Calvert
Green Bond Fund
December 31, 2019
Schedule of Investments (Unaudited)
Asset-Backed Securities — 9.6%
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Helios Issuer, LLC, Series 2017-1A, Class C, 8.00%, 9/20/49(1) |
$ | 5,968 | $ | 6,195,325 | ||||
| Mosaic Solar Loan Trust: | ||||||||
| Series 2018-1A, Class A, 4.01%, 6/22/43(1) |
1,030 | 1,058,298 | ||||||
| Series 2019-1A, Class A, 4.37%, 12/21/43(1) |
1,202 | 1,253,076 | ||||||
| Series 2019-2A, Class B, 3.28%, 9/20/40(1) |
4,800 | 4,776,969 | ||||||
| Series 2019-2A, Class C, 4.35%, 9/20/40(1) |
1,665 | 1,666,314 | ||||||
| Mosaic Solar Loans, LLC: | ||||||||
| Series 2017-1A, Class A, 4.45%, 6/20/42(1) |
696 | 723,413 | ||||||
| Series 2017-2A, Class A, 3.82%, 6/22/43(1) |
87 | 88,965 | ||||||
| RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25(1) |
54 | 53,711 | ||||||
| SolarCity LMC, LLC: | ||||||||
| Series 2013-1, Class A, 4.80%, 11/20/38(1) |
189 | 196,211 | ||||||
| Series 2014-1, Class A, 4.59%, 4/20/44(1) |
4,145 | 4,221,498 | ||||||
| Series 2014-2, Class A, 4.02%, 7/20/44(1) |
1,635 | 1,646,274 | ||||||
| Series 2014-2, Class B, 5.44%, 7/20/44(1) |
172 | 172,206 | ||||||
| Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28(1) |
424 | 432,221 | ||||||
| Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) |
1,830 | 1,822,003 | ||||||
| Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) |
834 | 850,407 | ||||||
| TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) |
2,531 | 2,523,550 | ||||||
| Tesla Auto Lease Trust: | ||||||||
| Series 2018-A, Class B, 2.75%, 2/20/20(1) |
19 | 19,206 | ||||||
| Series 2018-B, Class A, 3.71%, 8/20/21(1) |
1,644 | 1,666,050 | ||||||
| Series 2018-B, Class C, 4.36%, 10/20/21(1) |
1,875 | 1,925,377 | ||||||
| Series 2019-A, Class A2, 2.13%, 4/20/22(1) |
1,000 | 999,838 | ||||||
| Series 2019-A, Class A4, 2.20%, 11/21/22(1) |
1,535 | 1,533,516 | ||||||
| Series 2019-A, Class B, 2.41%, 12/20/22(1) |
3,270 | 3,260,422 | ||||||
| Series 2019-A, Class E, 5.48%, 5/22/23(1) |
1,545 | 1,551,623 | ||||||
| Vivint Solar Financing V, LLC, Series 2018-1A, Class A, 4.73%, 4/30/48(1) |
1,471 | 1,536,201 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
$ | 40,172,674 | ||||||
|
|
|
|||||||
| Collateralized Mortgage-Backed Obligations — 8.6% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series KG02, Class A2, 2.412%, 8/25/29 |
$ | 4,050 | $ | 4,036,352 | ||||
| Federal National Mortgage Association: | ||||||||
| Series 2017-M2, Class A1, 2.801%, 2/25/27(2) |
373 | 378,127 | ||||||
| Series 2017-M13, Class A2, 2.939%, 9/25/27(2) |
4,150 | 4,313,319 | ||||||
1
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Series 2018-M4, Class A2, 3.045%, 3/25/28(2) |
$ | 4,142 | $ | 4,339,701 | ||||
