UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File number: 811-03334
Calvert Social Investment Fund
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant’s Telephone Number)
September 30
Date of Fiscal Year End
March 31, 2022
Date of Reporting Period
Item 1. Report to Stockholders.
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 10/21/1982 | 10/21/1982 | 0.48% | 6.74% | 10.26% | 8.70% |
Class A with 4.75% Maximum Sales Charge | — | — | (4.29) | 1.66 | 9.20 | 8.17 |
Class C at NAV | 03/01/1994 | 10/21/1982 | 0.11 | 5.96 | 9.43 | 8.01 |
Class C with 1% Maximum Sales Charge | — | — | (0.83) | 4.97 | 9.43 | 8.01 |
Class I at NAV | 12/27/2004 | 10/21/1982 | 0.61 | 7.02 | 10.57 | 9.09 |
Class R6 at NAV | 02/01/2019 | 10/21/1982 | 0.64 | 7.08 | 10.60 | 9.11 |
Russell 1000® Index | — | — | 4.15% | 13.27% | 15.81% | 14.52% |
Bloomberg U.S. Aggregate Bond Index | — | — | (5.92) | (4.15) | 2.14 | 2.24 |
Balanced Blended Benchmark | — | — | 0.14 | 6.16 | 10.50 | 9.70 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.90% | 1.66% | 0.66% | 0.61% |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1987 | 08/24/1987 | (5.80)% | (3.76)% | 2.53% | 2.74% |
Class A with 3.75% Maximum Sales Charge | — | — | (9.34) | (7.37) | 1.75 | 2.34 |
Class C at NAV | 06/01/1998 | 08/24/1987 | (6.16) | (4.51) | 1.70 | 2.06 |
Class C with 1% Maximum Sales Charge | — | — | (7.09) | (5.44) | 1.70 | 2.06 |
Class I at NAV | 03/31/2000 | 08/24/1987 | (5.69) | (3.56) | 2.77 | 3.12 |
Class R6 at NAV | 10/03/2017 | 08/24/1987 | (5.72) | (3.56) | 2.81 | 3.14 |
Bloomberg U.S. Aggregate Bond Index | — | — | (5.92)% | (4.15)% | 2.14% | 2.24% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.74% | 1.54% | 0.54% | 0.47% |
Net | 0.73 | 1.53 | 0.53 | 0.46 |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 08/24/1987 | 08/24/1987 | (0.26)% | 12.74% | 19.31% | 14.78% |
Class A with 4.75% Maximum Sales Charge | — | — | (5.00) | 7.38 | 18.16 | 14.22 |
Class C at NAV | 03/01/1994 | 08/24/1987 | (0.63) | 11.88 | 18.41 | 14.10 |
Class C with 1% Maximum Sales Charge | — | — | (1.56) | 10.88 | 18.41 | 14.10 |
Class I at NAV | 11/01/1999 | 08/24/1987 | (0.14) | 13.02 | 19.65 | 15.22 |
Class R6 at NAV | 10/03/2017 | 08/24/1987 | (0.11) | 13.09 | 19.70 | 15.24 |
Russell 1000® Growth Index | — | — | 1.54% | 14.98% | 20.87% | 17.03% |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.91% | 1.66% | 0.66% | 0.60% |
Top 10 Holdings (% of net assets)* | |
Microsoft Corp. | 4.8% |
Thermo Fisher Scientific, Inc. | 4.8 |
Alphabet, Inc., Class C | 4.7 |
Visa, Inc., Class A | 4.6 |
Mastercard, Inc., Class A | 4.5 |
Danaher Corp. | 4.4 |
Verisk Analytics, Inc. | 4.1 |
Intercontinental Exchange, Inc. | 3.4 |
Zoetis, Inc. | 3.4 |
American Tower Corp. | 3.1 |
Total | 41.8% |
* | Excludes cash and cash equivalents. |
1 | Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Russell 1000® Growth Index is an unmanaged index of U.S. large-cap growth stocks. Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. The Balanced Blended Benchmark is an internally constructed benchmark comprised of a blend of 60% Russell 1000® Index and 40% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase.Calvert Research and Management became the investment adviser to each Fund on December 31, 2016. Performance reflected prior to such date is that of each Fund’s former investment adviser. |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement for Calvert Bond Fund that continues through 1/31/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profiles subject to change due to active management. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period* (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $1,004.80 | $4.50 | 0.90% |
Class C | $1,000.00 | $1,001.10 | $8.28 | 1.66% |
Class I | $1,000.00 | $1,006.10 | $3.30 | 0.66% |
Class R6 | $1,000.00 | $1,006.40 | $3.05 | 0.61% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.44 | $4.53 | 0.90% |
Class C | $1,000.00 | $1,016.65 | $8.35 | 1.66% |
Class I | $1,000.00 | $1,021.64 | $3.33 | 0.66% |
Class R6 | $1,000.00 | $1,021.89 | $3.07 | 0.61% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period* (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 942.00 | $3.53 ** | 0.73% |
Class C | $1,000.00 | $ 938.40 | $7.39 ** | 1.53% |
Class I | $1,000.00 | $ 943.10 | $2.57 ** | 0.53% |
Class R6 | $1,000.00 | $ 942.80 | $2.23 ** | 0.46% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,021.29 | $3.68 ** | 0.73% |
Class C | $1,000.00 | $1,017.30 | $7.70 ** | 1.53% |
Class I | $1,000.00 | $1,022.29 | $2.67 ** | 0.53% |
Class R6 | $1,000.00 | $1,022.64 | $2.32 ** | 0.46% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period* (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual | ||||
Class A | $1,000.00 | $ 997.40 | $4.48 | 0.90% |
Class C | $1,000.00 | $ 993.70 | $8.20 | 1.65% |
Class I | $1,000.00 | $ 998.60 | $3.24 | 0.65% |
Class R6 | $1,000.00 | $ 998.90 | $2.89 | 0.58% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,020.44 | $4.53 | 0.90% |
Class C | $1,000.00 | $1,016.70 | $8.30 | 1.65% |
Class I | $1,000.00 | $1,021.69 | $3.28 | 0.65% |
Class R6 | $1,000.00 | $1,022.04 | $2.92 | 0.58% |
* | Expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021. |
Asset-Backed Securities — 5.6% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 422 | $ 426,955 |
Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.88%, 8/15/25(1) | 305 | 303,431 | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 525 | 499,201 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 73 | 70,486 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 1,518 | 1,511,796 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 1,640 | 1,587,575 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 960 | 926,785 | |
Conn's Receivables Funding, LLC: | |||
Series 2020-A, Class A, 1.71%, 6/16/25(1) | 24 | 24,002 | |
Series 2020-A, Class B, 4.27%, 6/16/25(1) | 122 | 122,242 | |
Series 2020-A, Class C, 4.20%, 6/16/25(1) | 82 | 81,332 | |
Series 2021-A, Class A, 1.05%, 5/15/26(1) | 1,476 | 1,470,493 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 1,370 | 1,330,837 | |
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 375 | 355,340 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 768 | 724,052 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 163 | 164,328 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 1,139 | 1,032,970 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 255 | 238,315 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 2,166 | 2,006,597 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 125 | 126,537 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 805 | 798,751 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 124 | 123,348 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 1,210 | 1,193,840 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 343 | 341,963 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 660 | 606,417 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 430 | 416,948 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 633 | 627,370 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 925 | 908,432 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 818 | 795,017 |
Security | Principal Amount (000's omitted) | Value | |
Lendingpoint Asset Securitization Trust, Series 2022-A, Class A, 1.68%, 6/15/29(1) | $ | 1,239 | $ 1,229,171 |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 244 | 212,222 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 117 | 98,947 | |
Marlette Funding Trust, Series 2020-2A, Class C, 2.83%, 9/16/30(1) | 107 | 106,950 | |
Mill City Solar Loan, Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 501 | 442,282 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 480 | 477,553 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 1,175 | 1,140,992 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 103 | 102,769 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 132 | 124,598 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 108 | 103,487 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 271 | 247,122 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 391 | 365,937 | |
Series 2021-1A, Class A, 1.51%, 12/20/46(1) | 664 | 609,707 | |
Series 2021-3A, Class D, 3.28%, 6/20/52(1) | 131 | 122,795 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 988 | 929,387 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 1,945 | 1,875,156 | |
OneMain Financial Issuance Trust, Series 2016-3A, Class A, 3.83%, 6/18/31(1) | 104 | 104,096 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 265 | 260,348 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 2,008 | 2,003,656 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 979 | 924,915 | |
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 178 | 173,309 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 5,100 | 4,807,008 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 530 | 500,845 | |
Series 2021-C, Class C, 3.61%, 10/8/31(1) | 105 | 100,263 | |
Pagaya AI Debt Selection Trust: | |||
Series 2020-3, Class B, 3.22%, 5/17/27(1) | 305 | 304,601 | |
Series 2021-2, 3.00%, 1/25/29(1) | 1,238 | 1,210,702 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 2,920 | 2,861,306 | |
Series 2021-5, Class A, 1.53%, 8/15/29(1) | 2,098 | 2,051,750 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 579 | 561,044 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 69 | 69,415 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 616 | 581,208 | |
Prosper Marketplace Issuance Trust, Series 2019-4A, Class C, 4.95%, 2/17/26(1) | 199 | 198,992 |
Security | Principal Amount (000's omitted) | Value | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49(1) | $ | 1,000 | $ 1,008,891 |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 350 | 319,016 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 442 | 402,101 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 2,012 | 2,026,295 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 373 | 367,178 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,139 | 1,116,312 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 783 | 755,130 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 4,804 | 4,829,576 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 405 | 398,575 | |
Sunnova Helios II Issuer, LLC: | |||
Series 2021-A, Class A, 1.80%, 2/20/48(1) | 1,279 | 1,194,004 | |
Series 2021-A, Class B, 3.15%, 2/20/48(1) | 429 | 378,998 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 1,434 | 1,348,092 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 241 | 231,760 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 470 | 462,043 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 440 | 420,886 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 715 | 652,616 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 311 | 306,475 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 748 | 739,290 | |
Theorem Funding Trust: | |||
Series 2020-1A, Class B, 3.95%, 10/15/26(1) | 447 | 449,324 | |
Series 2021-1A, Class A, 1.21%, 12/15/27(1) | 1,194 | 1,176,699 | |
Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 174 | 166,213 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 134 | 79,708 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 1,045 | 1,042,117 | |
Upstart Securitization Trust, Series 2020-1, Class C, 4.899%, 4/22/30(1) | 750 | 750,420 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 159 | 159,779 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,037 | 1,028,997 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 1,405 | 1,287,712 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 621 | 580,370 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 970 | 877,122 |
Security | Principal Amount (000's omitted) | Value | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | $ | 361 | $ 311,859 |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 181 | 126,066 | |
Total Asset-Backed Securities (identified cost $71,247,036) | $ 68,711,517 |
Collateralized Mortgage Obligations — 1.4% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2017-1, Class B1, 5.207%, (1 mo. USD LIBOR + 4.75%), 10/25/27(1)(2) | $ | 155 | $ 157,470 |
Series 2021-1A, Class M1A, 1.849%, (30-day average SOFR + 1.75%), 3/25/31(1)(2) | 296 | 296,145 | |
Series 2021-1A, Class M1B, 2.299%, (30-day average SOFR + 2.20%), 3/25/31(1)(2) | 248 | 246,980 | |
Series 2021-1A, Class M1C, 3.049%, (30-day average SOFR + 2.95%), 3/25/31(1)(2) | 150 | 151,236 | |
Series 2021-2A, Class M1A, 1.299%, (30-day average SOFR + 1.20%), 6/25/31(1)(2) | 1,703 | 1,698,276 | |
Series 2021-3A, Class A2, 1.099%, (30-day average SOFR + 1.00%), 9/25/31(1)(2) | 590 | 585,031 | |
Series 2021-3A, Class M1B, 1.499%, (30-day average SOFR + 1.40%), 9/25/31(1)(2) | 415 | 404,239 | |
Eagle Re, Ltd.: | |||
Series 2021-1, Class M1A, 1.799%, (30-day average SOFR + 1.70%), 10/25/33(1)(2) | 601 | 601,893 | |
Series 2021-2, Class M1C, 3.549%, (30-day average SOFR + 3.45%), 4/25/34(1)(2) | 415 | 408,373 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 3.707%, (1 mo. USD LIBOR + 3.25%), 5/25/25(2) | 217 | 219,760 | |
Series 2018-DNA1, Class M2AT, 1.507%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2) | 322 | 322,397 | |
Series 2019-DNA3, Class B2, 8.607%, (1 mo. USD LIBOR + 8.15%), 7/25/49(1)(2) | 240 | 248,589 | |
Series 2019-DNA3, Class M2, 2.507%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2) | 1,121 | 1,124,368 | |
Series 2019-DNA4, Class M2, 2.407%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(2) | 136 | 136,208 | |
Series 2019-HQA2, Class B1, 4.557%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(2) | 165 | 164,698 | |
Series 2019-HQA4, Class B1, 3.407%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(2) | 57 | 56,150 | |
Series 2020-DNA6, Class B1, 3.099%, (30-day average SOFR + 3.00%), 12/25/50(1)(2) | 50 | 46,493 | |
Series 2020-HQA2, Class B1, 4.557%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(2) | 108 | 106,260 | |
Series 2021-DNA3, Class M1, 0.849%, (30-day average SOFR + 0.75%), 10/25/33(1)(2) | 487 | 483,368 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: (continued) | |||
Series 2022-DNA2, Class M1A, 1.399%, (30-day average SOFR + 1.30%), 2/25/42(1)(2) | $ | 1,066 | $ 1,062,881 |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 5.707%, (1 mo. USD LIBOR + 5.25%), 10/25/23(2) | 255 | 263,548 | |
Series 2014-C02, Class 2M2, 3.057%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 113 | 114,565 | |
Series 2014-C03, Class 2M2, 3.357%, (1 mo. USD LIBOR + 2.90%), 7/25/24(2) | 158 | 158,643 | |
Series 2014-C04, Class 1M2, 5.357%, (1 mo. USD LIBOR + 4.90%), 11/25/24(2) | 464 | 478,516 | |
Series 2018-R07, Class 1M2, 2.857%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2) | 123 | 123,422 | |
Series 2019-R01, Class 2B1, 4.807%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(2) | 150 | 151,113 | |
Series 2019-R02, Class 1B1, 4.607%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(2) | 150 | 151,137 | |
Series 2019-R02, Class 1M2, 2.757%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(2) | 12 | 12,157 | |
Series 2019-R03, Class 1B1, 4.557%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(2) | 150 | 151,666 | |
Series 2019-R05, Class 1B1, 4.557%, (1 mo. USD LIBOR + 4.10%), 7/25/39(1)(2) | 251 | 250,747 | |
Series 2019-R05, Class 1M2, 2.457%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(2) | 3 | 2,648 | |
Series 2019-R06, Class 2B1, 4.207%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(2) | 911 | 891,136 | |
Series 2019-R07, Class 1B1, 3.857%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(2) | 268 | 259,488 | |
Series 2020-R02, Class 2B1, 3.457%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(2) | 1,120 | 1,031,586 | |
Series 2021-R01, Class 1B2, 6.099%, (30-day average SOFR + 6.00%), 10/25/41(1)(2) | 351 | 327,569 | |
Series 2021-R02, Class 2B1, 3.399%, (30-day average SOFR + 3.30%), 11/25/41(1)(2) | 35 | 32,198 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 547 | 549,250 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(3) | 125 | 117,408 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(3) | 1,060 | 983,079 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 3.457%, (1 mo. USD LIBOR + 3.00%), 10/25/28(1)(2) | 811 | 802,260 | |
Series 2021-1, Class M1B, 2.007%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(2) | 690 | 685,826 | |
Series 2021-1, Class M2, 3.307%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(2) | 215 | 200,380 | |
Oaktown Re V, Ltd., Series 2020-2A, Class M1B, 4.057%, (1 mo. USD LIBOR + 3.60%), 10/25/30(1)(2) | 256 | 258,282 | |
Toorak Mortgage Corp., Ltd., Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(4) | 463 | 459,873 |
Security | Principal Amount (000's omitted) | Value | |
ZH Trust: | |||
Series 2021-1, Class A, 2.253%, 2/18/27(1) | $ | 655 | $ 647,271 |
Series 2021-2, Class A, 2.349%, 10/17/27(1) | 101 | 99,363 | |
Total Collateralized Mortgage Obligations (identified cost $18,075,901) | $ 17,723,946 |
Commercial Mortgage-Backed Securities — 3.8% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(3) | $ | 1,605 | $ 1,471,391 |
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(3) | 680 | 592,604 | |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(3) | 1,215 | 901,910 | |
BBCMS Mortgage Trust: | |||
Series 2017-DELC, Class E, 2.897%, (1 mo. USD LIBOR + 2.50%), 8/15/36(1)(2) | 212 | 206,967 | |
Series 2017-DELC, Class F, 3.897%, (1 mo. USD LIBOR + 3.50%), 8/15/36(1)(2) | 285 | 278,071 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 1.317%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(2) | 1,335 | 1,329,856 | |
Series 2019-XL, Class B, 1.477%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(2) | 638 | 632,440 | |
Series 2021-VOLT, Class B, 1.347%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(2) | 1,809 | 1,752,574 | |
Series 2021-VOLT, Class C, 1.497%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(2) | 549 | 528,632 | |
Series 2021-VOLT, Class D, 2.047%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(2) | 1,739 | 1,682,643 | |
CSMC, Series 2022-CNTR, Class A, 4.246%, (SOFR + 3.94%), 1/15/24(1)(2) | 247 | 240,545 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 1.477%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(2) | 636 | 629,338 | |
Series 2021-ESH, Class C, 2.097%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(2) | 1,380 | 1,362,332 | |
Series 2021-ESH, Class D, 2.647%, (1 mo. USD LIBOR + 2.25%), 7/15/38(1)(2) | 451 | 445,021 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 3,315 | 3,198,092 | |
Series KG03, Class A2, 1.297%, 6/25/30(3) | 770 | 682,037 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 704 | 632,938 | |
Series KW06, Class A2, 3.80%, 6/25/28(3) | 1,135 | 1,194,859 | |
Series W5FX, Class AFX, 2.969%, 4/25/28(3) | 413 | 420,761 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.024%, 9/25/27(3) | 1,175 | 1,190,701 | |
Series 2018-M4, Class A2, 3.161%, 3/25/28(3) | 2,148 | 2,204,227 | |
Series 2018-M13, Class A2, 3.713%, 9/25/30(3) | 3,235 | 3,468,652 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2019-M1, Class A2, 3.671%, 9/25/28(3) | $ | 993 | $ 1,041,036 |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 1,897 | 1,869,215 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 2,322 | 2,267,146 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 1,505 | 1,382,167 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M7, 2.157%, (1 mo. USD LIBOR + 1.70%), 10/15/49(1)(2) | 389 | 382,129 | |
Series 2019-01, Class M10, 3.707%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2) | 548 | 520,208 | |
Series 2020-01, Class M10, 4.207%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | 1,310 | 1,265,208 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 1.547%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(2) | 2,738 | 2,718,668 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 550 | 162,483 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(3) | 225 | 40,162 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 1.097%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(2)(5) | 1,909 | 1,900,700 | |
Series 2017-CLS, Class E, 2.347%, (1 mo. USD LIBOR + 1.95%), 11/15/34(1)(2)(5) | 225 | 222,888 | |
Series 2017-CLS, Class F, 2.997%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1)(2)(5) | 629 | 621,919 | |
Series 2019-BPR, Class A, 1.797%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(2)(5) | 1,315 | 1,299,014 | |
Series 2019-BPR, Class B, 2.497%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(2)(5) | 386 | 376,527 | |
Series 2019-BPR, Class C, 3.447%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2)(5) | 205 | 196,635 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 1,674 | 1,559,814 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 2.118%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(2) | 1,398 | 1,373,413 | |
Series 2021-HT1, Class B, 4.968%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(2) | 2,057 | 2,000,433 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(3) | 850 | 742,184 | |
Total Commercial Mortgage-Backed Securities (identified cost $49,034,000) | $ 46,988,540 |
Common Stocks — 60.3% |
Security | Shares | Value | |
Auto Components — 0.7% | |||
Aptiv PLC(6) | 71,000 | $ 8,499,410 | |
$ 8,499,410 |
Security | Shares | Value | |
Automobiles — 0.6% | |||
Tesla, Inc.(6) | 6,400 | $ 6,896,640 | |
$ 6,896,640 | |||
Banks — 2.1% | |||
PNC Financial Services Group, Inc. (The) | 66,300 | $ 12,229,035 | |
Wells Fargo & Co. | 287,100 | 13,912,866 | |
$ 26,141,901 | |||
Beverages — 2.2% | |||
Coca-Cola Co. (The) | 304,200 | $ 18,860,400 | |
Coca-Cola Europacific Partners PLC | 156,000 | 7,583,160 | |
$ 26,443,560 | |||
Biotechnology — 1.7% | |||
AbbVie, Inc. | 125,800 | $ 20,393,438 | |
$ 20,393,438 | |||
Capital Markets — 3.0% | |||
Intercontinental Exchange, Inc. | 111,100 | $ 14,678,532 | |
S&P Global, Inc. | 24,500 | 10,049,410 | |
Tradeweb Markets, Inc., Class A | 145,266 | 12,764,523 | |
$ 37,492,465 | |||
Chemicals — 1.0% | |||
FMC Corp. | 92,900 | $ 12,222,853 | |
$ 12,222,853 | |||
Commercial Services & Supplies — 1.0% | |||
Waste Management, Inc. | 75,425 | $ 11,954,862 | |
$ 11,954,862 | |||
Containers & Packaging — 0.6% | |||
AptarGroup, Inc. | 62,300 | $ 7,320,250 | |
$ 7,320,250 | |||
Diversified Telecommunication Services — 0.9% | |||
Verizon Communications, Inc. | 226,000 | $ 11,512,440 | |
$ 11,512,440 | |||
Electric Utilities — 0.9% | |||
NextEra Energy, Inc. | 137,500 | $ 11,647,625 | |
$ 11,647,625 | |||
Electrical Equipment — 0.8% | |||
AMETEK, Inc. | 69,500 | $ 9,256,010 | |
$ 9,256,010 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components — 0.8% | |||
TE Connectivity, Ltd. | 71,800 | $ 9,404,364 | |
$ 9,404,364 | |||
Energy Equipment & Services — 1.8% | |||
Baker Hughes Co. | 612,900 | $ 22,315,689 | |
$ 22,315,689 | |||
Entertainment — 0.4% | |||
Walt Disney Co. (The)(6) | 35,200 | $ 4,828,032 | |
$ 4,828,032 | |||
Equity Real Estate Investment Trusts (REITs) — 2.0% | |||
EastGroup Properties, Inc. | 54,600 | $ 11,099,088 | |
Lamar Advertising Co., Class A | 118,000 | 13,709,240 | |
$ 24,808,328 | |||
Food & Staples Retailing — 2.2% | |||
Sysco Corp. | 179,900 | $ 14,688,835 | |
Walmart, Inc. | 79,300 | 11,809,356 | |
$ 26,498,191 | |||
Health Care Equipment & Supplies — 1.4% | |||
Boston Scientific Corp.(6) | 239,000 | $ 10,585,310 | |
Teleflex, Inc. | 17,800 | 6,315,974 | |
$ 16,901,284 | |||
Health Care Providers & Services — 1.3% | |||
Anthem, Inc. | 31,700 | $ 15,571,674 | |
$ 15,571,674 | |||
Hotels, Restaurants & Leisure — 0.7% | |||
