Calvert
Green Bond Fund
June 30, 2020
Schedule of Investments (Unaudited)
Asset-Backed Securities — 10.1% |
Security | Principal Amount (000's omitted) | Value | |
Helios Issuer, LLC: | |||
Series 2017-1A, Class C, 8.00%, 9/20/49(1) | $ | 5,870 | $ 5,049,006 |
Series 2020-AA, Class A, 2.98%, 6/20/47(1) | 2,085 | 2,104,065 | |
Mosaic Solar Loan Trust: | |||
Series 2018-1A, Class A, 4.01%, 6/22/43(1) | 948 | 961,185 | |
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 1,240 | 1,300,943 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 4,800 | 4,361,333 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 1,665 | 1,260,608 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 2,275 | 2,293,960 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 2,615 | 2,640,258 | |
Mosaic Solar Loans LLC: | |||
Series 2017-1A, Class A, 4.45%, 6/20/42(1) | 631 | 645,528 | |
Series 2017-2A, Class A, 3.82%, 6/22/43(1) | 80 | 82,750 | |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25(1) | 33 | 32,848 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 175 | 167,840 | |
SolarCity LMC Series II, LLC, Series 2014-1, Class A, 4.59%, 4/20/44(1) | 3,811 | 3,725,434 | |
SolarCity LMC Series III, LLC: | |||
Series 2014-2, Class A, 4.02%, 7/20/44(1) | 3,091 | 3,069,406 | |
Series 2014-2, Class B, 5.44%, 7/20/44(1) | 171 | 166,105 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28(1) | 265 | 271,771 | |
Sunnova Helios II Issuer, LLC., Series 2018-1A, Class B, 7.71%, 7/20/48(1) | 912 | 861,282 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 2,997 | 2,940,928 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 1,809 | 1,794,856 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 814 | 687,905 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 2,313 | 2,272,087 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 2,515 | 2,490,160 | |
Tesla Auto Lease Trust: | |||
Series 2018-B, Class A, 3.71%, 8/20/21(1) | 1,361 | 1,380,624 | |
Series 2018-B, Class C, 4.36%, 10/20/21(1) | 1,875 | 1,912,676 | |
Series 2019-A, Class A2, 2.13%, 4/20/22(1) | 2,084 | 2,107,873 | |
Series 2019-A, Class A4, 2.20%, 11/21/22(1) | 1,535 | 1,570,002 | |
Series 2019-A, Class B, 2.41%, 12/20/22(1) | 3,270 | 3,318,265 | |
Series 2019-A, Class E, 5.48%, 5/22/23(1) | 1,545 | 1,582,285 | |
Vivint Solar Financing V LLC, Series 2018-1A, Class A, 4.73%, 4/30/48(1) | 1,452 | 1,366,153 | |
Total Asset-Backed Securities (identified cost $53,947,040) | $52,418,136 |
Collateralized Mortgage-Backed Obligations — 10.1% |
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 | $ 4,463,262 |
Federal National Mortgage Association: | |||
Series 2017-M2, Class A1, 2.801%, 2/25/27(2) | 337 | 347,223 | |
Series 2017-M13, Class A2, 2.939%, 9/25/27(2) | 4,150 | 4,650,544 | |
Series 2018-M4, Class A2, 3.045%, 3/25/28(2) | 4,167 | 4,723,837 | |
Series 2018-M8, Class A2, 3.325%, 6/25/28(2) | 923 | 1,058,170 | |
Series 2018-M13, Class A2, 3.697%, 9/25/30(2) | 2,420 | 2,914,733 | |
Series 2019-M1, Class A2, 3.555%, 9/25/28(2) | 5,005 | 5,891,977 | |
Series 2019-M9, Class A2, 2.937%, 4/25/29(2) | 1,920 | 2,128,918 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 12,300 | 13,494,795 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 7,842 | 8,502,969 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 4,250 | 4,388,494 | |
Total Collateralized Mortgage-Backed Obligations (identified cost $48,051,235) | $52,564,922 |
Corporate Bonds — 58.9% |
Security | Principal Amount (000's omitted)* | Value | |
Basic Materials — 1.0% | |||
LG Chem, Ltd.: | |||
3.25%, 10/15/24(1) | 1,550 | $ 1,649,590 | |
3.625%, 4/15/29(1) | 3,125 | 3,402,039 | |
$ 5,051,629 | |||
Communications — 0.9% | |||
Verizon Communications, Inc., 3.875%, 2/8/29 | 3,980 | $ 4,716,916 | |
$ 4,716,916 | |||
Consumer, Cyclical — 0.3% | |||
Toyota Motor Credit Corp., 2.15%, 2/13/30 | 1,500 | $1,579,347 | |
$1,579,347 | |||
Consumer, Non-cyclical — 3.5% | |||
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 2,345 | $2,519,204 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 1,208 | 1,343,517 | |
Koninklijke Philips NV, 0.50%, 5/22/26(3) | EUR | 9,350 | 10,616,964 |