| Series 2018-M8, Class A2, 3.325%, 6/25/28(2) |
923 | 983,239 | ||||||
| Series 2018-M13, Class A2, 3.697%, 9/25/30(2) |
2,420 | 2,655,831 | ||||||
| Series 2019-M1, Class A2, 3.555%, 9/25/28(2) |
4,530 | 4,906,490 | ||||||
| Series 2019-M9, Class A2, 2.937%, 4/25/29 |
1,920 | 1,988,967 | ||||||
| Series 2019-M22, Class A2, 2.522%, 8/25/29 |
12,300 | 12,349,962 | ||||||
|
|
|
|||||||
| Total Collateralized Mortgage-Backed Obligations |
$ | 35,951,988 | ||||||
|
|
|
|||||||
| Corporate Bonds — 58.1% |
||||||||
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Basic Materials — 1.2% |
||||||||
| LG Chem, Ltd.: | ||||||||
| 3.25%, 10/15/24(1) |
1,550 | $ | 1,591,281 | |||||
| 3.625%, 4/15/29(1) |
3,125 | 3,226,905 | ||||||
|
|
|
|||||||
| $ | 4,818,186 | |||||||
|
|
|
|||||||
| Communications — 1.0% |
||||||||
| Verizon Communications, Inc., 3.875%, 2/8/29 |
3,980 | $ | 4,392,573 | |||||
|
|
|
|||||||
| Consumer, Non-cyclical — 3.4% |
||||||||
| Conservation Fund (The), 3.474%, 12/15/29 |
2,345 | $ | 2,337,411 | |||||
| Kaiser Foundation Hospitals, 3.15%, 5/1/27(3) |
2,208 | 2,305,846 | ||||||
| Koninklijke Philips NV, 0.50%, 5/22/26(4) |
EUR | 2,307 | 2,626,533 | |||||
| Massachusetts Institute of Technology, 3.959%, 7/1/38 |
2,985 | 3,375,588 | ||||||
| PepsiCo, Inc., 2.875%, 10/15/49 |
3,950 | 3,817,684 | ||||||
|
|
|
|||||||
| $ | 14,463,062 | |||||||
|
|
|
|||||||
| Energy — 3.7% |
||||||||
| Hanwha Energy USA Holdings Corp., 2.375%, 7/30/22(1) |
5,000 | $ | 5,023,207 | |||||
| Pattern Energy Group, Inc., 5.875%, 2/1/24(1) |
1,980 | 2,042,697 | ||||||
| TerraForm Power Operating, LLC, 4.75%, 1/15/30(1) |
8,360 | 8,521,766 | ||||||
|
|
|
|||||||
| $ | 15,587,670 | |||||||
|
|
|
|||||||
| Financial — 24.7% |
||||||||
| Alexandria Real Estate Equities, Inc., 4.00%, 1/15/24 |
2,364 | $ | 2,518,439 | |||||
| Australia & New Zealand Banking Group, Ltd., 3.25%, 6/3/20(4) |
AUD | 4,740 | 3,353,627 | |||||
| Bank of America Corp.: | ||||||||
| 2.456% to 10/22/24, 10/22/25(5) |
5,888 | 5,925,845 | ||||||
| 3.499% to 5/17/21, 5/17/22(5) |
6,132 | 6,255,004 | ||||||
| Bank of Nova Scotia (The), 2.375%, 1/18/23 |
5,100 | 5,176,163 | ||||||
| Boston Properties LP, 3.40%, 6/21/29 |
2,700 | 2,820,704 | ||||||
| Citigroup, Inc., 0.50%, 1/29/22(4) |
EUR | 11,950 | 13,560,086 | |||||
| Commonwealth Bank of Australia, 3.25%, 3/31/22 |
AUD | 2,020 | 1,474,673 | |||||
| Credit Agricole Corporate & Investment Bank SA, 2.533%, (3 mo. USD LIBOR + 0.625%), 10/3/21(6) |
11,106 | 11,137,656 | ||||||
| DBS Group Holdings, Ltd., 2.56%, (3 mo. USD LIBOR + 0.62%), 7/25/22(1)(6) |
3,640 | 3,658,186 | ||||||
2
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Digital Euro Finco, LLC, 2.50%, 1/16/26(4) |
