Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited)
Asset-Backed Securities — 10.9% |
Security | Principal Amount (000's omitted) | Value | |
Helios Issuer, LLC: | |||
Series 2017-1A, Class A, 4.94%, 9/20/49(1) | $ | 2,535 | $ 2,655,488 |
Series 2017-1A, Class C, 8.00%, 9/20/49(1) | 5,443 | 5,411,225 | |
Series 2020-AA, Class A, 2.98%, 6/20/47(1) | 5,888 | 6,149,808 | |
Mosaic Solar Loan Trust: | |||
Series 2018-1A, Class A, 4.01%, 6/22/43(1) | 855 | 925,655 | |
Series 2018-1A, Class B, 2.00%, 6/22/43(1) | 2,972 | 2,943,933 | |
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 1,116 | 1,202,779 | |
Series 2019-2A, Class A, 2.88%, 9/20/40(1) | 3,478 | 3,718,500 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 4,525 | 4,695,009 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 1,384 | 1,374,331 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 2,031 | 2,079,202 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 2,335 | 2,447,297 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 2,786 | 2,772,846 | |
Mosaic Solar Loans LLC: | |||
Series 2017-1A, Class A, 4.45%, 6/20/42(1) | 667 | 719,539 | |
Series 2017-2A, Class A, 3.82%, 6/22/43(1) | 72 | 77,621 | |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25(1) | 10 | 10,206 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 157 | 154,177 | |
SolarCity LMC Series II, LLC, Series 2014-1, Class A, 4.59%, 4/20/44(1) | 3,633 | 3,609,013 | |
SolarCity LMC Series III, LLC: | |||
Series 2014-2, Class A, 4.02%, 7/20/44(1) | 2,992 | 3,054,232 | |
Series 2014-2, Class B, 5.44%, 7/20/44(1) | 169 | 173,470 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28(1) | 123 | 125,106 | |
Sunnova Helios II Issuer, LLC, Series 2018-1A, Class B, 7.71%, 7/20/48(1) | 868 | 871,981 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class B, 5.47%, 11/1/55(1) | 3,510 | 3,547,842 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 2,952 | 3,136,062 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 1,785 | 1,914,510 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 790 | 783,183 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 2,179 | 2,304,435 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 2,500 | 2,569,456 | |
Tesla Auto Lease Trust: | |||
Series 2018-B, Class A, 3.71%, 8/20/21(1) | 808 | 813,639 | |
Series 2018-B, Class C, 4.36%, 10/20/21(1) | 1,875 | 1,911,093 | |
Series 2019-A, Class A2, 2.13%, 4/20/22(1) | 1,406 | 1,419,018 | |
Series 2019-A, Class A4, 2.20%, 11/21/22(1) | 1,535 | 1,573,973 | |
Series 2019-A, Class B, 2.41%, 12/20/22(1) | 3,270 | 3,358,236 |
Security | Principal Amount (000's omitted) | Value | |
Tesla Auto Lease Trust: (continued) | |||
Series 2019-A, Class E, 5.48%, 5/22/23(1) | $ | 1,545 | $ 1,632,569 |
Series 2020-A, Class A3, 0.68%, 12/20/23(1) | 1,000 | 1,006,241 | |
Series 2020-A, Class C, 1.68%, 2/20/24(1) | 2,000 | 2,029,890 | |
Series 2020-A, Class D, 2.33%, 2/20/24(1) | 1,695 | 1,737,114 | |
Series 2020-A, Class E, 4.64%, 8/20/24(1) | 973 | 1,020,225 | |
Vivint Solar Financing V LLC, Series 2018-1A, Class A, 4.73%, 4/30/48(1) | 1,440 | 1,583,992 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 5,285 | 5,457,650 | |
Total Asset-Backed Securities (identified cost $80,624,819) | $ 82,970,546 |
Commercial Mortgage-Backed Securities — 9.3% |
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 | $ 4,389,951 |
Series KG03, Class A2, 1.297%, 6/25/30(2) | 1,360 | 1,365,688 | |
Series KG04, Class A1, 0.845%, 6/25/30 | 3,837 | 3,834,760 | |
Federal National Mortgage Association: | |||
Series 2017-M2, Class A1, 2.801%, 2/25/27(2) | 299 | 308,608 | |
Series 2017-M13, Class A2, 2.939%, 9/25/27(2) | 4,150 | 4,708,228 | |