Marriott International, Inc., Class A(6) | 49,700 | $ 8,734,775 | |
$ 8,734,775 | |||
Insurance — 1.1% | |||
Allstate Corp. (The) | 100,200 | $ 13,878,702 | |
$ 13,878,702 | |||
Interactive Media & Services — 3.8% | |||
Alphabet, Inc., Class C(6) | 16,712 | $ 46,676,449 | |
$ 46,676,449 | |||
Internet & Direct Marketing Retail — 3.0% | |||
Amazon.com, Inc.(6) | 11,166 | $ 36,400,602 | |
$ 36,400,602 |
Security | Shares | Value | |
IT Services — 2.4% | |||
Automatic Data Processing, Inc. | 57,600 | $ 13,106,304 | |
Visa, Inc., Class A | 76,200 | 16,898,874 | |
$ 30,005,178 | |||
Life Sciences Tools & Services — 2.2% | |||
Danaher Corp. | 44,400 | $ 13,023,852 | |
Thermo Fisher Scientific, Inc. | 23,097 | 13,642,243 | |
$ 26,666,095 | |||
Machinery — 1.4% | |||
Stanley Black & Decker, Inc. | 30,000 | $ 4,193,700 | |
Westinghouse Air Brake Technologies Corp. | 139,600 | 13,425,332 | |
$ 17,619,032 | |||
Multi-Utilities — 1.2% | |||
Sempra Energy | 91,100 | $ 15,315,732 | |
$ 15,315,732 | |||
Pharmaceuticals — 2.3% | |||
Bristol-Myers Squibb Co. | 147,300 | $ 10,757,319 | |
Eli Lilly & Co. | 43,500 | 12,457,095 | |
Pfizer, Inc. | 96,100 | 4,975,097 | |
$ 28,189,511 | |||
Professional Services — 0.7% | |||
Booz Allen Hamilton Holding Corp. | 104,800 | $ 9,205,632 | |
$ 9,205,632 | |||
Road & Rail — 1.1% | |||
Union Pacific Corp. | 50,000 | $ 13,660,500 | |
$ 13,660,500 | |||
Semiconductors & Semiconductor Equipment — 3.2% | |||
Analog Devices, Inc. | 85,600 | $ 14,139,408 | |
Lam Research Corp. | 15,200 | 8,171,672 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 64,300 | 6,703,918 | |
Texas Instruments, Inc. | 59,296 | 10,879,630 | |
$ 39,894,628 | |||
Software — 5.4% | |||
Bill.com Holdings, Inc.(6) | 26,500 | $ 6,009,935 | |
Intuit, Inc. | 17,767 | 8,543,084 | |
Microsoft Corp. | 168,851 | 52,058,452 | |
$ 66,611,471 |
Security | Shares | Value | |
Specialty Retail — 1.3% | |||
Bath & Body Works, Inc. | 156,500 | $ 7,480,700 | |
TJX Cos., Inc. (The) | 133,300 | 8,075,314 | |
$ 15,556,014 | |||
Technology Hardware, Storage & Peripherals — 4.2% | |||
Apple, Inc. | 294,008 | $ 51,336,737 | |
$ 51,336,737 | |||
Venture Capital — 0.2% | |||
CFBanc Corp.(6)(7)(8) | 27,000 | $ 584,963 | |
Consensus Orthopedics, Inc.(6)(7)(8) | 180,877 | 0 | |
Learn Capital Venture Partners III, L.P.(6)(7)(8) | 1,056,322 | 1,604,001 | |
Neighborhood Bancorp, Class A(6)(7)(8) | 10,000 | 12,500 | |
$ 2,201,464 | |||
Wireless Telecommunication Services — 0.7% | |||
T-Mobile US, Inc.(6) | 69,345 | $ 8,900,431 | |
$ 8,900,431 | |||
Total Common Stocks (identified cost $494,903,308) | $ 740,961,969 |
Convertible Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.1% | |||
1Life Healthcare, Inc., 3.00%, 6/15/25 | $ | 172 | $ 149,296 |
ams-OSRAM AG, 0.875%, 9/28/22(9) | 600 | 590,199 | |
Total Convertible Bonds (identified cost $742,903) | $ 739,495 |
Corporate Bonds — 15.4% |
Security | Principal Amount (000's omitted) | Value | |
Communications — 1.4% | |||
AT&T, Inc.: | |||
2.30%, 6/1/27 | $ | 1 | $ 954 |
3.10%, 2/1/43 | 821 | 710,871 | |
3.50%, 9/15/53 | 92 | 81,076 | |
3.55%, 9/15/55 | 900 | 796,850 | |
3.65%, 6/1/51 | 2,851 | 2,603,284 | |
3.65%, 9/15/59 | 111 | 97,725 | |
3.80%, 12/1/57 | 1,097 | 1,005,202 |
Security | Principal Amount (000's omitted) | Value | |
Communications (continued) | |||
AT&T, Inc.: (continued) | |||
4.90%, 6/15/42 | $ | 785 | $ 850,817 |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 304 | 301,389 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 3,015 | 2,873,031 | |
Comcast Corp.: | |||
2.887%, 11/1/51(1) | 1,125 | 953,131 | |
2.937%, 11/1/56(1) | 1,283 | 1,064,966 | |
Level 3 Financing, Inc., 3.75%, 7/15/29(1)(10) | 80 | 70,999 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 248 | 267,644 | |
Nokia Oyj: | |||
4.375%, 6/12/27(10) | 947 | 962,550 | |
6.625%, 5/15/39(10) | 990 | 1,181,461 | |
Rogers Communications, Inc., 3.80%, 3/15/32(1) | 588 | 584,183 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1)(10) | 463 | 450,446 | |
SES S.A., 5.30%, 4/4/43(1) | 274 | 267,231 | |
Sirius XM Radio, Inc., 3.125%, 9/1/26(1) | 182 | 172,318 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26(10) | 48 | 45,283 | |
2.25%, 11/15/31 | 161 | 141,095 | |
2.55%, 2/15/31 | 371 | 337,009 | |
2.625%, 4/15/26 | 1,225 | 1,171,615 | |
4.50%, 4/15/50 | 860 | 873,105 | |
$ 17,864,235 | |||
Consumer, Cyclical — 1.1% | |||
American Airlines Pass-Through Trust, 4.40%, 9/22/23 | $ | 209 | $ 203,656 |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 1,905 | 1,921,964 | |
5.75%, 4/20/29(1) | 44 | 43,896 | |
Aptiv PLC/Aptiv Corp., 3.25%, 3/1/32(10) | 410 | 389,113 | |
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | 649 | 682,213 | |
6.875%, 11/1/35 | 107 | 110,414 | |
7.60%, 7/15/37 | 459 | 477,183 | |
Brunswick Corp., 5.10%, 4/1/52 | 185 | 176,728 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 265 | 279,168 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 1,271 | 1,282,952 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 2,607 | 2,231,515 | |
Ford Motor Co., 4.75%, 1/15/43 | 127 | 115,577 | |
Ford Motor Credit Co., LLC: | |||
3.375%, 11/13/25 | 206 | 201,577 | |
4.14%, 2/15/23 | 675 | 680,488 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
Hyatt Hotels Corp.: | |||
1.30%, 10/1/23 | $ | 409 | $ 398,782 |
1.80%, 10/1/24 | 168 | 161,792 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1)(10) | 1,143 | 1,082,113 | |
4.375%, 1/15/31(1)(10) | 186 | 180,096 | |
Macy's Retail Holdings, LLC, 4.30%, 2/15/43 | 75 | 56,438 | |
MDC Holdings, Inc., 2.50%, 1/15/31 | 128 | 111,947 | |
Nordstrom, Inc.: | |||
4.25%, 8/1/31(10) | 495 | 452,037 | |
4.375%, 4/1/30(10) | 894 | 836,739 | |
5.00%, 1/15/44(10) | 792 | 710,820 | |
Powdr Corp., 6.00%, 8/1/25(1) | 225 | 230,997 | |
$ 13,018,205 | |||
Consumer, Non-cyclical — 1.2% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 200 | $ 197,488 |
4.25%, 11/1/29(1) | 987 | 983,481 | |
Avantor Funding, Inc., 4.625%, 7/15/28(1) | 1,024 | 1,014,052 | |
Avon Products, Inc., 8.45%, 3/15/43 | 80 | 92,762 | |
Block Financial, LLC, 3.875%, 8/15/30 | 1,631 | 1,604,588 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 1,407 | 1,244,027 | |
3.375%, 2/15/30 | 472 | 444,954 | |
4.25%, 12/15/27 | 575 | 577,748 | |
4.625%, 12/15/29 | 74 | 74,728 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 347 | 317,138 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 645 | 560,911 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 655 | 655,098 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 584 | 626,005 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 1,705 | 1,354,723 | |
Ford Foundation (The), 2.415%, 6/1/50(10) | 1,095 | 906,314 | |
Hikma Finance USA, LLC, 3.25%, 7/9/25(9) | 200 | 194,005 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 987 | 952,233 | |
Perrigo Finance Unlimited Co., 3.90%, 6/15/30 | 423 | 398,227 | |
Royalty Pharma PLC, 3.35%, 9/2/51(10) | 1,154 | 928,486 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 870 | 765,461 | |
3.00%, 10/15/30(1) | 192 | 174,528 | |
5.20%, 4/1/29(1) | 138 | 144,943 | |
$ 14,211,900 |
Security | Principal Amount (000's omitted) | Value | |
Energy — 0.4% | |||
NuStar Logistics, L.P.: | |||
6.00%, 6/1/26 | $ | 1,189 | $ 1,203,874 |
6.375%, 10/1/30 | 334 | 338,877 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 1,293 | 1,263,778 | |
5.00%, 1/31/28(1) | 1,746 | 1,742,290 | |
$ 4,548,819 | |||
Financial — 7.3% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
4.50%, 9/15/23 | $ | 716 | $ 721,763 |
6.50%, 7/15/25 | 413 | 437,698 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 996 | 972,335 | |
Agree, L.P., 2.00%, 6/15/28 | 329 | 298,689 | |
Air Lease Corp., 2.875%, 1/15/26 | 816 | 788,634 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 972 | 956,953 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 165 | 163,301 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 176 | 165,828 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 845 | 766,435 | |
Aon Corp./Aon Global Holdings PLC, 2.85%, 5/28/27 | 578 | 566,450 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(11) | 1,352 | 1,302,582 | |
Banco BTG Pactual S.A./Cayman Islands, 4.50%, 1/10/25(1)(10) | 925 | 919,316 | |
Banco de Chile, 2.99%, 12/9/31(1)(10) | 827 | 764,359 | |
Banco do Brasil S.A., 3.25%, 9/30/26(1) | 322 | 310,315 | |
Banco Santander S.A.: | |||
1.722% to 9/14/26, 9/14/27(11) | 800 | 723,744 | |
4.175% to 3/24/27, 3/24/28(11) | 400 | 402,297 | |
Bank of America Corp.: | |||
1.62%, (SOFR + 1.33%), 4/2/26(2) | 1,733 | 1,749,188 | |
1.734% to 7/22/26, 7/22/27(11) | 2,414 | 2,244,026 | |
1.898% to 7/23/30, 7/23/31(11) | 680 | 594,975 | |
1.922% to 10/24/30, 10/24/31(11) | 753 | 654,957 | |
2.087% to 6/14/28, 6/14/29(11) | 1,034 | 945,554 | |
2.299% to 7/21/31, 7/21/32(11) | 960 | 855,716 | |
2.456% to 10/22/24, 10/22/25(11) | 2,613 | 2,569,073 | |
2.551% to 2/4/27, 2/4/28(11) | 1,471 | 1,406,965 | |
3.846% to 3/8/32, 3/8/37(11) | 3,518 | 3,373,817 | |
BankUnited, Inc., 5.125%, 6/11/30 | 351 | 362,286 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 859 | 819,525 | |
5.125% to 1/18/28, 1/18/33(1)(11) | 1,189 | 1,124,360 | |
Boston Properties, L.P., 2.45%, 10/1/33 | 2,042 | 1,774,243 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(11) | 432 | 404,485 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | $ | 58 | $ 51,746 |
Brown & Brown, Inc.: | |||
2.375%, 3/15/31 | 205 | 180,399 | |
4.20%, 3/17/32(10) | 370 | 376,504 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(11) | 906 | 875,742 | |
3.30%, 10/30/24 | 419 | 421,625 | |
3.75%, 7/28/26 | 658 | 662,199 | |
4.20%, 10/29/25 | 575 | 588,810 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,239 | 1,130,945 | |
4.10%, 6/15/51(10) | 711 | 629,494 | |
Citigroup, Inc.: | |||
1.281% to 11/3/24, 11/3/25(11) | 622 | 592,468 | |
1.57%, (SOFR + 1.28%), 2/24/28(2) | 1,505 | 1,510,797 | |
3.106% to 4/8/25, 4/8/26(11) | 784 | 777,895 | |
3.785% to 3/17/32, 3/17/33(11) | 1,440 | 1,429,145 | |
3.887% to 1/10/27, 1/10/28(11) | 610 | 617,596 | |
4.00% to 12/10/25(11)(12) | 770 | 741,125 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 626 | 553,439 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(11) | 1,046 | 1,061,223 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 1,202 | 1,242,057 | |
EPR Properties: | |||
3.75%, 8/15/29(10) | 1,266 | 1,186,560 | |
4.50%, 6/1/27 | 1,059 | 1,045,940 | |
Extra Space Storage, L.P., 2.55%, 6/1/31 | 803 | 725,852 | |
GA Global Funding Trust: | |||
2.25%, 1/6/27(1) | 1,872 | 1,750,380 | |
2.90%, 1/6/32(1) | 1,483 | 1,350,328 | |
Goldman Sachs Group, Inc. (The): | |||
1.948% to 10/21/26, 10/21/27(11) | 1,448 | 1,347,721 | |
2.64% to 2/24/27, 2/24/28(11) | 550 | 526,461 | |
2.65% to 10/21/31, 10/21/32(11) | 766 | 694,193 | |
3.102% to 2/24/32, 2/24/33(11) | 250 | 235,913 | |
3.615% to 3/15/27, 3/15/28(11) | 1,175 | 1,174,819 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 2,309 | 2,196,748 | |
6.00%, 4/15/25(1) | 695 | 713,258 | |
HSBC Holdings PLC, 2.251% to 11/22/26, 11/22/27(11) | 1,402 | 1,307,898 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 1,185 | 1,095,888 | |
5.00%, 7/15/28(1) | 374 | 365,280 | |
JPMorgan Chase & Co.: | |||
0.87%, (SOFR + 0.58%), 3/16/24(2) | 167 | 166,532 | |
1.47% to 9/22/26, 9/22/27(11) | 1,684 | 1,553,819 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
JPMorgan Chase & Co.: (continued) | |||
1.47%, (SOFR + 1.18%), 2/24/28(2) | $ | 733 | $ 733,159 |
2.739% to 10/15/29, 10/15/30(11) | 485 | 458,847 | |
2.956% to 5/13/30, 5/13/31(11) | 958 | 898,059 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 758 | 680,342 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 304 | 254,008 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(11) | 541 | 511,199 | |
Life Storage, L.P., 2.40%, 10/15/31 | 1,045 | 922,708 | |
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(10)(11) | 860 | 830,104 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(11) | 1,525 | 1,345,204 | |
3.624%, 6/3/30(1) | 744 | 702,300 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 575 | 584,519 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(11) | 759 | 730,683 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 388 | 406,352 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 1,637 | 1,516,386 | |
7.125%, 3/15/26 | 224 | 239,684 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 2,409 | 2,382,598 | |
Primerica, Inc., 2.80%, 11/19/31 | 607 | 560,711 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 1,450 | 1,459,099 | |
6.625%, 3/15/25 | 77 | 81,128 | |
Sabra Health Care, L.P., 3.20%, 12/1/31(10) | 1,255 | 1,122,076 | |
SITE Centers Corp., 3.625%, 2/1/25 | 517 | 517,798 | |
Societe Generale S.A., 4.75% to 5/26/26(1)(10)(11)(12) | 690 | 645,150 | |
Standard Chartered PLC: | |||
1.214% to 3/23/24, 3/23/25(1)(11) | 326 | 311,387 | |
1.319% to 10/14/22, 10/14/23(1)(10)(11) | 459 | 454,802 | |
1.456% to 1/14/26, 1/14/27(1)(11) | 1,028 | 936,073 | |
1.822% to 11/23/24, 11/23/25(1)(11) | 661 | 628,588 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 902 | 913,308 | |
Sun Communities Operating, L.P.: | |||
2.30%, 11/1/28 | 385 | 349,636 | |
2.70%, 7/15/31 | 299 | 270,237 | |
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(11) | 782 | 775,796 | |
Synovus Financial Corp.: | |||
3.125%, 11/1/22 | 311 | 312,396 | |
5.90% to 2/7/24, 2/7/29(10)(11) | 71 | 72,782 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(11) | 596 | 582,164 | |
Truist Financial Corp., 5.10% to 3/1/30(10)(11)(12) | 1,053 | 1,073,007 | |
UBS AG, 1.25%, 6/1/26(1) | 928 | 854,470 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(11) | $ | 1,244 | $ 1,090,033 |
4.375% to 2/10/31(1)(10)(11)(12) | 649 | 587,345 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(10)(11) | 795 | 761,140 | |
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(11)(13) | 1,266 | 1,266,000 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(11) | 618 | 550,143 | |
$ 89,392,089 | |||
Government - Multinational — 1.5% | |||
Asian Development Bank, 3.125%, 9/26/28(10) | $ | 1,160 | $ 1,204,812 |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 1,295 | 1,256,003 | |
European Investment Bank: | |||
1.625%, 5/13/31(10) | 2,540 | 2,384,999 | |
2.375%, 5/24/27 | 2,741 | 2,724,746 | |
2.875%, 6/13/25(1) | 5,102 | 5,153,654 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 1,030 | 980,064 | |
International Bank for Reconstruction & Development: | |||
0.42%, (SOFR + 0.13%), 1/13/23(2) | 1,637 | 1,637,261 | |
3.125%, 11/20/25 | 2,600 | 2,645,175 | |
International Finance Corp., 0.38%, (SOFR + 0.09%), 4/3/24(2) | 679 | 678,083 | |
$ 18,664,797 | |||
Government - Regional — 0.1% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 1,940 | $ 1,853,430 |
$ 1,853,430 | |||
Industrial — 0.7% | |||
FedEx Corp., 4.55%, 4/1/46 | $ | 1,209 | $ 1,269,539 |
Imola Merger Corp., 4.75%, 5/15/29(1) | 727 | 701,046 | |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 2,401 | 2,202,964 | |
3.60%, 1/15/30 | 1,434 | 1,391,683 | |
Owens Corning, 3.95%, 8/15/29 | 1,598 | 1,628,497 | |
Valmont Industries, Inc.: | |||
5.00%, 10/1/44 | 110 | 117,294 | |
5.25%, 10/1/54 | 800 | 872,504 | |
$ 8,183,527 | |||
Other Revenue — 0.1% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 1,625 | $ 1,601,088 |
$ 1,601,088 |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.5% | |||
DXC Technology Co., 2.375%, 9/15/28 | $ | 618 | $ 559,547 |
HP, Inc., 4.00%, 4/15/29 | 739 | 736,913 | |
Kyndryl Holdings, Inc.: | |||
2.05%, 10/15/26(1) | 1,045 | 934,491 | |
2.70%, 10/15/28(1)(10) | 287 | 248,894 | |
Microsoft Corp., 2.40%, 8/8/26 | 575 | 570,785 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31 | 990 | 882,258 | |
4.091%, 6/1/29 | 856 | 832,148 | |
5.75%, 12/1/34 | 439 | 449,762 | |
Western Digital Corp., 4.75%, 2/15/26 | 961 | 977,039 | |
$ 6,191,837 | |||
Utilities — 1.1% | |||
AES Corp. (The), 2.45%, 1/15/31 | $ | 1,826 | $ 1,635,896 |
American Water Capital Corp.: | |||
2.30%, 6/1/31 | 614 | 560,883 | |
2.95%, 9/1/27(10) | 750 | 743,666 | |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 388 | 387,630 | |
3.80%, 6/1/29 | 1,635 | 1,661,069 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 472 | 435,160 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 429 | 428,129 | |
Enel Finance International NV: | |||
1.375%, 7/12/26(1) | 564 | 518,511 | |
2.65%, 9/10/24(1) | 1,195 | 1,178,065 | |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 200 | 184,433 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 500 | 461,385 | |
4.25%, 7/15/49 | 835 | 915,071 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 1,008 | 930,781 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 73 | 73,806 | |
4.50%, 9/15/27(1)(10) | 140 | 139,625 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1)(10) | 586 | 521,484 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,745 | 1,718,755 | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | 723 | 738,770 | |
$ 13,233,119 | |||
Total Corporate Bonds (identified cost $199,464,627) | $ 188,763,046 |
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(8)(14) | $ | 2,500 | $ 2,379,825 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/22(8)(15) | 39 | 37,641 | |
Total High Social Impact Investments (identified cost $2,539,329) | $ 2,417,466 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.0%(16) | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(11) | 24,733 | $ 524,587 | |
$ 524,587 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 33,000 | $ 695,640 | |
Series A2, 6.375% | 28,000 | 575,680 | |
$ 1,271,320 | |||
Venture Capital — 0.0%(16) | |||
Consensus Orthopedics, Inc.: | |||
Series A-1(6)(7)(8) | 420,683 | $ 0 | |
Series B(6)(7)(8) | 348,940 | 0 | |
Series C(6)(7)(8) | 601,710 | 0 | |
Lumni, Inc., Series B(6)(7)(8) | 17,265 | 33,192 | |
Wind Harvest Co., Inc.(6)(7)(8) | 8,696 | 0 | |
$ 33,192 | |||
Wireless Telecommunication Services — 0.1% | |||
United States Cellular Corp.: | |||
5.50% | 54,000 | $ 1,212,300 | |
6.25% | 4,575 | 114,466 | |
$ 1,326,766 | |||
Total Preferred Stocks (identified cost $4,042,325) | $ 3,155,865 |
Senior Floating-Rate Loans — 0.8%(17) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Automobiles — 0.0%(16) | |||
Bombardier Recreational Products, Inc., Term Loan, 2.457%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 164 | $ 161,901 |
$ 161,901 | |||
Diversified Telecommunication Services — 0.1% | |||
CenturyLink, Inc., Term Loan, 2.707%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 831 | $ 810,353 |
Level 3 Financing, Inc., Term Loan, 2.207%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 175 | 172,419 | |
Ziggo Financing Partnership, Term Loan, 2.897%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 845 | 832,985 | |
$ 1,815,757 | |||
Entertainment — 0.1% | |||
Delta 2 (LUX) S.a.r.l., Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 2/1/24 | $ | 800 | $ 795,900 |
$ 795,900 | |||
Health Care Equipment & Supplies — 0.1% | |||
Ortho-Clinical Diagnostics S.A., Term Loan, 3.235%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | $ | 800 | $ 798,187 |
$ 798,187 | |||
Health Care Technology — 0.1% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | $ | 778 | $ 774,564 |
$ 774,564 | |||
Insurance — 0.1% | |||
USI, Inc., Term Loan, 4.006%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | $ | 823 | $ 819,142 |
$ 819,142 | |||
IT Services — 0.1% | |||
Asurion, LLC: | |||
Term Loan, 3.582%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 254 | $ 252,652 |
Term Loan, 3.707%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 148 | 145,123 | |
Informatica, LLC, Term Loan, 3.25%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 800 | 792,000 | |
$ 1,189,775 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Real Estate Management & Development — 0.0%(16) | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 3.207%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 581 | $ 573,845 |
$ 573,845 | |||
Software — 0.1% | |||
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | $ | 585 | $ 582,747 |
Seattle Spinco, Inc., Term Loan, 3.207%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 139 | 137,288 | |
SS&C European Holdings S.a.r.l., Term Loan, 2.207%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 76 | 74,949 | |
SS&C Technologies, Inc., Term Loan, 2.207%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 94 | 92,327 | |
Ultimate Software Group, Inc. (The), Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 5/4/26 | 766 | 764,616 | |
VS Buyer, LLC, Term Loan, 3.457%, (1 mo. USD LIBOR + 3.00%), 2/28/27 | 99 | 98,620 | |
$ 1,750,547 | |||
Specialty Retail — 0.1% | |||
Petsmart, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/11/28 | $ | 1,000 | $ 997,000 |
$ 997,000 | |||
Trading Companies & Distributors — 0.0%(16) | |||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 305 | $ 301,334 |
$ 301,334 | |||
Total Senior Floating-Rate Loans (identified cost $10,045,724) | $ 9,977,952 |
Sovereign Government Bonds — 0.6% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 591 | $ 516,199 |
1.00%, 10/1/26 | 4,213 | 3,948,021 | |
2.00%, 9/29/22 | 2,782 | 2,794,168 | |
Total Sovereign Government Bonds (identified cost $7,552,810) | $ 7,258,388 |
Taxable Municipal Obligations — 1.2% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.3% | |||
Los Angeles Unified School District, CA, 5.75%, 7/1/34(18) | $ | 800 | $ 948,648 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 880 | 818,646 | |
New York City, NY, 5.206%, 10/1/31(18) | 1,275 | 1,404,260 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 630 | 652,113 | |
$ 3,823,667 | |||
Special Tax Revenue — 0.4% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 935 | $ 911,494 |
2.484%, 6/1/27 | 665 | 642,184 | |
2.534%, 6/1/28 | 830 | 792,517 | |
2.584%, 6/1/29 | 455 | 430,166 | |
2.984%, 6/1/33 | 520 | 482,352 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(18) | 400 | 442,732 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(18) | 1,000 | 1,161,800 | |
$ 4,863,245 | |||
Water and Sewer — 0.5% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 270 | $ 304,050 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 430 | 394,056 | |
Green Bonds, 2.184%, 9/1/31 | 345 | 314,147 | |
Green Bonds, 2.264%, 9/1/32 | 305 | 275,564 | |
Green Bonds, 2.344%, 9/1/33 | 335 | 299,835 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 360 | 323,507 | |
Green Bonds, 1.701%, 5/1/31 | 320 | 287,187 | |
Green Bonds, 1.951%, 5/1/34 | 190 | 166,351 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 3,420 | 3,249,342 | |
$ 5,614,039 | |||
Total Taxable Municipal Obligations (identified cost $14,850,293) | $ 14,300,951 |
U.S. Government Agencies and Instrumentalities — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.547%, 8/1/22 | $ | 305 | $ 306,854 |
2.618%, 8/1/23 | 153 | 153,302 | |
2.668%, 8/1/24 | 534 | 533,780 | |
2.738%, 8/1/25 | 534 | 534,520 | |
3.435%, 8/1/34 | 530 | 555,597 | |
3.485%, 8/1/35 | 295 | 313,868 | |
3.585%, 8/1/37 | 547 | 603,047 | |
U.S. International Development Finance Corp.: | |||
3.22%, 9/15/29 | 696 | 706,184 | |
3.52%, 9/20/32 | 711 | 734,928 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $4,428,863) | $ 4,442,080 |
U.S. Government Agency Mortgage-Backed Securities — 6.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Pool #ZT0383, 3.50%, 3/1/48 | $ | 273 | $ 276,686 |
Federal National Mortgage Association: | |||
2.50%, 30-Year, TBA(19) | 17,597 | 16,726,782 | |
3.00%, 30-Year, TBA(19) | 25,459 | 24,904,087 | |
3.50%, 30-Year, TBA(19) | 8,444 | 8,428,827 | |
4.00%, 30-Year, TBA(19) | 15,609 | 15,873,629 | |
Pool #AN1879, 2.65%, 6/1/26 | 583 | 576,487 | |
Pool #AN1909, 2.68%, 7/1/26 | 642 | 636,007 | |
