ||
Securities lending income, net | 51,135 | ||
Total investment income | 3,429,292 | ||
EXPENSES | |||
Investment advisory fee | 669,592 | ||
Administrative fee | 191,312 | ||
Distribution and service fees | 398,567 | ||
Directors’ fees and expenses | 8,171 | ||
Custodian fees | 36,634 | ||
Transfer agency fees and expenses | 1,570 | ||
Accounting fees | 38,065 | ||
Professional fees | 28,118 | ||
Reports to shareholders | 3,248 | ||
Miscellaneous | 11,736 | ||
Total expenses | 1,387,013 | ||
Waiver and/or reimbursement of expenses by affiliate | (59,794) | ||
Reimbursement of expenses-other | (3,117) | ||
Net expenses | 1,324,102 | ||
Net investment income | 2,105,190 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 2,837,544 | ||
Futures contracts | (3,422,281) | ||
(584,737) | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (15,713,140) | ||
Futures contracts | 2,043,119 | ||
(13,670,021) | |||
Net realized and unrealized loss | (14,254,758) | ||
Net decrease in net assets resulting from operations | ($12,149,568 | ) | |
See notes to financial statements. |
10 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT
CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $2,105,190 | $1,785,877 | |||||
Net realized gain (loss) | (584,737) | 2,725,390 | |||||
Net change in unrealized appreciation (depreciation) | (13,670,021) | 17,832,624 | |||||
Net increase (decrease) in net assets resulting from operations | (12,149,568) | 22,343,891 | |||||
Distributions to shareholders(1) | (1,781,206) | (1,685,691) | |||||
Net increase in net assets from capital share transactions | 7,698,944 | 7,160,810 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (6,231,830) | 27,819,010 | |||||
NET ASSETS | |||||||
Beginning of year | 156,278,826 | 128,459,816 | |||||
End of year | $150,046,996 | $156,278,826(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was from net investment income. The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $1,780,635 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
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CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS F SHARES | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||
Net asset value, beginning | $19.31 | $16.70 | $15.82 | $16.60 | $15.88 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income (1) | 0.25 | 0.23 | 0.24 | 0.23 | 0.26 | |||||||||
Net realized and unrealized gain (loss) | (1.68) | 2.59 | 0.64 | (0.82) | 0.63 | |||||||||
Total from investment operations | (1.43) | 2.82 | 0.88 | (0.59) | 0.89 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.21) | (0.21) | — | (0.19) | (0.17) | |||||||||
Net realized gain | — | — | — | — | (2) | — | ||||||||
Total distributions | (0.21) | (0.21) | — | (0.19) | (0.17) | |||||||||
Total increase (decrease) in net asset value | (1.64) | 2.61 | 0.88 | (0.78) | 0.72 | |||||||||
Net asset value, ending | $17.67 | $19.31 | $16.70 | $15.82 | $16.60 | |||||||||
Total return (3) | (7.50 | %) | 16.92 | % | 5.56 | % | (3.51 | %) | 5.61 | % | ||||
Ratios to average net assets: (4)(5) | ||||||||||||||
Total expenses | 0.87 | % | 0.87 | % | 0.90 | % | 0.86 | % | 0.94 | % | ||||
Net expenses | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.83 | % | ||||
Net investment income | 1.32 | % | 1.25 | % | 1.48 | % | 1.37 | % | 1.57 | % | ||||
Portfolio turnover | 13 | % | 7 | % | 10 | % | 17 | % | 30 | % | ||||
Net assets, ending (in thousands) | $150,047 | $156,279 | $128,460 | $113,084 | $82,389 | |||||||||
(1) Computed using average shares outstanding. | ||||||||||||||
(2) Amount is less than $(0.005). | ||||||||||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(4) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
(5) Amounts do not include the expenses of the Underlying Funds. | ||||||||||||||
See notes to financial statements. |
12 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Volatility Managed Growth Portfolio (the Fund) is a diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to pursue growth potential and some current income, while seeking to manage overall portfolio volatility. The Fund invests primarily in exchange-traded funds representing a broad range of asset classes (the Underlying Funds).
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class F shares.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
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Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||
Exchange-Traded Funds | $ | 140,696,830 | $ | — | $ | — | $ | 140,696,830 | ||||
Short Term Investment of Cash Collateral for Securities Loaned | 15,760,146 | — | — | 15,760,146 | ||||||||
Total Investments | $ | 156,456,976 | $ | — | $ | — | $ | 156,456,976 | ||||
Futures Contracts(1) | $ | 2,155,272 | $ | — | $ | — | $ | 2,155,272 | ||||
Total | $ | 158,612,248 | $ | — | $ | — | $ | 158,612,248 | ||||
(1) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Distributions from the Underlying Funds are recorded on the ex-dividend date. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Fund and do not include any expenses associated with the Underlying Funds.
C. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
D. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
E. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
G. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.42% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $669,592.
14 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT
Ameritas Investment Partners, Inc. (AIP) and Milliman Financial Risk Management LLC provide sub-advisory services to the Fund pursuant to sub-advisory agreements with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.83% of the Fund’s average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $49,803.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018. For the year ended December 31, 2018, CRM was paid administrative fees of $191,312, of which $9,991 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $398,567 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $38 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $3,117, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, no expenses were incurred under the Servicing Plan.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $24,622,568 and $19,396,632, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
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Year Ended December 31, | |||||||
2018 | 2017 | ||||||
Ordinary income | $1,781,206 | $1,685,691 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $2,046,531 | ||
Deferred capital losses | ($96,972 | ) | |
Net unrealized appreciation (depreciation) | $9,049,013 |
At December 31, 2018, the Fund, for federal income tax purposes, had deferred capital losses of $96,972 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at December 31, 2018, $96,972 are short-term.
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $147,407,963 | ||
Gross unrealized appreciation | $11,545,542 | ||
Gross unrealized depreciation | (2,496,529) | ||
Net unrealized appreciation (depreciation) | $9,049,013 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at December 31, 2018 is included in the Schedule of Investments. During the year ended December 31, 2018, futures contracts were used to adjust the Fund’s overall equity exposure in an effort to stabilize portfolio volatility around a target level.
At December 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities |
Futures contracts | Distributable earnings | $2,155,272(1) | $— |
(1) Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the year ended December 31, 2018 was as follows:
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($3,422,281) | $2,043,119 |
The average notional cost of futures contracts (long) and futures contracts (short) outstanding during the year ended December 31, 2018 was approximately $6,439,000 and $13,966,000, respectively.