PepsiCo, Inc., 2.875%, 10/15/49 | 3,200 | 3,470,000 | |
$17,949,685 | |||
Energy — 3.1% | |||
Hanwha Energy USA Holdings Corp., 2.375%, 7/30/22(1) | 2,500 | $2,565,230 |
1
Calvert
Green Bond Fund
June 30, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
Energy (continued) | |||
Pattern Energy Group, Inc., 5.875%, 2/1/24(1) | 1,980 | $ 1,997,117 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 10,700 | 10,885,217 | |
5.00%, 1/31/28(1) | 867 | 908,022 | |
$ 16,355,586 | |||
Financial — 26.7% | |||
Alexandria Real Estate Equities, Inc., 4.00%, 1/15/24 | 2,364 | $ 2,615,690 | |
Bank of America Corp.: | |||
2.456% to 10/22/24, 10/22/25(4) | 5,888 | 6,198,140 | |
3.499% to 5/17/21, 5/17/22(4) | 7,282 | 7,455,971 | |
Bank of Nova Scotia (The), 2.375%, 1/18/23 | 6,600 | 6,874,954 | |
Boston Properties, L.P., 3.40%, 6/21/29 | 2,700 | 2,982,483 | |
Citigroup, Inc.: | |||
0.50%, 1/29/22(3) | EUR | 14,064 | 15,888,182 |
1.678% to 5/15/23, 5/15/24(4) | 7,075 | 7,217,789 | |
Commonwealth Bank of Australia, 3.25%, 3/31/22 | AUD | 2,020 | 1,460,490 |
Credit Agricole Corporate & Investment Bank S.A., 2.062%, (3 mo. USD LIBOR + 0.625%), 10/3/21(5) | 9,556 | 9,568,180 | |
DBS Group Holdings Ltd., 1.611%, (3 mo. USD LIBOR + 0.62%), 7/25/22(1)(5) | 3,640 | 3,640,477 | |
Digital Dutch Finco BV, 1.50%, 3/15/30(3) | EUR | 1,500 | 1,726,369 |
Digital Euro Finco LLC, 2.50%, 1/16/26(3) | EUR | 8,700 | 10,584,602 |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
5.25%, 7/15/24(1) | 10,000 | 10,219,800 | |
6.00%, 4/15/25(1) | 76 | 79,753 | |
ING Groep NV: | |||
1.40% to 7/1/25, 7/1/26(1)(4)(6) | 7,600 | 7,626,906 | |
4.625%, 1/6/26(1) | 2,175 | 2,552,091 | |
Metropolitan Life Global Funding I, 0.95%, 7/2/25(1)(6) | 5,200 | 5,212,009 | |
Mitsubishi UFJ Financial Group, Inc., 2.527%, 9/13/23 | 1,100 | 1,155,927 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 1,867 | 2,030,574 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 8,000 | 8,490,742 | |
Prologis Euro Finance, LLC, 0.375%, 2/6/28 | EUR | 6,700 | 7,400,346 |
Prudential Financial, Inc., 1.50%, 3/10/26 | 2,000 | 2,044,942 | |
Regency Centers, L.P., 3.75%, 6/15/24 | 1,500 | 1,579,097 | |
Royal Bank of Canada, 0.25%, 5/2/24(3) | EUR | 8,600 | 9,674,667 |
Welltower, Inc., 2.70%, 2/15/27 | 4,000 | 4,159,883 | |
$138,440,064 | |||
Government - Multinational — 5.4% | |||
Asian Development Bank: | |||
1.875%, 8/10/22 | 1,500 | $1,550,710 | |
2.125%, 3/19/25 | 750 | 809,312 | |
2.375%, 8/10/27 | 750 | 838,343 | |
3.125%, 9/26/28 | 800 | 945,572 |
Security | Principal Amount (000's omitted)* | Value | |
Government - Multinational (continued) | |||
European Bank for Reconstruction & Development, 1.625%, 9/27/24 | 2,000 | $ 2,100,498 | |
European Investment Bank: | |||
1.00%, 11/14/42(3) | EUR | 3,400 | 4,635,779 |
2.375%, 5/24/27 | 3,965 | 4,430,151 | |
2.50%, 10/15/24 | 1,000 | 1,090,584 | |
International Bank for Reconstruction & Development: | |||
0.625%, 11/22/27 | EUR | 3,550 | 4,244,660 |
3.125%, 11/20/25 | 4,150 | 4,722,904 | |
International Finance Corp., 2.125%, 4/7/26 | 1,500 | 1,637,256 | |
Nordic Investment Bank, 2.25%, 9/30/21 | 950 | 973,034 | |
$27,978,803 | |||
Industrial — 3.6% | |||
Owens Corning, 3.95%, 8/15/29 | 10,417 | $11,365,164 | |
Xylem, Inc.: | |||
1.95%, 1/30/28 | 5,100 | 5,153,345 | |
2.25%, 1/30/31 | 2,142 | 2,158,862 | |
$18,677,371 | |||
Technology — 1.9% | |||
Apple, Inc., 0.50%, 11/15/31 | EUR | 7,238 | $8,311,491 |
NXP B.V./NXP Funding, LLC NXP USA, Inc., 3.40%, 5/1/30(1) | 1,411 | 1,521,427 | |
$9,832,918 | |||
Utilities — 12.5% | |||
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 4,913 | $5,310,406 | |
3.80%, 6/1/29 | 7,600 | 8,838,214 | |
Clearway Energy Operating, LLC, 4.75%, 3/15/28(1) | 2,047 | 2,089,741 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 1,333 | 1,520,068 | |
Enel Finance International NV: | |||
1.00%, 9/16/24(3) | EUR | 4,250 | 4,933,289 |
1.125%, 9/16/26(3) | EUR | 4,100 | 4,840,535 |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 850 | 938,564 | |
3.65%, 8/1/48 | 3,570 | 4,242,178 | |
4.25%, 7/15/49 | 2,390 | 3,107,207 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 1,825 | 1,829,754 | |
