Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited)
Asset-Backed Securities — 13.9% |
Security | Principal Amount (000's omitted)* | Value | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 1,512 | $ 1,412,798 | |
Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class C, 6.11%, 12/20/30(1) | 1,005 | 1,007,093 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 1,116 | 1,001,778 | |
Cologix Canadian Issuer LP, Series 2022-1CAN, Class C, 7.74%, 1/25/52(1) | CAD | 1,500 | 1,019,342 |
Cologix Data Centers U.S. Issuer LLC, Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 1,315 | 1,187,043 | |
Conn's Receivables Funding LLC: | |||
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 285 | 284,522 | |
Series 2022-A, Class B, 9.52%, 12/15/26(1) | 479 | 480,491 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 1,700 | 1,552,486 | |
Series 2023-A, Class B, 10.00%, 1/17/28(1) | 607 | 612,482 | |
Diamond Infrastructure Funding LLC, Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 292 | 261,874 | |
Driven Brands Funding LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 702 | 689,784 | |
Series 2019-1A, Class A2, 4.641%, 4/20/49(1) | 1,834 | 1,779,198 | |
ExteNet LLC, Series 2019-1A, Class B, 4.14%, 7/25/49(1) | 725 | 717,379 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(2) | 655 | 577,813 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 1,029 | 911,931 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 903 | 877,093 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 2,700 | 2,732,555 | |
FOCUS Brands Funding LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 75 | 72,421 | |
Hardee's Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 532 | 480,331 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 402 | 385,222 | |
Loanpal Solar Loan Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 975 | 574,015 | |
Lunar Aircraft Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 90 | 77,689 | |
MetroNet Infrastructure Issuer LLC, Series 2024-1A, Class B, 7.59%, 4/20/54(1) | 1,123 | 1,127,102 | |
Mill City Solar Loan Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 2,252 | 1,480,606 | |
Mosaic Solar Loan Trust: | |||
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 293 | 260,747 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 42 | 37,220 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 147 | 118,722 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 1,546 | 1,302,665 | |
Series 2021-3A, Class D, 3.28%, 6/20/52(1) | 615 | 486,552 | |
Series 2022-2A, Class D, 8.29%, 1/21/53(1) | 1,510 | 589,508 | |
Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 773 | 687,642 |
Security | Principal Amount (000's omitted)* | Value | |
NRZ Excess Spread-Collateralized Notes: | |||
Series 2021-FHT1, Class A, 3.104%, 7/25/26(1) | 67 | $ 62,255 | |
Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 623 | 580,688 | |
Oportun Issuance Trust: | |||
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 2,995 | 2,809,630 | |
Series 2022-2, Class C, 9.36%, 10/9/29(1) | 1,991 | 2,012,108 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 272 | 264,857 | |
Series 2021-3, Class C, 3.27%, 5/15/29(1) | 3,950 | 3,440,292 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 1,262 | 1,138,856 | |
Planet Fitness Master Issuer LLC: | |||
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 336 | 328,385 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 517 | 469,759 | |
Prodigy Finance, Series 2021-1A, Class C, 9.194%, (1 mo. SOFR + 3.864%), 7/25/51(1)(3) | 303 | 307,642 | |
Retained Vantage Data Centers Issuer LLC: | |||
Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | CAD | 1,452 | 986,957 |
Series 2023-1A, Class B, 5.75%, 9/15/48(1) | 1,466 | 1,376,750 | |