EUR | 6,700 | $ | 8,184,312 | ||||
| HAT Holdings I, LLC / HAT Holdings II, LLC, 5.25%, 7/15/24(1) |
7,000 | 7,373,345 | ||||||
| ING Groep NV, 4.625%, 1/6/26(1) |
2,175 | 2,418,903 | ||||||
| Mitsubishi UFJ Financial Group, Inc., 2.527%, 9/13/23(3) |
1,100 | 1,112,043 | ||||||
| National Australia Bank, Ltd., 3.625%, 6/20/23 |
1,867 | 1,962,053 | ||||||
| Nederlandse Waterschapsbank NV, 3.125%, 12/5/22(1) |
500 | 521,243 | ||||||
| PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 |
10,800 | 10,837,076 | ||||||
| Regency Centers LP, 3.75%, 6/15/24 |
1,500 | 1,575,733 | ||||||
| Royal Bank of Canada, 0.25%, 5/2/24(4) |
EUR | 8,600 | 9,661,157 | |||||
| Welltower, Inc., 2.70%, 2/15/27 |
4,000 | 4,016,201 | ||||||
|
|
|
|||||||
| $ | 103,542,449 | |||||||
|
|
|
|||||||
| Government — 6.9% |
||||||||
| Asian Development Bank: | ||||||||
| 1.875%, 8/10/22 |
1,500 | $ | 1,507,467 | |||||
| 2.125%, 3/19/25 |
750 | 761,393 | ||||||
| 2.375%, 8/10/27 |
750 | 772,050 | ||||||
| 3.125%, 9/26/28 |
800 | 873,016 | ||||||
| European Bank for Reconstruction & Development, 1.625%, 9/27/24 |
2,000 | 1,985,183 | ||||||
| European Investment Bank: | ||||||||
| 1.00%, 11/14/42(4) |
EUR | 3,400 | 4,185,025 | |||||
| 2.375%, 5/24/27 |
3,965 | 4,090,706 | ||||||
| 2.50%, 10/15/24(3) |
1,000 | 1,033,573 | ||||||
| International Bank for Reconstruction & Development: | ||||||||
| 0.625%, 11/22/27 |
EUR | 3,550 | 4,195,830 | |||||
| 3.125%, 11/20/25 |
4,150 | 4,451,202 | ||||||
| International Finance Corp.: | ||||||||
| 2.00%, 10/24/22 |
2,450 | 2,470,225 | ||||||
| 2.125%, 4/7/26 |
1,500 | 1,518,247 | ||||||
| Nordic Investment Bank, 2.25%, 9/30/21 |
950 | 957,440 | ||||||
|
|
|
|||||||
| $ | 28,801,357 | |||||||
|
|
|
|||||||
| Industrial — 3.5% |
||||||||
| Owens Corning, 3.95%, 8/15/29 |
10,417 | $ | 10,849,589 | |||||
| Xylem, Inc.: | ||||||||
| 3.25%, 11/1/26 |
1,999 | 2,069,325 | ||||||
| 4.375%, 11/1/46 |
1,590 | 1,732,508 | ||||||
|
|
|
|||||||
| $ | 14,651,422 | |||||||
|
|
|
|||||||
| Technology — 1.9% |
||||||||
| Apple, Inc., 0.50%, 11/15/31 |
EUR | 7,238 | $ | 8,082,792 | ||||
|
|
|
|||||||
| Utilities — 11.8% |
||||||||
| Avangrid, Inc.: | ||||||||
| 3.15%, 12/1/24 |
4,913 | $ | 5,070,983 | |||||
| 3.80%, 6/1/29 |
7,600 | 8,060,804 | ||||||
| Clearway Energy Operating, LLC, 4.75%, 3/15/28(1) |
1,147 | 1,164,205 | ||||||
| Enel Finance International NV: | ||||||||
| 1.00%, 9/16/24(4) |
EUR | 4,250 | 4,945,192 | |||||
| 1.125%, 9/16/26(4) |
EUR | 4,100 | 4,809,417 | |||||
| MidAmerican Energy Co.: | ||||||||
| 3.15%, 4/15/50 |
850 | 839,023 | ||||||
| 3.65%, 8/1/48 |
3,570 | 3,853,908 | ||||||
| 4.25%, 7/15/49 |
2,390 | 2,863,753 | ||||||
3
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| NextEra Energy Operating Partners, L.P.: | ||||||||