4.50%, 9/15/27(1)(7) | 4,782 | 5,012,660 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 3,782 | 3,824,229 | |
Northern States Power Co., 2.60%, 6/1/51 | 5,600 | 5,663,122 | |
NSTAR Electric Co., 3.25%, 5/15/29 | 2,500 | 2,840,374 |
2
Calvert
Green Bond Fund
June 30, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
Utilities (continued) | |||
Public Service Co. of Colorado: | |||
3.20%, 3/1/50 | 4,500 | $ 5,038,021 | |
3.70%, 6/15/28 | 1,978 | 2,299,720 | |
4.10%, 6/15/48 | 1,000 | 1,259,387 | |
Terraform Global Operating, LLC, 6.125%, 3/1/26(1) | 1,595 | 1,576,753 | |
$ 65,164,222 | |||
Total Corporate Bonds (identified cost $291,181,124) | $305,746,541 |
High Social Impact Investments — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(8)(9) | $ | 1,196 | $ 1,178,437 |
Total High Social Impact Investments (identified cost $1,196,055) | $ 1,178,437 |
Preferred Stocks — 0.9% |
Security | Shares | Value | |
Real Estate Management & Development — 0.9% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 92,000 | $ 1,523,520 | |
Series A2, 6.375%(7) | 169,100 | 3,065,783 | |
Total Preferred Stocks (identified cost $6,575,394) | $ 4,589,303 |
Sovereign Government Bonds — 9.0% |
Security | Principal Amount (000's omitted)* | Value | |
Chile Government International Bond, 2.55%, 1/27/32 | 2,500 | $ 2,603,913 | |
French Republic Government Bond OAT, 1.75%, 6/25/39(1)(3) | EUR | 12,090 | 17,298,837 |
Kreditanstalt fuer Wiederaufbau, 1.75%, 9/14/29 | 2,200 | 2,385,044 | |
Municipality Finance PLC: | |||
0.05%, 9/6/29(3) | EUR | 3,750 | 4,288,964 |
1.375%, 9/21/21(1) | 3,500 | 3,545,340 | |
Nacional Financiera SNC, 3.375%, 11/5/20(1) | 750 | 752,745 | |
Nederlandse Waterschapsbank NV: | |||
1.00%, 5/28/30(1) | 2,400 | 2,408,532 | |
2.375%, 3/24/26(1) | 1,700 | 1,863,152 |
Security | Principal Amount (000's omitted)* | Value | |
Nederlandse Waterschapsbank NV: (continued) | |||
3.125%, 12/5/22(1) | 500 | $ 532,421 | |
Province of Ontario Canada: | |||
1.95%, 1/27/23 | CAD | 3,200 | 2,444,832 |
2.65%, 2/5/25 | CAD | 5,000 | 3,992,192 |
South Coast British Columbia Transportation Authority, 2.65%, 10/29/50 | CAD | 5,490 | 4,384,478 |
Total Sovereign Government Bonds (identified cost $43,894,939) | $ 46,500,450 |
Taxable Municipal Obligations — 5.5% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 1.8% | |||
Massachusetts, Green Bonds, 3.277%, 6/1/46 | $ | 8,240 | $ 9,558,977 |
$ 9,558,977 | |||
Water and Sewer — 3.7% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 1,665 | $ 2,400,963 |
Massachusetts Water Pollution Abatement Trust, 5.192%, 8/1/40(10) | 150 | 181,382 | |
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds: | |||
2.094%, 9/1/30 | 620 | 633,336 | |
2.184%, 9/1/31 | 500 | 510,305 | |
2.264%, 9/1/32 | 445 | 454,447 | |
2.344%, 9/1/33 | 1,445 | 1,477,585 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System), 5.882%, 6/15/44(10) | 605 | 952,445 | |
New York Environmental Facilities Corp., Green Bonds, 2.25%, 7/15/20 | 1,070 | 1,070,578 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 10,705 | 11,420,522 | |
$19,101,563 | |||
Total Taxable Municipal Obligations (identified cost $25,990,516) | $28,660,540 |
U.S. Government Agencies and Instrumentalities — 2.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. International Development Finance Corp.: | |||
1.79%, 10/15/29 | $ | 4,430 | $ 4,617,403 |
2.36%, 10/15/29 | 2,870 | 3,067,563 |
3
Calvert
Green Bond Fund
June 30, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
U.S. International Development Finance Corp.: (continued) | |||
3.16%, 6/1/33 | $ | 173 | $ 195,765 |
3.22%, 9/15/29 | 711 | 789,083 | |
3.52%, 9/20/32 | 3,324 | 3,786,669 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $11,507,847) | $ 12,456,483 |
U.S. Government Agency Mortgage-Backed Securities — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
Pool #AN1879, 2.65%, with maturity at 6/1/26 | $ | 1,862 | $ 2,037,575 |
Pool #AN1909, 2.68%, with maturity at 7/1/26 | 2,000 | 2,190,438 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $3,918,775) | $ 4,228,013 |