ServiceMaster Funding LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 186 | 166,634 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 404 | 345,917 | |
SERVPRO Master Issuer LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 1,629 | 1,546,805 | |
Sonic Capital LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,315 | 1,246,885 | |
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.877%, 3/26/46(1) | 465 | 429,147 | |
Sunnova Helios V Issuer LLC, Series 2021-A, Class B, 3.15%, 2/20/48(1) | 1,290 | 1,047,266 | |
Sunnova Helios X Issuer LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 1,103 | 1,051,796 | |
Sunnova Sol II Issuer LLC, Series 2020-2A, Class B, 5.47%, 11/1/55(1) | 591 | 446,410 | |
Sunnova Sol Issuer LLC, Series 2020-1A, Class B, 5.54%, 2/1/55(1) | 3,349 | 2,680,198 | |
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 140 | 131,340 | |
Theorem Funding Trust, Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 154 | 153,827 | |
Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 353 | 141,638 | |
Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.75%, 2/20/28(1) | 168 | 167,096 | |
Upstart Securitization Trust, Series 2020-3, Class C, 6.25%, 11/20/30(1) | 857 | 856,412 | |
Vantage Data Centers LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,150 | 1,138,984 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 820 | 723,099 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 211 | 179,118 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 119 | 109,733 |
1
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
Willis Engine Structured Trust VII, Series 2023-A, Class A, 8.00%, 10/15/48(1) | 648 | $ 680,083 | |
Total Asset-Backed Securities (identified cost $56,587,383) | $ 51,806,671 |
Collateralized Mortgage Obligations — 8.6% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re Ltd., Series 2021-3A, Class M1B, 6.72%, (30-day SOFR Average + 1.40%), 9/25/31(1)(3) | $ | 2,220 | $ 2,216,210 |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 861 | 783,406 | |
Eagle Re Ltd., Series 2021-2, Class M1C, 8.77%, (30-day SOFR Average + 3.45%), 4/25/34(1)(3) | 861 | 879,885 | |
Federal Home Loan Mortgage Corp.: | |||
Series 5324, Class MZ, 6.00%, 7/25/53 | 78 | 79,961 | |
Series 5402, Class BZ, 6.00%, 4/25/54 | 295 | 301,941 | |
Federal Home Loan Mortgage Corp. STACR REMICS Trust: | |||
Series 2019-DNA3, Class B2, 13.585%, (30-day SOFR Average + 8.264%), 7/25/49(1)(3) | 1,270 | 1,480,935 | |
Series 2020-DNA6, Class B1, 8.32%, (30-day SOFR Average + 3.00%), 12/25/50(1)(3) | 275 | 296,987 | |
Series 2020-HQA2, Class B1, 9.535%, (30-day SOFR Average + 4.214%), 3/25/50(1)(3) | 569 | 643,606 | |
Series 2021-DNA2, Class B1, 8.72%, (30-day SOFR Average + 3.40%), 8/25/33(1)(3) | 815 | 898,561 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2019-R01, Class 2B1, 9.785%, (30-day SOFR Average + 4.464%), 7/25/31(1)(3) | 795 | 860,600 | |
Series 2019-R02, Class 1B1, 9.585%, (30-day SOFR Average + 4.264%), 8/25/31(1)(3) | 716 | 763,602 | |
Series 2019-R03, Class 1B1, 9.535%, (30-day SOFR Average + 4.214%), 9/25/31(1)(3) | 740 | 788,252 | |
Series 2019-R05, Class 1B1, 9.535%, (30-day SOFR Average + 4.214%), 7/25/39(1)(3) | 995 | 1,046,767 | |
Series 2019-R06, Class 2B1, 9.185%, (30-day SOFR Average + 3.864%), 9/25/39(1)(3) | 1,597 | 1,666,642 | |
Series 2019-R07, Class 1B1, 8.835%, (30-day SOFR Average + 3.514%), 10/25/39(1)(3) | 1,490 | 1,553,063 | |
Series 2020-R02, Class 2B1, 8.435%, (30-day SOFR Average + 3.114%), 1/25/40(1)(3) | 494 | 512,478 | |
Series 2021-R01, Class 1B2, 11.32%, (30-day SOFR Average + 6.00%), 10/25/41(1)(3) | 2,288 | 2,438,000 | |
Series 2021-R02, Class 2B1, 8.62%, (30-day SOFR Average + 3.30%), 11/25/41(1)(3) | 180 | 186,077 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 331 | 337,779 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 349 | 355,202 | |