Series 2018-M4, Class A2, 3.045%, 3/25/28(2) | 8,802 | 10,047,321 | |
Series 2018-M8, Class A2, 3.325%, 6/25/28(2) | 923 | 1,067,029 | |
Series 2018-M13, Class A2, 3.697%, 9/25/30(2) | 2,420 | 2,930,591 | |
Series 2019-M1, Class A2, 3.555%, 9/25/28(2) | 6,805 | 8,048,505 | |
Series 2019-M9, Class A2, 2.937%, 4/25/29 | 6,455 | 7,315,603 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 12,893 | 14,303,441 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 7,842 | 8,655,763 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 4,250 | 4,373,329 | |
Total Commercial Mortgage-Backed Securities (identified cost $66,363,586) | $71,348,817 |
Common Stocks — 0.3% |
Security | Shares | Value | |
Independent Power and Renewable Electricity Producers — 0.3% | |||
NextEra Energy Partners, L.P. | 38,000 | $ 2,547,900 | |
Total Common Stocks (identified cost $2,431,875) | $ 2,547,900 |
1
Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Corporate Bonds — 58.0% |
Security | Principal Amount (000's omitted)* | Value | |
Basic Materials — 1.0% | |||
LG Chem, Ltd.: | |||
3.25%, 10/15/24(1) | 1,550 | $ 1,678,492 | |
3.625%, 4/15/29(1) | 5,125 | 5,785,830 | |
$ 7,464,322 | |||
Communications — 1.4% | |||
Verizon Communications, Inc.: | |||
1.50%, 9/18/30 | 8,984 | $ 8,849,466 | |
3.875%, 2/8/29 | 1,480 | 1,743,706 | |
$10,593,172 | |||
Consumer, Cyclical — 1.0% | |||
Aptiv PLC, 5.40%, 3/15/49 | 1,000 | $1,249,385 | |
Tesla, Inc., 5.30%, 8/15/25(1) | 4,696 | 4,901,450 | |
Toyota Motor Credit Corp., 2.15%, 2/13/30 | 1,500 | 1,611,937 | |
$7,762,772 | |||
Consumer, Non-cyclical — 3.9% | |||
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 3,470 | $3,479,542 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 2,345 | 2,540,133 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 1,208 | 1,365,650 | |
Koninklijke Philips NV, 0.50%, 5/22/26(3) | EUR | 11,650 | 14,704,164 |
PepsiCo, Inc., 2.875%, 10/15/49 | 6,700 | 7,505,063 | |
$29,594,552 | |||
Energy — 2.7% | |||
Hanwha Energy USA Holdings Corp., 2.375%, 7/30/22(1) | 2,500 | $2,571,423 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 15,679 | 16,811,181 | |
5.00%, 1/31/28(1) | 867 | 975,830 | |
$20,358,434 | |||
Financial — 22.3% | |||
Alexandria Real Estate Equities, Inc., 4.00%, 1/15/24 | 2,364 | $2,603,904 | |
Bank of America Corp.: | |||
2.456% to 10/22/24, 10/22/25(4) | 6,888 | 7,345,531 | |
3.499% to 5/17/21, 5/17/22(4) | 7,282 | 7,368,503 | |
Bank of Nova Scotia (The), 2.375%, 1/18/23 | 6,600 | 6,876,402 | |
Boston Properties, L.P., 3.40%, 6/21/29 | 3,700 | 4,134,155 | |
Canadian Imperial Bank of Commerce, 0.95%, 10/23/25(5) | 6,000 | 6,088,821 | |
Citigroup, Inc.: | |||
0.50%, 1/29/22(3) | EUR | 14,064 | 17,342,447 |
1.678% to 5/15/23, 5/15/24(4) | 7,075 | 7,291,815 |
Security | Principal Amount (000's omitted)* | Value | |
Financial (continued) | |||
Commonwealth Bank of Australia, 3.25%, 3/31/22 | AUD | 2,020 | $ 1,616,765 |
DBS Group Holdings Ltd., 0.835%, (3 mo. USD LIBOR + 0.62%), 7/25/22(1)(6) | 3,640 | 3,660,814 | |
Digital Dutch Finco BV, 1.50%, 3/15/30(3) | EUR | 1,500 | 1,981,492 |
Digital Euro Finco LLC, 2.50%, 1/16/26(3) | EUR | 8,700 | 11,852,795 |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.75%, 9/15/30(1) | 4,312 | 4,495,260 | |
5.25%, 7/15/24(1) | 13,000 | 13,545,740 | |
6.00%, 4/15/25(1) | 76 | 81,415 | |
ING Groep NV: | |||
1.40% to 7/1/25, 7/1/26(1)(4) | 7,600 | 7,734,509 | |
4.625%, 1/6/26(1) | 2,175 | 2,561,024 | |
JPMorgan Chase & Co., 0.653% to 9/16/23, 9/16/24(4) | 10,500 | 10,557,676 | |
Kimco Realty Corp., 2.70%, 10/1/30(5) | 2,500 | 2,696,206 | |
Metropolitan Life Global Funding I, 0.95%, 7/2/25(1) | 5,200 | 5,271,304 | |
