Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 1,578,314 | AUD | 2,144,812 | State Street Bank and Trust Company | 2/26/21 | $ — | $(76,017) |
USD | 13,897,714 | CAD | 18,097,356 | State Street Bank and Trust Company | 2/26/21 | — | (322,021) |
USD | 2,934,829 | EUR | 2,386,728 | State Street Bank and Trust Company | 2/26/21 | 15,568 | — |
USD | 12,608,321 | EUR | 10,566,655 | State Street Bank and Trust Company | 2/26/21 | — | (315,993) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 131,349,929 | EUR | 110,314,906 | State Street Bank and Trust Company | 2/26/21 | $ — | $(3,578,714) |
USD | 7,211,860 | SEK | 61,714,020 | State Street Bank and Trust Company | 2/26/21 | — | (293,328) |
$15,568 | $(4,586,073) |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 35 | Long | 3/31/21 | $7,734,180 | $7,598 |
U.S. 5-Year Treasury Note | 304 | Long | 3/31/21 | 38,353,875 | 2,493 |
U.S. Long Treasury Bond | (110) | Short | 3/22/21 | (19,050,625) | 159,857 |
U.S. Ultra 10-Year Treasury Note | (296) | Short | 3/22/21 | (46,282,375) | 114,336 |
U.S. Ultra-Long Treasury Bond | (1) | Short | 3/22/21 | (213,563) | 2,959 |
$287,243 |
Description | Acquisition Date | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | $1,700,000 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
Currency Abbreviations: | |
AUD | – Australian Dollar |
CAD | – Canadian Dollar |
EUR | – Euro |
SEK | – Swedish Krona |
USD | – United States Dollar |
Name | 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%, 12/15/20(1) | $1,189,991 | $ — | $ (1,196,055) | $ — | $ 6,064 | $ — | $ 3,738 | $ — |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | — | 1,700,000 | — | — | (61,234) | 1,638,766 | 1,133 | 1,700,000 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 3,019,064 | 88,362,213 | (73,689,204) | — | — | 17,692,073 | 7,422 | 17,690,304 |
Totals | $ — | $(55,170) | $19,330,839 | $12,293 |
(1) | Restricted security. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $— | $82,970,546 | $— | $82,970,546 |
Commercial Mortgage-Backed Securities | — | 71,348,817 | — | 71,348,817 |
Common Stocks | 2,547,900 | — | — | 2,547,900 |
Corporate Bonds | — | 442,280,879 | — | 442,280,879 |
High Social Impact Investments | — | 1,638,766 | — | 1,638,766 |
Preferred Stocks | 5,890,229 | — | — | 5,890,229 |
Sovereign Government Bonds | — | 80,407,638 | — | 80,407,638 |
Taxable Municipal Obligations | — | 27,774,796 | — | 27,774,796 |
U.S. Government Agencies and Instrumentalities | — | 12,262,174 | — | 12,262,174 |
U.S. Government Agency Mortgage-Backed Securities | — | 4,201,008 | — | 4,201,008 |
U.S. Treasury Obligations | — | 3,645,093 | — | 3,645,093 |
Short-Term Investments: | ||||
Other | — | 17,692,073 | — | 17,692,073 |
Securities Lending Collateral | 333,185 | — | — | 333,185 |
Total Investments | $8,771,314 | $744,221,790 | $ — | $752,993,104 |
Forward Foreign Currency Exchange Contracts | $ — | $15,568 | $ — | $15,568 |
Futures Contracts | 287,243 | — | — | 287,243 |
Total | $9,058,557 | $744,237,358 | $ — | $753,295,915 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $(4,586,073) | $ — | $(4,586,073) |
Total | $ — | $(4,586,073) | $ — | $(4,586,073) |