Series 2023-98, Class BW, 6.00%, 7/20/53 | 385 | 392,864 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 385 | 392,811 | |
Series 2023-102, Class SG, 2.723%, (22.55% - 30-day SOFR Average x 3.727), 7/20/53(5) | 549 | 526,459 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
Series 2023-133, Class S, 5.642%, (21.60% - 30-day SOFR Average x 3.00), 9/20/53(5) | $ | 1,130 | $ 1,147,299 |
Series 2023-164, Class EL, 6.00%, 11/20/53 | 450 | 461,899 | |
Series 2023-173, Class AX, 6.00%, 11/20/53 | 395 | 404,379 | |
Series 2024-44, Class LM, 6.00%, 3/20/54 | 1,634 | 1,666,710 | |
Series 2024-46, Class AL, 6.00%, 3/20/54 | 406 | 413,710 | |
Home Re Ltd.: | |||
Series 2018-1, Class M2, 8.444%, (1 mo. SOFR + 3.114%), 10/25/28(1)(3) | 1,259 | 1,275,905 | |
Series 2021-1, Class M2, 8.285%, (30-day SOFR Average + 2.964%), 7/25/33(1)(3) | 1,295 | 1,301,461 | |
LHOME Mortgage Trust: | |||
Series 2023-RTL2, Class A1, 8.00% to 1/25/26, 6/25/28(1)(4) | 475 | 483,720 | |
Series 2023-RTL3, Class A1, 8.00% to 3/25/26, 8/25/28(1)(4) | 485 | 494,704 | |
Series 2023-RTL4, Class A1, 7.628% to 8/25/25, 11/25/28(1)(4) | 440 | 447,095 | |
NYMT Loan Trust, Series 2024-BPL1, Class A1, 7.154% to 7/25/26, 2/25/29(1)(4) | 870 | 870,204 | |
PNMAC GMSR Issuer Trust: | |||
2024 Participation, 11.08%, (30-day SOFR Average + 5.75%), 12/24/24(3) | 327 | 330,026 | |
Series 2021-FT1, Class A, 8.444%, (1 mo. SOFR + 3.115%), 3/25/26(1)(3) | 500 | 506,294 | |
Series 2022-FT1, Class A, 9.511%, (30-day SOFR Average + 4.19%), 6/25/27(1)(3) | 501 | 508,328 | |
Series 2024-GT1, Class A, 8.529%, (1 mo. SOFR + 3.20%), 3/25/29(1)(3) | 1,095 | 1,108,437 | |
Radnor RE Ltd., Series 2021-2, Class M1A, 7.17%, (30-day SOFR Average + 1.85%), 11/25/31(1)(3) | 75 | 74,648 | |
Triangle Re Ltd., Series 2021-3, Class B1, 10.27%, (30-day SOFR Average + 4.95%), 2/25/34(1)(3) | 977 | 1,003,826 | |
Total Collateralized Mortgage Obligations (identified cost $30,906,606) | $31,900,733 |
Commercial Mortgage-Backed Securities — 6.4% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(2) | $ | 3,865 | $ 1,372,233 |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(2) | 1,555 | 327,163 | |
BX Commercial Mortgage Trust, Series 2021-VOLT, Class D, 7.09%, (1 mo. SOFR + 1.764%), 9/15/36(1)(3) | 2,362 | 2,330,374 | |
CSMC Trust: | |||
Series 2021-BPNY, Class A, 9.155%, (1 mo. SOFR + 3.829%), 8/15/26(1)(3) | 1,202 | 1,078,698 | |
Series 2022-CNTR, Class A, 9.27%, (1 mo. SOFR + 3.944%), 1/15/25(1)(3) | 508 | 462,119 | |
Extended Stay America Trust, Series 2021-ESH, Class D, 7.69%, (1 mo. SOFR + 2.364%), 7/15/38(1)(3) | 2,793 | 2,793,048 |
2
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.685%, (30-day SOFR Average + 3.364%), 10/25/49(1)(3) | $ | 1,524 | $ 1,504,415 |
Series 2020-01, Class M10, 9.185%, (30-day SOFR Average + 3.864%), 3/25/50(1)(3) | 2,244 | 2,225,642 | |
FS Commercial Mortgage Trust, Series 2023-4SZN, Class A, 7.066%, 11/10/39(1) | 663 | 692,611 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 605 | 85,802 | |
KSL Commercial Mortgage Trust, Series 2023-HT, Class C, 8.764%, (1 mo. SOFR + 3.439%), 12/15/36(1)(3) | 1,259 | 1,264,645 | |
Med Trust: | |||
Series 2021-MDLN, Class E, 8.59%, (1 mo. SOFR + 3.264%), 11/15/38(1)(3) | 980 | 978,916 | |
Series 2021-MDLN, Class F, 9.44%, (1 mo. SOFR + 4.114%), 11/15/38(1)(3) | 1,000 | 1,001,267 | |
Morgan Stanley Capital I Trust: | |||
Series 2019-BPR, Class B, 8.018%, (1 mo. SOFR + 2.692%), 5/15/36(1)(3)(6) | 2,736 | 2,693,468 | |
Series 2019-BPR, Class C, 8.968%, (1 mo. SOFR + 3.642%), 5/15/36(1)(3)(6) | 960 | 935,599 | |
ORL Trust, Series 2023-GLKS, Class A, 7.676%, (1 mo. SOFR + 2.35%), 10/19/36(1)(3) | 615 | 619,612 | |
VMC Finance LLC, Series 2021-HT1, Class B, 9.941%, (1 mo. SOFR + 4.614%), 1/18/37(1)(3) | 3,728 | 3,555,839 | |
