Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 1,482,627 | USD | 1,632,681 | State Street Bank and Trust Company | 8/31/20 | $35,230 | $ — |
USD | 1,416,460 | AUD | 2,144,812 | State Street Bank and Trust Company | 8/31/20 | — | (64,034) |
USD | 10,193,106 | CAD | 14,038,675 | State Street Bank and Trust Company | 8/31/20 | — | (149,038) |
USD | 7,487,365 | EUR | 6,586,539 | State Street Bank and Trust Company | 8/31/20 | 77,705 | — |
USD | 1,646,756 | EUR | 1,482,627 | State Street Bank and Trust Company | 8/31/20 | — | (21,156) |
USD | 1,630,917 | EUR | 1,482,627 | State Street Bank and Trust Company | 8/31/20 | — | (36,994) |
USD | 92,548,955 | EUR | 84,034,374 | State Street Bank and Trust Company | 8/31/20 | — | (1,987,211) |
$112,935 | $(2,258,433) |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 47 | Long | 9/30/20 | $10,378,922 | $2,961 |
U.S. Long Treasury Bond | (57) | Short | 9/21/20 | (10,178,062) | (66,904) |
U.S. Ultra 10-Year Treasury Note | (146) | Short | 9/21/20 | (22,992,719) | (139,422) |
U.S. Ultra-Long Treasury Bond | (15) | Short | 9/21/20 | (3,272,344) | (147,216) |
$(350,581) |
Description | Acquisition Date | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | $1,196,055 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
Currency Abbreviations: | |
AUD | – Australian Dollar |
CAD | – Canadian Dollar |
EUR | – Euro |
USD | – United States Dollar |
Name of issuer/affiliated fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, 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 | — | — | (17,618) | 1,178,437 | 9,718 | 1,196,055 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | — | 32,408,892 | (20,746,398) | — | — | 11,662,494 | 1,234 | 11,662,494 |
Totals | $ — | $(16,824) | $12,840,931 | $11,390 |
(1) | Restricted security. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $52,418,136 | $ — | $52,418,136 |
Collateralized Mortgage-Backed Obligations | — | 52,564,922 | — | 52,564,922 |
Corporate Bonds | — | 305,746,541 | — | 305,746,541 |
High Social Impact Investments | — | 1,178,437 | — | 1,178,437 |
Preferred Stocks | 4,589,303 | — | — | 4,589,303 |
Sovereign Government Bonds | — | 46,500,450 | — | 46,500,450 |
Taxable Municipal Obligations | — | 28,660,540 | — | 28,660,540 |
U.S. Government Agencies and Instrumentalities | — | 12,456,483 | — | 12,456,483 |
U.S. Government Agency Mortgage-Backed Securities | — | 4,228,013 | — | 4,228,013 |
Short-Term Investments: | ||||
Other | — | 11,662,494 | — | 11,662,494 |
Securities Lending Collateral | 83,250 | — | — | 83,250 |
Total Investments | $4,672,553 | $515,416,016 | $ — | $520,088,569 |
Forward Foreign Currency Exchange Contracts | $ — | $112,935 | $ — | $112,935 |
Futures Contracts | 2,961 | — | — | 2,961 |
Total | $4,675,514 | $515,528,951 | $ — | $520,204,465 |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $(2,258,433) | $ — | $(2,258,433) |
Futures Contracts | (353,542) | — | — | (353,542) |
Total | $(353,542) | $(2,258,433) | $ — | $(2,611,975) |