Pool #BM3990, 4.00%, 3/1/48 | 653 | 672,307 | |
Pool #FM1867, 3.00%, 11/1/49 | 779 | 766,545 | |
Pool #FM6803, 2.00%, 4/1/51 | 660 | 617,724 | |
Pool #FM7023, 3.00%, 7/1/49 | 1,027 | 1,011,365 | |
Pool #MA3149, 4.00%, 10/1/47 | 843 | 868,123 | |
Government National Mortgage Association II: | |||
Pool #CB2653, 2.50%, 3/20/51 | 862 | 835,155 | |
Pool #CB8629, 2.50%, 4/20/51 | 1,320 | 1,279,785 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $74,461,869) | $ 73,473,509 |
U.S. Treasury Obligations — 7.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.375%, 11/15/40 | $ | 961 | $ 786,041 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: (continued) | |||
1.375%, 8/15/50 | $ | 1,708 | $ 1,316,494 |
1.875%, 2/15/41 | 2,757 | 2,457,015 | |
1.875%, 2/15/51 | 4,340 | 3,797,670 | |
1.875%, 11/15/51 | 996 | 873,990 | |
2.00%, 2/15/50 | 1,316 | 1,187,022 | |
2.00%, 8/15/51 | 7,338 | 6,622,545 | |
2.25%, 5/15/41 | 7,836 | 7,404,268 | |
2.25%, 2/15/52 | 2,947 | 2,827,278 | |
2.375%, 5/15/51 | 4,500 | 4,415,010 | |
2.875%, 5/15/49 | 815 | 877,319 | |
3.125%, 5/15/48 | 371 | 414,593 | |
U.S. Treasury Notes: | |||
0.125%, 12/31/22 | 3,068 | 3,038,392 | |
0.125%, 12/15/23 | 275 | 265,348 | |
0.125%, 1/15/24 | 324 | 311,831 | |
0.125%, 2/15/24 | 324 | 311,198 | |
0.25%, 3/15/24 | 3,343 | 3,212,022 | |
0.25%, 6/30/25 | 185 | 171,902 | |
0.375%, 10/31/23 | 545 | 529,906 | |
0.375%, 4/15/24 | 323 | 310,320 | |
0.375%, 9/30/27 | 371 | 331,291 | |
0.591%, (3 mo. Treasury Bill Rate - 0.015%), 1/31/24(2)(20) | 2,668 | 2,671,051 | |
0.625%, 7/31/26 | 1,756 | 1,620,630 | |
0.75%, 11/15/24 | 285 | 272,448 | |
1.00%, 7/31/28 | 2,349 | 2,149,748 | |
1.125%, 1/15/25 | 839 | 807,996 | |
1.125%, 2/29/28 | 3,655 | 3,389,870 | |
1.125%, 8/31/28 | 448 | 412,843 | |
1.25%, 12/31/26 | 1,012 | 956,300 | |
1.25%, 3/31/28 | 1,609 | 1,501,115 | |
1.25%, 4/30/28 | 2,906 | 2,707,688 | |
1.25%, 6/30/28 | 344 | 320,068 | |
1.25%, 8/15/31 | 36 | 32,735 | |
1.375%, 10/31/28 | 112 | 104,724 | |
1.375%, 11/15/31 | 1,061 | 973,799 | |
1.50%, 1/31/27 | 342 | 326,877 | |
1.875%, 2/28/27(10) | 14,818 | 14,423,239 | |
1.875%, 2/15/32 | 11,324 | 10,876,348 | |
2.125%, 3/31/24 | 8,733 | 8,698,204 | |
Total U.S. Treasury Obligations (identified cost $97,723,187) | $ 93,707,138 |
Venture Capital Limited Partnership Interests — 0.0%(16) |
Security | Value | ||
First Analysis Private Equity Fund IV, L.P.(6)(7)(8) | $ 316,432 | ||
GEEMF Partners, L.P.(6)(7)(8)(14) | 7,321 | ||
Global Environment Emerging Markets Fund, L.P.(6)(7)(8) | 30,546 | ||
Solstice Capital, L.P.(6)(7)(8) | 24,263 | ||
Total Venture Capital Limited Partnership Interests (identified cost $0) | $ 378,562 |
Short-Term Investments — 2.5% | |||
Affiliated Fund — 1.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.14%(21) | 19,912,528 | $ 19,910,536 | |
Total Affiliated Fund (identified cost $19,909,136) | $ 19,910,536 | ||
Securities Lending Collateral — 0.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.29%(22) | 10,263,014 | $ 10,263,014 | |
Total Securities Lending Collateral (identified cost $10,263,014) | $ 10,263,014 | ||
Total Short-Term Investments (identified cost $30,172,150) | $ 30,173,550 | ||
Total Investments — 106.1% (identified cost $1,079,284,325) | $1,303,173,974 | ||
Other Assets, Less Liabilities — (6.1)% | $ (74,744,626) | ||
Net Assets — 100.0% | $ 1,228,429,348 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(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, 2022, the aggregate value of these securities is $168,015,360 or 13.7% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at March 31, 2022. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2022. |
(4) | Step coupon security. Interest rate represents the rate in effect at March 31, 2022. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 8). |
(6) | Non-income producing security. |
(7) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(8) | Restricted security. Total market value of restricted securities amounts to $5,030,684, which represents 0.4% of the net assets of the Fund as of March 31, 2022. |
(9) | 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, 2022, the aggregate value of these securities is $784,204 or 0.1% of the Fund's net assets. |
(10) | All or a portion of this security was on loan at March 31, 2022. The aggregate market value of securities on loan at March 31, 2022 was $11,744,399. |
(11) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | When-issued security. |
(14) | May be deemed to be an affiliated company (see Note 8). |
(15) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2022. |
(16) | Amount is less than 0.05%. |
(17) | 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 London Interbank Offered Rate ("LIBOR") or the Secured Overnight Financing Rate ("SOFR") 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. |
(18) | 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. |
(19) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(20) | 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, 2022. |
(21) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
(22) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 251 | Long | 6/30/22 | $ 53,192,391 | $ (577,294) |
U.S. 5-Year Treasury Note | 209 | Long | 6/30/22 | 23,969,688 | (576,742) |
U.S. 10-Year Treasury Note | 50 | Long | 6/21/22 | 6,143,750 | (167,279) |
U.S. Long Treasury Bond | 10 | Long | 6/21/22 | 1,500,625 | (42,362) |
U.S. 10-Year Treasury Note | (2) | Short | 6/21/22 | (245,750) | 6,653 |
U.S. Long Treasury Bond | (3) | Short | 6/21/22 | (450,188) | 12,651 |
U.S. Ultra 10-Year Treasury Note | (326) | Short | 6/21/22 | (44,162,813) | 1,304,160 |
U.S. Ultra-Long Treasury Bond | (17) | Short | 6/21/22 | (3,011,125) | 89,264 |
$ 49,051 |
Description | Acquisition Dates | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | $2,500,000 |
CFBanc Corp., Common Stock | 3/14/03 | 270,000 |
Consensus Orthopedics, Inc., Common Stock | 2/10/06 | 504,331 |
Consensus Orthopedics, Inc., Series A-1, Preferred | 8/19/05 | 4,331 |
Consensus Orthopedics, Inc., Series B, Preferred | 2/10/06 | 139,576 |
Consensus Orthopedics, Inc., Series C, Preferred | 2/10/06 | 120,342 |
First Analysis Private Equity Fund IV, L.P. | 2/25/02-7/6/11 | 0 |
GEEMF Partners, L.P. | 2/28/97 | 0 |
Global Environment Emerging Markets Fund, L.P. | 1/14/94-2/1/95 | 0 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/22 | 11/13/15 | 39,329 |
Learn Capital Venture Partners III, L.P., Common Stock | 8/30/16-12/15/21 | 1,056,322 |
Lumni, Inc., Series B, Preferred | 8/8/13 | 116,367 |
Neighborhood Bancorp, Class A, Common Stock | 6/25/97 | 100,000 |
Solstice Capital, L.P. | 6/26/01-6/17/08 | 0 |
Wind Harvest Co., Inc., Preferred | 5/16/94 | 100,000 |
Abbreviations: | |
ADR | – American Depositary Receipt |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
Asset-Backed Securities — 15.6% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 1,722 | $ 1,744,549 |
Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.88%, 8/15/25(1) | 1,905 | 1,895,203 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 7,492 | 7,460,343 | |
Cologix Canadian Issuer, L.P., Series 2022-1CAN, Class C, 7.74%, 1/25/52(1)(2) | 5,300 | 4,110,441 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 13,910 | 13,465,343 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 5,985 | 5,777,927 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class A, 1.05%, 5/15/26(1) | 8,528 | 8,494,661 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 6,935 | 6,736,757 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 4,884 | 4,604,520 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 662 | 666,977 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 5,977 | 5,420,599 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 1,193 | 1,114,943 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 13,147 | 12,179,470 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 6,871 | 6,948,834 | |
ExteNet, LLC, Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 6,921 | 6,867,272 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 8,283 | 8,174,491 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 1,186 | 1,182,623 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 3,971 | 3,647,101 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 2,098 | 2,036,813 | |
Helios Issuer, LLC, Series 2020-AA, Class A, 2.98%, 6/20/47(1) | 3,501 | 3,169,346 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 3,620 | 3,585,397 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 5,833 | 5,725,653 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 4,753 | 4,619,199 | |
Lendingpoint Asset Securitization Trust, Series 2022-A, Class A, 1.68%, 6/15/29(1) | 9,865 | 9,786,092 | |
Loanpal Solar Loan, Ltd., Series 2020-3GS, Class A, 2.47%, 12/20/47(1) | 2,261 | 2,118,003 | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 867 | 732,206 |
Security | Principal Amount (000's omitted) | Value | |
Lunar Aircraft, Ltd.: (continued) | |||
Series 2020-1A, Class C, 6.413%, 2/15/45(1) | $ | 354 | $ 274,412 |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 2,355 | 2,340,949 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 8,216 | 7,980,970 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 308 | 307,278 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 810 | 767,413 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 679 | 652,544 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 1,630 | 1,488,833 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 2,031 | 1,901,620 | |
Series 2021-1A, Class A, 1.51%, 12/20/46(1) | 3,779 | 3,471,172 | |
Mosaic Solar Loans, LLC, Series 2017-1A, Class A, 4.45%, 6/20/42(1) | 127 | 127,712 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 5,384 | 5,067,259 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 9,321 | 8,987,668 | |
Oportun Funding XIII, LLC, Series 2019-A, Class A, 3.08%, 8/8/25(1) | 6,255 | 6,270,484 | |
Oportun Funding XIV, LLC: | |||
Series 2021-A, Class B, 1.76%, 3/8/28(1) | 1,893 | 1,859,771 | |
Series 2021-A, Class C, 3.44%, 3/8/28(1) | 4,091 | 3,968,151 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 13,426 | 13,396,954 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 6,319 | 5,969,904 | |
Series 2021-B, Class B, 1.96%, 5/8/31(1) | 1,694 | 1,614,150 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 30,475 | 28,724,230 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 6,082 | 5,949,201 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 17,226 | 16,879,823 | |
Series 2021-5, Class B, 2.63%, 8/15/29(1) | 3,857 | 3,663,699 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 2,903 | 2,647,764 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 3,594 | 3,483,317 | |
Series 2022-1, Class A, 2.03%, 10/15/29(1) | 20,000 | 19,642,772 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 3,143 | 2,966,005 | |
PMT Issuer Trust, Series 2021-FTA, Class A, 3.457%, (1 mo. USD LIBOR + 3.00%), 3/25/26(1)(3) | 1,360 | 1,337,107 | |
Pnmac Gmsr Issuer Trust: | |||
Series 2018-GT1, Class A, 3.307%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(3) | 2,725 | 2,713,078 | |
Series 2018-GT2, Class A, 3.107%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(3) | 1,555 | 1,541,032 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49(1) | 3,300 | 3,329,341 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 1,997 | 1,817,672 |
Security | Principal Amount (000's omitted) | Value | |
ServiceMaster Funding, LLC: (continued) | |||
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | $ | 2,350 | $ 2,135,543 |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 10,584 | 10,660,199 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 1,491 | 1,468,711 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 4,537 | 4,447,880 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 4,893 | 4,718,860 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 26,802 | 26,944,104 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 2,140 | 2,106,052 | |
Sunnova Helios II Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 965 | 900,740 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 8,991 | 8,449,564 | |
Sunnova Sol Issuer, LLC: | |||
Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 1,391 | 1,340,571 | |
Series 2020-1A, Class B, 5.54%, 2/1/55(1) | 4,904 | 4,744,583 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 2,774 | 2,726,053 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 4,199 | 3,834,118 | |
Sunrun Vulcan Issuer, LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(1) | 3,343 | 3,181,490 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 1,392 | 1,373,320 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 3,812 | 3,767,569 | |
Theorem Funding Trust, Series 2021-1A, Class A, 1.21%, 12/15/27(1) | 7,512 | 7,405,795 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 3,728 | 3,716,767 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 2,127 | 2,130,381 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 2,772 | 2,749,790 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 7,960 | 7,295,507 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 3,726 | 3,482,218 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 6,024 | 5,449,176 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 2,131 | 1,840,727 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 837 | 582,426 | |
Total Asset-Backed Securities (identified cost $426,216,271) | $ 410,859,192 |
Collateralized Mortgage Obligations — 6.5% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 1.849%, (30-day average SOFR + 1.75%), 3/25/31(1)(3) | $ | 1,919 | $ 1,922,793 |
Series 2021-1A, Class M1B, 2.299%, (30-day average SOFR + 2.20%), 3/25/31(1)(3) | 1,550 | 1,543,627 | |
Series 2021-2A, Class M1A, 1.299%, (30-day average SOFR + 1.20%), 6/25/31(1)(3) | 13,558 | 13,520,387 | |
Series 2021-3A, Class A2, 1.099%, (30-day average SOFR + 1.00%), 9/25/31(1)(3) | 3,470 | 3,440,777 | |
Eagle Re, Ltd., Series 2021-1, Class M1A, 1.799%, (30-day average SOFR + 1.70%), 10/25/33(1)(3) | 3,842 | 3,847,294 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2018-DNA1, Class M2AT, 1.507%, (1 mo. USD LIBOR + 1.05%), 7/25/30(3) | 1,972 | 1,972,091 | |
Series 2019-DNA3, Class B2, 8.607%, (1 mo. USD LIBOR + 8.15%), 7/25/49(1)(3) | 2,905 | 3,008,962 | |
Series 2019-DNA3, Class M2, 2.507%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(3) | 6,582 | 6,603,948 | |
Series 2019-DNA4, Class M2, 2.407%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(3) | 694 | 695,988 | |
Series 2019-HQA2, Class B1, 4.557%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(3) | 4,852 | 4,841,450 | |
Series 2019-HQA3, Class B1, 3.457%, (1 mo. USD LIBOR + 3.00%), 9/25/49(1)(3) | 3,974 | 3,884,548 | |
Series 2019-HQA4, Class B1, 3.407%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(3) | 2,768 | 2,726,748 | |
Series 2020-HQA2, Class B1, 4.557%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(3) | 5,321 | 5,235,250 | |
Series 2021-DNA3, Class M1, 0.849%, (30-day average SOFR + 0.75%), 10/25/33(1)(3) | 3,105 | 3,083,810 | |
Series 2022-DNA2, Class M1A, 1.399%, (30-day average SOFR + 1.30%), 2/25/42(1)(3) | 7,192 | 7,167,392 | |
Series 2022-HQA1, Class M1A, 2.199%, (30-day average SOFR + 2.10%), 3/25/42(1)(3) | 1,800 | 1,807,934 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 5.707%, (1 mo. USD LIBOR + 5.25%), 10/25/23(3) | 966 | 999,100 | |
Series 2014-C02, Class 2M2, 3.057%, (1 mo. USD LIBOR + 2.60%), 5/25/24(3) | 519 | 524,916 | |
Series 2014-C03, Class 2M2, 3.357%, (1 mo. USD LIBOR + 2.90%), 7/25/24(3) | 679 | 681,869 | |
Series 2014-C04, Class 1M2, 5.357%, (1 mo. USD LIBOR + 4.90%), 11/25/24(3) | 7,113 | 7,330,525 | |
Series 2018-R07, Class 1M2, 2.857%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(3) | 717 | 718,516 | |
Series 2019-R01, Class 2B1, 4.807%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(3) | 5,565 | 5,606,281 | |
Series 2019-R02, Class 1B1, 4.607%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(3) | 4,805 | 4,841,408 | |
Series 2019-R03, Class 1B1, 4.557%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(3) | 4,825 | 4,878,595 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2019-R04, Class 2B1, 5.707%, (1 mo. USD LIBOR + 5.25%), 6/25/39(1)(3) | $ | 3,670 | $ 3,719,766 |
Series 2019-R05, Class 1M2, 2.457%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(3) | 12 | 11,857 | |
Series 2019-R06, Class 2B1, 4.207%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(3) | 22,273 | 21,786,824 | |
Series 2019-R07, Class 1B1, 3.857%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(3) | 9,454 | 9,157,822 | |
Series 2020-R01, Class 2B1, 3.707%, (1 mo. USD LIBOR + 3.25%), 1/25/40(1)(3) | 3,000 | 2,798,229 | |
Series 2020-R02, Class 2B1, 3.457%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(3) | 4,570 | 4,210,337 | |
Series 2021-R01, Class 1B2, 6.099%, (30-day average SOFR + 6.00%), 10/25/41(1)(3) | 7,992 | 7,460,016 | |
Series 2021-R02, Class 2B1, 3.399%, (30-day average SOFR + 3.30%), 11/25/41(1)(3) | 1,647 | 1,528,453 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 1,950 | 1,957,327 | |
FMC GMSR Issuer Trust, Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(4) | 5,210 | 4,831,926 | |
Home Re, Ltd.: | |||
Series 2021-1, Class M1B, 2.007%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(3) | 4,255 | 4,229,261 | |
Series 2021-1, Class M2, 3.307%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(3) | 2,500 | 2,330,000 | |
Oaktown Re VI, Ltd., Series 2021-1A, Class M1A, 1.749%, (30-day average SOFR + 1.65%), 10/25/33(1)(3) | 4,000 | 4,001,661 | |
Radnor Re, Ltd., Series 2021-2, Class M1A, 1.949%, (30-day average SOFR + 1.85%), 11/25/31(1)(3) | 4,545 | 4,556,133 | |
Toorak Mortgage Corp., Ltd., Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(5) | 2,142 | 2,126,911 | |
ZH Trust, Series 2021-1, Class A, 2.253%, 2/18/27(1) | 6,000 | 5,929,202 | |
Total Collateralized Mortgage Obligations (identified cost $175,301,569) | $ 171,519,934 |
Commercial Mortgage-Backed Securities — 9.6% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(4) | $ | 9,685 | $ 8,878,766 |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(4) | 4,805 | 3,566,813 | |
BBCMS Mortgage Trust, Series 2017-DELC, Class F, 3.897%, (1 mo. USD LIBOR + 3.50%), 8/15/36(1)(3) | 3,637 | 3,548,581 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 1.317%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(3) | 12,227 | 12,181,903 | |
Series 2019-XL, Class B, 1.477%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(3) | 2,690 | 2,668,898 |
Security | Principal Amount (000's omitted) | Value | |
BX Commercial Mortgage Trust: (continued) | |||
Series 2021-VOLT, Class B, 1.347%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(3) | $ | 10,584 | $ 10,254,983 |
Series 2021-VOLT, Class C, 1.497%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(3) | 3,226 | 3,105,310 | |
Series 2021-VOLT, Class D, 2.047%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(3) | 7,717 | 7,464,569 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 1.477%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(3) | 3,909 | 3,867,476 | |
Series 2021-ESH, Class C, 2.097%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(3) | 7,005 | 6,917,662 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 19,890 | 19,188,551 | |
Series KG03, Class A2, 1.297%, 6/25/30(4) | 4,615 | 4,087,796 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 4,386 | 3,943,273 | |
Series KW06, Class A2, 3.80%, 6/25/28(4) | 5,335 | 5,616,361 | |
Series W5FX, Class AFX, 2.969%, 4/25/28(4) | 1,896 | 1,933,799 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.024%, 9/25/27(4) | 5,666 | 5,740,059 | |
Series 2018-M4, Class A2, 3.161%, 3/25/28(4) | 3,925 | 4,027,628 | |
Series 2018-M13, Class A2, 3.713%, 9/25/30(4) | 15,545 | 16,668,800 | |
Series 2019-M1, Class A2, 3.671%, 9/25/28(4) | 8,812 | 9,238,279 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 11,000 | 10,837,259 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 13,443 | 13,125,429 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 5,500 | 5,051,110 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 3.707%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(3) | 6,363 | 6,040,293 | |
Series 2020-01, Class M10, 4.207%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(3) | 6,098 | 5,889,497 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 1.547%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(3) | 10,145 | 10,073,371 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 2,335 | 689,813 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(4) | 385 | 68,722 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 1.097%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(3)(6) | 22,473 | 22,375,290 | |
Series 2017-CLS, Class B, 1.247%, (1 mo. USD LIBOR + 0.85%), 11/15/34(1)(3)(6) | 4,000 | 3,979,301 | |
Series 2019-BPR, Class A, 1.797%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(3)(6) | 8,203 | 8,103,280 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 10,195 | 9,499,583 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 2.118%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(3) | 8,312 | 8,165,142 |
Security | Principal Amount (000's omitted) | Value | |
VMC Finance, LLC: (continued) | |||
Series 2021-HT1, Class B, 4.968%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(3) | $ | 13,365 | $ 12,997,465 |
WFLD Mortgage Trust: | |||
Series 2014-MONT, Class B, 3.88%, 8/10/31(1)(4) | 1,330 | 1,234,018 | |
Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(4) | 2,700 | 2,357,526 | |
Total Commercial Mortgage-Backed Securities (identified cost $261,822,644) | $ 253,386,606 |
Corporate Bonds — 42.5% |
Security | Principal Amount (000's omitted) | Value | |
Communications — 3.7% | |||
AT&T, Inc.: | |||
3.10%, 2/1/43 | $ | 4,414 | $ 3,821,905 |
3.55%, 9/15/55 | 10,792 | 9,555,112 | |
3.65%, 6/1/51 | 12,756 | 11,647,664 | |
3.65%, 9/15/59 | 822 | 723,695 | |
3.80%, 12/1/57 | 4,973 | 4,556,853 | |
4.90%, 6/15/42 | 4,700 | 5,094,063 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 16,467 | 15,691,609 | |
Comcast Corp.: | |||
2.887%, 11/1/51(1) | 6,939 | 5,878,911 | |
2.937%, 11/1/56(1) | 7,567 | 6,281,060 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 916 | 988,554 | |
Nokia Oyj: | |||
4.375%, 6/12/27 | 5,025 | 5,107,511 | |
6.625%, 5/15/39 | 5,100 | 6,086,315 | |
Rogers Communications, Inc., 3.80%, 3/15/32(1) | 3,976 | 3,950,187 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 2,440 | 2,373,841 | |
SES S.A., 5.30%, 4/4/43(1) | 1,457 | 1,421,008 | |
T-Mobile USA, Inc.: | |||
2.25%, 11/15/31 | 4,403 | 3,858,639 | |
2.55%, 2/15/31 | 2,306 | 2,094,727 | |
2.625%, 4/15/26 | 3,162 | 3,024,200 | |
4.50%, 4/15/50 | 6,162 | 6,255,898 | |
$ 98,411,752 | |||
Consumer, Cyclical — 2.9% | |||
American Airlines Pass-Through Trust, 4.40%, 9/22/23 | $ | 1,409 | $ 1,373,657 |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 12,493 | 12,604,250 | |
Aptiv PLC/Aptiv Corp.: | |||
2.396%, 2/18/25 | 3,000 | 2,925,438 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
Aptiv PLC/Aptiv Corp.: (continued) | |||
3.25%, 3/1/32(7) | $ | 2,704 | $ 2,566,249 |
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | 5,755 | 6,049,512 | |
7.60%, 7/15/37 | 2,744 | 2,852,704 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 2,670 | 2,812,752 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 4,954 | 5,000,586 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 12,536 | 10,730,447 | |
Ford Motor Credit Co., LLC, 4.14%, 2/15/23 | 1,770 | 1,784,390 | |
Hyatt Hotels Corp.: | |||
1.30%, 10/1/23 | 2,600 | 2,535,042 | |