Total Commercial Mortgage-Backed Securities (identified cost $27,888,035) | $23,921,451 |
Corporate Bonds — 37.7% |
Security | Principal Amount* (000’s omitted) | Value | |
Basic Materials — 0.6% | |||
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 880 | $ 851,572 | |
Olympus Water U.S. Holding Corp., 9.75%, 11/15/28(1) | 670 | 714,532 | |
South32 Treasury Ltd., 4.35%, 4/14/32(1) | 744 | 671,908 | |
$ 2,238,012 | |||
Communications — 2.6% | |||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 2,493 | $ 2,322,379 | |
Charter Communications Operating LLC/Charter Communications Operating Capital: | |||
4.80%, 3/1/50 | 1,478 | 1,095,003 | |
5.125%, 7/1/49 | 690 | 535,220 | |
Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/27(1) | 740 | 698,101 | |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/1/26(1) | 1,579 | 1,548,928 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(1) | 725 | 681,129 | |
SES GLOBAL Americas Holdings, Inc., 5.30%, 3/25/44(1) | 410 | 313,999 |
Security | Principal Amount* (000’s omitted) | Value | |
Communications (continued) | |||
SES SA, 5.30%, 4/4/43(1) | 245 | $ 182,334 | |
Sprint LLC, 7.125%, 6/15/24 | 2,184 | 2,189,106 | |
$ 9,566,199 | |||
Consumer, Cyclical — 3.7% | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, 4/20/26(1) | 600 | $ 596,289 | |
Brunswick Corp., 5.85%, 3/18/29(7) | 1,337 | 1,352,258 | |
Ford Motor Co., 4.75%, 1/15/43 | 728 | 605,224 | |
Ford Motor Credit Co. LLC: | |||
5.125%, 6/16/25 | 675 | 669,155 | |
7.122%, 11/7/33 | 605 | 651,385 | |
7.20%, 6/10/30 | 818 | 868,755 | |
7.35%, 3/6/30 | 1,774 | 1,892,509 | |
Hyundai Capital America: | |||
5.70%, 6/26/30(1) | 658 | 671,066 | |
6.20%, 9/21/30(1) | 325 | 339,262 | |
Lithia Motors, Inc., 4.375%, 1/15/31(1) | 1,022 | 916,317 | |
PetSmart, Inc./PetSmart Finance Corp., 4.75%, 2/15/28(1) | 725 | 679,478 | |
Sonic Automotive, Inc., 4.625%, 11/15/29(1) | 800 | 718,193 | |
Tapestry, Inc.: | |||
7.00%, 11/27/26 | 481 | 495,778 | |
7.35%, 11/27/28 | 1,341 | 1,413,811 | |
WarnerMedia Holdings, Inc., 5.141%, 3/15/52 | 2,404 | 1,996,872 | |
$13,866,352 | |||
Consumer, Non-cyclical — 2.9% | |||
AbbVie, Inc.: | |||
5.35%, 3/15/44 | 118 | $120,398 | |
5.50%, 3/15/64 | 926 | 953,089 | |
Ashtead Capital, Inc.: | |||
4.25%, 11/1/29(1) | 514 | 479,656 | |
5.95%, 10/15/33(1) | 1,455 | 1,472,110 | |
Bristol-Myers Squibb Co.: | |||
5.55%, 2/22/54 | 658 | 677,261 | |
5.65%, 2/22/64 | 987 | 1,016,310 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 543 | 447,097 | |
3.375%, 2/15/30 | 669 | 592,447 | |
4.25%, 12/15/27 | 897 | 855,944 | |
Legacy LifePoint Health LLC, 4.375%, 2/15/27(1)(7) | 799 | 762,031 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 687 | 539,392 | |
5.20%, 4/1/29(1) | 595 | 573,420 | |
U.S. Acute Care Solutions LLC, 6.375%, 3/1/26(1) | 760 | 732,539 | |
UnitedHealth Group, Inc., 5.375%, 4/15/54 | 983 | 1,000,506 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1)(7) | 710 | 694,548 | |
$10,916,748 |
3
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | |
Diversified — 0.3% | |||
Inversiones La Construccion SA, 4.75%, 2/7/32(8) | 1,373 | $ 1,173,915 | |
$ 1,173,915 | |||
Energy — 0.8% | |||
Enviva Partners LP/Enviva Partners Finance Corp., 6.50%, 1/15/26(1)(9) | 1,134 | $ 494,214 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 676 | 676,415 | |
Raizen Fuels Finance SA: | |||
6.45%, 3/5/34(1) | 423 | 434,258 | |
6.95%, 3/5/54(1) | 275 | 283,285 | |
TerraForm Power Operating LLC, 4.75%, 1/15/30(1) | 1,095 | 1,004,613 | |
$2,892,785 | |||
Financial — 23.1% | |||
ABN AMRO Bank NV, 6.339% to 9/18/26, 9/18/27(1)(10) | 700 | $712,284 | |
AerCap Holdings NV, 5.875% to 10/10/24, 10/10/79(10) | 173 | 171,894 | |
AIB Group PLC, 5.871% to 3/28/34, 3/28/35(1)(10) | 645 | 647,067 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, 6.75%, 10/15/27(1) | 925 | 912,090 | |