16 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $31,674,717 and the total value of collateral received was $32,040,733, comprised of cash of $15,760,146 and U.S. Government and/or agencies securities of $16,280,587.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||
Securities Lending Transactions | |||||||||
Exchange-Traded Funds | $32,040,733 | $— | $— | $— | $32,040,733 |
The carrying amount of the liability for deposits for securities loaned at December 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at December 31, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
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Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class F | |||||||||||
Shares sold | 780,219 | $15,007,871 | 792,414 | $14,174,365 | |||||||
Reinvestment of distributions | 90,785 | 1,781,206 | 90,337 | 1,685,691 | |||||||
Shares redeemed | (475,248 | ) | (9,090,133 | ) | (482,385 | ) | (8,699,246 | ) | |||
Net increase | 395,756 | $7,698,944 | 400,366 | $7,160,810 |
At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 100% of the value of the outstanding shares of the Fund.
18 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP Volatility Managed Growth Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
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FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the dividends received deduction for corporations.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2018 ordinary income dividends, 28.35% qualifies for the corporate dividends received deduction.
20 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), (November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
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Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
22 www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO ANNUAL REPORT (Unaudited) 23
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CALVERT VP VOLATILITY MANAGED GROWTH PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Advisers Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 Milliman Financial Risk Management LLC 71 South Wacker Drive, 31st Floor Chicago, IL 60606 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24237 12.31.2018 |
Calvert VP Nasdaq 100 Index Portfolio | |
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company or plan sponsor unless you specifically request paper copies. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website address to access the report. Instructions for requesting paper copies will be provided by the insurance company, plan sponsor or your financial intermediary, as applicable. Please contact the insurance company, plan sponsor or your financial intermediary, as applicable, or follow instructions included with this disclosure, if any, for more information. | |
Annual Report December 31, 2018 |
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The Fund and its adviser have claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act. Accordingly, neither the Fund nor the adviser is subject to CFTC regulation. |
TABLE OF CONTENTS | ||||
Management’s Discussion of Fund Performance | ||||
3 | Performance | |||
4 | Fund Profile | |||
5 | Endnotes and Additional Disclosures | |||
6 | Fund Expenses | |||
7 | Financial Statements | |||
Report of Independent Registered Public Accounting Firm | ||||
Federal Tax Information | ||||
Management and Organization | ||||
Important Notices |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE1
Economic and Market Conditions U.S. stock indexes declined during the 12-month period ended December 31, 2018, as a sharp downturn in the final quarter of the year erased earlier gains. U.S. stocks opened the period on an upswing, as investors reacted favorably to the passage of the Republican tax reform package in December 2017. Sharp cuts in corporate taxes, a key element of the bill, raised corporate-profit expectations. U.S. stocks also got a boost from positive U.S. economic data, including the unemployment rate, which fell to a 17-year low. In February 2018, however, U.S. stocks pulled back amid fears that rising interest rates might boost the appeal of fixed-income investments. After a brief rebound, equity markets again weakened in the spring of 2018, as investors confronted the prospect of a global trade war due to President Trump’s then-new tariffs. The broad tariffs drew retaliatory actions from impacted countries including China, Canada, and certain countries in the European Union. U.S. stocks bounced back during the summer months led by technology stocks, which rebounded following an earlier setback from a wave of data-privacy scandals. Markets plunged in the final three months of the period amid global trade war fears and sagging economies in China and Europe. Despite a partial rebound in the final days of the period, the U.S. stock market’s December 2018 plunge was the worst monthly loss since the 2008 financial crisis. Amid investor worries, however, U.S. economic data remained largely positive during the period, prompting the U.S. Federal Reserve (the Fed) to raise the federal funds rate in December 2018 for the fourth time during the period. Since then, the Fed has indicated that it may reconsider its planned 2019 rate hikes. For the 12-month period ended December 31, 2018, the blue-chip Dow Jones Industrial Average®2 declined 3.48%, while the broader U.S. equity market represented by the S&P 500® Index fell 4.38%. The technology-laden NASDAQ Composite Index fell 2.84% during the period. Large-cap U.S. stocks as measured by the S&P 500® Index generally outperformed their small-cap counterparts as measured by the Russell 2000® Index during the period. Growth stocks as a group outpaced value stocks in both the large- and small-cap categories, as measured by the Russell Growth and Value Indexes. | Investment Strategy As an index fund, Calvert VP Nasdaq 100 Index Portfolio (the Fund) seeks to replicate, as closely as possible, the holdings and match the performance of the NASDAQ-100® Index (the Index). The Fund seeks to accomplish this by employing a passive management approach and holding each constituent of the Index in approximately the same proportion as the Index. Cash holdings may gain exposure to the Index via futures contracts, allowing the Fund’s assets to be fully invested. Fund Performance For the 12-month period ended December 31, 2018, the Portfolio returned -0.47% for Class I shares at net asset value (NAV). By comparison, the Fund’s benchmark, the Index, returned 0.04% for the same period. The Index is unmanaged and returns do not reflect any fees and operating expenses. During the period, large-cap companies outperformed smaller-cap companies and the Index has no exposure to energy ─ the worst-performing market sector. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
2 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
PERFORMANCE
Performance2,3 | ||||||||||||||
Portfolio Manager Kevin L. Keene, CFA of Ameritas Investment Partners, Inc. | ||||||||||||||
% Average Annual Total Returns | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years | |||||||||
Class I at NAV | 04/27/2000 | 04/27/2000 | -0.47 | % | 12.68 | % | 18.58 | % | ||||||
Class F at NAV | 10/30/2015 | 04/27/2000 | -0.72 | 12.50 | 18.48 | |||||||||
NASDAQ-100® Index | — | — | 0.04 | % | 13.33 | % | 19.38 | % | ||||||
% Total Annual Operating Expense Ratios4 | Class I | Class F | ||||||||||||
Gross | 0.60 | % | 1.01 | % | ||||||||||
Net | 0.48 | 0.73 |
Growth of $10,000 |
This graph shows the change in value of a hypothetical investment of $10,000 in Class I of the Fund for the period indicated. For comparison, the same investment is shown in the indicated index. |
Growth of Investment3 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge | ||||
Class F | $10,000 | 12/31/2008 | $54,554 | N.A. |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than quoted. Returns are before taxes unless otherwise noted.