Mitsubishi UFJ Financial Group, Inc., 2.527%, 9/13/23 | 1,100 | 1,161,395 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 2,867 | 3,098,832 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 8,500 | 9,036,689 | |
Prologis Euro Finance, LLC, 0.375%, 2/6/28 | EUR | 6,700 | 8,381,489 |
Prologis, L.P., 1.25%, 10/15/30 | 4,114 | 4,076,929 | |
Prudential Financial, Inc., 1.50%, 3/10/26 | 2,000 | 2,076,699 | |
Regency Centers, L.P., 3.75%, 6/15/24 | 2,000 | 2,137,227 | |
Royal Bank of Canada, 0.25%, 5/2/24(3) | EUR | 8,600 | 10,659,119 |
Welltower, Inc., 2.70%, 2/15/27 | 4,000 | 4,409,871 | |
$170,144,828 | |||
Government - Multinational — 4.4% | |||
Asian Development Bank: | |||
1.875%, 8/10/22 | 1,500 | $1,540,709 | |
2.125%, 3/19/25 | 750 | 805,434 | |
2.375%, 8/10/27 | 750 | 830,495 | |
3.125%, 9/26/28 | 800 | 938,414 | |
European Bank for Reconstruction & Development, 1.625%, 9/27/24 | 2,635 | 2,763,130 | |
European Investment Bank: | |||
1.00%, 11/14/42(3) | EUR | 3,400 | 5,139,744 |
2.375%, 5/24/27 | 3,965 | 4,383,974 | |
2.50%, 10/15/24 | 1,000 | 1,083,790 | |
International Bank for Reconstruction & Development: | |||
0.625%, 11/22/27 | EUR | 3,550 | 4,648,825 |
2.125%, 3/3/25 | 4,000 | 4,285,683 | |
3.125%, 11/20/25 | 4,150 | 4,686,733 | |
International Finance Corp., 2.125%, 4/7/26 | 1,547 | 1,682,302 | |
Nordic Investment Bank, 2.25%, 9/30/21 | 950 | 964,908 | |
$33,754,141 |
2
Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
Industrial — 3.0% | |||
Johnson Controls International plc/Tyco Fire & Security Finance SCA, 1.75%, 9/15/30 | 5,000 | $ 5,105,141 | |
Owens Corning, 3.95%, 8/15/29 | 11,132 | 12,846,238 | |
Xylem, Inc.: | |||
1.95%, 1/30/28 | 3,400 | 3,585,754 | |
2.25%, 1/30/31 | 1,571 | 1,655,768 | |
$ 23,192,901 | |||
Technology — 3.2% | |||
Apple, Inc., 0.50%, 11/15/31 | EUR | 17,238 | $ 22,138,068 |
NXP B.V./NXP Funding, LLC NXP USA, Inc., 3.40%, 5/1/30(1) | 1,911 | 2,170,246 | |
$24,308,314 | |||
Utilities — 15.1% | |||
AES Corp. (The), 2.45%, 1/15/31(1) | 18,302 | $18,554,237 | |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 3,953 | 4,312,730 | |
3.80%, 6/1/29 | 8,100 | 9,298,678 | |
Brookfield Renewable Partners ULC, 3.33%, 8/13/50 | CAD | 4,000 | 3,244,214 |
Clearway Energy Operating, LLC, 4.75%, 3/15/28(1) | 3,047 | 3,270,772 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 1,833 | 2,102,687 | |
Enel Finance International NV: | |||
1.00%, 9/16/24(3) | EUR | 4,250 | 5,412,351 |
1.125%, 9/16/26(3) | EUR | 4,100 | 5,347,583 |
Liberty Utilities Finance GP 1, 2.05%, 9/15/30(1) | 12,994 | 13,081,747 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 1,350 | 1,554,632 | |
3.65%, 8/1/48 | 4,490 | 5,500,028 | |
4.25%, 7/15/49 | 2,390 | 3,209,036 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 257 | 275,311 | |
4.50%, 9/15/27(1) | 4,782 | 5,364,304 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 3,782 | 3,900,679 | |
Northern States Power Co., 2.60%, 6/1/51 | 6,100 | 6,468,904 | |
NSTAR Electric Co., 3.25%, 5/15/29(5) | 3,000 | 3,451,862 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 9,032 | 9,545,405 | |
Public Service Co. of Colorado: | |||
3.20%, 3/1/50 | 5,000 | 5,797,719 | |
4.10%, 6/15/48 | 1,000 | 1,300,442 | |
Terraform Global Operating, LLC, 6.125%, 3/1/26(1) | 1,595 | 1,636,566 |
Security | Principal Amount (000's omitted)* | Value | |
Utilities (continued) | |||
Tucson Electric Power Co., 1.50%, 8/1/30 | 2,500 | $ 2,477,556 | |
$115,107,443 | |||
Total Corporate Bonds (identified cost $413,754,918) | $442,280,879 |
High Social Impact Investments — 0.2% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(7)(8) | $ | 1,700 | $ 1,638,766 |