Ally Financial, Inc.: | |||
2.20%, 11/2/28 | 1,509 | 1,294,397 | |
4.70% to 5/15/26(10)(11) | 2,200 | 1,893,013 | |
6.848% to 1/3/29, 1/3/30(10) | 216 | 222,480 | |
American Assets Trust LP, 3.375%, 2/1/31 | 1,010 | 824,294 | |
American National Group LLC, 6.144%, 6/13/32(1) | 1,140 | 1,078,827 | |
Antares Holdings LP, 6.50%, 2/8/29(1) | 990 | 983,913 | |
ASR Nederland NV, 7.00% to 9/7/33, 12/7/43(8)(10) | EUR | 930 | 1,160,680 |
Aviation Capital Group LLC, 6.25%, 4/15/28(1) | 2,136 | 2,181,694 | |
Banco Santander SA: | |||
6.35%, 3/14/34 | 1,800 | 1,802,584 | |
9.625% to 11/21/28(10)(11) | 1,000 | 1,069,930 | |
Bank Leumi Le-Israel BM, 7.129% to 4/18/28, 7/18/33(1)(8)(10) | 942 | 931,247 | |
Bank of America Corp., 5.468% to 1/23/34, 1/23/35(10) | 3,653 | 3,678,195 | |
Bank of Nova Scotia: | |||
4.90% to 6/4/25(10)(11) | 1,218 | 1,201,585 | |
8.00% to 1/27/29, 1/27/84(10) | 1,355 | 1,382,206 | |
BBVA Bancomer SA: | |||
5.125% to 1/18/28, 1/18/33(1)(10) | 1,538 | 1,430,324 | |
8.125% to 1/8/34, 1/8/39(1)(10) | 1,146 | 1,188,054 | |
8.45% to 6/29/33, 6/29/38(1)(10) | 722 | 762,874 | |
Blackstone Private Credit Fund, 6.25%, 1/25/31(1)(7) | 1,340 | 1,347,064 | |
Blue Owl Credit Income Corp., 6.65%, 3/15/31(1) | 1,300 | 1,269,916 | |
BNP Paribas SA, 7.75% to 8/16/29(1)(10)(11) | 2,358 | 2,419,740 | |
Broadstone Net Lease LLC, 2.60%, 9/15/31 | 305 | 241,612 | |
CaixaBank SA, 6.84% to 9/13/33, 9/13/34(1)(10) | 1,105 | 1,181,886 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,140 | 934,713 | |
4.10%, 6/15/51 | 2,137 | 1,336,593 |
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
Citigroup, Inc., 4.00% to 12/10/25(10)(11) | 659 | $ 633,461 | |
COPT Defense Properties LP, 2.90%, 12/1/33 | 1,055 | 827,903 | |
Credit Agricole SA, 6.251% to 1/10/34, 1/10/35(1)(10) | 1,699 | 1,728,112 | |
Discover Bank, 5.974%, 8/9/28 | 971 | 966,841 | |
EPR Properties: | |||
3.60%, 11/15/31 | 770 | 644,081 | |
3.75%, 8/15/29 | 1,903 | 1,682,483 | |
4.95%, 4/15/28 | 976 | 929,702 | |
Global Atlantic Fin Co.: | |||
3.125%, 6/15/31(1) | 3,184 | 2,639,248 | |
6.75%, 3/15/54(1) | 2,010 | 2,063,762 | |
HAT Holdings I LLC/HAT Holdings II LLC, 8.00%, 6/15/27(1) | 3,500 | 3,653,825 | |
HSBC Holdings PLC, 7.39% to 11/3/27, 11/3/28(10) | 1,194 | 1,270,828 | |
Intesa Sanpaolo SpA: | |||
7.778% to 6/20/53, 6/20/54(1)(10) | 800 | 853,902 | |
8.248% to 11/21/32, 11/21/33(1)(10) | 1,524 | 1,703,037 | |
KeyBank NA: | |||
4.15%, 8/8/25 | 1,055 | 1,025,854 | |
5.85%, 11/15/27 | 1,428 | 1,416,929 | |
Kite Realty Group LP, 5.50%, 3/1/34 | 670 | 666,022 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(10) | 1,962 | 1,775,937 | |
LPL Holdings, Inc.: | |||
4.00%, 3/15/29(1) | 70 | 64,399 | |
6.75%, 11/17/28 | 710 | 743,942 | |
Newmark Group, Inc., 7.50%, 1/12/29(1) | 1,692 | 1,741,630 | |
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(1) | 1,685 | 1,788,784 | |
Radian Group, Inc., 6.20%, 5/15/29 | 841 | 854,061 | |
Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.875%, 3/1/31(1) | 1,627 | 1,418,995 | |
Societe Generale SA: | |||
5.634% to 1/19/29, 1/19/30(1)(10) | 1,040 | 1,036,147 | |
6.066% to 1/19/34, 1/19/35(1)(10) | 822 | 827,476 | |
8.50% to 3/25/34(1)(10)(11) | 2,645 | 2,638,387 | |
Synchrony Bank, 5.40%, 8/22/25 | 650 | 644,256 | |
Synchrony Financial, 4.875%, 6/13/25 | 292 | 287,738 | |
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(10) | 729 | 626,907 | |
5.625%, 2/15/28 | 1,199 | 1,165,029 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(10) | 981 | 847,059 | |
Toronto-Dominion Bank, 8.125% to 10/31/27, 10/31/82(10) | 2,420 | 2,544,274 | |
TPG Operating Group II LP, 5.875%, 3/5/34 | 1,695 | 1,719,869 | |
Truist Financial Corp., 5.10% to 3/1/30(10)(11) | 868 | 811,788 | |