1.80%, 10/1/24 | 984 | 947,640 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 4,400 | 4,165,612 | |
4.375%, 1/15/31(1) | 7,749 | 7,503,047 | |
Nordstrom, Inc.: | |||
4.25%, 8/1/31(7) | 2,782 | 2,540,536 | |
4.375%, 4/1/30(7) | 4,561 | 4,268,868 | |
5.00%, 1/15/44(7) | 4,675 | 4,195,812 | |
Powdr Corp., 6.00%, 8/1/25(1) | 2,000 | 2,053,310 | |
$ 76,909,852 | |||
Consumer, Non-cyclical — 3.1% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 1,014 | $ 1,001,262 |
4.25%, 11/1/29(1) | 5,174 | 5,155,553 | |
Avantor Funding, Inc., 4.625%, 7/15/28(1) | 6,881 | 6,814,151 | |
Block Financial, LLC, 3.875%, 8/15/30 | 7,027 | 6,913,205 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 6,111 | 5,403,163 | |
3.375%, 2/15/30 | 2,435 | 2,295,474 | |
4.25%, 12/15/27 | 2,693 | 2,705,872 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 2,149 | 1,964,063 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 3,930 | 3,417,646 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 3,965 | 3,965,591 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 1,349 | 1,444,627 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 10,210 | 8,112,449 | |
Ford Foundation (The), 2.415%, 6/1/50 | 6,560 | 5,429,609 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 4,091 | 4,086,816 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 8,338 | 8,044,294 | |
Perrigo Finance Unlimited Co., 3.90%, 6/15/30 | 2,787 | 2,623,782 | |
President and Fellows of Harvard College, 3.619%, 10/1/37 | 1,000 | 1,054,126 | |
Royalty Pharma PLC, 3.35%, 9/2/51(7) | 6,486 | 5,218,509 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | $ | 4,632 | $ 4,075,419 |
3.00%, 10/15/30(1) | 1,114 | 1,012,624 | |
$ 80,738,235 | |||
Energy — 0.8% | |||
NuStar Logistics, L.P.: | |||
6.00%, 6/1/26 | $ | 4,139 | $ 4,190,779 |
6.375%, 10/1/30 | 1,616 | 1,639,593 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 5,365 | 5,243,751 | |
5.00%, 1/31/28(1) | 10,987 | 10,963,653 | |
$ 22,037,776 | |||
Financial — 20.0% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
4.50%, 9/15/23 | $ | 4,780 | $ 4,818,473 |
6.50%, 7/15/25 | 2,742 | 2,905,979 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 6,123 | 5,977,518 | |
Agree, L.P., 2.00%, 6/15/28 | 2,150 | 1,951,917 | |
Air Lease Corp., 2.875%, 1/15/26 | 2,543 | 2,457,717 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 6,199 | 6,103,039 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 2,454 | 2,312,170 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 5,050 | 4,580,471 | |
Aon Corp./Aon Global Holdings PLC, 2.85%, 5/28/27 | 3,903 | 3,825,009 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(8) | 6,352 | 6,119,823 | |
Banco BTG Pactual S.A./Cayman Islands, 4.50%, 1/10/25(1) | 4,710 | 4,681,057 | |
Banco de Chile, 2.99%, 12/9/31(1) | 4,947 | 4,572,289 | |
Banco Santander S.A.: | |||
1.722% to 9/14/26, 9/14/27(8) | 7,000 | 6,332,756 | |
4.175% to 3/24/27, 3/24/28(8) | 2,600 | 2,614,933 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(8) | 11,928 | 11,088,128 | |
1.898% to 7/23/30, 7/23/31(8) | 3,540 | 3,097,369 | |
1.922% to 10/24/30, 10/24/31(8) | 1,865 | 1,622,170 | |
2.087% to 6/14/28, 6/14/29(8) | 4,867 | 4,450,690 | |
2.299% to 7/21/31, 7/21/32(8) | 5,365 | 4,782,206 | |
2.456% to 10/22/24, 10/22/25(8) | 16,534 | 16,256,045 | |
2.551% to 2/4/27, 2/4/28(8) | 9,133 | 8,735,425 | |
3.824% to 1/20/27, 1/20/28(8) | 7,533 | 7,628,594 | |
3.846% to 3/8/32, 3/8/37(8) | 18,871 | 18,097,584 | |
BankUnited, Inc., 5.125%, 6/11/30 | 1,732 | 1,787,689 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 5,136 | 4,899,975 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
BBVA Bancomer S.A./Texas: (continued) | |||
5.125% to 1/18/28, 1/18/33(1)(8) | $ | 1,686 | $ 1,594,341 |
Boston Properties, L.P., 2.45%, 10/1/33 | 12,059 | 10,477,768 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(8) | 6,559 | 6,141,245 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 3,193 | 2,848,694 | |
Brown & Brown, Inc.: | |||
2.375%, 3/15/31 | 1,369 | 1,204,712 | |
4.20%, 3/17/32 | 2,490 | 2,533,773 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(8) | 7,435 | 7,186,692 | |
3.30%, 10/30/24 | 4,779 | 4,808,936 | |
4.20%, 10/29/25 | 2,950 | 3,020,849 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 5,188 | 4,735,549 | |
4.10%, 6/15/51 | 2,805 | 2,483,446 | |
Citigroup, Inc.: | |||
1.281% to 11/3/24, 11/3/25(8) | 1,931 | 1,839,317 | |
1.57%, (SOFR + 1.28%), 2/24/28(3) | 10,108 | 10,146,937 | |
3.106% to 4/8/25, 4/8/26(8) | 4,706 | 4,669,352 | |
3.785% to 3/17/32, 3/17/33(8) | 8,060 | 7,999,241 | |
3.887% to 1/10/27, 1/10/28(8) | 5,045 | 5,107,823 | |
4.00% to 12/10/25(8)(9) | 3,895 | 3,748,937 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 4,246 | 3,753,838 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(8) | 6,490 | 6,584,453 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 5,470 | 5,652,288 | |
EPR Properties: | |||
3.75%, 8/15/29 | 6,930 | 6,495,152 | |
4.50%, 6/1/27 | 6,725 | 6,642,062 | |
Extra Space Storage, L.P., 2.55%, 6/1/31 | 4,159 | 3,759,425 | |
GA Global Funding Trust: | |||
2.25%, 1/6/27(1) | 11,309 | 10,574,278 | |
2.90%, 1/6/32(1) | 10,150 | 9,241,959 | |
Goldman Sachs Group, Inc. (The): | |||
1.948% to 10/21/26, 10/21/27(8) | 11,226 | 10,448,561 | |
2.64% to 2/24/27, 2/24/28(8) | 3,000 | 2,871,605 | |
2.65% to 10/21/31, 10/21/32(8) | 6,165 | 5,587,075 | |
3.615% to 3/15/27, 3/15/28(8) | 6,101 | 6,100,058 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 13,833 | 13,160,509 | |
3.75%, 9/15/30(1) | 3,000 | 2,705,790 | |
6.00%, 4/15/25(1) | 6,528 | 6,699,491 | |
HSBC Holdings PLC, 2.251% to 11/22/26, 11/22/27(8) | 9,071 | 8,462,156 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 9,770 | 9,035,296 | |
5.00%, 7/15/28(1) | 1,050 | 1,025,519 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
JPMorgan Chase & Co.: | |||
0.87%, (SOFR + 0.58%), 3/16/24(3) | $ | 1,722 | $ 1,717,179 |
1.47% to 9/22/26, 9/22/27(8) | 8,125 | 7,496,899 | |
1.47%, (SOFR + 1.18%), 2/24/28(3) | 4,496 | 4,496,977 | |
1.578% to 4/22/26, 4/22/27(8) | 8,750 | 8,158,327 | |
2.739% to 10/15/29, 10/15/30(8) | 4,603 | 4,354,788 | |
2.956% to 5/13/30, 5/13/31(8) | 4,288 | 4,019,707 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 4,662 | 4,184,375 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 2,785 | 2,327,016 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(8) | 5,399 | 5,101,596 | |
Life Storage, L.P., 2.40%, 10/15/31 | 6,172 | 5,449,715 | |
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(7)(8) | 5,017 | 4,842,596 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(8) | 5,408 | 4,770,402 | |
3.624%, 6/3/30(1) | 3,355 | 3,166,956 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 2,650 | 2,693,869 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(8) | 4,701 | 4,525,614 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 3,000 | 3,141,900 | |
OneMain Finance Corp., 3.50%, 1/15/27 | 10,150 | 9,402,148 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 12,003 | 11,871,452 | |
Primerica, Inc., 2.80%, 11/19/31 | 3,621 | 3,344,866 | |
Radian Group, Inc., 4.875%, 3/15/27 | 6,418 | 6,458,273 | |
Sabra Health Care, L.P., 3.20%, 12/1/31(7) | 9,535 | 8,525,099 | |
SITE Centers Corp., 3.625%, 2/1/25 | 4,767 | 4,774,357 | |
Societe Generale S.A., 4.75% to 5/26/26(1)(8)(9) | 3,046 | 2,848,010 | |
Standard Chartered PLC: | |||
1.214% to 3/23/24, 3/23/25(1)(8) | 2,554 | 2,439,517 | |
1.319% to 10/14/22, 10/14/23(1)(7)(8) | 2,857 | 2,830,870 | |
1.456% to 1/14/26, 1/14/27(1)(7)(8) | 4,010 | 3,651,414 | |
1.822% to 11/23/24, 11/23/25(1)(8) | 3,977 | 3,781,991 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 4,782 | 4,841,953 | |
Sun Communities Operating, L.P.: | |||
2.30%, 11/1/28 | 2,273 | 2,064,212 | |
2.70%, 7/15/31 | 3,395 | 3,068,412 | |
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(8) | 6,445 | 6,393,866 | |
Synovus Financial Corp., 3.125%, 11/1/22 | 1,267 | 1,272,685 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(8) | 3,024 | 2,953,797 | |
Truist Financial Corp., 5.10% to 3/1/30(8)(9) | 4,856 | 4,948,264 | |
UBS AG, 1.25%, 6/1/26(1) | 6,476 | 5,962,878 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(8) | 6,300 | 5,520,264 | |
4.375% to 2/10/31(1)(8)(9) | 2,686 | 2,430,830 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(7)(8) | 2,617 | 2,505,538 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(8)(10) | $ | 7,768 | $ 7,768,000 |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(8) | 3,746 | 3,334,687 | |
$ 524,487,452 | |||
Government - Multinational — 4.7% | |||
Asian Development Bank, 3.125%, 9/26/28 | $ | 5,500 | $ 5,712,473 |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 7,640 | 7,409,930 | |
European Investment Bank: | |||
1.625%, 5/13/31(7) | 14,990 | 14,075,250 | |
2.375%, 5/24/27 | 17,185 | 17,083,094 | |
2.875%, 6/13/25(1) | 42,948 | 43,382,819 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 6,067 | 5,772,866 | |
International Bank for Reconstruction & Development: | |||
0.42%, (SOFR + 0.13%), 1/13/23(3) | 10,100 | 10,101,609 | |
0.875%, 7/15/26(7) | 5,000 | 4,682,431 | |
3.125%, 11/20/25 | 12,050 | 12,259,369 | |
International Finance Corp., 0.38%, (SOFR + 0.09%), 4/3/24(3) | 4,067 | 4,061,506 | |
$ 124,541,347 | |||
Government - Regional — 0.5% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 12,390 | $ 11,837,113 |
$ 11,837,113 | |||
Industrial — 1.9% | |||
FedEx Corp., 4.55%, 4/1/46 | $ | 6,660 | $ 6,993,489 |
Imola Merger Corp., 4.75%, 5/15/29(1) | 7,840 | 7,560,112 | |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 10,766 | 9,878,015 | |
3.60%, 1/15/30 | 6,161 | 5,979,190 | |
Owens Corning, 3.95%, 8/15/29 | 10,289 | 10,485,360 | |
SMBC Aviation Capital Finance DAC, 3.55%, 4/15/24(1) | 3,200 | 3,187,066 | |
Valmont Industries, Inc., 5.25%, 10/1/54 | 5,546 | 6,048,632 | |
$ 50,131,864 | |||
Other Revenue — 0.4% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 9,400 | $ 9,261,681 |
$ 9,261,681 | |||
Technology — 1.6% | |||
Apple, Inc., 3.00%, 6/20/27 | $ | 5,686 | $ 5,758,306 |
DXC Technology Co., 2.375%, 9/15/28 | 2,648 | 2,397,540 | |
HP, Inc., 4.00%, 4/15/29 | 4,525 | 4,512,221 |
Security | Principal Amount (000's omitted) | Value | |
Technology (continued) | |||
Kyndryl Holdings, Inc., 2.05%, 10/15/26(1) | $ | 7,102 | $ 6,350,960 |
Microsoft Corp., 2.525%, 6/1/50 | 3,800 | 3,292,201 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31 | 7,315 | 6,518,908 | |
4.091%, 6/1/29 | 3,087 | 3,000,981 | |
5.75%, 12/1/34(7) | 6,242 | 6,395,023 | |
Western Digital Corp., 4.75%, 2/15/26 | 4,772 | 4,851,645 | |
$ 43,077,785 | |||
Utilities — 2.9% | |||
AES Corp. (The), 2.45%, 1/15/31 | $ | 8,500 | $ 7,615,071 |
American Water Capital Corp.: | |||
2.30%, 6/1/31 | 3,675 | 3,357,078 | |
2.95%, 9/1/27 | 3,590 | 3,559,683 | |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 4,119 | 4,115,072 | |
3.80%, 6/1/29 | 7,100 | 7,213,204 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 2,429 | 2,239,416 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 2,571 | 2,565,780 | |
Enel Finance International NV: | |||
1.375%, 7/12/26(1) | 3,552 | 3,265,512 | |
2.65%, 9/10/24(1) | 7,485 | 7,378,923 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 3,240 | 2,989,773 | |
4.25%, 7/15/49 | 4,815 | 5,276,724 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 4,989 | 4,606,813 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 7/15/24(1) | 2,719 | 2,755,761 | |
4.25%, 9/15/24(1) | 324 | 327,577 | |
4.50%, 9/15/27(1) | 4,500 | 4,487,940 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 3,518 | 3,130,684 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 9,921 | 9,771,788 | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | 2,581 | 2,637,298 | |
$ 77,294,097 | |||
Total Corporate Bonds (identified cost $1,180,191,610) | $1,118,728,954 |
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(11)(12) | $ | 5,000 | $ 4,759,650 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/22(12)(13) | 49 | 46,932 | |
Total High Social Impact Investments (identified cost $5,049,037) | $ 4,806,582 |
Preferred Stocks — 0.6% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(8) | 76,679 | $ 1,626,361 | |
$ 1,626,361 | |||
Real Estate Management & Development — 0.2% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 100,000 | $ 2,108,000 | |
Series A2, 6.375% | 211,400 | 4,346,384 | |
$ 6,454,384 | |||
Wireless Telecommunication Services — 0.3% | |||
United States Cellular Corp.: | |||
5.50% | 306,800 | $ 6,887,660 | |
6.25% | 40,000 | 1,000,800 | |
$ 7,888,460 | |||
Total Preferred Stocks (identified cost $18,345,553) | $ 15,969,205 |
Senior Floating-Rate Loans — 4.3%(14) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Airlines — 0.2% | |||
SkyMiles IP, Ltd., Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/20/27 | $ | 5,750 | $ 5,953,044 |
$ 5,953,044 | |||
Auto Components — 0.2% | |||
Clarios Global, L.P., Term Loan, 3.707%, (1 mo. USD LIBOR + 3.25%), 4/30/26 | $ | 5,156 | $ 5,101,489 |
$ 5,101,489 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Automobiles — 0.0%(15) | |||
Bombardier Recreational Products, Inc., Term Loan, 2.457%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 782 | $ 769,980 |
$ 769,980 | |||
Construction & Engineering — 0.1% | |||
APi Group DE, Inc., Term Loan, 3.207%, (1 mo. USD LIBOR + 2.75%), 1/3/29 | $ | 2,515 | $ 2,496,302 |
$ 2,496,302 | |||
Diversified Telecommunication Services — 0.9% | |||
CenturyLink, Inc., Term Loan, 2.707%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 5,128 | $ 5,000,237 |
Level 3 Financing, Inc., Term Loan, 2.207%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 811 | 797,020 | |
UPC Financing Partnership, Term Loan, 3.397%, (1 mo. USD LIBOR + 3.00%), 1/31/29 | 5,925 | 5,876,119 | |
Virgin Media Bristol, LLC, Term Loan, 3.647%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 5,600 | 5,564,126 | |
Ziggo Financing Partnership, Term Loan, 2.897%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 5,185 | 5,111,275 | |
$ 22,348,777 | |||
Entertainment — 0.2% | |||
Delta 2 (LUX) S.a.r.l., Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 2/1/24 | $ | 6,000 | $ 5,969,250 |
$ 5,969,250 | |||
Health Care Equipment & Supplies — 0.2% | |||
Ortho-Clinical Diagnostics S.A., Term Loan, 3.235%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | $ | 6,000 | $ 5,986,404 |
$ 5,986,404 | |||
Health Care Providers & Services — 0.1% | |||
Select Medical Corporation, Term Loan, 2.71%, (1 mo. USD LIBOR + 2.25%), 3/6/25 | $ | 2,250 | $ 2,228,906 |
$ 2,228,906 | |||
Health Care Technology — 0.2% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | $ | 4,781 | $ 4,761,258 |
$ 4,761,258 | |||
Insurance — 0.2% | |||
USI, Inc., Term Loan, 4.006%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | $ | 5,071 | $ 5,047,130 |
$ 5,047,130 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
IT Services — 0.4% | |||
Asurion, LLC: | |||
Term Loan, 3.582%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 2,257 | $ 2,246,992 |
Term Loan, 3.707%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 1,304 | 1,277,081 | |
Informatica, LLC, Term Loan, 3.25%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 5,975 | 5,915,250 | |
$ 9,439,323 | |||
Life Sciences Tools & Services — 0.2% | |||
ICON Luxembourg S.a.r.l.: | |||
Term Loan, 3.313%, (3 mo. USD LIBOR + 2.25%), 7/3/28 | $ | 4,917 | $ 4,895,650 |
Term Loan, 3.313%, (3 mo. USD LIBOR + 2.25%), 7/3/28 | 1,225 | 1,219,754 | |
$ 6,115,404 | |||
Media — 0.1% | |||
CSC Holdings, LLC, Term Loan, 2.647%, (1 mo. USD LIBOR + 2.25%), 7/17/25 | $ | 2,227 | $ 2,196,007 |
$ 2,196,007 | |||
Real Estate Management & Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 3.207%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 2,565 | $ 2,534,484 |
$ 2,534,484 | |||
Software — 0.9% | |||
Banff Merger Sub, Inc., Term Loan, 4.207%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | $ | 5,733 | $ 5,706,078 |
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | 5,234 | 5,215,581 | |
Seattle Spinco, Inc., Term Loan, 3.207%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 613 | 606,354 | |
SS&C European Holdings S.a.r.l., Term Loan, 2.207%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 459 | 453,182 | |
SS&C Technologies, Inc., Term Loan, 2.207%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 566 | 558,258 | |
Ultimate Software Group, Inc. (The), Term Loan, 4.756%, (3 mo. USD LIBOR + 3.75%), 5/4/26 | 5,074 | 5,063,370 | |
VS Buyer, LLC, Term Loan, 3.457%, (1 mo. USD LIBOR + 3.00%), 2/28/27 | 5,884 | 5,846,790 | |
$ 23,449,613 | |||
Specialty Retail — 0.3% | |||
Petsmart, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/11/28 | $ | 6,800 | $ 6,779,600 |
$ 6,779,600 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Trading Companies & Distributors — 0.0%(15) | |||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 1,329 | $ 1,312,708 |
$ 1,312,708 | |||
Total Senior Floating-Rate Loans (identified cost $113,304,447) | $ 112,489,679 |
Sovereign Government Bonds — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 3,653 | $ 3,190,651 |
1.00%, 10/1/26 | 25,266 | 23,676,881 | |
1.75%, 9/14/29 | 14,365 | 13,671,574 | |
2.00%, 9/29/22 | 8,660 | 8,697,876 | |
Total Sovereign Government Bonds (identified cost $51,772,723) | $ 49,236,982 |
Taxable Municipal Obligations — 2.9% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.6% | |||
Commonwealth of Massachusetts, 5.456%, 12/1/39(16) | $ | 750 | $ 931,688 |
Los Angeles Unified School District, CA, 5.75%, 7/1/34(16) | 3,750 | 4,446,787 | |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 4,770 | 4,437,436 | |
New York City, NY, 5.206%, 10/1/31(16) | 1,030 | 1,134,421 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 3,085 | 3,193,283 | |
$ 14,143,615 | |||
Special Tax Revenue — 1.1% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 5,565 | $ 5,425,096 |
2.484%, 6/1/27 | 3,980 | 3,843,446 | |
2.534%, 6/1/28 | 4,980 | 4,755,103 | |
2.584%, 6/1/29 | 2,715 | 2,566,816 | |
2.984%, 6/1/33 | 3,060 | 2,838,456 | |
3.034%, 6/1/34 | 2,195 | 2,023,680 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(16) | 3,800 | 4,205,954 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(16) | 3,540 | 4,112,772 | |
$ 29,771,323 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer — 1.2% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 1,170 | $ 1,317,549 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 2,495 | 2,286,443 | |
Green Bonds, 2.184%, 9/1/31 | 1,985 | 1,807,481 | |
Green Bonds, 2.264%, 9/1/32 | 1,780 | 1,608,212 | |
Green Bonds, 2.344%, 9/1/33 | 1,945 | 1,740,833 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 2,130 | 1,914,082 | |
Green Bonds, 1.701%, 5/1/31 | 1,925 | 1,727,611 | |
Green Bonds, 1.951%, 5/1/34 | 1,120 | 980,594 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 19,705 | 18,721,720 | |
$ 32,104,525 | |||
Total Taxable Municipal Obligations (identified cost $79,204,749) | $ 76,019,463 |
U.S. Government Agencies and Instrumentalities — 1.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.547%, 8/1/22 | $ | 1,558 | $ 1,567,473 |
2.618%, 8/1/23 | 778 | 779,535 | |
2.668%, 8/1/24 | 2,726 | 2,724,878 | |
2.738%, 8/1/25 | 2,726 | 2,728,655 | |
3.435%, 8/1/34 | 3,105 | 3,254,958 | |
3.485%, 8/1/35 | 1,745 | 1,856,610 | |
3.535%, 8/1/36 | 929 | 981,119 | |
3.585%, 8/1/37 | 3,215 | 3,544,419 | |
3.635%, 8/1/38 | 657 | 710,268 | |
U.S. International Development Finance Corp.: | |||
1.79%, 10/15/29 | 1,761 | 1,693,549 | |
2.36%, 10/15/29 | 1,457 | 1,432,401 | |
3.22%, 9/15/29 | 2,203 | 2,236,248 | |
3.52%, 9/20/32 | 4,884 | 5,048,362 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $28,633,213) | $ 28,558,475 |
U.S. Government Agency Mortgage-Backed Securities — 8.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Pool #ZT0383, 3.50%, 3/1/48 | $ | 1,685 | $ 1,706,793 |
Federal National Mortgage Association: | |||
2.50%, 30-Year, TBA(17) | 36,464 | 34,660,759 | |
3.50%, 30-Year, TBA(17) | 55,344 | 55,244,555 | |
4.00%, 30-Year, TBA(17) | 72,167 | 73,390,494 | |
Pool #AN1879, 2.65%, 6/1/26 | 2,690 | 2,660,712 | |
Pool #AN1909, 2.68%, 7/1/26 | 2,964 | 2,935,417 | |
Pool #BM3990, 4.00%, 3/1/48 | 3,754 | 3,863,793 | |
Pool #FM1867, 3.00%, 11/1/49 | 4,961 | 4,883,280 | |
Pool #FM6803, 2.00%, 4/1/51 | 4,241 | 3,970,178 | |
Pool #FM7023, 3.00%, 7/1/49 | 4,090 | 4,029,974 | |
Pool #MA3149, 4.00%, 10/1/47 | 4,875 | 5,020,404 | |
Government National Mortgage Association II: | |||
Pool #CB2653, 2.50%, 3/20/51 | 5,572 | 5,400,490 | |
Pool #CB8627, 2.50%, 4/20/51 | 2,524 | 2,447,635 | |
Pool #CB8628, 2.50%, 4/20/51 | 2,398 | 2,325,359 | |
Pool #CB8629, 2.50%, 4/20/51 | 8,585 | 8,320,436 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $213,960,665) | $ 210,860,279 |
U.S. Treasury Obligations — 8.7% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 970 | $ 761,185 |
1.375%, 11/15/40 | 8,915 | 7,294,977 | |
1.625%, 11/15/50 | 7,891 | 6,476,168 | |
1.75%, 8/15/41 | 14,381 | 12,473,270 | |
1.875%, 2/15/41 | 14,844 | 13,228,845 | |
1.875%, 2/15/51 | 15,198 | 13,298,844 | |
1.875%, 11/15/51 | 5,566 | 4,884,165 | |
2.00%, 11/15/41 | 3,700 | 3,349,078 | |
2.00%, 8/15/51 | 18,800 | 16,967,000 | |
2.25%, 5/15/41 | 13,545 | 12,797,909 | |
2.25%, 8/15/49 | 17,265 | 16,438,168 | |
2.375%, 5/15/51 | 13,524 | 13,268,870 | |
2.875%, 5/15/49 | 4,593 | 4,943,772 | |
U.S. Treasury Notes: | |||
0.125%, 12/31/22 | 13,375 | 13,245,922 | |
0.375%, 9/30/27 | 1,775 | 1,585,020 | |
0.75%, 11/15/24 | 1,510 | 1,443,495 | |
1.125%, 1/15/25 | 5,054 | 4,867,239 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
1.25%, 6/30/28 | $ | 6,362 | $ 5,919,394 |
1.375%, 11/15/31 | 4,975 | 4,566,117 | |
1.50%, 1/31/27 | 14,503 | 13,861,696 | |
1.875%, 2/28/27 | 2,284 | 2,223,153 | |
1.875%, 2/15/32 | 50,457 | 48,462,372 | |
2.125%, 3/31/24 | 6,346 | 6,320,715 | |
Total U.S. Treasury Obligations (identified cost $240,208,371) | $ 228,677,374 |
Short-Term Investments — 4.3% | |||
Affiliated Fund — 3.8% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.14%(18) | 100,708,180 | $ 100,698,109 | |
Total Affiliated Fund (identified cost $100,701,076) | $ 100,698,109 | ||
Securities Lending Collateral — 0.5% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.29%(19) | 11,442,363 | $ 11,442,363 | |
Total Securities Lending Collateral (identified cost $11,442,363) | $ 11,442,363 | ||
Total Short-Term Investments (identified cost $112,143,439) | $ 112,140,472 | ||
Total Investments — 106.2% (identified cost $2,906,154,291) | $2,793,253,197 | ||
Other Assets, Less Liabilities — (6.2)% | $ (163,770,856) | ||
Net Assets — 100.0% | $ 2,629,482,341 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(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, 2022, the aggregate value of these securities is $1,080,665,866 or 41.1% of the Fund's net assets. |
(2) | Principal Amount is denominated in Canadian dollars. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at March 31, 2022. |
(4) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2022. |
(5) | Step coupon security. Interest rate represents the rate in effect at March 31, 2022. |
(6) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 8). |
(7) | All or a portion of this security was on loan at March 31, 2022. The aggregate market value of securities on loan at March 31, 2022 was $27,504,299. |
(8) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(9) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(10) | When-issued security. |
(11) | May be deemed to be an affiliated company (see Note 8). |
(12) | Restricted security. Total market value of restricted securities amounts to $4,806,582, which represents 0.2% of the net assets of the Fund as of March 31, 2022. |