Total High Social Impact Investments (identified cost $1,700,000) | $ 1,638,766 |
Preferred Stocks — 0.8% |
Security | Shares | Value | |
Real Estate Management & Development — 0.8% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 92,000 | $ 1,968,800 | |
Series A2, 6.375% | 169,100 | 3,921,429 | |
Total Preferred Stocks (identified cost $6,575,394) | $ 5,890,229 |
Sovereign Government Bonds — 10.5% |
Security | Principal Amount (000's omitted)* | Value | |
Canada — 1.5% | |||
Province of Ontario Canada: | |||
1.95%, 1/27/23 | CAD | 3,200 | $ 2,599,368 |
2.65%, 2/5/25 | CAD | 5,000 | 4,257,562 |
South Coast British Columbia Transportation Authority, 2.65%, 10/29/50 | CAD | 5,490 | 4,627,489 |
$ 11,484,419 | |||
Finland — 1.1% | |||
Kuntarahoitus Oyj, 1.375%, 9/21/21(1) | 3,500 | $ 3,528,322 | |
Municipality Finance PLC, 0.05%, 9/6/29(3) | EUR | 3,750 | 4,737,484 |
$8,265,806 |
3
Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
France — 4.9% | |||
French Republic Government Bond OAT, 1.75%, 6/25/39(1)(3) | EUR | 23,290 | $ 37,610,577 |
$ 37,610,577 | |||
Germany — 1.2% | |||
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | 3,034 | $ 2,968,645 | |
1.75%, 9/14/29 | 2,200 | 2,354,995 | |
2.00%, 9/29/22 | 3,965 | 4,091,263 | |
$ 9,414,903 | |||
Netherlands — 0.8% | |||
Nederlandse Waterschapsbank NV: | |||
1.00%, 5/28/30(1) | 2,400 | $2,366,736 | |
2.125%, 11/15/21(1) | 1,280 | 1,301,155 | |
2.375%, 3/24/26(1) | 1,700 | 1,856,343 | |
3.125%, 12/5/22(1) | 500 | 527,762 | |
$6,051,996 | |||
Sweden — 1.0% | |||
Sweden Government International Bond, 0.125%, 9/9/30(1) | SEK | 61,500 | $7,579,937 |
$7,579,937 | |||
Total Sovereign Government Bonds (identified cost $73,506,915) | $80,407,638 |
Taxable Municipal Obligations — 3.6% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 1.2% | |||
Massachusetts, Green Bonds, 3.277%, 6/1/46 | $ | 8,240 | $ 9,571,254 |
$ 9,571,254 | |||
Water and Sewer — 2.4% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 1,665 | $ 2,482,016 |
Massachusetts Water Pollution Abatement Trust, 5.192%, 8/1/40(9) | 150 | 181,067 | |
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds: | |||
2.094%, 9/1/30 | 620 | 653,970 | |
2.184%, 9/1/31 | 500 | 517,135 | |
2.264%, 9/1/32 | 445 | 458,657 | |
2.344%, 9/1/33 | 1,445 | 1,492,555 | |
New York City Municipal Water Finance Authority, NY, (Water and Sewer System), 5.882%, 6/15/44(9) | 605 | 982,205 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer (continued) | |||
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | $ | 10,705 | $ 11,435,937 |
$ 18,203,542 | |||
Total Taxable Municipal Obligations (identified cost $24,916,163) | $ 27,774,796 |
U.S. Government Agencies and Instrumentalities — 1.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. International Development Finance Corp.: | |||
1.79%, 10/15/29 | $ | 4,342 | $ 4,589,051 |
2.36%, 10/15/29 | 2,813 | 3,031,446 | |
3.16%, 6/1/33 | 171 | 197,722 | |
3.22%, 9/15/29 | 690 | 771,589 | |
3.52%, 9/20/32 | 3,189 | 3,672,366 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $11,204,917) | $ 12,262,174 |
U.S. Government Agency Mortgage-Backed Securities — 0.6% |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
Pool #AN1879, 2.65%, 6/1/26 | $ | 1,843 | $ 2,011,550 |
Pool #AN1909, 2.68%, 7/1/26 | 2,000 | 2,189,458 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $3,896,457) | $ 4,201,008 |
U.S. Treasury Obligations — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bond, 1.625%, 11/15/50 | $ | 3,666 | $ 3,645,093 |
Total U.S. Treasury Obligations (identified cost $3,714,437) | $ 3,645,093 |
4
Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Short-Term Investments — 2.4% | |||
Other — 2.3% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.12%(10) | 17,690,304 | $ 17,692,073 | |
Total Other (identified cost $17,692,073) | $ 17,692,073 | ||
Securities Lending Collateral — 0.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.08%(11) | 333,185 | $ 333,185 | |
Total Securities Lending Collateral (identified cost $333,185) | $ 333,185 | ||
Total Short-Term Investments (identified cost $18,025,258) | $ 18,025,258 | ||
Total Investments — 98.7% (identified cost $706,714,739) | $752,993,104 | ||
Other Assets, Less Liabilities — 1.3% | $ 10,139,273 | ||
Net Assets — 100.0% | $763,132,377 |
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 exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At December 31, 2020, the aggregate value of these securities is $265,614,917 or 34.8% of the Fund's net assets. | |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2020. | |
(3) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, 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, as amended. At December 31, 2020, the aggregate value of these securities is $114,787,756 or 15.0% of the Fund's net assets. |
(4) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(5) | All or a portion of this security was on loan at December 31, 2020. The aggregate market value of securities on loan at December 31, 2020 was $5,771,650 and the total market value of the collateral received by the Fund was $6,003,088, comprised of cash of $333,185 and U.S. government and/or agencies securities of $5,669,903. |
(6) | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2020. |
(7) | Affiliated company. |
(8) | Restricted security. Total market value of restricted securities amounts to $1,638,766, which represents 0.2% of the net assets of the Fund as of December 31, 2020. |
(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) | 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 December 31, 2020. |
(11) | Represents investment of cash collateral received in connection with securities lending. |
Country Allocation (% of Total Investments) | |
United States | 73.9% |
Canada | 5.1 |
France | 5.0 |
Netherlands | 4.4 |
Other (less than 3.0% each) | 11.6 |
Total | 100.0% |
Forward Foreign Currency Exchange Contracts
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) |
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Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts — continued
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) |
Futures Contracts
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 |
Restricted Securities
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 |
At December 31, 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 December 31, 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 December 31, 2020, the Fund used futures contracts to hedge interest rate risk and to manage duration.
At December 31, 2020, the value of the Fund's investment in Calvert Impact Capital, Inc. (the Notes) and affiliated funds was $19,330,839, 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 December 31, 2020 were as follows:
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Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
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. |
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, 2020, based on the inputs used to value them:
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) |
7
Calvert
Green Bond Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
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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