| 4.25%, 9/15/24(1) |
1,825 | $ | 1,901,805 | |||||
| 4.50%, 9/15/27(1) |
3,760 | 3,928,532 | ||||||
| NSTAR Electric Co., 3.25%, 5/15/29 |
2,500 | 2,638,517 | ||||||
| Public Service Co. of Colorado: | ||||||||
| 3.20%, 3/1/50 |
4,500 | 4,520,051 | ||||||
| 3.70%, 6/15/28(3) |
1,978 | 2,154,930 | ||||||
| 4.10%, 6/15/48 |
1,000 | 1,152,122 | ||||||
| Terraform Global Operating, LLC, 6.125%, 3/1/26(1) |
1,595 | 1,663,342 | ||||||
|
|
|
|||||||
| $ | 49,566,584 | |||||||
|
|
|
|||||||
| Total Corporate Bonds |
$ | 243,906,095 | ||||||
|
|
|
|||||||
| High Social Impact Investments — 0.3% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(7)(8) |
$ | 1,196 | $ | 1,174,263 | ||||
|
|
|
|||||||
| Total High Social Impact Investments |
$ | 1,174,263 | ||||||
|
|
|
|||||||
| Preferred Stocks — 0.8% |
||||||||
| Security | Shares | Value | ||||||
| Real Estate Management & Development — 0.8% |
||||||||
| Brookfield Property Partners, L.P., Series A2, 6.38% |
123,000 | $ | 3,263,190 | |||||
|
|
|
|||||||
| Total Preferred Stocks |
$ | 3,263,190 | ||||||
|
|
|
|||||||
| Sovereign Government Bonds — 14.6% |
||||||||
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| Canada — 2.5% |
||||||||
| Province of Ontario Canada: | ||||||||
| 1.95%, 1/27/23 |
CAD | 3,200 | $ | 2,470,965 | ||||
| 2.65%, 2/5/25 |
CAD | 5,000 | 3,964,923 | |||||
| South Coast British Columbia Transportation Authority, 2.65%, 10/29/50 |
CAD | 5,490 | 4,168,561 | |||||
|
|
|
|||||||
| $ | 10,604,449 | |||||||
|
|
|
|||||||
| Finland — 2.2% |
||||||||
| Municipality Finance PLC: | ||||||||
| 0.05%, 9/6/29(4) |
EUR | 3,750 | $ | 4,178,895 | ||||
| 1.375%, 9/21/21(1) |
5,000 | 4,972,222 | ||||||
|
|
|
|||||||
| $ | 9,151,117 | |||||||
|
|
|
|||||||
4
| Security | Principal Amount* (000’s omitted) |
Value | ||||||
| France — 5.0% |
||||||||
| French Republic Government Bond OAT, 1.75%, 6/25/39(1)(4) |
EUR | 15,490 | $ | 21,045,455 | ||||
|
|
|
|||||||
| Germany — 2.6% |
||||||||
| Kreditanstalt fuer Wiederaufbau: | ||||||||
| 0.125%, 10/27/20(4) |
EUR | 3,600 | $ | 4,058,771 | ||||
| 1.75%, 9/14/29 |
2,200 | 2,153,703 | ||||||
| 1.875%, 11/30/20 |
2,800 | 2,803,704 | ||||||
| 2.00%, 9/29/22 |
2,000 | 2,017,215 | ||||||
|
|
|
|||||||
| $ | 11,033,393 | |||||||
|
|
|
|||||||
| Mexico — 0.2% |
||||||||
| Nacional Financiera SNC, 3.375%, 11/5/20(1) |
750 | $ | 755,511 | |||||
|
|
|
|||||||
| Netherlands — 0.4% |
||||||||
| Nederlandse Waterschapsbank NV, 2.375%, 3/24/26(1) |
1,700 | $ | 1,741,870 | |||||
|
|
|
|||||||
| Norway — 0.2% |
||||||||
| Kommunalbanken AS, 1.375%, 10/26/20(1) |
1,000 | $ | 996,798 | |||||
|
|
|
|||||||
| Sweden — 1.5% |
||||||||
| Kommuninvest i Sverige AB, 1.875%, 6/1/21(1) |