(13) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2022. |
(14) | 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 London Interbank Offered Rate ("LIBOR") or the Secured Overnight Financing Rate ("SOFR") 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. |
(15) | Amount is less than 0.05%. |
(16) | 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. |
(17) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(18) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
(19) | Represents investment of cash collateral received in connection with securities lending. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 4,130,628 | CAD | 5,298,108 | State Street Bank and Trust Company | 5/31/22 | $ — | $ (106,723) |
$ — | $(106,723) |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 1,750 | Long | 6/30/22 | $ 370,863,283 | $ (4,508,576) |
U.S. 5-Year Treasury Note | 779 | Long | 6/30/22 | 89,341,563 | (2,149,675) |
U.S. 10-Year Treasury Note | 474 | Long | 6/21/22 | 58,242,750 | (1,585,800) |
U.S. Long Treasury Bond | 106 | Long | 6/21/22 | 15,906,625 | (449,042) |
U.S. Ultra-Long Treasury Bond | 161 | Long | 6/21/22 | 28,517,125 | (975,407) |
U.S. Ultra 10-Year Treasury Note | (1,324) | Short | 6/21/22 | (179,360,625) | 5,232,684 |
$(4,435,816) |
Description | Acquisition Dates | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | $5,000,000 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/22 | 11/13/15 | 49,037 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
USD | – United States Dollar |
Common Stocks — 97.6% |
Security | Shares | Value | |
Beverages — 1.1% | |||
PepsiCo, Inc. | 391,567 | $ 65,540,484 | |
$ 65,540,484 | |||
Capital Markets — 8.8% | |||
Charles Schwab Corp. (The) | 947,981 | $ 79,924,278 | |
Intercontinental Exchange, Inc. | 1,558,670 | 205,931,481 | |
Moody's Corp. | 176,196 | 59,450,292 | |
S&P Global, Inc. | 447,401 | 183,514,942 | |
$ 528,820,993 | |||
Chemicals — 6.4% | |||
Air Products & Chemicals, Inc. | 310,827 | $ 77,678,775 | |
Ecolab, Inc. | 849,135 | 149,923,276 | |
Linde PLC | 502,007 | 160,356,096 | |
$ 387,958,147 | |||
Containers & Packaging — 1.3% | |||
Ball Corp. | 884,714 | $ 79,624,260 | |
$ 79,624,260 | |||
Electronic Equipment, Instruments & Components — 3.5% | |||
Amphenol Corp., Class A | 2,084,120 | $ 157,038,442 | |
TE Connectivity, Ltd. | 406,497 | 53,242,977 | |
$ 210,281,419 | |||
Entertainment — 1.0% | |||
Electronic Arts, Inc. | 491,721 | $ 62,207,624 | |
$ 62,207,624 | |||
Equity Real Estate Investment Trusts (REITs) — 4.3% | |||
American Tower Corp. | 754,424 | $ 189,526,397 | |
Crown Castle International Corp. | 389,464 | 71,895,055 | |
$ 261,421,452 | |||
Food & Staples Retailing — 1.4% | |||
Costco Wholesale Corp. | 142,322 | $ 81,956,124 | |
$ 81,956,124 | |||
Food Products — 0.9% | |||
Mondelez International, Inc., Class A | 875,291 | $ 54,950,769 | |
$ 54,950,769 |
Security | Shares | Value | |
Health Care Equipment & Supplies — 0.5% | |||
Intuitive Surgical, Inc.(1) | 104,397 | $ 31,494,487 | |
$ 31,494,487 | |||
Health Care Providers & Services — 0.7% | |||
Laboratory Corp. of America Holdings(1) | 156,129 | $ 41,164,972 | |
$ 41,164,972 | |||
Hotels, Restaurants & Leisure — 1.3% | |||
Starbucks Corp. | 833,751 | $ 75,846,328 | |
$ 75,846,328 | |||
Insurance — 4.2% | |||
Aon PLC, Class A | 285,541 | $ 92,980,716 | |
Marsh & McLennan Cos., Inc. | 929,575 | 158,418,171 | |
$ 251,398,887 | |||
Interactive Media & Services — 4.6% | |||
Alphabet, Inc., Class C(1) | 100,514 | $ 280,734,597 | |
$ 280,734,597 | |||
IT Services — 15.7% | |||
Accenture PLC, Class A | 152,776 | $ 51,520,650 | |
Fidelity National Information Services, Inc. | 702,638 | 70,558,908 | |
Fiserv, Inc.(1) | 1,341,360 | 136,013,904 | |
Gartner, Inc.(1) | 482,124 | 143,412,605 | |
Mastercard, Inc., Class A | 752,681 | 268,993,136 | |
Visa, Inc., Class A | 1,242,995 | 275,659,001 | |
$ 946,158,204 | |||
Life Sciences Tools & Services — 10.2% | |||
Agilent Technologies, Inc. | 442,845 | $ 58,601,679 | |
Danaher Corp. | 913,726 | 268,023,248 | |
Thermo Fisher Scientific, Inc. | 485,756 | 286,911,781 | |
$ 613,536,708 | |||
Machinery — 3.1% | |||
IDEX Corp. | 402,697 | $ 77,209,096 | |
Xylem, Inc. | 1,295,411 | 110,446,742 | |
$ 187,655,838 | |||
Multiline Retail — 2.9% | |||
Dollar General Corp. | 791,212 | $ 176,147,528 | |
$ 176,147,528 |
Security | Shares | Value | |
Personal Products — 1.6% | |||
Estee Lauder Cos., Inc. (The), Class A | 359,504 | $ 97,900,129 | |
$ 97,900,129 | |||
Pharmaceuticals — 3.4% | |||
Zoetis, Inc. | 1,081,984 | $ 204,051,362 | |
$ 204,051,362 | |||
Professional Services — 4.1% | |||
Verisk Analytics, Inc. | 1,143,213 | $ 245,367,806 | |
$ 245,367,806 | |||
Semiconductors & Semiconductor Equipment — 1.0% | |||
Texas Instruments, Inc. | 320,521 | $ 58,809,193 | |
$ 58,809,193 | |||
Software — 8.4% | |||
Adobe, Inc.(1) | 249,928 | $ 113,872,195 | |
Intuit, Inc. | 213,781 | 102,794,456 | |
Microsoft Corp. | 939,271 | 289,586,642 | |
Procore Technologies, Inc.(1) | 1,014 | 58,772 | |
SentinelOne, Inc.(1) | 958 | 37,113 | |
$ 506,349,178 | |||
Specialty Retail — 5.9% | |||
Lowe's Cos., Inc. | 365,597 | $ 73,920,058 | |
O'Reilly Automotive, Inc.(1) | 154,252 | 105,656,450 | |
TJX Cos., Inc. (The) | 2,925,354 | 177,217,945 | |
$ 356,794,453 | |||
Textiles, Apparel & Luxury Goods — 1.3% | |||
NIKE, Inc., Class B | 570,544 | $ 76,772,401 | |
$ 76,772,401 | |||
Venture Capital — 0.0%(2) | |||
20/20 Gene Systems, Inc.(1)(3)(4) | 73,397 | $ 78,116 | |
Digital Directions International, Inc.(1)(3)(4) | 354,389 | 92,141 | |
Ivy Capital (Proprietary) Ltd.(1)(3)(4) | 950,000 | 221,044 | |
$ 391,301 | |||
Total Common Stocks (identified cost $3,002,175,758) | $5,883,334,644 |
High Social Impact Investments — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(4)(5) | $ | 7,970 | $ 7,586,882 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/22(4)(6) | 145 | 138,402 | |
Total High Social Impact Investments (identified cost $8,114,608) | $ 7,725,284 |
Preferred Stocks — 0.0%(2) |
Security | Shares | Value | |
Venture Capital — 0.0%(2) | |||
Entouch: | |||
Series C(1)(3)(4) | 2,628,278 | $ 320,387 | |
Series C-1(1)(3)(4) | 1,023,444 | 314,402 | |
Sword Diagnostics(1)(3)(4) | 1,264,108 | 0 | |
Total Preferred Stocks (identified cost $918,761) | $ 634,789 |
Venture Capital Limited Partnership Interests — 0.3% |
Security | Value | ||
Accion Frontier Inclusion Fund L.P.(1)(3)(4) | $ 2,086,227 | ||
Adobe Capital Social Mezzanine I L.P.(1)(3)(4) | 131,561 | ||
Africa Renewable Energy Fund L.P.(1)(3)(4) | 1,195,190 | ||
Arborview Capital Partners L.P.(1)(3)(4) | 440,959 | ||
Bridges Ventures US Sustainable Growth Fund L.P.(1)(3)(4) | 896,155 | ||
China Environment Fund III L.P.(1)(3)(4) | 1,412 | ||
Coastal Ventures III L.P.(1)(3)(4) | 314,755 | ||
Core Innovations Capital I L.P.(1)(3)(4) | 2,847,893 | ||
Cross Culture Ventures I L.P.(1)(3)(4) | 1,126,297 | ||
DBL Equity Fund - BAEF Il L.P.(1)(3)(4) | 1,713,625 | ||
DBL Partners III L.P.(1)(3)(4) | 1,346,837 | ||
First Analysis Private Equity Fund V L.P.(1)(3)(4) | 1,101,901 | ||
Ignia Fund I L.P.(1)(3)(4) | 182,284 | ||
Impact Ventures II L.P.(1)(3)(4) | 171,861 | ||
LeapFrog Financial Inclusion Fund(1)(3)(4) | 25,244 | ||
New Markets Education Partners L.P.(1)(3)(4) | 49,929 | ||
New Markets Venture Partners II L.P.(1)(3)(4) | 74,342 | ||
Owl Ventures L.P.(1)(3)(4) | 1,329,380 | ||
Renewable Energy Asia Fund L.P.(1)(3)(4) | 355,582 | ||
SEAF India International Growth Fund L.P.(1)(3)(4) | 937 | ||
SJF Ventures II L.P., Preferred(1)(3)(4) | 147,344 | ||
SJF Ventures III L.P.(1)(3)(4) | 1,004,603 |
Security | Value | ||
Westly Capital Partners Fund II L.P.(1)(3)(4) | $ 1,292,103 | ||
Total Venture Capital Limited Partnership Interests (identified cost $9,350,824) | $ 17,836,421 |
Short-Term Investments — 1.9% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.14%(7) | 115,339,820 | $ 115,328,286 | |
Total Short-Term Investments (identified cost $115,327,637) | $ 115,328,286 | ||
Total Investments — 99.9% (identified cost $3,135,887,588) | $6,024,859,424 | ||
Other Assets, Less Liabilities — 0.1% | $ 3,254,364 | ||
Net Assets — 100.0% | $6,028,113,788 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Amount is less than 0.05%. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(4) | Restricted security. Total market value of restricted securities amounts to $26,587,795, which represents 0.4% of the net assets of the Fund as of March 31, 2022. |
(5) | May be deemed to be an affiliated company (see Note 8). |
(6) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2022. |
(7) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
Description | Acquisition Dates | Cost |
20/20 Gene Systems, Inc. | 8/1/08-8/27/13 | $ 166,889 |
Accion Frontier Inclusion Fund L.P. | 11/12/15-3/29/22 | 767,616 |
Adobe Capital Social Mezzanine I L.P. | 2/8/13-7/22/20 | 297,250 |
Africa Renewable Energy Fund L.P. | 4/17/14-5/22/19 | 986,582 |
Arborview Capital Partners L.P. | 11/13/12-12/7/21 | 14,610 |
Bridges Ventures US Sustainable Growth Fund L.P. | 6/18/16-10/7/21 | 822,498 |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | 7,970,000 |
China Environment Fund III L.P. | 1/24/08-4/19/13 | 528,093 |
Coastal Ventures III L.P. | 7/30/12-1/9/19 | 119,453 |
Core Innovations Capital I L.P. | 1/6/11-6/30/17 | 0 |
Cross Culture Ventures I L.P. | 2/24/16-7/7/21 | 350,258 |
DBL Equity Fund - BAEF Il L.P. | 3/30/11-8/2/16 | 697,586 |
DBL Partners III L.P. | 1/16/15-9/3/21 | 838,321 |
Digital Directions International, Inc. | 7/2/08-7/15/09 | 683,778 |
Entouch, Series C, Preferred | 2/3/16 | 350,000 |
Entouch, Series C-1, Preferred | 10/11/17-11/5/19 | 136,289 |
First Analysis Private Equity Fund V L.P. | 6/7/13-6/13/18 | 328,866 |
Ignia Fund I L.P. | 1/28/10-12/9/16 | 989,801 |
Impact Ventures II L.P. | 9/8/10-2/5/18 | 638,988 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 0.00%, 11/3/22 | 11/13/15 | 144,608 |
Ivy Capital (Proprietary) Ltd. | 9/12/12-5/14/14 | 557,372 |
LeapFrog Financial Inclusion Fund | 1/20/10-1/23/19 | 0 |
New Markets Education Partners L.P. | 9/27/11-6/1/21 | 0 |
New Markets Venture Partners II L.P. | 7/21/08-5/3/16 | 0 |
Owl Ventures L.P. | 7/10/14-3/20/20 | 0 |
Renewable Energy Asia Fund L.P. | 9/29/10-1/5/17 | 1,753,943 |
SEAF India International Growth Fund L.P. | 3/22/05-5/24/10 | 200,375 |
Description | Acquisition Dates | Cost |
SJF Ventures II L.P., Preferred | 2/14/06-11/20/12 | $ 0 |
SJF Ventures III L.P. | 2/6/12-7/14/17 | 0 |
Sword Diagnostics, Preferred | 12/26/06-11/9/10 | 432,472 |
Westly Capital Partners Fund II L.P. | 12/27/11-4/16/21 | 16,584 |
March 31, 2022 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Assets | |||
Investments in securities of unaffiliated issuers, at value (identified cost $1,052,219,422, $2,765,833,311 and $3,012,589,951, respectively) - including $11,744,399, $27,504,299 and $0, respectively, of securities on loan | $ 1,276,258,609 | $ 2,653,337,567 | $ 5,901,944,256 |
Investments in securities of affiliated issuers, at value (identified cost $27,064,903, $140,320,980 and $123,297,637, respectively) | 26,915,365 | 139,915,630 | 122,915,168 |
Receivable for variation margin on open futures contracts | — | 214,632 | — |
Cash | 90,815 | 1,406,232 | 804 |
Deposits at broker for futures contracts | 890,000 | 3,305,100 | — |
Deposits for forward commitment securities | — | 3,299,000 | — |
Receivable for investments sold | 1,150,174 | 6,066,793 | — |
Receivable for capital shares sold | 1,308,846 | 6,869,566 | 10,731,106 |
Dividends and interest receivable | 3,114,528 | 13,593,973 | 2,222,987 |
Dividends and interest receivable - affiliated | 17,077 | 51,219 | 42,303 |
Securities lending income receivable | 9,251 | 11,685 | — |
Tax reclaims receivable | 59,152 | — | — |
Receivable from affiliate | — | 35,580 | — |
Trustees' deferred compensation plan | 520,935 | 789,917 | 1,747,132 |
Other assets | — | — | 13,640 |
Total assets | $1,310,334,752 | $2,828,896,894 | $6,039,617,396 |
Liabilities | |||
Payable for variation margin on open futures contracts | $ 63,477 | $ — | $ — |
Payable for open forward foreign currency exchange contracts | — | 106,723 | — |
Payable for investments purchased | 914,339 | 5,706,679 | — |
Payable for when-issued/delayed delivery/forward commitment securities | 67,861,848 | 174,423,061 | — |
Payable for capital shares redeemed | 1,170,061 | 4,959,856 | 5,196,940 |
Distributions payable | — | 457,352 | — |
Deposits for securities loaned | 10,263,014 | 11,442,363 | — |
Payable to affiliates: | |||
Investment advisory fee | 398,825 | 662,019 | 2,112,498 |
Administrative fee | 122,908 | 270,424 | 594,465 |
Distribution and service fees | 220,948 | 70,034 | 577,551 |
Sub-transfer agency fee | 76,986 | 35,040 | 86,860 |
Trustees' deferred compensation plan | 520,935 | 789,917 | 1,747,132 |
Accrued expenses | 292,063 | 491,085 | 1,188,162 |
Total liabilities | $ 81,905,404 | $ 199,414,553 | $ 11,503,608 |
Commitments and contingent liabilities (Note 10) | |||
Net Assets | $1,228,429,348 | $2,629,482,341 | $6,028,113,788 |
Sources of Net Assets | |||
Paid-in capital | $ 995,300,932 | $ 2,762,114,403 | $ 3,074,229,510 |
Distributable earnings (accumulated loss) | 233,128,416 | (132,632,062) | 2,953,884,278 |
Net Assets | $1,228,429,348 | $2,629,482,341 | $6,028,113,788 |
Class A Shares | |||
Net Assets | $ 824,900,866 | $ 348,102,318 | $ 2,222,463,677 |
Shares Outstanding | 20,794,120 | 22,336,500 | 29,953,248 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 39.67 | $ 15.58 | $ 74.20 |
Maximum Offering Price Per Share (100 ÷ 95.25, 96.25 and 95.25, respectively, of net asset value per share) | $ 41.65 | $ 16.19 | $ 77.90 |
March 31, 2022 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Class C Shares | |||
Net Assets | $ 65,772,391 | $ 11,666,127 | $ 142,990,013 |
Shares Outstanding | 1,724,327 | 753,933 | 3,850,653 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 38.14 | $ 15.47 | $ 37.13 |
Class I Shares | |||
Net Assets | $ 322,031,961 | $ 1,851,986,633 | $ 3,180,612,525 |
Shares Outstanding | 7,932,758 | 118,598,661 | 36,236,530 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 40.60 | $ 15.62 | $ 87.77 |
Class R6 Shares | |||
Net Assets | $ 15,724,130 | $ 417,727,263 | $ 482,047,573 |
Shares Outstanding | 387,529 | 26,780,072 | 5,506,804 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 40.58 | $ 15.60 | $ 87.54 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended March 31, 2022 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Investment Income | |||
Dividend income (net of foreign taxes withheld of $13,802, $5,294 and $0, respectively) | $ 4,976,249 | $ 558,361 | $ 24,481,653 |
Dividend income - affiliated issuers | 7,070 | 26,373 | 55,905 |
Interest and other income (net of foreign taxes withheld of $1,093, $1,841 and $0, respectively) | 5,606,955 | 32,035,205 | 16,302 |
Interest income - affiliated issuers | 52,114 | 192,649 | 59,775 |
Securities lending income, net | 20,516 | 63,617 | 41 |
Total investment income | $ 10,662,904 | $ 32,876,205 | $ 24,613,676 |
Expenses | |||
Investment advisory fee | $ 2,404,654 | $ 3,717,319 | $ 13,170,048 |
Administrative fee | 743,247 | 1,517,568 | 3,735,730 |
Distribution and service fees: | |||
Class A | 1,007,399 | 369,267 | 2,909,005 |
Class C | 339,668 | 64,117 | 755,348 |
Trustees' fees and expenses | 24,558 | 52,327 | 121,384 |
Custodian fees | 16,303 | 28,409 | 48,935 |
Transfer agency fees and expenses | 565,645 | 916,792 | 2,201,858 |
Accounting fees | 170,900 | 233,679 | 428,771 |
Professional fees | 31,988 | 30,415 | 49,084 |
Registration fees | 50,066 | 81,224 | 97,056 |
Reports to shareholders | 10,048 | 35,551 | 87,786 |
Miscellaneous | 71,376 | 17,259 | 41,702 |
Total expenses | $ 5,435,852 | $ 7,063,927 | $ 23,646,707 |
Waiver and/or reimbursement of expenses by affiliate | $ — | $ (64,674) | $ — |
Net expenses | $ 5,435,852 | $ 6,999,253 | $ 23,646,707 |
Net investment income | $ 5,227,052 | $ 25,876,952 | $ 966,969 |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss): | |||
Investment securities | $ 17,235,031 | $ (9,541,843) | $ 70,599,162 |
Investment securities - affiliated issuers | (2,200) | (30,626) | (14,889) |
Futures contracts | 654,783 | (1,077,910) | — |
Foreign currency transactions | — | 21,620 | — |
Forward foreign currency exchange contracts | — | 26,211 | — |
Net realized gain (loss) | $ 17,887,614 | $ (10,602,548) | $ 70,584,273 |
Change in unrealized appreciation (depreciation): | |||
Investment securities | $ (16,346,497) | $ (161,650,499) | $ (84,286,348) |
Investment securities - affiliated issuers | (80,865) | (296,556) | (257,362) |
Futures contracts | (660,545) | (8,014,509) | — |
Foreign currency | (2,786) | 13 | — |
Forward foreign currency exchange contracts | — | (106,723) | — |
Net change in unrealized appreciation (depreciation) | $(17,090,693) | $(170,068,274) | $(84,543,710) |
Net realized and unrealized gain (loss) | $ 796,921 | $(180,670,822) | $(13,959,437) |
Net increase (decrease) in net assets from operations | $ 6,023,973 | $(154,793,870) | $(12,992,468) |
Six Months Ended March 31, 2022 (Unaudited) | |||
Balanced Fund | Bond Fund | Equity Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 5,227,052 | $ 25,876,952 | $ 966,969 |
Net realized gain (loss) | 17,887,614 | (10,602,548) | 70,584,273 |
Net change in unrealized appreciation (depreciation) | (17,090,693) | (170,068,274) | (84,543,710) |
Net increase (decrease) in net assets from operations | $ 6,023,973 | $ (154,793,870) | $ (12,992,468) |
Distributions to shareholders: | |||
Class A | $ (59,344,608) | $ (8,033,808) | $ (86,833,820) |
Class C | (4,787,016) | (229,804) | (10,386,601) |
Class I | (22,618,468) | (38,682,716) | (108,527,009) |
Class R6 | (949,731) | (8,965,227) | (16,720,268) |
Total distributions to shareholders | $ (87,699,823) | $ (55,911,555) | $ (222,467,698) |
Capital share transactions: | |||
Class A | $ 56,231,379 | $ 2,279,490 | $ 35,882,903 |
Class C | 3,199,748 | (1,076,705) | 5,211,216 |
Class I | 27,113,111 | 289,651,941 | 152,551,900 |
Class R6 | 5,448,150 | 128,796,821 | 42,836,371 |
Net increase in net assets from capital share transactions | $ 91,992,388 | $ 419,651,547 | $ 236,482,390 |
Net increase in net assets | $ 10,316,538 | $ 208,946,122 | $ 1,022,224 |
Net Assets | |||
At beginning of period | $ 1,218,112,810 | $ 2,420,536,219 | $ 6,027,091,564 |
At end of period | $1,228,429,348 | $2,629,482,341 | $6,028,113,788 |
Year Ended September 30, 2021 | |||
Balanced Fund | Bond Fund | Equity Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 8,405,046 | $ 44,427,951 | $ 4,350,668 |
Net realized gain | 87,470,552 | 31,748,346 | 256,045,998 |
Net change in unrealized appreciation (depreciation) | 69,358,215 | (17,376,947) | 1,034,820,304 |
Net increase in net assets from operations | $ 165,233,813 | $ 58,799,350 | $1,295,216,970 |
Distributions to shareholders: | |||
Class A | $ (16,610,145) | $ (10,862,835) | $ (54,180,648) |
Class C | (1,024,717) | (341,745) | (6,181,589) |
Class I | (6,391,454) | (51,012,607) | (78,465,706) |
Class R6 | (245,398) | (9,411,050) | (9,228,369) |
Total distributions to shareholders | $ (24,271,714) | $ (71,628,237) | $ (148,056,312) |
Capital share transactions: | |||
Class A | $ 40,159,310 | $ 50,639,467 | $ (46,634,430) |
Class C | (6,957,622) | (2,384,269) | (14,138,082) |
Class I | 69,485,568 | 339,259,762 | (372,072,443) |
Class R6 | 5,507,106 | 52,211,377 | 167,442,612 |
Net increase (decrease) in net assets from capital share transactions | $ 108,194,362 | $ 439,726,337 | $ (265,402,343) |
Net increase in net assets | $ 249,156,461 | $ 426,897,450 | $ 881,758,315 |
Net Assets | |||
At beginning of year | $ 968,956,349 | $ 1,993,638,769 | $ 5,145,333,249 |
At end of year | $1,218,112,810 | $2,420,536,219 | $6,027,091,564 |
Balanced Fund — Class A | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 42.36 | $ 37.18 | $ 34.28 | $ 33.14 | $ 32.59 | $ 30.82 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.17 | $ 0.30 | $ 0.41 | $ 0.44 | $ 0.43 | $ 0.47 |
Net realized and unrealized gain | 0.19 | 5.77 | 3.67 | 2.24 | 2.68 | 2.11 |
Total income from operations | $ 0.36 | $ 6.07 | $ 4.08 | $ 2.68 | $ 3.11 | $ 2.58 |
Less Distributions | ||||||
From net investment income | $ (0.17) | $ (0.30) | $ (0.42) | $ (0.44) | $ (0.44) | $ (0.46) |
From net realized gain | (2.88) | (0.59) | (0.76) | (1.10) | (2.12) | (0.35) |
Total distributions | $ (3.05) | $ (0.89) | $ (1.18) | $ (1.54) | $ (2.56) | $ (0.81) |
Net asset value — End of period | $ 39.67 | $ 42.36 | $ 37.18 | $ 34.28 | $ 33.14 | $ 32.59 |
Total Return(2) | 0.48% (3) | 16.48% | 12.22% | 8.56% | 10.01% | 8.51% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $824,901 | $823,892 | $686,408 | $619,744 | $571,452 | $549,517 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.90% (5) | 0.90% | 0.93% | 0.96% | 0.96% | 0.99% |
Net expenses | 0.90% (5) | 0.90% | 0.93% | 0.93% | 0.94% | 0.99% |
Net investment income | 0.82% (5) | 0.73% | 1.17% | 1.37% | 1.33% | 1.48% |
Portfolio Turnover | 47% (3)(6) | 95% (6) | 98% (6) | 69% (6) | 76% | 128% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Balanced Fund — Class C | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 40.85 | $ 35.90 | $ 33.14 | $ 32.09 | $ 31.63 | $ 29.95 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ 0.01 | $ (0.01) | $ 0.14 | $ 0.20 | $ 0.18 | $ 0.20 |
Net realized and unrealized gain | 0.18 | 5.56 | 3.55 | 2.15 | 2.61 | 2.06 |
Total income from operations | $ 0.19 | $ 5.55 | $ 3.69 | $ 2.35 | $ 2.79 | $ 2.26 |
Less Distributions | ||||||
From net investment income | $ (0.02) | $ (0.01) | $ (0.17) | $ (0.20) | $ (0.21) | $ (0.23) |
From net realized gain | (2.88) | (0.59) | (0.76) | (1.10) | (2.12) | (0.35) |
Total distributions | $ (2.90) | $ (0.60) | $ (0.93) | $ (1.30) | $ (2.33) | $ (0.58) |
Net asset value — End of period | $ 38.14 | $ 40.85 | $ 35.90 | $ 33.14 | $ 32.09 | $ 31.63 |
Total Return(2) | 0.11% (3) | 15.59% | 11.39% | 7.77% | 9.14% | 7.66% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $65,772 | $67,292 | $65,760 | $54,062 | $60,674 | $61,205 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 1.66% (5) | 1.66% | 1.69% | 1.71% | 1.71% | 1.80% |
Net expenses | 1.66% (5) | 1.66% | 1.68% | 1.68% | 1.69% | 1.80% |
Net investment income (loss) | 0.06% (5) | (0.03)% | 0.42% | 0.63% | 0.58% | 0.67% |
Portfolio Turnover | 47% (3)(6) | 95% (6) | 98% (6) | 69% (6) | 76% | 128% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Balanced Fund — Class I | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 43.28 | $ 37.97 | $ 34.97 | $ 33.77 | $ 33.14 | $ 31.32 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.23 | $ 0.40 | $ 0.50 | $ 0.54 | $ 0.55 | $ 0.58 |
Net realized and unrealized gain | 0.19 | 5.90 | 3.76 | 2.28 | 2.72 | 2.18 |
Total income from operations | $ 0.42 | $ 6.30 | $ 4.26 | $ 2.82 | $ 3.27 | $ 2.76 |
Less Distributions | ||||||
From net investment income | $ (0.22) | $ (0.40) | $ (0.50) | $ (0.52) | $ (0.52) | $ (0.59) |
From net realized gain | (2.88) | (0.59) | (0.76) | (1.10) | (2.12) | (0.35) |
Total distributions | $ (3.10) | $ (0.99) | $ (1.26) | $ (1.62) | $ (2.64) | $ (0.94) |
Net asset value — End of period | $ 40.60 | $ 43.28 | $ 37.97 | $ 34.97 | $ 33.77 | $ 33.14 |
Total Return(2) | 0.61% (3) | 16.75% | 12.55% | 8.87% | 10.33% | 8.94% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $322,032 | $315,744 | $212,490 | $140,961 | $99,878 | $48,780 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.66% (5) | 0.66% | 0.69% | 0.71% | 0.72% | 0.67% |
Net expenses | 0.66% (5) | 0.66% | 0.68% | 0.66% | 0.62% | 0.62% |
Net investment income | 1.06% (5) | 0.96% | 1.41% | 1.64% | 1.66% | 1.80% |
