Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments (Unaudited)
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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments
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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
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US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments
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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments
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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments
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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments
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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments
(Unaudited) — continued
Short-Term Investments — 0.2% | |||
Affiliated Fund — 0.1% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(4) | 2,665,895 | $ 2,665,895 | |
Total Affiliated Fund (identified cost $2,665,895) | $ 2,665,895 | ||
Securities Lending Collateral — 0.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.36%(5) | 1,385,478 | $ 1,385,478 | |
Total Securities Lending Collateral (identified cost $1,385,478) | $ 1,385,478 | ||
Total Short-Term Investments (identified cost $4,051,373) | $ 4,051,373 | ||
Total Investments — 99.8% (identified cost $1,496,397,103) | $1,776,498,872 | ||
Other Assets, Less Liabilities — 0.2% | $ 3,516,347 | ||
Net Assets — 100.0% | $1,780,015,219 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at December 31, 2023. The aggregate market value of securities on loan at December 31, 2023 was $10,236,874 and the total market value of the collateral received by the Fund was $10,678,081, comprised of cash of $1,385,478 and U.S. government and/or agencies securities of $9,292,603. |
(3) | Amount is less than 0.05%. |
(4) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2023. |
(5) | Represents investment of cash collateral received in connection with securities lending. |
The Fund did not have any open
derivative instruments at December 31, 2023.
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Calvert
US Large-Cap Value Responsible
Index Fund
December 31, 2023
Schedule of Investments
(Unaudited) — continued
Affiliated Investments
At December 31, 2023, the value of
the Fund’s investment in funds that may be deemed to be affiliated was $2,665,895, which represents 0.1% of the Fund’s net assets. Transactions in such investments by the Fund for the fiscal year to date
ended December 31, 2023 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $3,306,483 | $26,710,349 | $(27,350,937) | $ — | $ — | $2,665,895 | $25,796 | 2,665,895 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Fair Value Measurements
U.S. generally accepted accounting
principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad
levels listed below:
Level 1 - quoted prices in active
markets for identical securities
Level 2 - other significant
observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable
inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for
valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the
market value of the Fund's holdings as of December 31, 2023, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $1,772,447,499(1) | $ — | $ — | $1,772,447,499 |
Short-Term Investments: | ||||
Affiliated Fund | 2,665,895 | — | — | 2,665,895 |
Securities Lending Collateral | 1,385,478 | — | — | 1,385,478 |
Total Investments | $1,776,498,872 | $ — | $ — | $1,776,498,872 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
For information on the Fund’s
policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to
shareholders.
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