U.S. Bancorp, 5.678% to 1/23/34, 1/23/35(10) | 2,392 | 2,416,282 | |
UBS Group AG: | |||
4.375% to 2/10/31(1)(10)(11) | 534 | 440,455 | |
6.442% to 8/11/27, 8/11/28(1)(10) | 875 | 901,200 | |
9.25% to 11/13/28(1)(10)(11) | 1,470 | 1,596,383 |
4
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
Security | Principal Amount* (000’s omitted) | Value | |
Financial (continued) | |||
UniCredit SpA: | |||
5.459% to 6/30/30, 6/30/35(1)(10) | 732 | $ 688,083 | |
5.861% to 6/19/27, 6/19/32(1)(10) | 1,386 | 1,354,115 | |
$ 85,900,342 | |||
Government - Multinational — 0.4% | |||
International Bank for Reconstruction & Development, 8.50%, 4/6/26 | MXN | 26,700 | $ 1,571,220 |
$ 1,571,220 | |||
Industrial — 0.8% | |||
BAE Systems PLC, 5.30%, 3/26/34(1) | 497 | $499,680 | |
Seaspan Corp., 5.50%, 8/1/29(1) | 773 | 675,143 | |
Smurfit Kappa Treasury ULC, 5.777%, 4/3/54(1)(12) | 850 | 862,205 | |
Trivium Packaging Finance BV, 5.50%, 8/15/26(1) | 876 | 864,491 | |
$2,901,519 | |||
Technology — 2.2% | |||
Concentrix Corp., 6.60%, 8/2/28 | 2,584 | $2,615,060 | |
Foundry JV Holdco LLC, 5.875%, 1/25/34(1) | 1,305 | 1,308,416 | |
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28 | 1,930 | 1,710,168 | |
3.15%, 10/15/31 | 1,982 | 1,668,737 | |
Seagate HDD Cayman, 5.75%, 12/1/34 | 979 | 958,505 | |
$8,260,886 | |||
Utilities — 0.3% | |||
Clearway Energy Operating LLC, 3.75%, 1/15/32(1) | 401 | $337,463 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 910 | 849,121 | |
$1,186,584 | |||
Total Corporate Bonds (identified cost $140,197,615) | $140,474,562 |
High Social Impact Investments — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28(13)(14) | $ | 500 | $ 493,145 |
Total High Social Impact Investments (identified cost $500,000) | $ 493,145 |
Mutual Funds — 3.0% |
Security | Shares | Value | |
Fixed-Income Mutual Funds — 3.0% | |||
Calvert Floating-Rate Advantage Fund, Class R6(15) | 1,238,353 | $ 11,145,180 | |
Total Mutual Funds (identified cost $11,145,385) | $ 11,145,180 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Real Estate Management & Development — 0.3% | |||
Brookfield Property Partners LP, Series A, 5.75% | 77,941 | $ 994,527 | |
$ 994,527 | |||
Wireless Telecommunication Services — 0.1% | |||
U.S. Cellular Corp.: | |||
5.50% | 12,947 | $ 233,305 | |
6.25% | 17,000 | 328,440 | |
$ 561,745 | |||
Total Preferred Stocks (identified cost $2,721,000) | $ 1,556,272 |
Senior Floating-Rate Loans — 0.1%(16) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.1% | |||
Lumen Technologies, Inc.: | |||
Term Loan, 7.793%, (SOFR + 2.35%), 4/15/29 | $ | 212 | $ 155,271 |
Term Loan, 7.793%, (SOFR + 2.35%), 4/15/30 | 211 | 155,271 | |
Total Senior Floating-Rate Loans (identified cost $310,541) | $ 310,542 |
U.S. Government Agency Mortgage-Backed Securities — 11.8% |
Security | Principal Amount (000's omitted) | Value | |
Uniform Mortgage-Backed Security: | |||
4.00%, 30-Year, TBA(17) | $ | 3,200 | $ 2,964,250 |
4.50%, 30-Year, TBA(17) | 15,941 | 15,184,426 | |
5.00%, 30-Year, TBA(17) | 26,491 | 25,863,908 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $44,234,217) | $ 44,012,584 |
5
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
U.S. Treasury Obligations — 6.8% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds, 3.375%, 8/15/42 | $ | 1,143 | $ 987,646 |
U.S. Treasury Notes: | |||
0.375%, 12/31/25 | 5,920 | 5,491,725 | |
2.75%, 4/30/27 | 1,000 | 952,500 | |
3.625%, 5/15/26 | 360 | 352,913 | |
3.625%, 5/31/28 | 2,740 | 2,670,911 | |
3.875%, 3/31/25 | 2,400 | 2,373,022 | |
4.375%, 11/30/28 | 3,275 | 3,292,846 | |
4.375%, 11/30/30 | 1,025 | 1,033,668 | |
4.50%, 11/15/25 | 1,384 | 1,377,999 | |
4.50%, 11/15/33 | 420 | 429,417 | |
4.625%, 9/15/26 | 657 | 658,540 | |
4.875%, 11/30/25 | 3,025 | 3,029,845 | |
4.875%, 10/31/28 | 2,500 | 2,563,184 | |