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 3
FUND PROFILE
SECTOR ALLOCATION (% of total investments)5 | TEN LARGEST HOLDINGS (% of net assets)6 | ||||||
Information Technology | 42.2 | % | Microsoft Corp. | 9.7 | % | ||
Communication Services | 22.2 | % | Apple, Inc. | 9.3 | % | ||
Consumer Discretionary | 16.2 | % | Amazon.com, Inc. | 9.2 | % | ||
Health Care | 8.8 | % | Alphabet, Inc., Class C | 4.5 | % | ||
Consumer Staples | 6.4 | % | Alphabet, Inc., Class A | 4.0 | % | ||
Industrials | 2.4 | % | Facebook, Inc., Class A | 4.0 | % | ||
Exchange-Traded Funds | 0.9 | % | Intel Corp. | 3.0 | % | ||
Utilities | 0.4 | % | Cisco Systems, Inc. | 2.7 | % | ||
Financials | 0.3 | % | PepsiCo, Inc. | 2.2 | % | ||
U.S. Treasury Obligations | 0.2 | % | Comcast Corp., Class A | 2.1 | % | ||
Total | 100.0 | % | Total | 50.7 | % | ||
See Endnotes and Additional Disclosures in this report.
4 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
Endnotes and Additional Disclosures |
1 | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated on the cover. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
2 | Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. NASDAQ Composite Index is a market capitalization-weighted index of all domestic and international securities listed on NASDAQ. NASDAQ-100® Index includes 100 of the largest domestic and international securities (by market cap), excluding financials, listed on NASDAQ. Source: Nasdaq, Inc. The information is provided by Nasdaq (with its affiliates, are referred to as the “Corporations”) and Nasdaq’s third party licensors on an “as is” basis and the Corporations make no guarantees and bear no liability of any kind with respect to the information or the Fund. Russell 2000® Index is an unmanaged index of 2,000 U.S. small-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
3 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges. |
Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class F is linked to Class I. Performance since inception for an index, if presented, is the performance since the
Fund’s or oldest share class’ inception, as applicable. Performance presented in the Financial Highlights included in the financial statements is not linked.
Effective December 31, 2016, Calvert Research and Management became the investment adviser to the Fund and performance reflected prior to such date is that of the Fund’s former investment adviser, Calvert Investment Management, Inc.
4 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 4/30/19. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
5 | Does not include Short Term Investment of Cash Collateral for Securities Loaned. |
6 Excludes cash and cash equivalents.
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 5
FUND EXPENSES
Example
As a Fund shareholder, you incur ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2018 to December 31, 2018).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect expenses and charges which are, or may be imposed under the variable annuity contract or variable life insurance policy (variable contracts) (if applicable) through which your investment in the Fund is made. Therefore, the second section of the table is useful in comparing ongoing costs associated with an investment in vehicles which fund benefits under variable contracts, and will not help you determine the relative total costs of investing in the Fund through variable contracts. In addition, if these expenses and charges imposed under the variable contracts were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE (7/1/18) | ENDING ACCOUNT VALUE (12/31/18) | EXPENSES PAID DURING PERIOD* (7/1/18 - 12/31/18) | ANNUALIZED EXPENSE RATIO | |
Actual | ||||
Class I | $1,000.00 | $901.50 | $2.30** | 0.48% |
Class F | $1,000.00 | $900.50 | $3.50** | 0.73% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.79 | $2.45** | 0.48% |
Class F | $1,000.00 | $1,021.53 | $3.72** | 0.73% |
* Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on June 30, 2018. Expenses shown do not include insurance-related charges. | ||||
** Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
6 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2018
SHARES | VALUE ($) | |
COMMON STOCKS - 95.9% | ||
Airlines - 0.5% | ||
American Airlines Group, Inc. (1) | 8,444 | 271,137 |
United Continental Holdings, Inc. (2) | 4,995 | 418,231 |
689,368 | ||
Automobiles - 0.8% | ||
Tesla, Inc. (2) | 3,148 | 1,047,654 |
Beverages - 2.6% | ||
Monster Beverage Corp. (2) | 10,138 | 498,992 |
PepsiCo, Inc. | 26,173 | 2,891,593 |
3,390,585 | ||
Biotechnology - 6.1% | ||
Alexion Pharmaceuticals, Inc. (2) | 4,090 | 398,202 |
Amgen, Inc. | 11,682 | 2,274,135 |
Biogen, Inc. (2) | 3,694 | 1,111,599 |
BioMarin Pharmaceutical, Inc. (1)(2) | 3,265 | 278,015 |
Celgene Corp. (2) | 12,820 | 821,634 |
Gilead Sciences, Inc. | 23,717 | 1,483,498 |
Incyte Corp. (2) | 3,902 | 248,128 |
Regeneron Pharmaceuticals, Inc. (2) | 1,949 | 727,952 |
Vertex Pharmaceuticals, Inc. (2) | 4,685 | 776,351 |
8,119,514 | ||
Commercial Services & Supplies - 0.3% | ||
Cintas Corp. | 1,960 | 329,260 |
Communications Equipment - 2.7% | ||
Cisco Systems, Inc. | 82,425 | 3,571,475 |
Electric Utilities - 0.4% | ||
Xcel Energy, Inc. | 9,424 | 464,321 |
Entertainment - 4.1% | ||
Activision Blizzard, Inc. | 13,989 | 651,468 |
Electronic Arts, Inc. (2) | 5,539 | 437,082 |
NetEase, Inc. ADR | 1,335 | 314,219 |
Netflix, Inc. (2) | 7,995 | 2,139,942 |
Take-Two Interactive Software, Inc. (2) | 2,088 | 214,939 |
Twenty-First Century Fox, Inc., Class A | 19,378 | 932,469 |
Twenty-First Century Fox, Inc., Class B | 14,640 | 699,499 |
5,389,618 |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT 7
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Food & Staples Retailing - 2.1% | ||
Costco Wholesale Corp. | 8,034 | 1,636,606 |
Walgreens Boots Alliance, Inc. | 17,429 | 1,190,924 |
2,827,530 | ||
Food Products - 1.5% | ||
Kraft Heinz Co. (The) | 22,357 | 962,245 |
Mondelez International, Inc., Class A | 26,654 | 1,066,960 |
2,029,205 | ||
Health Care Equipment & Supplies - 1.2% | ||
Align Technology, Inc. (2) | 1,466 | 307,024 |
IDEXX Laboratories, Inc. (2) | 1,581 | 294,098 |
Intuitive Surgical, Inc. (2) | 2,094 | 1,002,859 |
1,603,981 | ||
Health Care Providers & Services - 0.2% | ||
Henry Schein, Inc. (1)(2) | 2,795 | 219,463 |
Health Care Technology - 0.2% | ||
Cerner Corp. (2) | 6,041 | 316,790 |
Hotels, Restaurants & Leisure - 1.8% | ||