1,600 | $ | 1,602,468 | |||||
| Svensk Exportkredit AB, 1.875%, 6/23/20 |
4,500 | 4,502,292 | ||||||
|
|
|
|||||||
| $ | 6,104,760 | |||||||
|
|
|
|||||||
| Total Sovereign Government Bonds |
$ | 61,433,353 | ||||||
|
|
|
|||||||
| Taxable Municipal Obligations — 4.8% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| General Obligations — 1.2% |
||||||||
| Massachusetts, Green Bonds, 3.277%, 6/1/46 |
$ | 4,775 | $ | 4,846,100 | ||||
|
|
|
|||||||
| Water and Sewer — 3.6% |
||||||||
| District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 |
1,665 | 2,193,255 | ||||||
| Massachusetts Water Pollution Abatement Trust, 5.192%, 8/1/40(9) |
150 | 173,979 | ||||||
| Metropolitan Water District of Southern California, 6.947%, 7/1/40(9) |
250 | 256,080 | ||||||
| New York City Municipal Water Finance Authority, NY, (Water and Sewer System), 5.882%, 6/15/44(9) |
605 | 882,356 | ||||||
| New York Environmental Facilities Corp., Green Bonds, 2.25%, 7/15/20 |
1,070 | 1,072,375 | ||||||
| San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39(10) |
10,705 | 10,690,869 | ||||||
|
|
|
|||||||
| $ | 15,268,914 | |||||||
|
|
|
|||||||
| Total Taxable Municipal Obligations |
$ | 20,115,014 | ||||||
|
|
|
|||||||
5
| U.S. Government Agencies and Instrumentalities — 1.8% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Overseas Private Investment Corp.: | ||||||||
| 2.36%, 10/15/29 |
$ | 2,870 | $ | 2,881,770 | ||||
| 3.16%, 6/1/33 |
176 | 185,109 | ||||||
| 3.22%, 9/15/29 |
745 | 780,059 | ||||||
| 3.52%, 9/20/32 |
3,460 | 3,711,155 | ||||||
|
|
|
|||||||
| Total U.S. Government Agencies and Instrumentalities |
$ | 7,558,093 | ||||||
|
|
|
|||||||
| U.S. Government Agency Mortgage-Backed Securities — 0.9% |
||||||||
| Security | Principal Amount (000’s omitted) |
Value | ||||||
| Federal National Mortgage Association: | ||||||||
| 2.65%, 6/1/26 |
$ | 1,881 | $ | 1,920,458 | ||||
| 2.68%, 7/1/26 |
2,000 | 2,050,801 | ||||||
|
|
|
|||||||
| Total U.S. Government Agency Mortgage-Backed Securities |
$ | 3,971,259 | ||||||
|
|
|
|||||||
| Short-Term Investments — 0.3% |
||||||||
| Securities Lending Collateral — 0.3% |
||||||||
| Security | Shares | Value | ||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(11) |
1,111,635 | $ | 1,111,635 | |||||
|
|
|
|||||||
| Total Securities Lending Collateral |
$ | 1,111,635 | ||||||
|
|
|
|||||||
| Total Short-Term Investments |
$ | 1,111,635 | ||||||
|
|
|
|||||||
| Total Investments |
$ | 418,657,564 | ||||||
|
|
|
|||||||
| Other Assets, Less Liabilities — 0.2% |
$ | 718,774 | ||||||
|
|
|
|||||||
| Net Assets — 100.0% |
$ | 419,376,338 | ||||||
|
|
|
|||||||
The percentage shown for each investment category in the Schedule of Investments is based on net assets.