Portfolio Turnover | 47% (3)(6) | 95% (6) | 98% (6) | 69% (6) | 76% | 128% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Balanced Fund — Class R6 | ||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Period Ended September 30, | ||
2021 | 2020 | 2019 (1) | ||
Net asset value — Beginning of period | $ 43.27 | $ 37.95 | $ 34.98 | $ 31.46 |
Income (Loss) From Operations | ||||
Net investment income(2) | $ 0.24 | $ 0.42 | $ 0.51 | $ 0.36 |
Net realized and unrealized gain | 0.18 | 5.91 | 3.75 | 3.55 |
Total income from operations | $ 0.42 | $ 6.33 | $ 4.26 | $ 3.91 |
Less Distributions | ||||
From net investment income | $ (0.23) | $ (0.42) | $ (0.53) | $ (0.39) |
From net realized gain | (2.88) | (0.59) | (0.76) | — |
Total distributions | $ (3.11) | $ (1.01) | $ (1.29) | $ (0.39) |
Net asset value — End of period | $ 40.58 | $ 43.27 | $37.95 | $34.98 |
Total Return(3) | 0.64% (4) | 16.82% | 12.57% | 12.44% (4) |
Ratios/Supplemental Data | ||||
Net assets, end of period (000’s omitted) | $15,724 | $11,184 | $ 4,298 | $ 230 |
Ratios (as a percentage of average daily net assets):(5) | ||||
Total expenses | 0.61% (6) | 0.61% | 0.65% | 0.66% (6) |
Net expenses | 0.61% (6) | 0.61% | 0.64% | 0.64% (6) |
Net investment income | 1.12% (6) | 1.01% | 1.43% | 1.58% (6) |
Portfolio Turnover | 47% (4)(7) | 95% (7) | 98% (7) | 69% (7)(8) |
(1) | For the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
(8) | For the year ended September 30, 2019. |
Bond Fund — Class A | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 16.91 | $ 17.01 | $ 16.67 | $ 15.69 | $ 16.14 | $ 16.36 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.15 | $ 0.31 | $ 0.37 | $ 0.42 | $ 0.37 | $ 0.37 |
Net realized and unrealized gain (loss) | (1.10) | 0.12 | 0.50 | 0.99 | (0.45) | (0.18) |
Total income (loss) from operations | $ (0.95) | $ 0.43 | $ 0.87 | $ 1.41 | $ (0.08) | $ 0.19 |
Less Distributions | ||||||
From net investment income | $ (0.18) | $ (0.32) | $ (0.38) | $ (0.43) | $ (0.37) | $ (0.36) |
From net realized gain | (0.20) | (0.21) | (0.15) | — | — | (0.05) |
Total distributions | $ (0.38) | $ (0.53) | $ (0.53) | $ (0.43) | $ (0.37) | $ (0.41) |
Net asset value — End of period | $ 15.58 | $ 16.91 | $ 17.01 | $ 16.67 | $ 15.69 | $ 16.14 |
Total Return(2) | (5.80)% (3) | 2.61% | 5.32% | 9.10% | (0.48)% | 1.21% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $348,102 | $375,792 | $327,252 | $290,893 | $251,714 | $281,490 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.74% (5) | 0.74% | 0.76% | 0.78% | 0.83% | 0.89% |
Net expenses | 0.73% (5) | 0.73% | 0.73% | 0.75% | 0.83% | 0.89% |
Net investment income | 1.86% (5) | 1.84% | 2.21% | 2.59% | 2.32% | 2.29% |
Portfolio Turnover | 72% (3)(6) | 163% (6) | 153% (6) | 75% (6) | 83% | 99% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Bond Fund — Class C | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 16.79 | $ 16.89 | $ 16.55 | $ 15.58 | $ 16.03 | $ 16.26 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.09 | $ 0.18 | $ 0.23 | $ 0.28 | $ 0.24 | $ 0.22 |
Net realized and unrealized gain (loss) | (1.11) | 0.12 | 0.50 | 0.98 | (0.44) | (0.18) |
Total income (loss) from operations | $ (1.02) | $ 0.30 | $ 0.73 | $ 1.26 | $ (0.20) | $ 0.04 |
Less Distributions | ||||||
From net investment income | $ (0.10) | $ (0.19) | $ (0.24) | $ (0.29) | $ (0.25) | $ (0.22) |
From net realized gain | (0.20) | (0.21) | (0.15) | — | — | (0.05) |
Total distributions | $ (0.30) | $ (0.40) | $ (0.39) | $ (0.29) | $ (0.25) | $ (0.27) |
Net asset value — End of period | $ 15.47 | $ 16.79 | $ 16.89 | $ 16.55 | $ 15.58 | $ 16.03 |
Total Return(2) | (6.16)% (3) | 1.80% | 4.50% | 8.19% | (1.25)% | 0.27% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $11,666 | $13,768 | $16,215 | $15,343 | $21,939 | $26,631 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 1.54% (5) | 1.54% | 1.56% | 1.59% | 1.63% | 1.78% |
Net expenses | 1.53% (5) | 1.53% | 1.53% | 1.56% | 1.63% | 1.78% |
Net investment income | 1.06% (5) | 1.05% | 1.41% | 1.79% | 1.52% | 1.40% |
Portfolio Turnover | 72% (3)(6) | 163% (6) | 153% (6) | 75% (6) | 83% | 99% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Bond Fund — Class I | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 16.94 | $ 17.04 | $ 16.70 | $ 15.72 | $ 16.15 | $ 16.38 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.17 | $ 0.35 | $ 0.40 | $ 0.45 | $ 0.42 | $ 0.42 |
Net realized and unrealized gain (loss) | (1.12) | 0.12 | 0.50 | 0.99 | (0.45) | (0.17) |
Total income (loss) from operations | $ (0.95) | $ 0.47 | $ 0.90 | $ 1.44 | $ (0.03) | $ 0.25 |
Less Distributions | ||||||
From net investment income | $ (0.17) | $ (0.36) | $ (0.41) | $ (0.46) | $ (0.40) | $ (0.43) |
From net realized gain | (0.20) | (0.21) | (0.15) | — | — | (0.05) |
Total distributions | $ (0.37) | $ (0.57) | $ (0.56) | $ (0.46) | $ (0.40) | $ (0.48) |
Net asset value — End of period | $ 15.62 | $ 16.94 | $ 17.04 | $ 16.70 | $ 15.72 | $ 16.15 |
Total Return(2) | (5.69)% (3) | 2.81% | 5.52% | 9.30% | (0.15)% | 1.54% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $1,851,987 | $1,709,504 | $1,379,529 | $1,144,805 | $629,822 | $500,510 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.54% (5) | 0.54% | 0.56% | 0.58% | 0.63% | 0.54% |
Net expenses | 0.53% (5) | 0.53% | 0.53% | 0.53% | 0.53% | 0.52% |
Net investment income | 2.07% (5) | 2.04% | 2.40% | 2.81% | 2.64% | 2.64% |
Portfolio Turnover | 72% (3)(6) | 163% (6) | 153% (6) | 75% (6) | 83% | 99% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Bond Fund — Class R6 | |||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Period Ended September 30, | |||
2021 | 2020 | 2019 | 2018 (1) | ||
Net asset value — Beginning of period | $ 16.93 | $ 17.03 | $ 16.69 | $ 15.71 | $ 16.17 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.18 | $ 0.36 | $ 0.41 | $ 0.46 | $ 0.42 |
Net realized and unrealized gain (loss) | (1.13) | 0.12 | 0.50 | 0.99 | (0.46) |
Total income (loss) from operations | $ (0.95) | $ 0.48 | $ 0.91 | $ 1.45 | $ (0.04) |
Less Distributions | |||||
From net investment income | $ (0.18) | $ (0.37) | $ (0.42) | $ (0.47) | $ (0.42) |
From net realized gain | (0.20) | (0.21) | (0.15) | — | — |
Total distributions | $ (0.38) | $ (0.58) | $ (0.57) | $ (0.47) | $ (0.42) |
Net asset value — End of period | $ 15.60 | $ 16.93 | $ 17.03 | $ 16.69 | $ 15.71 |
Total Return(3) | (5.72)% (4) | 2.89% | 5.66% | 9.31% | (0.27)% (4) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $417,727 | $321,472 | $270,643 | $252,225 | $133,417 |
Ratios (as a percentage of average daily net assets):(5) | |||||
Total expenses | 0.47% (6) | 0.47% | 0.49% | 0.51% | 0.56% (6) |
Net expenses | 0.46% (6) | 0.46% | 0.46% | 0.48% | 0.53% (6) |
Net investment income | 2.16% (6) | 2.11% | 2.48% | 2.84% | 2.64% (6) |
Portfolio Turnover | 72% (4)(7) | 163% (7) | 153% (7) | 75% (7) | 83% (8) |
(1) | For the period from the commencement of operations, October 3, 2017, to September 30, 2018. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
(8) | For the year ended September 30, 2018. |
Equity Fund — Class A | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 77.18 | $ 63.00 | $ 53.94 | $ 49.18 | $ 43.31 | $ 41.38 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ (0.04) | $ (0.04) | $ 0.01 | $ 0.05 | $ 0.04 | $ 0.06 |
Net realized and unrealized gain | 0.01 (2) | 16.02 | 10.64 | 8.36 | 9.31 | 6.03 |
Total income (loss) from operations | $ (0.03) | $ 15.98 | $ 10.65 | $ 8.41 | $ 9.35 | $ 6.09 |
Less Distributions | ||||||
From net investment income | $ — | $ — | $ (0.02) | $ (0.01) | $ (0.05) | $ (0.06) |
From net realized gain | (2.95) | (1.80) | (1.57) | (3.64) | (3.43) | (4.10) |
Total distributions | $ (2.95) | $ (1.80) | $ (1.59) | $ (3.65) | $ (3.48) | $ (4.16) |
Net asset value — End of period | $ 74.20 | $ 77.18 | $ 63.00 | $ 53.94 | $ 49.18 | $ 43.31 |
Total Return(3) | (0.26)% (4) | 25.87% | 20.27% | 18.72% | 22.66% | 16.39% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $2,222,464 | $2,278,654 | $1,896,037 | $1,598,391 | $1,291,870 | $1,220,685 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Total expenses | 0.90% (6) | 0.91% | 0.94% | 1.00% | 1.01% | 1.06% |
Net expenses | 0.90% (6) | 0.91% | 0.94% | 0.99% | 1.01% | 1.06% |
Net investment income (loss) | (0.11)% (6) | (0.06)% | 0.01% | 0.11% | 0.08% | 0.16% |
Portfolio Turnover | 2% (4) | 13% | 16% | 13% | 18% | 29% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
Equity Fund — Class C | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 40.04 | $ 33.61 | $ 29.67 | $ 28.80 | $ 26.84 | $ 27.35 |
Income (Loss) From Operations | ||||||
Net investment loss(1) | $ (0.17) | $ (0.30) | $ (0.22) | $ (0.17) | $ (0.18) | $ (0.15) |
Net realized and unrealized gain | 0.09 (2) | 8.39 | 5.70 | 4.57 | 5.57 | 3.74 |
Total income (loss) from operations | $ (0.08) | $ 8.09 | $ 5.48 | $ 4.40 | $ 5.39 | $ 3.59 |
Less Distributions | ||||||
From net realized gain | $ (2.83) | $ (1.66) | $ (1.54) | $ (3.53) | $ (3.43) | $ (4.10) |
Total distributions | $ (2.83) | $ (1.66) | $ (1.54) | $ (3.53) | $ (3.43) | $ (4.10) |
Net asset value — End of period | $ 37.13 | $ 40.04 | $ 33.61 | $ 29.67 | $ 28.80 | $ 26.84 |
Total Return(3) | (0.63)% (4) | 24.92% | 19.38% | 17.82% | 21.75% | 15.48% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $142,990 | $149,033 | $138,072 | $100,276 | $155,419 | $152,561 |
Ratios (as a percentage of average daily net assets):(5) | ||||||
Total expenses | 1.65% (6) | 1.66% | 1.69% | 1.75% | 1.76% | 1.83% |
Net expenses | 1.65% (6) | 1.66% | 1.69% | 1.75% | 1.76% | 1.83% |
Net investment loss | (0.86)% (6) | (0.81)% | (0.74)% | (0.64)% | (0.67)% | (0.60)% |
Portfolio Turnover | 2% (4) | 13% | 16% | 13% | 18% | 29% |
(1) | Computed using average shares outstanding. |
(2) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Annualized. |
Equity Fund — Class I | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 90.83 | $ 73.80 | $ 62.89 | $ 56.68 | $ 49.44 | $ 46.68 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.07 | $ 0.16 | $ 0.17 | $ 0.21 | $ 0.20 | $ 0.25 |
Net realized and unrealized gain (loss) | (0.02) | 18.81 | 12.46 | 9.76 | 10.69 | 6.88 |
Total income from operations | $ 0.05 | $ 18.97 | $ 12.63 | $ 9.97 | $ 10.89 | $ 7.13 |
Less Distributions | ||||||
From net investment income | $ (0.08) | $ (0.13) | $ (0.15) | $ (0.12) | $ (0.22) | $ (0.27) |
From net realized gain | (3.03) | (1.81) | (1.57) | (3.64) | (3.43) | (4.10) |
Total distributions | $ (3.11) | $ (1.94) | $ (1.72) | $ (3.76) | $ (3.65) | $ (4.37) |
Net asset value — End of period | $ 87.77 | $ 90.83 | $ 73.80 | $ 62.89 | $ 56.68 | $ 49.44 |
Total Return(2) | (0.14)% (3) | 26.19% | 20.57% | 19.05% | 23.06% | 16.85% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $3,180,613 | $3,142,730 | $2,863,128 | $1,540,337 | $963,446 | $550,055 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.65% (5) | 0.66% | 0.69% | 0.75% | 0.76% | 0.69% |
Net expenses | 0.65% (5) | 0.66% | 0.69% | 0.72% | 0.70% | 0.67% |
Net investment income | 0.14% (5) | 0.19% | 0.26% | 0.37% | 0.38% | 0.54% |
Portfolio Turnover | 2% (3) | 13% | 16% | 13% | 18% | 29% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Equity Fund — Class R6 | |||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | Period Ended September 30, | |||
2021 | 2020 | 2019 | 2018 (1) | ||
Net asset value — Beginning of period | $ 90.64 | $ 73.67 | $ 62.80 | $ 56.65 | $ 49.74 |
Income (Loss) From Operations | |||||
Net investment income(2) | $ 0.10 | $ 0.23 | $ 0.21 | $ 0.23 | $ 0.17 |
Net realized and unrealized gain | 0.00 (3)(4) | 18.74 | 12.44 | 9.74 | 10.42 |
Total income from operations | $ 0.10 | $ 18.97 | $ 12.65 | $ 9.97 | $10.59 |
Less Distributions | |||||
From net investment income | $ (0.17) | $ (0.19) | $ (0.21) | $ (0.18) | $ (0.25) |
From net realized gain | (3.03) | (1.81) | (1.57) | (3.64) | (3.43) |
Total distributions | $ (3.20) | $ (2.00) | $ (1.78) | $ (3.82) | $ (3.68) |
Net asset value — End of period | $ 87.54 | $ 90.64 | $ 73.67 | $ 62.80 | $56.65 |
Total Return(5) | (0.11)% (6) | 26.28% | 20.65% | 19.12% | 22.30% (6) |
Ratios/Supplemental Data | |||||
Net assets, end of period (000’s omitted) | $482,048 | $456,674 | $248,096 | $58,035 | $ 843 |
Ratios (as a percentage of average daily net assets):(7) | |||||
Total expenses | 0.58% (8) | 0.60% | 0.63% | 0.68% | 0.68% (8) |
Net expenses | 0.58% (8) | 0.60% | 0.63% | 0.67% | 0.68% (8) |
Net investment income | 0.21% (8) | 0.27% | 0.32% | 0.37% | 0.31% (8) |
Portfolio Turnover | 2% (6) | 13% | 16% | 13% | 18% (9) |
(1) | For the period from the commencement of operations, October 3, 2017, to September 30, 2018. |
(2) | Computed using average shares outstanding. |
(3) | Amount is less than $0.0005. |
(4) | The per share amount is not in accord with the net realized and unrealized gain (loss) for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time. |
(5) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(6) | Not annualized. |
(7) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(8) | Annualized. |
(9) | For the year ended September 30, 2018. |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Asset-Backed Securities | $ — | $ 68,711,517 | $ — | $ 68,711,517 |
Collateralized Mortgage Obligations | — | 17,723,946 | — | 17,723,946 |
Commercial Mortgage-Backed Securities | — | 46,988,540 | — | 46,988,540 |
Common Stocks | 738,760,505 (2) | — | — | 738,760,505 |
Common Stocks - Venture Capital | — | — | 2,201,464 | 2,201,464 |
Convertible Bonds | — | 739,495 | — | 739,495 |
Corporate Bonds | — | 188,763,046 | — | 188,763,046 |
High Social Impact Investments | — | 2,417,466 | — | 2,417,466 |
Preferred Stocks | 3,122,673 | — | — | 3,122,673 |
Preferred Stocks - Venture Capital | — | — | 33,192 | 33,192 |
Senior Floating-Rate Loans | — | 9,977,952 | — | 9,977,952 |
Sovereign Government Bonds | — | 7,258,388 | — | 7,258,388 |
Taxable Municipal Obligations | — | 14,300,951 | — | 14,300,951 |
Asset Description (continued) | Level 1 | Level 2 | Level 3(1) | Total |
U.S. Government Agencies and Instrumentalities | $ — | $ 4,442,080 | $ — | $ 4,442,080 |
U.S. Government Agency Mortgage-Backed Securities | — | 73,473,509 | — | 73,473,509 |
U.S. Treasury Obligations | — | 93,707,138 | — | 93,707,138 |
Venture Capital Limited Partnership Interests | — | — | 378,562 | 378,562 |
Short-Term Investments: | ||||
Affiliated Fund | — | 19,910,536 | — | 19,910,536 |
Securities Lending Collateral | 10,263,014 | — | — | 10,263,014 |
Total Investments | $ 752,146,192 | $548,414,564 | $2,613,218 | $1,303,173,974 |
Futures Contracts | $ 1,412,728 | $ — | $ — | $ 1,412,728 |
Total | $ 753,558,920 | $548,414,564 | $2,613,218 | $1,304,586,702 |
Liability Description | ||||
Futures Contracts | $ (1,363,677) | $ — | $ — | $ (1,363,677) |
Total | $ (1,363,677) | $ — | $ — | $ (1,363,677) |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 410,859,192 | $ — | $ 410,859,192 |
Collateralized Mortgage Obligations | — | 171,519,934 | — | 171,519,934 |
Commercial Mortgage-Backed Securities | — | 253,386,606 | — | 253,386,606 |
Corporate Bonds | — | 1,118,728,954 | — | 1,118,728,954 |
High Social Impact Investments | — | 4,806,582 | — | 4,806,582 |
Preferred Stocks | 15,969,205 | — | — | 15,969,205 |
Senior Floating-Rate Loans | — | 112,489,679 | — | 112,489,679 |
Sovereign Government Bonds | — | 49,236,982 | — | 49,236,982 |
Taxable Municipal Obligations | — | 76,019,463 | — | 76,019,463 |
U.S. Government Agencies and Instrumentalities | — | 28,558,475 | — | 28,558,475 |
U.S. Government Agency Mortgage-Backed Securities | — | 210,860,279 | — | 210,860,279 |
U.S. Treasury Obligations | — | 228,677,374 | — | 228,677,374 |
Short-Term Investments: | ||||
Affiliated Fund | — | 100,698,109 | — | 100,698,109 |
Securities Lending Collateral | 11,442,363 | — | — | 11,442,363 |
Total Investments | $27,411,568 | $2,765,841,629 | $ — | $2,793,253,197 |
Futures Contracts | $ 5,232,684 | $ — | $ — | $ 5,232,684 |
Total | $32,644,252 | $2,765,841,629 | $ — | $2,798,485,881 |
Liability Description | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Exchange Contracts | $ — | $ (106,723) | $ — | $ (106,723) |
Futures Contracts | (9,668,500) | — | — | (9,668,500) |
Total | $ (9,668,500) | $ (106,723) | $ — | $ (9,775,223) |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | $5,882,943,343 (2) | $ — | $ — | $ 5,882,943,343 |
Common Stocks - Venture Capital | — | — | 391,301 | 391,301 |
High Social Impact Investments | — | 7,725,284 | — | 7,725,284 |
Preferred Stocks - Venture Capital | — | — | 634,789 | 634,789 |
Venture Capital Limited Partnership Interests | — | — | 17,836,421 | 17,836,421 |
Short-Term Investments | — | 115,328,286 | — | 115,328,286 |
Total Investments | $ 5,882,943,343 | $123,053,570 | $18,862,511 | $6,024,859,424 |
(1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
(2) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Average Daily Net Assets | Annual Fee Rate |
Up to and including $500 million | 0.410% |
Over $500 million up to and including $1 billion | 0.385% |
Over $1 billion | 0.350% |
Average Daily Net Assets | Annual Fee Rate |
Up to and including $1 billion | 0.300% |
Over $1 billion | 0.290% |
Average Daily Net Assets | Annual Fee Rate |
Up to and including $2 billion | 0.500% |
Over $2 billion up to and including $3 billion | 0.425% |
Over $3 billion | 0.375% |
Class A | Class C | Class I | Class R6 | |
Balanced | 0.93% | 1.68% | 0.68% | 0.64% |
Bond | 0.73% | 1.53% | 0.53% | 0.46% |
Equity | 0.99% | 1.74% | 0.74% | 0.67% |
Balanced | Bond | Equity | |
Class A Plan | 0% up to $30 million, 0.25% over $30 million | 0.20% | 0.25% |
Balanced | Bond | Equity | |
Purchases | |||
U.S. Government and Agency Securities | $ 306,458,263 | $ 1,433,133,915 | $ — |
Non-U.S. Government and Agency Securities | 320,071,228 | 742,671,509 | 168,062,319 |
Total Purchases | $626,529,491 | $2,175,805,424 | $168,062,319 |
Sales | |||
U.S. Government and Agency Securities | $ 257,051,134 | $ 1,439,902,832 | $ — |
Non-U.S. Government and Agency Securities | 328,958,917 | 487,529,490 | 131,329,729 |
Total Sales | $586,010,051 | $1,927,432,322 | $131,329,729 |
Balanced | Bond | Equity | |
Aggregate cost | $1,085,136,881 | $2,906,150,846 | $3,137,223,640 |
Gross unrealized appreciation | $ 246,669,832 | $ 6,553,994 | $ 2,909,373,267 |
Gross unrealized depreciation | (28,583,688) | (123,994,182) | (21,737,483) |
Net unrealized appreciation (depreciation) | $ 218,086,144 | $ (117,440,188) | $2,887,635,784 |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Interest rate | Futures contracts | Distributable earnings | $1,412,728 (1) | $(1,363,677) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Risk | Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities |
Foreign exchange | Forward foreign currency exchange contracts | Receivable/Payable for open forward foreign currency exchange contracts | $ — | $ (106,723) |
Interest rate | Futures contracts | Accumulated loss | 5,232,684 (1) | (9,668,500) (1) |
Total | $ 5,232,684 | $(9,775,223) | ||
Derivatives not subject to master netting agreements | $ 5,232,684 | $(9,668,500) | ||
Total Derivatives subject to master netting agreements | $ — | $ (106,723) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(b) |
State Street Bank and Trust Company | $(106,723) | $ — | $ — | $ — | $(106,723) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statements of Operations Caption | |
Net realized gain (loss): | |
Investment securities(1) | $ 25,850 |
Futures contracts | 654,783 |
Total | $ 680,633 |
Change in unrealized appreciation (depreciation): | |
Futures contracts | $ (660,545) |
Total | $(660,545) |
(1) | Relates to purchased options. |
Statements of Operations Caption | Foreign exchange | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ — | $ 790,064 | $ 790,064 |
Forward foreign currency exchange contracts | 26,211 | — | 26,211 |
Futures contracts | — | (1,077,910) | (1,077,910) |
Total | $ 26,211 | $ (287,846) | $ (261,635) |
Change in unrealized appreciation (depreciation): | |||
Forward foreign currency exchange contracts | $ (106,723) | $ — | $ (106,723) |
Futures contracts | — | (8,014,509) | (8,014,509) |
Total | $(106,723) | $(8,014,509) | $(8,121,232) |
(1) | Relates to purchased options. |
Balanced | Bond | |
Futures contracts — long | $73,230,000 | $415,489,000 |
Futures contracts — short | $55,941,000 | $239,129,000 |
Forward foreign currency exchange contracts* | $ — | $ 1,180,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Balanced | Bond | |
Securities on Loan | $ 11,821,586 | $ 27,667,747 |
Collateral Received: | ||
Cash | 10,263,014 | 11,442,363 |
U.S. government and/or agencies securities | 1,784,381 | 17,021,729 |
Total Collateral Received | $12,047,395 | $28,464,092 |
Balanced | Remaining Contractual Maturity of the Transactions | ||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $ 8,735,689 | $ — | $ — | $ — | $ 8,735,689 |
U.S. Treasury Obligations | 1,527,325 | — | — | — | 1,527,325 |
Total | $10,263,014 | $ — | $ — | $ — | $10,263,014 |
Bond | Remaining Contractual Maturity of the Transactions | ||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $11,442,363 | $ — | $ — | $ — | $11,442,363 |
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 |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2017-CLS, Class A, 1.097%, (1 mo. USD LIBOR + 0.70%), 11/15/34 | $ 1,909,605 | $ — | $ — | $ — | $ (8,957) | $ 1,900,700 | $ 8,158 | $ 1,909,000 |
Series 2017-CLS, Class E, 2.347%, (1 mo. USD LIBOR + 1.95%), 11/15/34 | — | 224,824 | — | — | (1,938) | 222,888 | 1,538 | 225,000 |
Series 2017-CLS, Class F, 2.997%, (1 mo. USD LIBOR + 2.60%), 11/15/34 | 412,531 | 214,902 | — | — | (5,415) | 621,919 | 5,844 | 629,000 |
Series 2019-BPR, Class A, 1.797%, (1 mo. USD LIBOR + 1.40%), 5/15/36 | 1,304,268 | — | — | — | (5,175) | 1,299,014 | 10,047 | 1,315,000 |
Series 2019-BPR, Class B, 2.497%, (1 mo. USD LIBOR + 2.10%), 5/15/36 | 366,588 | — | — | — | 9,790 | 376,527 | 4,488 | 386,000 |
Series 2019-BPR, Class C, 3.447%, (1 mo. USD LIBOR + 3.05%), 5/15/36 | 184,857 | — | — | — | 11,778 | 196,635 | 3,289 | 205,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | 2,457,075 | — | — | — | (77,250) | 2,379,825 | 18,750 | 2,500,000 |
Venture Capital Limited Partnership Interests | ||||||||
GEEMF Partners, L.P.(1)(2)(3) | 10,721 | — | — | — | (3,400) | 7,321 | — | — |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 17,702,327 | 203,612,734 | (201,402,027) | (2,200) | (298) | 19,910,536 | 7,070 | 19,912,528 |
Totals | $(2,200) | $ (80,865) | $ 26,915,365 | $ 59,184 |
(1) | Restricted security. |
(2) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
(3) | Non-income producing security. |
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 |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2017-CLS, Class A, 1.097%, (1 mo. USD LIBOR + 0.70%), 11/15/34 | $ 17,033,394 | $ 5,429,406 | $ — | $ — | $ (86,427) | $ 22,375,290 | $ 77,258 | $ 22,473,000 |
Series 2017-CLS, Class B, 1.247%, (1 mo. USD LIBOR + 0.85%), 11/15/34 | — | 3,999,375 | — | — | (20,094) | 3,979,301 | 14,930 | 4,000,000 |
Series 2019-BPR, Class A, 1.797%, (1 mo. USD LIBOR + 1.40%), 5/15/36 | 8,136,055 | — | — | — | (32,568) | 8,103,280 | 62,961 | 8,203,000 |
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%, 12/15/23(1) | $ 4,914,150 | $ — | $ — | $ — | $ (154,500) | $ 4,759,650 | $ 37,500 | $ 5,000,000 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 13,362,609 | 668,045,974 | (580,676,881) | (30,626) | (2,967) | 100,698,109 | 26,373 | 100,708,180 |
Totals | $(30,626) | $(296,556) | $139,915,630 | $219,022 |
(1) | Restricted security. |