Total U.S. Treasury Obligations (identified cost $25,525,213) | $25,214,216 |
Short-Term Investments — 21.9% | |||
Affiliated Fund — 7.0% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(18) | 25,992,452 | $ 25,992,452 | |
Total Affiliated Fund (identified cost $25,992,452) | $ 25,992,452 |
Securities Lending Collateral — 8.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.34%(19) | 33,303,328 | $ 33,303,328 | |
Total Securities Lending Collateral (identified cost $33,303,328) | $ 33,303,328 |
U.S. Treasury Obligations — 6.0% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills, 0.00%, 6/13/24 | $ | 22,765 | $ 22,524,471 |
Total U.S. Treasury Obligations (identified cost $22,531,248) | $ 22,524,471 | ||
Total Short-Term Investments (identified cost $81,827,028) | $ 81,820,251 | ||
Total Investments — 110.7% (identified cost $421,843,023) | $412,655,607 |
Other Assets, Less Liabilities — (10.7)% | $(40,012,711) | ||
Net Assets — 100.0% | $372,642,896 |
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 March 31, 2024, the aggregate value of these securities is $172,227,159 or 46.2% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2024. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at March 31, 2024. |
(4) | Step coupon security. Interest rate represents the rate in effect at March 31, 2024. |
(5) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at March 31, 2024. |
(6) | Represents an investment in an issuer that may be deemed to be an affiliate. |
(7) | All or a portion of this security was on loan at March 31, 2024. The aggregate market value of securities on loan at March 31, 2024 was $33,643,308 and the total market value of the collateral received by the Fund was $34,762,936, comprised of cash of $33,303,328 and U.S. government and/or agencies securities of $1,459,608. |
(8) | 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 March 31, 2024, the aggregate value of these securities is $3,265,842 or 0.9% of the Fund's net assets. |
(9) | Issuer is in default with respect to interest and/or principal payments. |
(10) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(11) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(12) | When-issued security. |
(13) | May be deemed to be an affiliated company. |
6
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
(14) | Restricted security. Total market value of restricted securities amounts to $493,145, which represents 0.1% of the net assets of the Fund as of March 31, 2024. |
(15) | Affiliated fund. |
(16) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(17) | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount, which is not expected to differ significantly from the commitment amount, and maturity date are determined upon settlement. |
(18) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2024. |
(19) | Represents investment of cash collateral received in connection with securities lending. |
Forward Foreign Currency Exchange Contracts (OTC)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
BRL | 11,351,441 | USD | 2,263,091 | Citibank, N.A. | 4/30/24 | $ — | $(6,166) |
JPY | 275,000,000 | USD | 1,874,134 | Citibank, N.A. | 4/30/24 | — | (49,739) |
USD | 2,066,792 | CAD | 2,791,745 | State Street Bank and Trust Company | 4/30/24 | 4,906 | — |
USD | 1,060,819 | EUR | 983,953 | Credit Agricole Corporate and Investment Bank | 4/30/24 | — | (1,867) |
$4,906 | $(57,772) |
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 232 | Long | 6/28/24 | $47,440,375 | $(21,113) |
U.S. 5-Year Treasury Note | 166 | Long | 6/28/24 | 17,764,594 | 11,936 |
U.S. Long Treasury Bond | 29 | Long | 6/18/24 | 3,492,688 | 64,088 |
U.S. 10-Year Treasury Note | (3) | Short | 6/18/24 | (332,391) | 2,901 |
U.S. Ultra 10-Year Treasury Note | (231) | Short | 6/18/24 | (26,474,766) | (252,877) |