Marriott International, Inc., Class A | 6,254 | 678,934 |
Starbucks Corp. | 22,745 | 1,464,778 |
Wynn Resorts Ltd. | 1,994 | 197,227 |
2,340,939 | ||
Insurance - 0.3% | ||
Willis Towers Watson plc | 2,382 | 361,731 |
Interactive Media & Services - 13.1% | ||
Alphabet, Inc., Class A (2) | 5,077 | 5,305,262 |
Alphabet, Inc., Class C (2) | 5,820 | 6,027,250 |
Baidu, Inc. ADR (2) | 5,147 | 816,314 |
Facebook, Inc., Class A (2) | 40,063 | 5,251,859 |
17,400,685 | ||
Internet & Direct Marketing Retail - 11.5% | ||
Amazon.com, Inc. (2) | 8,079 | 12,134,416 |
Booking Holdings, Inc. (2) | 849 | 1,462,334 |
Ctrip.com International Ltd. ADR (2) | 8,927 | 241,565 |
eBay, Inc. (2) | 17,652 | 495,492 |
Expedia Group, Inc. | 2,497 | 281,287 |
JD.com, Inc. ADR (2) | 16,936 | 354,470 |
MercadoLibre, Inc. (1) | 829 | 242,773 |
15,212,337 | ||
8 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
IT Services - 3.7% | ||
Automatic Data Processing, Inc. | 8,025 | 1,052,238 |
Cognizant Technology Solutions Corp., Class A | 10,616 | 673,904 |
Fiserv, Inc. (2) | 7,305 | 536,845 |
Paychex, Inc. | 6,583 | 428,882 |
PayPal Holdings, Inc. (2) | 21,604 | 1,816,680 |
VeriSign, Inc. (2) | 2,216 | 328,611 |
4,837,160 | ||
Leisure Products - 0.1% | ||
Hasbro, Inc. | 2,319 | 188,419 |
Life Sciences Tools & Services - 0.6% | ||
Illumina, Inc. (2) | 2,695 | 808,311 |
Machinery - 0.3% | ||
PACCAR, Inc. | 6,406 | 366,039 |
Media - 3.6% | ||
Charter Communications, Inc., Class A (2) | 4,197 | 1,196,019 |
Comcast Corp., Class A | 83,235 | 2,834,152 |
Liberty Global plc, Class A (2) | 3,794 | 80,964 |
Liberty Global plc, Class C (2) | 9,696 | 200,125 |
Sirius XM Holdings, Inc. (1) | 81,431 | 464,971 |
4,776,231 | ||
Multiline Retail - 0.3% | ||
Dollar Tree, Inc. (2) | 4,363 | 394,066 |
Pharmaceuticals - 0.2% | ||
Mylan NV (2) | 9,453 | 259,012 |
Professional Services - 0.2% | ||
Verisk Analytics, Inc. (2) | 3,018 | 329,083 |
Road & Rail - 0.9% | ||
CSX Corp. | 15,481 | 961,835 |
JB Hunt Transport Services, Inc. | 1,962 | 182,544 |
1,144,379 | ||
Semiconductors & Semiconductor Equipment - 11.2% | ||
Advanced Micro Devices, Inc. (1)(2) | 18,323 | 338,243 |
Analog Devices, Inc. | 6,786 | 582,442 |
Applied Materials, Inc. | 18,022 | 590,040 |
ASML Holding NV | 1,244 | 193,591 |
Broadcom, Inc. | 7,581 | 1,927,697 |
Intel Corp. | 83,674 | 3,926,821 |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT 9
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
KLA-Tencor Corp. | 2,806 | 251,109 |
Lam Research Corp. | 2,845 | 387,404 |
Maxim Integrated Products, Inc. | 5,080 | 258,318 |
Microchip Technology, Inc. (1) | 4,336 | 311,845 |
Micron Technology, Inc. (2) | 20,795 | 659,825 |
NVIDIA Corp. | 11,183 | 1,492,930 |
NXP Semiconductors NV | 6,000 | 439,680 |
QUALCOMM, Inc. | 22,223 | 1,264,711 |
Skyworks Solutions, Inc. | 3,255 | 218,150 |
Texas Instruments, Inc. | 17,610 | 1,664,145 |
Xilinx, Inc. | 4,639 | 395,104 |
14,902,055 | ||
Software - 13.6% | ||
Adobe, Inc. (2) | 8,949 | 2,024,622 |
Autodesk, Inc. (2) | 4,008 | 515,469 |
Cadence Design Systems, Inc. (2) | 5,063 | 220,139 |
Check Point Software Technologies Ltd. (2) | 2,864 | 293,989 |
Citrix Systems, Inc. | 2,471 | 253,179 |
Intuit, Inc. | 4,758 | 936,612 |
Microsoft Corp. | 126,810 | 12,880,092 |
Symantec Corp. | 11,713 | 221,317 |
Synopsys, Inc. (2) | 2,724 | 229,470 |
Workday, Inc., Class A (2) | 2,732 | 436,246 |
18,011,135 | ||
Specialty Retail - 1.0% | ||
O’Reilly Automotive, Inc. (2) | 1,469 | 505,821 |
Ross Stores, Inc. | 6,845 | 569,504 |
Ulta Beauty, Inc. (2) | 1,096 | 268,345 |
1,343,670 | ||
Technology Hardware, Storage & Peripherals - 9.7% | ||
Apple, Inc. | 78,395 | 12,366,027 |
NetApp, Inc. | 4,618 | 275,556 |
Western Digital Corp. | 5,203 | 192,355 |
12,833,938 | ||
Textiles, Apparel & Luxury Goods - 0.2% | ||
lululemon Athletica, Inc. (2) | 2,248 | 273,379 |
Trading Companies & Distributors - 0.2% | ||
Fastenal Co. (1) | 5,263 | 275,202 |
10 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
SHARES | VALUE ($) | |
COMMON STOCKS - CONT’D | ||
Wireless Telecommunication Services - 0.7% | ||
T-Mobile US, Inc. (2) | 15,554 | 989,390 |
Total Common Stocks (Cost $53,336,973) | 127,045,925 | |
EXCHANGE-TRADED FUNDS - 0.8% | ||
Invesco QQQTM Trust, Series 1 (1) | 7,000 | 1,079,820 |
Total Exchange-Traded Funds (Cost $1,110,510) | 1,079,820 | |
PRINCIPAL AMOUNT ($) | VALUE ($) | |
U.S. TREASURY OBLIGATIONS - 0.2% | ||
U.S. Treasury Bill, 0.00%, 7/18/19 (3) | 300,000 | 295,838 |
Total U.S. Treasury Obligations (Cost $295,954) | 295,838 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.1% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% | 1,466,662 | 1,466,662 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $1,466,662) | 1,466,662 | |
TOTAL INVESTMENTS (Cost $56,210,099) - 98.0% | 129,888,245 | |
Other assets and liabilities, net - 2.0% | 2,658,720 | |
NET ASSETS - 100.0% | 132,546,965 |
NOTES TO SCHEDULE OF INVESTMENTS | ||
(1) All or a portion of this security was on loan at December 31, 2018. The aggregate market value of securities on loan at December 31, 2018 was $3,306,653. | ||
(2) Non-income producing security. | ||
(3) Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. | ||
Abbreviations: | ||
ADR: | American Depositary Receipt |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
E-mini NASDAQ 100 Index | 33 | 3/15/19 | $4,179,945 | ($80,365 | ) | |||
See notes to financial statements. |
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CALVERT VP NASDAQ 100 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2018
ASSETS | |||
Investments in securities of unaffiliated issuers, at value (identified cost $56,210,099) - including $3,306,653 of securities on loan | $129,888,245 | ||
Receivable for variation margin on open futures contracts | 26,400 | ||
Cash | 4,024,918 | ||
Receivable for capital shares sold | 73,893 | ||
Dividends receivable | 80,804 | ||
Securities lending income receivable | 2,091 | ||
Receivable from affiliate | 37,396 | ||
Directors’ deferred compensation plan | 26,704 | ||
Other assets | 4,366 | ||
Total assets | 134,164,817 | ||
LIABILITIES | |||
Payable for capital shares redeemed | 12,751 | ||
Deposits for securities loaned | 1,466,662 | ||
Payable to affiliates: | |||
Investment advisory fee | 35,070 | ||
Administrative fee | 14,028 | ||
Distribution and service fees | 386 | ||
Sub-transfer agency fees | 27 | ||
Directors’ deferred compensation plan | 26,704 | ||
Accrued expenses | 62,224 | ||