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%, 12/15/23(1) | $ 7,833,155 | $ — | $ — | $ — | $ (246,273) | $ 7,586,882 | $ 59,775 | $ 7,970,000 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 138,546,499 | 330,304,161 | (353,496,396) | (14,889) | (11,089) | 115,328,286 | 55,905 | 115,339,820 |
Totals | $(14,889) | $(257,362) | $122,915,168 | $115,680 |
(1) | Restricted security. |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,008,963 | $ 42,213,303 | 2,279,235 | $ 92,983,161 | |
Reinvestment of distributions | 1,348,283 | 56,393,389 | 397,057 | 15,794,829 | |
Shares redeemed | (1,075,845) | (45,081,398) | (1,856,547) | (75,279,097) | |
Converted from Class C | 64,942 | 2,706,085 | 168,547 | 6,660,417 | |
Net increase | 1,346,343 | $ 56,231,379 | 988,292 | $ 40,159,310 |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Shares sold | 177,214 | $ 7,194,484 | 439,525 | $ 17,229,418 | |
Reinvestment of distributions | 112,291 | 4,521,132 | 23,490 | 889,165 | |
Shares redeemed | (144,973) | (5,809,783) | (472,702) | (18,415,788) | |
Converted to Class A | (67,501) | (2,706,085) | (174,827) | (6,660,417) | |
Net increase (decrease) | 77,031 | $ 3,199,748 | (184,514) | $ (6,957,622) | |
Class I | |||||
Shares sold | 1,002,555 | $ 42,576,530 | 2,917,721 | $120,161,052 | |
Reinvestment of distributions | 510,724 | 21,848,557 | 148,967 | 6,081,820 | |
Shares redeemed | (875,403) | (37,311,976) | (1,368,210) | (56,757,304) | |
Net increase | 637,876 | $ 27,113,111 | 1,698,478 | $ 69,485,568 | |
Class R6 | |||||
Shares sold | 140,172 | $ 5,945,501 | 315,799 | $ 12,873,669 | |
Reinvestment of distributions | 22,219 | 949,731 | 6,002 | 245,398 | |
Shares redeemed | (33,372) | (1,447,082) | (176,543) | (7,611,961) | |
Net increase | 129,019 | $ 5,448,150 | 145,258 | $ 5,507,106 |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 2,166,700 | $ 35,626,929 | 5,847,705 | $ 99,119,549 | |
Reinvestment of distributions | 460,228 | 7,604,755 | 600,546 | 10,194,310 | |
Shares redeemed | (2,550,511) | (41,502,710) | (3,644,123) | (61,773,051) | |
Converted from Class C | 33,621 | 550,516 | 180,930 | 3,098,659 | |
Net increase | 110,038 | $ 2,279,490 | 2,985,058 | $ 50,639,467 | |
Class C | |||||
Shares sold | 47,279 | $ 774,625 | 189,227 | $ 3,185,889 | |
Reinvestment of distributions | 13,823 | 227,382 | 19,736 | 332,869 | |
Shares redeemed | (93,360) | (1,528,196) | (166,729) | (2,804,368) | |
Converted to Class A | (33,856) | (550,516) | (182,205) | (3,098,659) | |
Net decrease | (66,114) | $ (1,076,705) | (139,971) | $ (2,384,269) |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 37,227,922 | $ 609,318,653 | 42,951,446 | $ 728,966,874 | |
Reinvestment of distributions | 2,262,913 | 37,397,594 | 2,918,783 | 49,632,871 | |
Shares redeemed | (21,807,766) | (357,064,306) | (25,910,924) | (439,339,983) | |
Net increase | 17,683,069 | $ 289,651,941 | 19,959,305 | $ 339,259,762 | |
Class R6 | |||||
Shares sold | 9,856,265 | $ 162,521,807 | 6,054,120 | $ 102,472,452 | |
Reinvestment of distributions | 347,410 | 5,734,803 | 342,419 | 5,818,329 | |
Shares redeemed | (2,415,940) | (39,459,789) | (3,298,925) | (56,079,404) | |
Net increase | 7,787,735 | $ 128,796,821 | 3,097,614 | $ 52,211,377 |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,171,267 | $ 91,200,826 | 2,596,260 | $ 180,832,787 | |
Reinvestment of distributions | 1,039,306 | 81,876,572 | 780,979 | 51,036,992 | |
Shares redeemed | (1,838,550) | (141,450,935) | (4,237,985) | (298,193,577) | |
Converted from Class C | 56,205 | 4,256,440 | 292,252 | 19,689,368 | |
Net increase (decrease) | 428,228 | $ 35,882,903 | (568,494) | $ (46,634,430) | |
Class C | |||||
Shares sold | 284,718 | $ 11,239,842 | 800,638 | $ 28,981,689 | |
Reinvestment of distributions | 232,685 | 9,195,700 | 158,739 | 5,416,186 | |
Shares redeemed | (277,059) | (10,967,886) | (793,663) | (28,846,589) | |
Converted to Class A | (111,473) | (4,256,440) | (552,405) | (19,689,368) | |
Net increase (decrease) | 128,871 | $ 5,211,216 | (386,691) | $ (14,138,082) | |
Class I | |||||
Shares sold | 5,493,873 | $ 499,907,415 | 12,055,562 | $ 976,388,106 | |
Reinvestment of distributions | 1,052,347 | 97,994,592 | 873,143 | 67,013,757 | |
Shares redeemed | (4,911,320) | (445,350,107) | (17,124,119) | (1,415,474,306) | |
Net increase (decrease) | 1,634,900 | $ 152,551,900 | (4,195,414) | $ (372,072,443) |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class R6 | |||||
Shares sold | 1,271,441 | $ 115,173,482 | 4,379,332 | $ 380,560,595 | |
Reinvestment of distributions | 138,863 | 12,893,398 | 63,494 | 4,860,497 | |
Shares redeemed | (941,581) | (85,230,509) | (2,772,361) | (217,978,480) | |
Net increase | 468,723 | $ 42,836,371 | 1,670,465 | $ 167,442,612 |
Name of Investment | Unfunded Commitment |
First Analysis Private Equity Fund IV, L.P. | $ 60,000 |
Learn Capital Venture Partners III, L.P. | 40,593 |
Total | $100,593 |
Name of Investment | Unfunded Commitment |
Accion Frontier Inclusion Fund L.P. | $ 19,005 |
Adobe Capital Social Mezzanine I L.P. | 5,958 |
Africa Renewable Energy Fund L.P. | 10,449 |
Arborview Capital Partners L.P. | 3,929 |
Bridges Ventures US Sustainable Growth Fund L.P. | 104,268 |
China Environment Fund III L.P. | 1,205 |
Core Innovations Capital I L.P. | 51,766 |
Cross Culture Ventures I L.P. | 47,490 |
DBL Partners III L.P. | 32,575 |
First Analysis Private Equity Fund V L.P. | 18,302 |
Impact Ventures II L.P. | 9,632 |
LeapFrog Financial Inclusion Fund | 78,436 |
New Markets Education Partners L.P. | 51,800 |
New Markets Venture Partners II L.P. | 25,000 |
Owl Ventures L.P. | 20,000 |
Name of Investment | Unfunded Commitment |
Westly Capital Partners Fund II L.P. | $ 93,909 |
Total | $573,724 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Trustees |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Trustee and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 04/29/2005 | 04/29/2005 | (3.65)% | (0.59)% | 6.21% | 5.94% |
Class A with 4.75% Maximum Sales Charge | — | — | (8.23) | (5.30) | 5.18 | 5.42 |
Class C at NAV | 04/29/2005 | 04/29/2005 | (4.01) | (1.30) | 5.42 | 5.21 |
Class C with 1% Maximum Sales Charge | — | — | (4.94) | (2.25) | 5.42 | 5.21 |
Class I at NAV | 05/20/2016 | 04/29/2005 | (3.52) | (0.29) | 6.53 | 6.13 |
Class R6 at NAV | 02/01/2022 | 04/29/2005 | (3.57) | (0.34) | 6.52 | 6.13 |
Bloomberg U.S. Aggregate Bond Index | — | — | (5.92)% | (4.15)% | 2.14% | 2.24% |
Conservative Allocation Blended Benchmark | — | — | (3.34) | 0.10 | 6.11 | 5.73 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.86% | 1.61% | 0.61% | 0.57% |
Top 10 Holdings (% of net assets)* | |
Calvert Bond Fund, Class R6 | 31.9% |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 9.6 |
Calvert Ultra-Short Duration Income Fund, Class R6 | 8.0 |
Calvert Floating-Rate Advantage Fund, Class R6 | 6.2 |
Calvert Flexible Bond Fund, Class R6 | 4.7 |
Calvert Short Duration Income Fund, Class R6 | 4.0 |
Calvert Equity Fund, Class R6 | 3.6 |
Calvert International Equity Fund, Class R6 | 3.5 |
Calvert High Yield Bond Fund, Class R6 | 3.0 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 2.9 |
Total | 77.4% |
* | Excludes cash and cash equivalents. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 04/29/2005 | 04/29/2005 | (2.61)% | 1.44% | 8.82% | 8.18% |
Class A with 4.75% Maximum Sales Charge | — | — | (7.23) | (3.38) | 7.77 | 7.66 |
Class C at NAV | 04/29/2005 | 04/29/2005 | (2.93) | 0.76 | 8.02 | 7.54 |
Class C with 1% Maximum Sales Charge | — | — | (3.86) | (0.20) | 8.02 | 7.54 |
Class I at NAV | 05/20/2016 | 04/29/2005 | (2.45) | 1.74 | 9.13 | 8.37 |
Class R6 at NAV | 02/01/2022 | 04/29/2005 | (2.44) | 1.75 | 9.13 | 8.37 |
Russell 3000® Index | — | — | 3.51% | 11.92% | 15.39% | 14.28% |
Moderate Allocation Blended Benchmark | — | — | (1.27) | 3.58 | 9.25 | 8.50 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
0.86% | 1.61% | 0.61% | 0.57% |
Top 10 Holdings (% of net assets)* | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 12.2% |
Calvert Bond Fund, Class R6 | 9.8 |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 9.7 |
Calvert Ultra-Short Duration Income Fund, Class R6 | 7.4 |
Calvert International Equity Fund, Class R6 | 5.9 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 4.6 |
Calvert International Opportunities Fund, Class R6 | 4.6 |
Calvert Emerging Markets Advancement Fund, Class I | 4.5 |
Calvert International Responsible Index Fund, Class R6 | 4.5 |
Calvert Floating-Rate Advantage Fund, Class R6 | 4.4 |
Total | 67.6% |
* | Excludes cash and cash equivalents. |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class A at NAV | 06/30/2005 | 06/30/2005 | (2.09)% | 2.85% | 11.30% | 10.32% |
Class A with 4.75% Maximum Sales Charge | — | — | (6.74) | (2.05) | 10.22 | 9.79 |
Class C at NAV | 06/30/2005 | 06/30/2005 | (2.46) | 2.10 | 10.47 | 9.50 |
Class C with 1% Maximum Sales Charge | — | — | (3.41) | 1.11 | 10.47 | 9.50 |
Class I at NAV | 05/20/2016 | 06/30/2005 | (1.97) | 3.11 | 11.62 | 10.51 |
Class R6 at NAV | 02/01/2022 | 06/30/2005 | (1.97) | 3.11 | 11.62 | 10.51 |
Russell 3000® Index | — | — | 3.51% | 11.92% | 15.39% | 14.28% |
Growth Allocation Blended Benchmark | — | — | 0.30 | 6.27 | 11.60 | 10.58 |
% Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
Gross | 0.93% | 1.68% | 0.68% | 0.64% |
Net | 0.92 | 1.67 | 0.67 | 0.63 |
Top 10 Holdings (% of net assets)* | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 16.5% |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 15.1 |
Calvert International Equity Fund, Class R6 | 9.3 |
Calvert International Responsible Index Fund, Class R6 | 7.4 |
Calvert International Opportunities Fund, Class R6 | 7.3 |
Calvert Emerging Markets Advancement Fund, Class I | 6.4 |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 6.1 |
Calvert Equity Fund, Class R6 | 5.5 |
Calvert Emerging Markets Equity Fund, Class R6 | 4.9 |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 4.5 |
Total | 83.0% |
* | Excludes cash and cash equivalents. |
1 | Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Russell 3000® Index is an unmanaged index of the 3,000 largest U.S. stocks. MSCI ACWI ex USA Investable Market Index is an unmanaged free-float-adjusted market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets, excluding the United States, with comprehensive coverage of securities in those markets. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Conservative Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 25% Russell 3000® Index, 10% MSCI ACWI ex USA Investable Market Index and 65% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. The Moderate Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 45% Russell 3000® Index, 20% MSCI ACWI ex USA Investable Market Index and 35% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. The Growth Allocation Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 60% Russell 3000® Index, 30% MSCI ACWI ex USA Investable Market Index and 10% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class I is linked to Class A and the performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Effective November 5, 2020, Class C shares automatically convert to Class A shares eight years after purchase. The average annual total returns listed for Class C reflect conversion to Class A shares after eight years. Prior to November 5, 2020, Class C shares automatically converted to Class A shares ten years after purchase. |
Calvert Research and Management became the investment adviser to each Fund on December 31, 2016. Performance reflected prior to such date is that of each Fund’s former investment adviser. | |
3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement for Calvert Growth Allocation Fund that continues through 1/31/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profiles subject to change due to active management. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual * | ||||
Class A | $1,000.00 | $ 963.50 | $1.96 | 0.40% |
Class C | $1,000.00 | $ 959.90 | $5.62 | 1.15% |
Class I | $1,000.00 | $ 964.80 | $0.73 | 0.15% |
Class R6 | $1,000.00 | $ 969.10 | $0.13 | 0.08% |
Hypothetical ** | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.94 | $2.02 | 0.40% |
Class C | $1,000.00 | $1,019.20 | $5.79 | 1.15% |
Class I | $1,000.00 | $1,024.18 | $0.76 | 0.15% |
Class R6 | $1,000.00 | $1,024.53 | $0.40 | 0.08% |
* | Class R6 had not commenced operations on October 1, 2021. Actual expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period); 59/365 for Class R6 (to reflect the period from the commencement of operations on February 1, 2022 to March 31, 2022). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021 (February 1, 2022 for Class R6). Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
** | Hypothetical expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021 (February 1, 2022 for Class R6). Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual * | ||||
Class A | $1,000.00 | $ 973.90 | $1.92 | 0.39% |
Class C | $1,000.00 | $ 970.70 | $5.60 | 1.14% |
Class I | $1,000.00 | $ 975.50 | $0.69 | 0.14% |
Class R6 | $1,000.00 | $ 972.80 | $0.13 | 0.08% |
Hypothetical ** | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.99 | $1.97 | 0.39% |
Class C | $1,000.00 | $1,019.25 | $5.74 | 1.14% |
Class I | $1,000.00 | $1,024.23 | $0.71 | 0.14% |
Class R6 | $1,000.00 | $1,024.53 | $0.40 | 0.08% |
* | Class R6 had not commenced operations on October 1, 2021. Actual expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period); 59/365 for Class R6 (to reflect the period from the commencement of operations on February 1, 2022 to March 31, 2022). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021 (February 1, 2022 for Class R6). Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
** | Hypothetical expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021 (February 1, 2022 for Class R6). Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
Beginning Account Value (10/1/21) | Ending Account Value (3/31/22) | Expenses Paid During Period (10/1/21 – 3/31/22) | Annualized Expense Ratio | |
Actual * | ||||
Class A | $1,000.00 | $ 979.10 | $2.07 | 0.42% |
Class C | $1,000.00 | $ 975.40 | $5.76 | 1.17% |
Class I | $1,000.00 | $ 980.30 | $0.84 | 0.17% |
Class R6 | $1,000.00 | $ 972.10 | $0.13 | 0.08% |
Hypothetical ** | ||||
(5% return per year before expenses) | ||||
Class A | $1,000.00 | $1,022.84 | $2.12 | 0.42% |
Class C | $1,000.00 | $1,019.10 | $5.89 | 1.17% |
Class I | $1,000.00 | $1,024.08 | $0.86 | 0.17% |
Class R6 | $1,000.00 | $1,024.53 | $0.40 | 0.08% |
* | Class R6 had not commenced operations on October 1, 2021. Actual expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period); 59/365 for Class R6 (to reflect the period from the commencement of operations on February 1, 2022 to March 31, 2022). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021 (February 1, 2022 for Class R6). Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
** | Hypothetical expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on September 30, 2021 (February 1, 2022 for Class R6). Expenses do not include fees and expenses incurred indirectly from investment in underlying affiliated funds. |
Mutual Funds — 91.6%(1) |
Security | Shares | Value | |
Equity Funds — 33.8% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 164,327 | $ 5,623,273 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 284,124 | 8,026,505 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 165,824 | 6,588,191 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 183,158 | 9,148,751 | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 997,235 | 30,465,543 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 129,787 | 4,870,910 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 130,643 | 11,436,455 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 680,422 | 8,015,372 | |
Calvert Emerging Markets Equity Fund, Class R6 | 218,867 | 4,053,407 | |
Calvert International Equity Fund, Class R6 | 472,300 | 11,188,783 | |
Calvert International Opportunities Fund, Class R6 | 309,611 | 5,511,082 | |
Calvert Mid-Cap Fund, Class I | 54,675 | 2,446,150 | |
$107,374,422 | |||
Income Funds — 57.8% | |||
Calvert Management Series: | |||
Calvert Flexible Bond Fund, Class R6 | 1,018,476 | $ 15,104,003 | |
Calvert Floating-Rate Advantage Fund, Class R6 | 2,121,045 | 19,746,929 | |
Calvert Social Investment Fund: | |||
Calvert Bond Fund, Class R6 | 6,498,212 | 101,372,103 | |
The Calvert Fund: | |||
Calvert High Yield Bond Fund, Class R6 | 379,086 | 9,643,954 | |
Calvert Short Duration Income Fund, Class R6 | 804,248 | 12,691,034 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 2,592,905 | 25,410,465 | |
$183,968,488 | |||
Total Mutual Funds (identified cost $273,209,343) | $291,342,910 |
U.S. Treasury Obligations — 1.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.75%, 2/15/45(2)(3) | $ | 3,481 | $ 4,000,122 |
Total U.S. Treasury Obligations (identified cost $3,452,788) | $ 4,000,122 |
Short-Term Investments — 7.0% |
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.14%(4) | 22,317,820 | $ 22,315,588 | |
Total Short-Term Investments (identified cost $22,316,402) | $ 22,315,588 | ||
Total Investments — 99.8% (identified cost $298,978,533) | $317,658,620 |
Other Assets, Less Liabilities — 0.2% | $ 546,641 | ||
Net Assets — 100.0% | $318,205,261 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Affiliated fund. |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(4) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 42 | Long | 6/30/22 | $ 8,900,719 | $ (117,600) |
U.S. 5-Year Treasury Note | 190 | Long | 6/30/22 | 21,790,625 | (515,799) |
U.S. 10-Year Treasury Note | 162 | Long | 6/21/22 | 19,905,750 | (534,519) |
U.S. Long Treasury Bond | 49 | Long | 6/21/22 | 7,353,062 | (209,846) |
U.S. Ultra 10-Year Treasury Note | 76 | Long | 6/21/22 | 10,295,625 | (316,448) |
U.S. Ultra-Long Treasury Bond | 17 | Long | 6/21/22 | 3,011,125 | (101,899) |
$(1,796,111) |
Mutual Funds — 91.6%(1) |
Security | Shares | Value | |
Equity Funds — 59.9% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 374,932 | $ 12,830,166 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 680,931 | 19,236,291 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 1,046,546 | 41,579,282 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 399,353 | 19,947,673 | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 1,713,275 | 52,340,538 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 316,407 | 11,874,757 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 211,303 | 18,497,493 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 1,633,849 | 19,246,738 | |
Calvert Emerging Markets Equity Fund, Class R6 | 638,098 | 11,817,573 | |
Calvert International Equity Fund, Class R6 | 1,078,040 | 25,538,758 | |
Calvert International Opportunities Fund, Class R6 | 1,120,602 | 19,946,723 | |
Calvert Mid-Cap Fund, Class I | 97,104 | 4,344,450 | |
$257,200,442 | |||
Income Funds — 31.7% | |||
Calvert Management Series: | |||
Calvert Flexible Bond Fund, Class R6 | 999,932 | $ 14,828,996 | |
Calvert Floating-Rate Advantage Fund, Class R6 | 2,025,481 | 18,857,229 | |
Calvert Social Investment Fund: | |||
Calvert Bond Fund, Class R6 | 2,704,773 | 42,194,453 | |
The Calvert Fund: | |||
Calvert High Yield Bond Fund, Class R6 | 672,660 | 17,112,473 | |
Calvert Short Duration Income Fund, Class R6 | 735,898 | 11,612,466 | |
Calvert Ultra-Short Duration Income Fund, Class R6 | 3,239,199 | 31,744,153 | |
$136,349,770 | |||
Total Mutual Funds (identified cost $330,316,767) | $393,550,212 |
U.S. Treasury Obligations — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.75%, 2/15/45(2)(3) | $ | 5,485 | $ 6,303,348 |
Total U.S. Treasury Obligations (identified cost $5,440,865) | $ 6,303,348 |
Short-Term Investments — 6.7% |
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.14%(4) | 28,854,132 | $ 28,851,246 | |
Total Short-Term Investments (identified cost $28,852,289) | $ 28,851,246 | ||
Total Investments — 99.8% (identified cost $364,609,921) | $428,704,806 |
Other Assets, Less Liabilities — 0.2% | $ 801,243 | ||
Net Assets — 100.0% | $429,506,049 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Affiliated fund. |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(4) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 44 | Long | 6/30/22 | $ 9,324,563 | $ (123,200) |
U.S. 5-Year Treasury Note | 129 | Long | 6/30/22 | 14,794,687 | (350,200) |
U.S. 10-Year Treasury Note | 139 | Long | 6/21/22 | 17,079,625 | (458,630) |
U.S. Long Treasury Bond | 63 | Long | 6/21/22 | 9,453,937 | (269,802) |
U.S. Ultra 10-Year Treasury Note | 42 | Long | 6/21/22 | 5,689,688 | (171,007) |
U.S. Ultra-Long Treasury Bond | (1) | Short | 6/21/22 | (177,125) | 6,068 |
$(1,366,771) |
Mutual Funds — 94.6%(1) |
Security | Shares | Value | |
Equity Funds — 89.4% | |||
Calvert Impact Fund, Inc.: | |||
Calvert Small-Cap Fund, Class R6 | 385,754 | $ 13,200,512 | |
Calvert Responsible Index Series, Inc.: | |||
Calvert International Responsible Index Fund, Class R6 | 822,657 | 23,240,069 | |
Calvert US Large-Cap Core Responsible Index Fund, Class R6 | 1,198,165 | 47,603,091 | |
Calvert US Large-Cap Growth Responsible Index Fund, Class I | 385,709 | 19,266,175 | |
Calvert US Large-Cap Value Responsible Index Fund, Class I | 1,697,573 | 51,860,837 | |
Calvert US Mid-Cap Core Responsible Index Fund, Class I | 376,031 | 14,112,434 | |
Calvert Social Investment Fund: | |||
Calvert Equity Fund, Class R6 | 198,150 | 17,346,082 | |
Calvert World Values Fund, Inc.: | |||
Calvert Emerging Markets Advancement Fund, Class I | 1,709,495 | 20,137,849 | |
Calvert Emerging Markets Equity Fund, Class R6 | 839,109 | 15,540,306 | |
Calvert International Equity Fund, Class R6 | 1,237,487 | 29,316,065 | |
Calvert International Opportunities Fund, Class R6 | 1,280,181 | 22,787,215 | |
Calvert Mid-Cap Fund, Class I | 140,753 | 6,297,275 | |
$280,707,910 | |||
Income Funds — 5.2% | |||
Calvert Management Series: | |||
Calvert Floating-Rate Advantage Fund, Class R6 | 596,014 | $ 5,548,892 | |
The Calvert Fund: | |||
Calvert High Yield Bond Fund, Class R6 | 426,266 | 10,844,217 | |
$ 16,393,109 | |||
Total Mutual Funds (identified cost $240,060,059) | $297,101,019 |
U.S. Treasury Obligations — 1.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Bond, 0.25%, 2/15/50(2)(3) | $ | 3,389 | $ 3,564,267 |
Total U.S. Treasury Obligations (identified cost $3,387,711) | $ 3,564,267 |
Short-Term Investments — 4.2% |
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.14%(4) | 13,236,929 | $ 13,235,605 | |
Total Short-Term Investments (identified cost $13,235,557) | $ 13,235,605 | ||
Total Investments — 99.9% (identified cost $256,683,327) | $313,900,891 |
Other Assets, Less Liabilities — 0.1% | $ 374,345 | ||
Net Assets — 100.0% | $314,275,236 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Affiliated fund. |
(2) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(3) | Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts. |
(4) | Affiliated investment company, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of March 31, 2022. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 19 | Long | 6/30/22 | $ 2,179,063 | $ (51,580) |
U.S. 10-Year Treasury Note | 77 | Long | 6/21/22 | 9,461,375 | (254,061) |
U.S. Long Treasury Bond | 19 | Long | 6/21/22 | 2,851,187 | (81,369) |
U.S. Ultra 10-Year Treasury Note | 24 | Long | 6/21/22 | 3,251,250 | (110,655) |
U.S. Ultra-Long Treasury Bond | (26) | Short | 6/21/22 | (4,605,250) | 157,779 |
$(339,886) |
March 31, 2022 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Assets | |||
Investments in securities of unaffiliated issuers, at value (identified cost $3,452,788, $5,440,865 and $3,387,711, respectively) | $ 4,000,122 | $ 6,303,348 | $ 3,564,267 |