6
Notes to Schedule of Investments
| * | In U.S. dollars unless otherwise indicated. |
| (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 $114,322,415, which represents 27.3% of the net assets of the Fund as of December 31, 2019. |
| (2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2019. |
| (3) | All or a portion of this security was on loan at December 31, 2019. The aggregate market value of securities on loan at December 31, 2019 was $1,083,180 and the total market value of the collateral received by the Fund was $1,111,635, comprised of cash. |
| (4) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2019, the aggregate value of these securities is $80,608,470 or 19.2% of the Fund’s net assets. |
| (5) | Security converts to variable rate after the indicated fixed-rate coupon period. |
| (6) | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2019. |
| (7) | Restricted security. Total market value of restricted securities amounts to $1,174,263, which represents 0.3% of the net assets of the Fund as of December 31, 2019. |
| (8) | Affiliated company. |
| (9) | Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
| (10) | When-issued security. |
| (11) | Represents investment of cash collateral received in connection with securities lending. |
| Country Allocation | % of Total Investments |
|||
| United States |
68.0 | % | ||
| France |
7.6 | |||
| Canada |
6.0 | |||
| Other (less than 3% each) |
18.4 | |||
|
|
|
|||
| Total |
100.0 | % | ||
|
|
|
|||
Forward Foreign Currency Exchange Contracts
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
| USD | 4,704,761 | AUD | 6,915,931 | State Street Bank and Trust Company | 2/28/20 | $ | — | $ | (155,218 | ) | ||||||||||||||
| USD | 10,580,486 | CAD | 14,038,675 | State Street Bank and Trust Company | 2/28/20 | — | (232,897 | ) | ||||||||||||||||
| USD | 1,106,889 | EUR | 994,328 | State Street Bank and Trust Company | 2/28/20 | — | (12,345 | ) | ||||||||||||||||
| USD | 4,075,563 | EUR | 3,636,412 | State Street Bank and Trust Company | 2/28/20 | — | (17,648 | ) | ||||||||||||||||
| USD | 9,850,947 | EUR | 8,814,204 | State Street Bank and Trust Company | 2/28/20 | — | (70,481 | ) | ||||||||||||||||
| USD | 6,870,994 | EUR | 6,169,398 | State Street Bank and Trust Company | 2/28/20 | — | (73,392 | ) | ||||||||||||||||
| USD | 9,785,841 | EUR | 8,795,351 | State Street Bank and Trust Company | 2/28/20 | — | (114,366 | ) | ||||||||||||||||
| USD | 58,122,116 | EUR | 52,408,622 | State Street Bank and Trust Company | 2/28/20 | — | (869,980 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $ | — | $ | (1,546,327 | ) | ||||||||||||||||||||
|
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7
Futures Contracts
| Description |
Number of Contracts |
Position | Expiration Date |
Notional Amount |
Value/ Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Interest Rate Futures |
| |||||||||||||||||||
| U.S. 2-Year Treasury Note |
61 | Long | 3/31/20 | $ | 13,145,500 | $ | (8,011 | ) | ||||||||||||
| U.S. 5-Year Treasury Note |
(41 | ) | Short | 3/31/20 | (4,862,984 | ) | 17,867 | |||||||||||||
| U.S. Long Treasury Bond |
(80 | ) | Short | 3/20/20 | (12,472,500 | ) | 68,603 | |||||||||||||
| U.S. Ultra 10-Year Treasury Note |
(95 | ) | Short | 3/20/20 | (13,366,797 | ) | 152,541 | |||||||||||||
| U.S. Ultra-Long Treasury Bond |
(19 | ) | Short | 3/20/20 | (3,451,469 | ) | 110,143 | |||||||||||||
|
|
|
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| $ | 341,143 | |||||||||||||||||||
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|
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Abbreviations:
| LIBOR |
- | London Interbank Offered Rate | ||
Currency Abbreviations:
| AUD |
- | Australian Dollar | ||
| CAD |
- | Canadian Dollar | ||
| EUR |
- | Euro | ||
| USD |
- | United States Dollar | ||
Restricted Securities
| Description | Acquisition Date |
Cost | ||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 |
12/13/19 | $ | 1,196,055 | |||||
At December 31, 2019, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Foreign Exchange Risk: During the fiscal year to date ended December 31, 2019, the Fund entered into forward foreign currency exchange contracts to seek to hedge against the decline in the value of currencies in which its portfolio holdings are denominated against the U.S. dollar.