U.S. Ultra-Long Treasury Bond | (65) | Short | 6/18/24 | (8,385,000) | (139,244) |
$(334,309) |
7
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
Restricted Securities
Description | Acquisition Date | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28 | 12/15/23 | $500,000 |
Abbreviations: | |
OTC | – Over-the-counter |
SOFR | – Secured Overnight Financing Rate |
STACR | – Structured Agency Credit Risk |
TBA | – To Be Announced |
Currency Abbreviations: | |
BRL | – Brazilian Real |
CAD | – Canadian Dollar |
EUR | – Euro |
JPY | – Japanese Yen |
MXN | – Mexican Peso |
USD | – United States Dollar |
At March 31, 2024, 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:
Interest Rate Risk: During the fiscal year to date ended March 31, 2024, the Fund used futures contracts to hedge interest rate risk and to manage duration.
Foreign Exchange Risk: During the fiscal year to date ended March 31, 2024, the Fund entered into forward foreign currency exchange contracts to seek to hedge against fluctuations in currency exchange rates.
Affiliated Investments
At March 31, 2024, the value of the Fund’s investment in Calvert Impact Capital, Inc. and in issuers and funds that may be deemed to be affiliated was $41,259,844, which represents 11.1% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended March 31, 2024 were as follows:
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/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2019-BPR, Class B, 8.018%, (1 mo. SOFR+2.692%), 5/15/36 | $2,543,948 | $ 111,945 | $ — | $ — | $37,187 | $ 2,693,468 | $ 54,568 | $ 2,736,000 |
Series 2019-BPR, Class C, 8.968%, (1 mo. SOFR+3.642%), 5/15/36 | 922,057 | — | — | — | 13,542 | 935,599 | 21,793 | 960,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 5.00%, 12/15/28(1) | 498,860 | — | — | — | (5,715) | 493,145 | 6,250 | 500,000 |
Mutual Funds | ||||||||
Calvert Floating-Rate Advantage Fund, Class R6 | 699,799 | 10,430,000 | — | — | 15,381 | 11,145,180 | 87,594 | 1,238,353 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(2) | 5,180,055 | 64,727,949 | (43,915,552) | — | — | 25,992,452 | 208,148 | 25,992,452 |
Total | $ — | $60,395 | $41,259,844 | $378,353 |
(1) | Restricted security. |
(2) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
8
Calvert
Flexible Bond Fund
March 31, 2024
Schedule of Investments (Unaudited) — continued
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 March 31, 2024, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $51,806,671 | $ — | $51,806,671 |
Collateralized Mortgage Obligations | — | 31,900,733 | — | 31,900,733 |
Commercial Mortgage-Backed Securities | — | 23,921,451 | — | 23,921,451 |
Corporate Bonds | — | 140,474,562 | — | 140,474,562 |
High Social Impact Investments | — | 493,145 | — | 493,145 |
Mutual Funds | 11,145,180 | — | — | 11,145,180 |
Preferred Stocks | 1,556,272 | — | — | 1,556,272 |
Senior Floating-Rate Loans | — | 310,542 | — | 310,542 |
U.S. Government Agency Mortgage-Backed Securities | — | 44,012,584 | — | 44,012,584 |
U.S. Treasury Obligations | — | 25,214,216 | — | 25,214,216 |
Short-Term Investments: | ||||
Affiliated Fund | 25,992,452 | — | — | 25,992,452 |
Securities Lending Collateral | 33,303,328 | — | — | 33,303,328 |
U.S. Treasury Obligations | — | 22,524,471 | — | 22,524,471 |
Total Investments | $71,997,232 | $340,658,375 | $ — | $412,655,607 |
Forward Foreign Currency Exchange Contracts | $ — | $4,906 | $ — | $4,906 |
Futures Contracts | 78,925 | — | — | 78,925 |
Total | $72,076,157 | $340,663,281 | $ — | $412,739,438 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $(57,772) | $ — | $(57,772) |
Futures Contracts | (413,234) | — | — | (413,234) |
Total | $(413,234) | $(57,772) | $ — | $(471,006) |
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.
9