Total liabilities | 1,617,852 | ||
NET ASSETS | $132,546,965 | ||
NET ASSETS CONSIST OF: | |||
Paid-in capital applicable to common stock | |||
(10,000,000 shares per class of $0.10 par value authorized) | $53,947,386 | ||
Distributable earnings | 78,599,579 | ||
Total | $132,546,965 | ||
NET ASSET VALUE PER SHARE | |||
Class I (based on net assets of $130,776,992 and 2,043,914 shares outstanding) | $63.98 | ||
Class F (based on net assets of $1,769,973 and 27,917 shares outstanding) | $63.40 | ||
See notes to financial statements. |
12 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
YEAR ENDED DECEMBER 31, 2018
INVESTMENT INCOME | |||
Dividend income (net of foreign taxes withheld of $561) | $1,512,327 | ||
Interest income | 16,689 | ||
Securities lending income, net | 21,372 | ||
Total investment income | 1,550,388 | ||
EXPENSES | |||
Investment advisory fee | 439,431 | ||
Administrative fee | 175,772 | ||
Distribution and service fees: | |||
Class F | 5,049 | ||
Directors’ fees and expenses | 7,460 | ||
Custodian fees | 21,742 | ||
Transfer agency fees and expenses | 76,829 | ||
Accounting fees | 38,109 | ||
Professional fees | 31,064 | ||
Reports to shareholders | 25,654 | ||
Licensing fees | 45,680 | ||
Miscellaneous | 10,156 | ||
Total expenses | 876,946 | ||
Waiver and/or reimbursement of expenses by affiliate | (162,542) | ||
Reimbursement of expenses-other | (2,873) | ||
Net expenses | 711,531 | ||
Net investment income | 838,857 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investment securities | 4,528,827 | ||
Futures contracts | (399,744) | ||
4,129,083 | |||
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | (5,439,581) | ||
Futures contracts | (85,645) | ||
(5,525,226) | |||
Net realized and unrealized loss | (1,396,143) | ||
Net decrease in net assets resulting from operations | ($557,286 | ) | |
Net decrease in net assets resulting from operations |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT 13
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET ASSETS | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||
Operations: | |||||||
Net investment income | $838,857 | $822,350 | |||||
Net realized gain | 4,129,083 | 2,356,970 | |||||
Net change in unrealized appreciation (depreciation) | (5,525,226) | 30,434,400 | |||||
Net increase (decrease) in net assets resulting from operations | (557,286) | 33,613,720 | |||||
Distributions to shareholders (1) | |||||||
Class I shares | (3,147,915) | (1,753,036) | |||||
Class F shares | (43,192) | (25,455) | |||||
Total distributions to shareholders | (3,191,107) | (1,778,491) | |||||
Capital share transactions: | |||||||
Class I shares | 1,014,102 | (2,454,766) | |||||
Class F shares | (133,295) | 497,315 | |||||
Net increase (decrease) in net assets from capital share transactions | 880,807 | (1,957,451) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (2,867,586) | 29,877,778 | |||||
NET ASSETS | |||||||
Beginning of year | 135,414,551 | 105,536,773 | |||||
End of year | $132,546,965 | $135,414,551(2) | |||||
(1) For the year ended December 31, 2017, the source of distributions was as follows: Net investment income — Class I ($595,014) and Class F ($8,640) Net realized gain — Class I ($1,158,022) and Class F ($16,815) The current year presentation of distributions conforms with the Disclosure Update and Simplification Rule issued by the Securities and Exchange Commission, effective November 5, 2018. | |||||||
(2) Includes accumulated undistributed net investment income of $817,924 at December 31, 2017. The requirement to disclose the corresponding amount as of December 31, 2018 was eliminated. | |||||||
See notes to financial statements. |
14 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | ||||||||||||||
CLASS I SHARES | 2018 (1) | 2017 (1) | 2016 (1) | 2015 (1) | 2014 | |||||||||
Net asset value, beginning | $65.60 | $50.26 | $48.91 | $45.59 | $42.98 | |||||||||
Income from investment operations: | ||||||||||||||
Net investment income | 0.41 | 0.40 | 0.34 | 0.29 | 0.53 | |||||||||
Net realized and unrealized gain (loss) | (0.46) | 15.82 | 2.91 | 3.87 | 7.55 | |||||||||
Total from investment operations | (0.05) | 16.22 | 3.25 | 4.16 | 8.08 | |||||||||
Distributions from: | ||||||||||||||
Net investment income | (0.40) | (0.30) | (0.26) | (0.03) | (0.57) | |||||||||
Net realized gain | (1.17) | (0.58) | (1.64) | (0.81) | (4.90) | |||||||||
Total distributions | (1.57) | (0.88) | (1.90) | (0.84) | (5.47) | |||||||||
Total increase (decrease) in net asset value | (1.62) | 15.34 | 1.35 | 3.32 | 2.61 | |||||||||
Net asset value, ending | $63.98 | $65.60 | $50.26 | $48.91 | $45.59 | |||||||||
Total return (2) | (0.47 | %) | 32.35 | % | 6.59 | % | 9.07 | % | 18.66 | % | ||||
Ratios to average net assets: (3) | ||||||||||||||
Total expenses | 0.60 | % | 0.60 | % | 0.66 | % | 0.62 | % | 0.63 | % | ||||
Net expenses | 0.48 | % | 0.48 | % | 0.64 | % | 0.62 | % | 0.63 | % | ||||
Net investment income | 0.58 | % | 0.67 | % | 0.69 | % | 0.61 | % | 1.07 | % | ||||
Portfolio turnover | 7 | % | 3 | % | 5 | % | 8 | % | 11 | % | ||||
Net assets, ending (in thousands) | $130,777 | $133,473 | $104,449 | $93,676 | $82,697 | |||||||||
(1) Net investment income per share was computed using average shares outstanding. | ||||||||||||||
(2) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||||
(3) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||||
See notes to financial statements. |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT 15
CALVERT VP NASDAQ 100 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Year Ended December 31, | Period Ended December 31, 2015 (1) | |||||||||||
CLASS F SHARES | 2018 | 2017 | 2016 | |||||||||
Net asset value, beginning | $65.18 | $50.07 | $48.91 | $50.24 | ||||||||
Income from investment operations: | ||||||||||||
Net investment income (2) | 0.23 | 0.23 | 0.18 | 0.06 | ||||||||
Net realized and unrealized gain (loss) | (0.44) | 15.76 | 2.93 | (0.58) | ||||||||
Total from investment operations | (0.21) | 15.99 | 3.11 | (0.52) | ||||||||
Distributions from: | ||||||||||||
Net investment income | (0.40) | (0.30) | (0.31) | — | ||||||||
Net realized gain | (1.17) | (0.58) | (1.64) | (0.81) | ||||||||
Total distributions | (1.57) | (0.88) | (1.95) | (0.81) | ||||||||
Total increase (decrease) in net asset value | (1.78) | 15.11 | 1.16 | (1.33) | ||||||||
Net asset value, ending | $63.40 | $65.18 | $50.07 | $48.91 | ||||||||