Interest Rate Risk: During the fiscal year to date ended December 31, 2019, the Fund used futures contracts to hedge interest rate risk and to manage duration.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at December 31, 2019 was as follows:
| Fair Value | ||||||||||
| Risk |
Derivative |
Asset Derivative |
Liability Derivative |
|||||||
| Foreign Exchange |
Forward Foreign Currency Exchange Contracts |
$ | — | $ | (1,546,327 | ) | ||||
|
|
|
|
|
|||||||
| Total |
$ | — | $ | (1,546,327 | ) | |||||
|
|
|
|
|
|||||||
| Interest Rate | Financial Futures Contracts | $ | 349,154 | $ | (8,011 | ) | ||||
|
|
|
|
|
|||||||
| Total |
$ | 349,154 | $ | (8,011 | ) | |||||
|
|
|
|
|
|||||||
8
At December 31, 2019, the value of the Fund’s investment in Calvert Impact Capital, Inc. (the Notes) was $1,174,263, which represents 0.3% of the Fund’s net assets. Transactions in the Notes by the Fund for the fiscal year to date ended December 31, 2019 were as follows:
| Name of Issuer |
Value, beginning of period |
Purchases | Sales Proceeds |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value, end of period |
Interest Income |
Capital Gain Distributions Received |
Principal Amount, end of period |
|||||||||||||||||||||||||||
| High Social Impact Investments |
||||||||||||||||||||||||||||||||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) |
$ | 149,206 | $ | — | $ | (150,000 | ) | $ | — | $ | 794 | $ | — | $ | 438 | $ | — | $ | — | |||||||||||||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) |
— | 1,196,055 | — | — | (21,792 | ) | 1,174,263 | 498 | — | 1,196,055 | ||||||||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
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| Total |
$ | — | $ | (20,998 | ) | $ | 1,174,263 | $ | 936 | $ | — | |||||||||||||||||||||||||
|
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| (1) | Restricted security. |
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.
9
The following table summarizes the market value of the Fund’s holdings as of December 31, 2019, based on the inputs used to value them:
| Asset Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Asset-Backed Securities |
$ | — | $ | 40,172,674 | $ | — | $ | 40,172,674 | ||||||||
| Collateralized Mortgage-Backed Obligations |
— | 35,951,988 | — | 35,951,988 | ||||||||||||
| Corporate Bonds |
— | 243,906,095 | — | 243,906,095 | ||||||||||||
| High Social Impact Investments |
— | 1,174,263 | — | 1,174,263 | ||||||||||||
| Preferred Stocks |
3,263,190 | — | — | 3,263,190 | ||||||||||||
| Sovereign Government Bonds |
— | 61,433,353 | — | 61,433,353 | ||||||||||||
| Taxable Municipal Obligations |
— | 20,115,014 | — | 20,115,014 | ||||||||||||
| U.S. Government Agencies and Instrumentalities |
— | 7,558,093 | — | 7,558,093 | ||||||||||||
| U.S. Government Agency Mortgage-Backed Securities |
— | 3,971,259 | — | 3,971,259 | ||||||||||||
| Short-Term Investments |
1,111,635 | — | — | 1,111,635 | ||||||||||||
| Total Investments |
$ | 4,374,825 | $ | 414,282,739 | $ | — | $ | 418,657,564 | ||||||||
| Futures Contracts |
$ | 349,154 | $ | — | $ | — | $ | 349,154 | ||||||||
| Total |
$ | 4,723,979 | $ | 414,282,739 | $ | — | $ | 419,006,718 | ||||||||
| Liability Description | ||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (1,546,327 | ) | $ | — | $ | (1,546,327 | ) | ||||||
| Futures Contracts |
(8,011 | ) | — | — | (8,011 | ) | ||||||||||
| Total |
$ | (8,011 | ) | (1,546,327 | ) | $ | — | $ | (1,554,338 | ) | ||||||
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
10