Short-Term Investments — 2.3% | |||
Other — 2.3% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.13%(11) | 11,662,494 | $ 11,662,494 | |
Total Other (identified cost $11,662,494) | $ 11,662,494 | ||
Securities Lending Collateral — 0.0%(12) | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.13%(13) | 83,250 | $ 83,250 | |
Total Securities Lending Collateral (identified cost $83,250) | $ 83,250 | ||
Total Short-Term Investments (identified cost $11,745,744) | $ 11,745,744 | ||
Total Investments — 100.2% (identified cost $498,008,669) | $520,088,569 | ||
Other Assets, Less Liabilities — (0.2)% | $ (847,419) | ||
Net Assets — 100.0% | $519,241,150 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
* | 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 sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $145,411,978, which represents 28.0% of the net assets of the Fund as of June 30, 2020. | |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2020. | |
(3) | Security is 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 June 30, 2020, the aggregate value of these securities is $84,488,188 or 16.3% of the Fund's net assets. | |
(4) | Security converts to variable rate after the indicated fixed-rate coupon period. | |
(5) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2020. | |
(6) | When-issued security. | |
(7) | All or a portion of this security was on loan at June 30, 2020. The aggregate market value of securities on loan at June 30, 2020 was $225,958 and the total market value of the collateral received by the Fund was $233,265, comprised of cash of $83,250 and U.S. government and/or agencies securities of $150,015. | |
(8) | Affiliated company. | |
(9) | Restricted security. Total market value of restricted securities amounts to $1,178,437, which represents 0.2% of the net assets of the Fund as of June 30, 2020. | |
(10) | 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. | |
(11) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2020. | |
(12) | Amount is less than 0.05%. | |
(13) | Represents investment of cash collateral received in connection with securities lending. |
Country Allocation (% of Total Investments) | |
United States | 73.6% |
Canada | 5.3 |
Netherlands | 5.2 |
France | 5.2 |
Other (less than 3.0% each) | 10.7 |
Total | 100.0% |
4
Calvert
Green Bond Fund
June 30, 2020
Schedule of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts
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) |
Futures Contracts
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) |
Restricted Securities
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 |
At June 30, 2020, 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 June 30, 2020, 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 June 30, 2020, the Fund used futures contracts and options thereon to hedge interest rate risk and to manage duration.
At June 30, 2020, the value of the Fund's investment in Calvert Impact Capital, Inc. (the Notes) and affiliated funds was $12,840,931, which represents 2.5% of the Fund's net assets. Transactions in the Notes and affiliated funds by the Fund for the fiscal year to date ended June 30, 2020 were as follows:
5
Calvert
Green Bond Fund
June 30, 2020
Schedule of Investments (Unaudited) — continued
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. |
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 June 30, 2020, based on the inputs used to value them:
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 |
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Calvert
Green Bond Fund
June 30, 2020
Schedule of Investments (Unaudited) — continued
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) |
Affiliated Fund. The Fund may invest in Calvert Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Calvert Research and Management (CRM). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day and are categorized as Level 2 in the hierarchy. Cash Reserves Fund generally values its investment securities based on available market quotations provided by a third party pricing service.
For additional 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.
7