Total return (3) | (0.72 | %) | 32.01 | % | 6.30 | % | (1.07 | %) | (4) | |||
Ratios to average net assets: (5) | ||||||||||||
Total expenses | 0.84 | % | 1.01 | % | 1.48 | % | 0.87 | % | (6) | |||
Net expenses | 0.73 | % | 0.73 | % | 0.94 | % | 0.87 | % | (6) | |||
Net investment income | 0.33 | % | 0.39 | % | 0.36 | % | 0.71 | % | (6) | |||
Portfolio turnover | 7 | % | 3 | % | 5 | % | 8 | % | (4) | |||
Net assets, ending (in thousands) | $1,770 | $1,942 | $1,088 | $99 | ||||||||
(1) From October 30, 2015 inception. | ||||||||||||
(2) Computed using average shares outstanding. | ||||||||||||
(3) Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. | ||||||||||||
(4) Not annualized. | ||||||||||||
(5) Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. | ||||||||||||
(6) Annualized. | ||||||||||||
See notes to financial statements. |
16 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
NOTE 1 — SIGNIFICANT ACCOUNTING POLICIES
Calvert VP Nasdaq 100 Index Portfolio (the Fund) is a non-diversified series of Calvert Variable Products, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek investment results that correspond to the investment performance of U.S. common stocks, as represented by the NASDAQ-100 Index.
Shares of the Fund are sold without sales charge to insurance companies for allocation to certain of their variable separate accounts. The Fund offers Class I and Class F shares. Among other things, each class has different: (a) dividend rates due to differences in Distribution Plan expenses and other class-specific expenses; (b) exchange privileges; and (c) class-specific voting rights.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A. Investment Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
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.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy.
Short-Term Debt Securities. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Exchange-traded funds are valued at the official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives. Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund’s adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT 17
not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund’s holdings as of December 31, 2018, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3 | Total | |||||||||
Common Stocks | $ | 127,045,925 | (1) | $ | — | $ | — | $ | 127,045,925 | ||||
Exchange-Traded Funds | 1,079,820 | — | — | 1,079,820 | |||||||||
U.S. Treasury Obligations | — | 295,838 | — | 295,838 | |||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 1,466,662 | — | — | 1,466,662 | |||||||||
Total Investments | $ | 129,592,407 | $ | 295,838 | $ | — | $ | 129,888,245 | |||||
Liabilities | |||||||||||||
Futures Contracts(2) | $ | (80,365 | ) | $ | — | $ | — | $ | (80,365 | ) | |||
(1) The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. | |||||||||||||
(2) The value listed reflects unrealized appreciation (depreciation) as shown in the Schedule of Investments. |
B. Investment Transactions and Income: Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Non-cash dividends are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C. Share Class Accounting: Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D. Futures Contracts: The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
E. Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund’s capital accounts to reflect income and gains available for distribution under income tax regulations.
18 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
F. Estimates: The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Indemnifications: The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
H. Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund’s tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund’s financial statements. A Fund’s federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
NOTE 2 — RELATED PARTY TRANSACTIONS
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.30% of the Fund’s average daily net assets. For the year ended December 31, 2018, the investment advisory fee amounted to $439,431.
Ameritas Investment Partners, Inc. (AIP) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, interest expense, taxes or litigation expenses) exceed 0.48% for Class I and 0.73% for Class F of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after April 30, 2019. For the year ended December 31, 2018, CRM waived or reimbursed expenses of $153,522.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class I and Class F and is payable monthly. CRM contractually waived 0.02% of the administrative fee through April 30, 2018 for each class. For the year ended December 31, 2018, CRM was paid administrative fees of $175,772 of which $9,020 were waived.
The Fund has in effect a distribution plan for Class F shares (Class F Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class F Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class F shares for distribution services and facilities provided to the Fund, as well as for personal and/or account maintenance services provided to the class shareholders. Distribution and service fees paid or accrued for the year ended December 31, 2018 amounted to $5,049 for Class F shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the year ended December 31, 2018, sub-transfer agency fees and expenses incurred to EVM amounted to $0 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives a fee of $3,000 for each Board meeting attended in person and $2,000 for each Board meeting attended by phone plus an annual fee of $52,000, and $1,500 for each Committee meeting attended in person and $1,000 for each Committee meeting attended by phone plus an annual Committee fee of $2,500. The Board chair receives an additional $10,000 annual retainer and Committee chairs receive an additional $6,000 annual retainer. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund’s assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and four additional members. Each member (other than CRM’s Chief Executive Officer) receives annual compensation of $75,000, which is being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT 19
investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019. For the year ended December 31, 2018, the Fund’s allocated portion of such expense and reimbursement was $2,873, which are included in miscellaneous expense and reimbursement of expenses-other, respectively, on the Statement of Operations.
NOTE 3 — SHAREHOLDER SERVICING PLAN
The Corporation, on behalf of the Fund, has adopted a Shareholder Servicing Plan (Servicing Plan), which permits the Fund to enter into shareholder servicing agreements with intermediaries that maintain accounts in the Fund for the benefit of shareholders. These services may include, but are not limited to, processing purchase and redemption requests, processing dividend payments, and providing account information to shareholders. Under the Servicing Plan, the Fund may make payments at an annual rate of up to 0.11% of its average daily net assets. For the year ended December 31, 2018, expenses incurred under the Servicing Plan amounted to $72,139 and are included in transfer agency fees and expenses on the Statement of Operations.
NOTE 4 — INVESTMENT ACTIVITY
During the year ended December 31, 2018, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $10,141,279 and $15,040,942, respectively.
NOTE 5 — DISTRIBUTIONS TO SHAREHOLDERS AND INCOME TAX INFORMATION
The tax character of distributions declared for the years ended December 31, 2018 and December 31, 2017 was as follows:
Year Ended December 31, | ||||||
2018 | 2017 | |||||
Ordinary income | $1,026,171 | $625,710 | ||||
Long-term capital gains | $2,164,936 | $1,152,781 |
As of December 31, 2018, the components of distributable earnings (accumulated loss) on a tax basis were as follows:
Undistributed ordinary income | $837,144 | ||
Undistributed long-term capital gains | $4,044,854 | ||
Net unrealized appreciation (depreciation) | $73,717,581 |
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at December 31, 2018, as determined on a federal income tax basis, were as follows:
Aggregate cost | $56,170,664 | ||
Gross unrealized appreciation | $76,328,725 | ||
Gross unrealized depreciation | (2,611,144) | ||
Net unrealized appreciation (depreciation) | $73,717,581 |
NOTE 6 — FINANCIAL INSTRUMENTS
A summary of futures contracts outstanding at December 31, 2018 is included in the Schedule of Investments. During the year ended December 31, 2018, the Fund used futures contracts to provide equity market exposure for uncommitted cash balances.
At December 31, 2018, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk was as follows:
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $— | ($80,365) | (1) |
(1) Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is equity price risk for the year ended December 31, 2018 was as follows:
20 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
Statement of Operations Caption | ||
Derivative | Net realized gain (loss) on futures contracts | Net change in unrealized appreciation (depreciation) on futures contracts |
Futures contracts | ($399,744) | ($85,645) |
The average notional cost of futures contracts (long) outstanding during the year ended December 31, 2018 was approximately $2,621,000.
NOTE 7 — SECURITIES LENDING
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSB), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered to be illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSB. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At December 31, 2018, the total value of securities on loan was $3,306,653 and the total value of collateral received was $3,360,043, comprised of cash of $1,466,662 and U.S. Government and/or agencies securities of $1,893,381.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of December 31, 2018.
Remaining Contractual Maturity of the Transactions | |||||||||||||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |||||||||||
Securities Lending Transactions | |||||||||||||||
Common Stocks | $2,360,043 | $— | $— | $— | $2,360,043 | ||||||||||
Exchange Traded Funds | 1,000,000 | — | — | — | 1,000,000 | ||||||||||
Total | $3,360,043 | $— | $— | $— | $3,360,043 |
The carrying amount of the liability for deposits for securities loaned at December 31, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at December 31, 2018.
NOTE 8 — LINE OF CREDIT
The Fund participates with other funds managed by CRM in a $62.5 million committed ($25 million committed and $25 million uncommitted prior to August 7, 2018) unsecured line of credit agreement with SSB, which is in effect through August 6, 2019. Borrowings may be made for temporary or emergency purposes only. Borrowings bear interest at the higher of the One-Month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds Rate, plus 1.00% (1.25% prior to August 7, 2018) per annum. A commitment fee of 0.20% (0.25% prior to August 7, 2018) per annum is incurred on the unused portion of the committed facility. An administrative fee of $37,500 was incurred in connection with the renewal of the facility in August 2018. These fees are allocated to all participating funds. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time. The Fund had no borrowings pursuant to this line of credit during the year ended December 31, 2018.
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NOTE 9 — CAPITAL SHARES
Transactions in capital shares for the years ended December 31, 2018 and December 31, 2017 were as follows:
Year Ended December 31, 2018 | Year Ended December 31, 2017 | ||||||||||
Shares | Amount | Shares | Amount | ||||||||
Class I | |||||||||||
Shares sold | 231,179 | $16,599,420 | 204,747 | $12,174,860 | |||||||
Reinvestment of distributions | 41,241 | 3,147,915 | 28,197 | 1,753,036 | |||||||
Shares redeemed | (263,254 | ) | (18,733,233 | ) | (276,201 | ) | (16,382,662 | ) | |||
Net increase (decrease) | 9,166 | $1,014,102 | (43,257 | ) | ($2,454,766 | ) | |||||
Class F | |||||||||||
Shares sold | 657 | $43,443 | 14,305 | $825,595 | |||||||
Reinvestment of distributions | 571 | 43,192 | 412 | 25,455 | |||||||
Shares redeemed | (3,106 | ) | (219,930 | ) | (6,642 | ) | (353,735 | ) | |||
Net increase (decrease) | (1,878 | ) | ($133,295 | ) | 8,075 | $497,315 |
At December 31, 2018, separate accounts of an insurance company that is an affiliate of AIP owned 49.9% of the value of the outstanding shares of the Fund and separate accounts of two other insurance companies each owned more than 10% of the value of the outstanding shares of the Fund, aggregating 35.8%.
22 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors
Calvert Variable Products, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Calvert VP Nasdaq 100 Index Portfolio (the Fund), a series of Calvert Variable Products, Inc., including the schedule of investments, as of December 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with custodians and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of the Calvert Funds since 2002.
Philadelphia, Pennsylvania
February 15, 2019
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT 23
FEDERAL TAX INFORMATION
As required by the Internal Revenue Code and/or regulations, shareholders must be notified regarding the status of the dividends received deduction for corporations and capital gains dividends.
Dividends Received Deduction. Corporate shareholders are generally entitled to take the dividends received deduction on the portion of the Fund’s dividend distribution that qualifies under tax law. For the Fund’s fiscal 2018 ordinary income dividends, 100% qualifies for the corporate dividends received deduction.
Capital Gains Dividends. The Fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2018, $4,045,002 or, if subsequently determined to be different, the net capital gain of such year.
24 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
MANAGEMENT AND ORGANIZATION
Fund Management. The Directors of Calvert Variable Products, Inc. (the Corporation) are responsible for the overall management and supervision of the Corporation’s affairs. The Directors and officers of the Corporation are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Directors and officers of the Corporation hold indefinite terms of office. The “Independent Directors” consist of those Directors who are not “interested persons” of the Corporation, as that term is defined under the 1940 Act. The business address of each Director and officer, with the exception of Ms. Gemma and Mr. Kirchner, is 1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009. As used below, “CRM” refers to Calvert Research and Management. Each Director oversees 39 funds in the Calvert fund complex. Each officer serves as an officer of certain other Calvert funds.
Name and Year of Birth | Position with the Corporation | Position Start Date | Principal Occupation(s) and Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | 2015 | President and Chief Executive Officer of Calvert Research and Management (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Directorships in the Last Five Years. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Independent Directors | |||
Richard L. Baird, Jr. 1948 | Director | 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. Directorships in the Last Five Years. None. |
Alice Gresham Bullock 1950 | Chair and Director | 2016 (Chair); 2008 (Director) | Professor at Howard University School of Law (retired June 2016). She is former Dean of Howard University School of Law (1996-2002) and Deputy Director of the Association of American Law Schools (1992-1994). Directorships in the Last Five Years. None. |
Cari M. Dominguez 1949 | Director | 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Directorships in the Last Five Years. Manpower, Inc. (employment agency); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Directorships in the Last Five Years. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram), November 1999 - September 2014). Directorships in the Last Five Years. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | 2016 | Attorney. Directorships in the Last Five Years. Conduit Street Restaurants SUD 2 Limited; Palm Management Restaurant Corporation. |
Anthony A. Williams 1951 | Director | 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for McKenna Long & Aldridge LLP (September 2011 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Directorships in the Last Five Years. Freddie Mac; Evoq Properties/ Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization). |
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 25
Principal Officers who are not Directors | |||
Name and Year of Birth | Position(s) with the Corporation | Position Start Date | Principal Occupation(s) During Past Five Years |
Hope L. Brown 1973 | Chief Compliance Officer | 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). Vice President and Senior Compliance Officer, Wilmington Trust Investment Advisors, Inc. (2010-2012). |
Maureen A. Gemma (2) 1960 | Vice President, Secretary and Chief Legal Officer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of Eaton Vance Management (“EVM”) and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
James F. Kirchner (2) 1967 | Treasurer | 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM. Also Vice President of EVM and certain of its affiliates and officer of 175 registered investment companies advised or administered by EVM. |
(1) Mr. Streur is an interested person of the Corporation because of his position with the Portfolio’s adviser and certain affiliates.
(2) The business address for Ms. Gemma and Mr. Kirchner is Two International Place, Boston, MA 02110. Ms. Gemma and Mr. Kirchner began serving as Officers effective December 31, 2016.
The SAI for the Portfolio includes additional information about the Directors and officers of the Portfolio and can be obtained without charge on Calvert’s website at www.calvert.com or by calling 1-800-368-2745.
26 www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited)
IMPORTANT NOTICES
Privacy. The Calvert Funds and Calvert Research and Management are committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:
• | Only such information received from you, through application forms or otherwise, and information about your Calvert fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions. |
• | None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Calvert Research and Management may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers. |
• | Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information. |
• | The Funds reserve the right to change this Privacy Policy at any time upon proper notification to you. Customers may want to review the Funds’ Privacy Policy periodically for changes by accessing the link on our homepage: www.calvert.com. |
Our pledge of privacy applies to the following entities: the Calvert Family of Funds, Calvert Research and Management and their affiliated service providers, Eaton Vance Management and Eaton Vance Distributors, Inc. In addition, our Privacy Policy applies only to those Calvert customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Calvert’s Privacy Policy, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Calvert funds, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial advisor, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial advisor. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial advisor. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
www.calvert.com CALVERT VP NASDAQ 100 INDEX PORTFOLIO ANNUAL REPORT (Unaudited) 27
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CALVERT VP NASDAQ 100 INDEX PORTFOLIO | |
Investment Adviser and Administrator Calvert Research and Management 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 | Transfer Agent DST Asset Manager Solutions, Inc. 2000 Crown Colony Drive Quincy, MA 02169 |
Sub-Adviser Ameritas Investment Partners, Inc. 5945 R Street Lincoln, NE 68505 | Independent Registered Public Accounting Firm KPMG LLP 1601 Market Street Philadelphia, PA 19103-2499 |
Principal Underwriter* Eaton Vance Distributors, Inc. Two International Place Boston, MA 02110 (617) 482-8260 | Fund Offices 1825 Connecticut Avenue NW, Suite 400 Washington, DC 20009 |
Custodian State Street Bank and Trust Company State Street Financial Center, One Lincoln Street Boston, MA 02111 |
* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus. Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only. Investors should carefully consider the investment objectives, risks, charges and expenses of the Calvert funds. This and other important information is contained in the fund’s summary prospectus and prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call the Calvert funds at 800-368-2745. Printed on recycled paper. | |
24229 12.31.2018 |
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has amended the code of ethics as described in Form N-CSR during the period covered by this report to make immaterial changes. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant's Board of Directors has determined that Miles D. Harper III, an “independent” Director serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Directors in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services
(a) –(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended December 31, 2017 and December 31, 2018 by KPMG for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by KPMG during such periods.
Fiscal Years Ended | 12/31/17 | %* | 12/31/18 | %* | ||||||
Audit Fees | $165,320 | 0 | % | $180,007 | 0 | % | ||||
Audit-Related Fees | $0 | 0 | % | $0 | 0 | % | ||||
Tax Fees(1) | $30,200 | 0 | % | $31,950 | 0 | % | ||||
All Other Fees | $0 | 0 | % | $0 | 0 | % | ||||
Total | $195,520 | 0 | % | $211,957 | 0 | % |
*Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve).
(1)Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters.
(e) The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment adviser in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant:
Fiscal Year ended 12/31/17 | Fiscal Year ended 12/31/18 | ||
$ | %* | $ | %* |
$0 | 0% | $31,950 | 0% |
*Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimus waiver of Committee’s requirement to pre-approve)
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits
(a)(1) Registrant’s Code of Ethics – Not applicable (please see Item 2).
(a)(2)(i) Treasurer’s Section 302 certification.
(a)(2)(ii) President’s Section 302 certification.
(b) Combined Section 906 certification.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT VARIABLE PRODUCTS, INC.
By: /s/ John H. Streur
John H. Streur
President
Date: February 25, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ James F. Kirchner
James F. Kirchner
Treasurer
Date: February 25, 2019
By: /s/ John H. Streur
John H. Streur
President
Date: February 25, 2019