Investments in securities of affiliated issuers, at value (identified cost $295,525,745, $359,169,056 and $253,295,616, respectively) | 313,658,498 | 422,401,458 | 310,336,624 |
Receivable for variation margin on open futures contracts | 153,706 | 115,501 | 15,962 |
Receivable for capital shares sold | 596,279 | 1,203,285 | 629,529 |
Interest receivable | 6,905 | 7,957 | 1,314 |
Dividends receivable - affiliated | 380,412 | 288,458 | 60,476 |
Trustees' deferred compensation plan | 145,684 | 214,260 | 113,612 |
Total assets | $318,941,606 | $430,534,267 | $314,721,784 |
Liabilities | |||
Due to custodian | $ — | $ 107,516 | $ — |
Payable for investments purchased | 391,421 | 296,225 | 61,589 |
Payable for capital shares redeemed | 62,985 | 227,332 | 117,418 |
Payable to affiliates: | |||
Distribution and service fees | 65,530 | 92,077 | 62,380 |
Sub-transfer agency fee | 15,177 | 18,996 | — |
Trustees' deferred compensation plan | 145,684 | 214,260 | 113,612 |
Accrued expenses | 55,548 | 71,812 | 91,549 |
Total liabilities | $ 736,345 | $ 1,028,218 | $ 446,548 |
Net Assets | $318,205,261 | $429,506,049 | $314,275,236 |
Sources of Net Assets | |||
Paid-in capital | $ 300,764,139 | $ 362,820,085 | $ 253,359,557 |
Distributable earnings | 17,441,122 | 66,685,964 | 60,915,679 |
Net Assets | $318,205,261 | $429,506,049 | $314,275,236 |
Class A Shares | |||
Net Assets | $ 210,712,777 | $ 303,715,479 | $ 226,212,405 |
Shares Outstanding | 11,563,858 | 13,910,043 | 8,829,533 |
Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 18.22 | $ 21.83 | $ 25.62 |
Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $ 19.13 | $ 22.92 | $ 26.90 |
Class C Shares | |||
Net Assets | $ 24,266,208 | $ 34,017,331 | $ 18,507,795 |
Shares Outstanding | 1,349,106 | 1,659,646 | 867,970 |
Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $ 17.99 | $ 20.50 | $ 21.32 |
Class I Shares | |||
Net Assets | $ 83,216,583 | $ 91,763,513 | $ 69,545,317 |
Shares Outstanding | 4,563,452 | 4,198,002 | 2,701,209 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 18.24 | $ 21.86 | $ 25.75 |
March 31, 2022 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Class R6 Shares | |||
Net Assets | $ 9,693 | $ 9,726 | $ 9,719 |
Shares Outstanding | 532 | 445 | 378 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding, including fractional shares) | $ 18.23 | $ 21.86 | $ 25.75 |
On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
* | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
Six Months Ended March 31, 2022 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Investment Income | |||
Dividend income - affiliated issuers | $ 2,969,249 | $ 4,228,117 | $ 2,960,984 |
Interest income | 113,715 | 179,126 | 101,643 |
Total investment income | $ 3,082,964 | $ 4,407,243 | $ 3,062,627 |
Expenses | |||
Distribution and service fees: | |||
Class A | $ 268,445 | $ 391,245 | $ 287,276 |
Class C | 130,713 | 179,044 | 95,243 |
Trustees' fees and expenses | 6,388 | 8,702 | 6,122 |
Custodian fees | 744 | 311 | 231 |
Transfer agency fees and expenses | 136,927 | 197,668 | 180,095 |
Accounting fees | 15,596 | 24,720 | 15,330 |
Professional fees | 15,282 | 15,728 | 14,618 |
Registration fees | 46,177 | 42,636 | 35,522 |
Reports to shareholders | 6,128 | 6,710 | 6,437 |
Miscellaneous | 7,667 | 7,765 | 7,919 |
Total expenses | $ 634,067 | $ 874,529 | $ 648,793 |
Net investment income | $ 2,448,897 | $ 3,532,714 | $ 2,413,834 |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss): | |||
Investment securities | $ 31,829 | $ 49,022 | $ 59,841 |
Investment securities - affiliated issuers | 4,182 | 1,357,154 | (620,502) |
Futures contracts | (2,076,602) | (1,544,591) | 223,438 |
Written options | 95,709 | 174,104 | 195,197 |
Capital gains distributions received from affiliated issuers | 4,361,727 | 8,196,394 | 7,817,649 |
Net realized gain | $ 2,416,845 | $ 8,232,083 | $ 7,675,623 |
Change in unrealized appreciation (depreciation): | |||
Investment securities | $ (227,716) | $ (346,509) | $ (171,833) |
Investment securities - affiliated issuers | (15,297,739) | (21,613,641) | (16,284,641) |
Futures contracts | (1,373,570) | (1,121,024) | (536,004) |
Written options | 19,211 | 36,675 | 40,167 |
Net change in unrealized appreciation (depreciation) | $(16,879,814) | $(23,044,499) | $(16,952,311) |
Net realized and unrealized loss | $(14,462,969) | $(14,812,416) | $ (9,276,688) |
Net decrease in net assets from operations | $(12,014,072) | $(11,279,702) | $ (6,862,854) |
Six Months Ended March 31, 2022 (Unaudited) | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 2,448,897 | $ 3,532,714 | $ 2,413,834 |
Net realized gain | 2,416,845 | 8,232,083 | 7,675,623 |
Net change in unrealized appreciation (depreciation) | (16,879,814) | (23,044,499) | (16,952,311) |
Net decrease in net assets from operations | $ (12,014,072) | $ (11,279,702) | $ (6,862,854) |
Distributions to shareholders: | |||
Class A | $ (8,112,312) | $ (14,994,030) | $ (8,025,816) |
Class C | (896,854) | (1,706,175) | (660,905) |
Class I | (2,755,050) | (4,476,182) | (2,187,032) |
Class R6(1) | (26) | (17) | — |
Total distributions to shareholders | $ (11,764,242) | $ (21,176,404) | $ (10,873,753) |
Capital share transactions: | |||
Class A | $ 15,155,286 | $ 14,385,429 | $ 14,966,577 |
Class C | (871,920) | 333,159 | 1,034,013 |
Class I | 26,657,264 | 7,905,818 | 18,342,248 |
Class R6(1) | 10,026 | 10,017 | 10,000 |
Net increase in net assets from capital share transactions | $ 40,950,656 | $ 22,634,423 | $ 34,352,838 |
Net increase (decrease) in net assets | $ 17,172,342 | $ (9,821,683) | $ 16,616,231 |
Net Assets | |||
At beginning of period | $ 301,032,919 | $ 439,327,732 | $ 297,659,005 |
At end of period | $318,205,261 | $429,506,049 | $314,275,236 |
(1) | For the period from the commencement of operations, February 1, 2022, to March 31, 2022. |
Year Ended September 30, 2021 | |||
Conservative Allocation Fund | Moderate Allocation Fund | Growth Allocation Fund | |
Increase (Decrease) in Net Assets | |||
From operations: | |||
Net investment income | $ 3,494,848 | $ 3,930,762 | $ 1,019,944 |
Net realized gain | 10,041,017 | 16,952,944 | 7,018,472 |
Net change in unrealized appreciation (depreciation) | 15,109,909 | 44,627,542 | 45,190,340 |
Net increase in net assets from operations | $ 28,645,774 | $ 65,511,248 | $ 53,228,756 |
Distributions to shareholders: | |||
Class A | $ (7,555,578) | $ (11,455,609) | $ (5,971,036) |
Class C | (885,825) | (1,303,488) | (555,944) |
Class I | (2,113,609) | (3,258,054) | (959,883) |
Total distributions to shareholders | $ (10,555,012) | $ (16,017,151) | $ (7,486,863) |
Capital share transactions: | |||
Class A | $ 21,690,288 | $ 16,528,914 | $ 29,969,401 |
Class C | (3,896,996) | (2,684,281) | (1,206,936) |
Class I | 19,302,335 | 23,376,837 | 31,370,919 |
Net increase in net assets from capital share transactions | $ 37,095,627 | $ 37,221,470 | $ 60,133,384 |
Net increase in net assets | $ 55,186,389 | $ 86,715,567 | $105,875,277 |
Net Assets | |||
At beginning of year | $ 245,846,530 | $ 352,612,165 | $ 191,783,728 |
At end of year | $301,032,919 | $439,327,732 | $297,659,005 |
Conservative Allocation Fund — Class A | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 19.63 | $ 18.34 | $ 17.57 | $ 17.25 | $ 17.25 | $ 16.48 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.15 | $ 0.25 | $ 0.30 | $ 0.37 | $ 0.33 | $ 0.30 |
Net realized and unrealized gain (loss) | (0.83) | 1.80 | 1.17 | 0.70 | 0.36 | 0.96 |
Total income (loss) from operations | $ (0.68) | $ 2.05 | $ 1.47 | $ 1.07 | $ 0.69 | $ 1.26 |
Less Distributions | ||||||
From net investment income | $ (0.24) | $ (0.29) | $ (0.32) | $ (0.41) | $ (0.42) | $ (0.33) |
From net realized gain | (0.49) | (0.47) | (0.38) | (0.34) | (0.27) | (0.16) |
Total distributions | $ (0.73) | $ (0.76) | $ (0.70) | $ (0.75) | $ (0.69) | $ (0.49) |
Net asset value — End of period | $ 18.22 | $ 19.63 | $ 18.34 | $ 17.57 | $ 17.25 | $ 17.25 |
Total Return(2) | (3.65)% (3) | 11.37% | 8.66% | 6.57% | 4.08% | 7.84% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $210,713 | $211,702 | $177,060 | $159,188 | $150,237 | $138,512 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 0.40% (6) | 0.40% | 0.41% | 0.44% | 0.44% | 0.51% |
Net expenses(5) | 0.40% (6) | 0.40% | 0.41% | 0.44% | 0.44% | 0.44% |
Net investment income | 1.57% (6) | 1.28% | 1.70% | 2.18% | 1.93% | 1.77% |
Portfolio Turnover | 9% (3) | 23% | 36% | 85% | 94% | 46% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Conservative Allocation Fund — Class C | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 19.39 | $ 18.11 | $ 17.36 | $ 17.05 | $ 17.06 | $ 16.28 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.08 | $ 0.10 | $ 0.17 | $ 0.25 | $ 0.20 | $ 0.17 |
Net realized and unrealized gain (loss) | (0.82) | 1.80 | 1.15 | 0.68 | 0.36 | 0.96 |
Total income (loss) from operations | $ (0.74) | $ 1.90 | $ 1.32 | $ 0.93 | $ 0.56 | $ 1.13 |
Less Distributions | ||||||
From net investment income | $ (0.17) | $ (0.15) | $ (0.19) | $ (0.28) | $ (0.30) | $ (0.19) |
From net realized gain | (0.49) | (0.47) | (0.38) | (0.34) | (0.27) | (0.16) |
Total distributions | $ (0.66) | $ (0.62) | $ (0.57) | $ (0.62) | $ (0.57) | $ (0.35) |
Net asset value — End of period | $ 17.99 | $ 19.39 | $ 18.11 | $ 17.36 | $ 17.05 | $ 17.06 |
Total Return(2) | (4.01)% (3) | 10.62% | 7.81% | 5.77% | 3.30% | 7.04% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $24,266 | $27,062 | $29,017 | $29,828 | $33,843 | $33,661 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 1.15% (6) | 1.15% | 1.15% | 1.19% | 1.19% | 1.30% |
Net expenses(5) | 1.15% (6) | 1.15% | 1.15% | 1.19% | 1.19% | 1.19% |
Net investment income | 0.82% (6) | 0.54% | 0.97% | 1.47% | 1.17% | 1.03% |
Portfolio Turnover | 9% (3) | 23% | 36% | 85% | 94% | 46% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Conservative Allocation Fund — Class I | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 19.65 | $ 18.35 | $ 17.58 | $ 17.25 | $ 17.23 | $ 16.48 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.17 | $ 0.29 | $ 0.34 | $ 0.42 | $ 0.41 | $ 0.40 |
Net realized and unrealized gain (loss) | (0.82) | 1.82 | 1.18 | 0.70 | 0.34 | 0.91 |
Total income (loss) from operations | $ (0.65) | $ 2.11 | $ 1.52 | $ 1.12 | $ 0.75 | $ 1.31 |
Less Distributions | ||||||
From net investment income | $ (0.27) | $ (0.34) | $ (0.37) | $ (0.45) | $ (0.46) | $ (0.40) |
From net realized gain | (0.49) | (0.47) | (0.38) | (0.34) | (0.27) | (0.16) |
Total distributions | $ (0.76) | $ (0.81) | $ (0.75) | $ (0.79) | $ (0.73) | $ (0.56) |
Net asset value — End of period | $ 18.24 | $ 19.65 | $ 18.35 | $ 17.58 | $ 17.25 | $17.23 |
Total Return(2) | (3.52)% (3) | 11.70% | 8.93% | 6.89% | 4.40% | 8.22% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $83,217 | $62,269 | $39,770 | $28,288 | $19,605 | $ 3,052 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 0.15% (6) | 0.15% | 0.16% | 0.19% | 0.19% | 1.43% |
Net expenses(5) | 0.15% (6) | 0.15% | 0.16% | 0.16% | 0.09% | 0.09% |
Net investment income | 1.80% (6) | 1.51% | 1.93% | 2.44% | 2.36% | 2.37% |
Portfolio Turnover | 9% (3) | 23% | 36% | 85% | 94% | 46% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Conservative Allocation Fund — Class R6 | |
Period Ended March 31, 2022(1) (Unaudited) | |
Net asset value — Beginning of period | $ 18.86 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.04 |
Net realized and unrealized loss | (0.62) |
Total loss from operations | $ (0.58) |
Less Distributions | |
From net investment income | $ (0.05) |
Total distributions | $ (0.05) |
Net asset value — End of period | $18.23 |
Total Return(3) | (3.09)% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 10 |
Ratios (as a percentage of average daily net assets):(5) | |
Total expenses(6) | 0.08% (7) |
Net expenses(6) | 0.08% (7) |
Net investment income | 1.39% (7) |
Portfolio Turnover | 9% (4)(8) |
(1) | For the period from the commencement of operations, February 1, 2022, to March 31, 2022. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
(8) | For the six months ended March 31, 2022. |
Moderate Allocation Fund — Class A | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 23.50 | $ 20.66 | $ 19.49 | $ 19.77 | $ 19.32 | $ 17.86 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.19 | $ 0.22 | $ 0.26 | $ 0.31 | $ 0.29 | $ 0.28 |
Net realized and unrealized gain (loss) | (0.74) | 3.54 | 1.73 | 0.43 | 1.15 | 1.93 |
Total income (loss) from operations | $ (0.55) | $ 3.76 | $ 1.99 | $ 0.74 | $ 1.44 | $ 2.21 |
Less Distributions | ||||||
From net investment income | $ (0.35) | $ (0.25) | $ (0.26) | $ (0.40) | $ (0.47) | $ (0.28) |
From net realized gain | (0.77) | (0.67) | (0.56) | (0.62) | (0.52) | (0.47) |
Total distributions | $ (1.12) | $ (0.92) | $ (0.82) | $ (1.02) | $ (0.99) | $ (0.75) |
Net asset value — End of period | $ 21.83 | $ 23.50 | $ 20.66 | $ 19.49 | $ 19.77 | $ 19.32 |
Total Return(2) | (2.61)% (3) | 18.53% | 10.44% | 4.44% | 7.62% | 12.86% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $303,715 | $312,287 | $259,726 | $247,372 | $231,146 | $213,343 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 0.39% (6) | 0.39% | 0.41% | 0.42% | 0.43% | 0.50% |
Net expenses(5) | 0.39% (6) | 0.39% | 0.41% | 0.42% | 0.43% | 0.44% |
Net investment income | 1.61% (6) | 0.98% | 1.32% | 1.65% | 1.47% | 1.52% |
Portfolio Turnover | 11% (3) | 26% | 35% | 89% | 73% | 45% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Moderate Allocation Fund — Class C | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 22.14 | $ 19.56 | $ 18.52 | $ 18.84 | $ 18.37 | $ 17.11 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.09 | $ 0.05 | $ 0.11 | $ 0.19 | $ 0.13 | $ 0.14 |
Net realized and unrealized gain (loss) | (0.67) | 3.33 | 1.64 | 0.38 | 1.10 | 1.84 |
Total income (loss) from operations | $ (0.58) | $ 3.38 | $ 1.75 | $ 0.57 | $ 1.23 | $ 1.98 |
Less Distributions | ||||||
From net investment income | $ (0.29) | $ (0.13) | $ (0.15) | $ (0.27) | $ (0.24) | $ (0.25) |
From net realized gain | (0.77) | (0.67) | (0.56) | (0.62) | (0.52) | (0.47) |
Total distributions | $ (1.06) | $ (0.80) | $ (0.71) | $ (0.89) | $ (0.76) | $ (0.72) |
Net asset value — End of period | $ 20.50 | $ 22.14 | $ 19.56 | $ 18.52 | $ 18.84 | $ 18.37 |
Total Return(2) | (2.93)% (3) | 17.60% | 9.62% | 3.68% | 6.83% | 12.02% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $34,017 | $36,398 | $34,674 | $36,679 | $45,880 | $42,529 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 1.14% (6) | 1.14% | 1.16% | 1.17% | 1.18% | 1.29% |
Net expenses(5) | 1.14% (6) | 1.14% | 1.16% | 1.17% | 1.18% | 1.19% |
Net investment income | 0.86% (6) | 0.24% | 0.59% | 1.04% | 0.72% | 0.77% |
Portfolio Turnover | 11% (3) | 26% | 35% | 89% | 73% | 45% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Moderate Allocation Fund — Class I | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 23.52 | $ 20.68 | $ 19.51 | $ 19.79 | $ 19.36 | $ 17.85 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.21 | $ 0.28 | $ 0.30 | $ 0.35 | $ 0.33 | $ 0.26 |
Net realized and unrealized gain (loss) | (0.72) | 3.54 | 1.74 | 0.44 | 1.19 | 2.02 |
Total income (loss) from operations | $ (0.51) | $ 3.82 | $ 2.04 | $ 0.79 | $ 1.52 | $ 2.28 |
Less Distributions | ||||||
From net investment income | $ (0.38) | $ (0.31) | $ (0.31) | $ (0.45) | $ (0.57) | $ (0.30) |
From net realized gain | (0.77) | (0.67) | (0.56) | (0.62) | (0.52) | (0.47) |
Total distributions | $ (1.15) | $ (0.98) | $ (0.87) | $ (1.07) | $ (1.09) | $ (0.77) |
Net asset value — End of period | $ 21.86 | $ 23.52 | $ 20.68 | $ 19.51 | $ 19.79 | $19.36 |
Total Return(2) | (2.45)% (3) | 18.80% | 10.71% | 4.69% | 8.04% | 13.26% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $91,764 | $90,643 | $58,212 | $42,444 | $29,145 | $ 9,124 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 0.14% (6) | 0.14% | 0.16% | 0.17% | 0.17% | 0.55% |
Net expenses(5) | 0.14% (6) | 0.14% | 0.16% | 0.14% | 0.09% | 0.09% |
Net investment income | 1.85% (6) | 1.22% | 1.51% | 1.83% | 1.70% | 1.43% |
Portfolio Turnover | 11% (3) | 26% | 35% | 89% | 73% | 45% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Moderate Allocation Fund — Class R6 | |
Period Ended March 31, 2022(1) (Unaudited) | |
Net asset value — Beginning of period | $ 22.51 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.03 |
Net realized and unrealized loss | (0.64) |
Total loss from operations | $ (0.61) |
Less Distributions | |
From net investment income | $ (0.04) |
Total distributions | $ (0.04) |
Net asset value — End of period | $21.86 |
Total Return(3) | (2.72)% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 10 |
Ratios (as a percentage of average daily net assets):(5) | |
Total expenses(6) | 0.08% (7) |
Net expenses(6) | 0.08% (7) |
Net investment income | 0.79% (7) |
Portfolio Turnover | 11% (4)(8) |
(1) | For the period from the commencement of operations, February 1, 2022, to March 31, 2022. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
(8) | For the six months ended March 31, 2022. |
Growth Allocation Fund — Class A | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 27.07 | $ 22.15 | $ 20.38 | $ 21.16 | $ 20.27 | $ 18.12 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.21 | $ 0.11 | $ 0.18 | $ 0.20 | $ 0.22 | $ 0.23 |
Net realized and unrealized gain (loss) | (0.71) | 5.63 | 2.35 | 0.15 | 1.79 | 2.82 |
Total income (loss) from operations | $ (0.50) | $ 5.74 | $ 2.53 | $ 0.35 | $ 2.01 | $ 3.05 |
Less Distributions | ||||||
From net investment income | $ (0.49) | $ (0.12) | $ (0.20) | $ (0.36) | $ (0.44) | $ (0.23) |
From net realized gain | (0.46) | (0.70) | (0.56) | (0.77) | (0.68) | (0.67) |
Total distributions | $ (0.95) | $ (0.82) | $ (0.76) | $ (1.13) | $ (1.12) | $ (0.90) |
Net asset value — End of period | $ 25.62 | $ 27.07 | $ 22.15 | $ 20.38 | $ 21.16 | $ 20.27 |
Total Return(2) | (2.09)% (3) | 26.32% | 12.52% | 2.56% | 10.19% | 17.59% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $226,212 | $224,233 | $157,659 | $136,474 | $129,981 | $116,680 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 0.42% (6) | 0.44% | 0.47% | 0.52% | 0.52% | 0.60% |
Net expenses(5) | 0.42% (6) | 0.43% | 0.43% | 0.43% | 0.43% | 0.43% |
Net investment income | 1.57% (6) | 0.43% | 0.87% | 1.04% | 1.07% | 1.24% |
Portfolio Turnover | 6% (3) | 17% | 43% | 92% | 64% | 55% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Growth Allocation Fund — Class C | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 22.61 | $ 18.63 | $ 17.26 | $ 18.10 | $ 17.50 | $ 15.85 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ 0.09 | $ (0.06) | $ 0.02 | $ 0.08 | $ 0.06 | $ 0.08 |
Net realized and unrealized gain (loss) | (0.59) | 4.72 | 1.98 | 0.08 | 1.53 | 2.45 |
Total income (loss) from operations | $ (0.50) | $ 4.66 | $ 2.00 | $ 0.16 | $ 1.59 | $ 2.53 |
Less Distributions | ||||||
From net investment income | $ (0.33) | $ — | $ (0.07) | $ (0.23) | $ (0.31) | $ (0.21) |
From net realized gain | (0.46) | (0.68) | (0.56) | (0.77) | (0.68) | (0.67) |
Total distributions | $ (0.79) | $ (0.68) | $ (0.63) | $ (1.00) | $ (0.99) | $ (0.88) |
Net asset value — End of period | $ 21.32 | $ 22.61 | $ 18.63 | $ 17.26 | $ 18.10 | $ 17.50 |
Total Return(2) | (2.46)% (3) | 25.38% | 11.67% | 1.80% | 9.39% | 16.72% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $18,508 | $18,612 | $16,419 | $15,189 | $19,372 | $18,045 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 1.17% (6) | 1.19% | 1.22% | 1.27% | 1.27% | 1.42% |
Net expenses(5) | 1.17% (6) | 1.18% | 1.18% | 1.18% | 1.18% | 1.18% |
Net investment income (loss) | 0.83% (6) | (0.28)% | 0.13% | 0.48% | 0.33% | 0.52% |
Portfolio Turnover | 6% (3) | 17% | 43% | 92% | 64% | 55% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Growth Allocation Fund — Class I | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 27.23 | $ 22.27 | $ 20.48 | $ 21.26 | $ 20.35 | $ 18.14 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.23 | $ 0.14 | $ 0.21 | $ 0.24 | $ 0.25 | $ 0.36 |
Net realized and unrealized gain (loss) | (0.69) | 5.69 | 2.39 | 0.16 | 1.84 | 2.77 |
Total income (loss) from operations | $ (0.46) | $ 5.83 | $ 2.60 | $ 0.40 | $ 2.09 | $ 3.13 |
Less Distributions | ||||||
From net investment income | $ (0.56) | $ (0.17) | $ (0.25) | $ (0.41) | $ (0.50) | $ (0.25) |
From net realized gain | (0.46) | (0.70) | (0.56) | (0.77) | (0.68) | (0.67) |
Total distributions | $ (1.02) | $ (0.87) | $ (0.81) | $ (1.18) | $ (1.18) | $ (0.92) |
Net asset value — End of period | $ 25.75 | $ 27.23 | $ 22.27 | $ 20.48 | $ 21.26 | $20.35 |
Total Return(2) | (1.97)% (3) | 26.63% | 12.81% | 2.84% | 10.57% | 18.02% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $69,545 | $54,814 | $17,706 | $11,864 | $11,938 | $ 1,790 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses(5) | 0.17% (6) | 0.19% | 0.22% | 0.27% | 0.26% | 1.76% |
Net expenses(5) | 0.17% (6) | 0.18% | 0.18% | 0.15% | 0.08% | 0.08% |
Net investment income | 1.74% (6) | 0.52% | 1.03% | 1.23% | 1.20% | 1.91% |
Portfolio Turnover | 6% (3) | 17% | 43% | 92% | 64% | 55% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Amounts do not include the expenses of the Underlying Funds. |
(6) | Annualized. |
Growth Allocation Fund — Class R6 | |
Period Ended March 31, 2022(1) (Unaudited) | |
Net asset value — Beginning of period | $ 26.49 |
Income (Loss) From Operations | |
Net investment income(2) | $ 0.01 |
Net realized and unrealized loss | (0.75) |
Total loss from operations | $ (0.74) |
Net asset value — End of period | $25.75 |
Total Return(3) | (2.79)% (4) |
Ratios/Supplemental Data | |
Net assets, end of period (000’s omitted) | $ 10 |
Ratios (as a percentage of average daily net assets):(5) | |
Total expenses(6) | 0.08% (7) |
Net expenses(6) | 0.08% (7) |
Net investment income | 0.17% (7) |
Portfolio Turnover | 6% (4)(8) |
(1) | For the period from the commencement of operations, February 1, 2022, to March 31, 2022. |
(2) | Computed using average shares outstanding. |
(3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
(4) | Not annualized. |
(5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(6) | Amounts do not include the expenses of the Underlying Funds. |
(7) | Annualized. |
(8) | For the six months ended March 31, 2022. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 291,342,910 | $ — | $ — | $ 291,342,910 |
U.S. Treasury Obligations | — | 4,000,122 | — | 4,000,122 |
Short-Term Investments | — | 22,315,588 | — | 22,315,588 |
Total Investments | $291,342,910 | $26,315,710 | $ — | $317,658,620 |
Liability Description | ||||
Futures Contracts | $ (1,796,111) | $ — | $ — | $ (1,796,111) |
Total | $ (1,796,111) | $ — | $ — | $ (1,796,111) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 393,550,212 | $ — | $ — | $ 393,550,212 |
U.S. Treasury Obligations | — | 6,303,348 | — | 6,303,348 |
Short-Term Investments | — | 28,851,246 | — | 28,851,246 |
Total Investments | $393,550,212 | $35,154,594 | $ — | $428,704,806 |
Futures Contracts | $ 6,068 | $ — | $ — | $ 6,068 |
Total | $393,556,280 | $35,154,594 | $ — | $428,710,874 |
Liability Description | ||||
Futures Contracts | $ (1,372,839) | $ — | $ — | $ (1,372,839) |
Total | $ (1,372,839) | $ — | $ — | $ (1,372,839) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Mutual Funds | $ 297,101,019 | $ — | $ — | $ 297,101,019 |
U.S. Treasury Obligations | — | 3,564,267 | — | 3,564,267 |
Short-Term Investments | — | 13,235,605 | — | 13,235,605 |
Total Investments | $297,101,019 | $16,799,872 | $ — | $313,900,891 |
Futures Contracts | $ 157,779 | $ — | $ — | $ 157,779 |
Total | $297,258,798 | $16,799,872 | $ — | $314,058,670 |
Liability Description | ||||
Futures Contracts | $ (497,665) | $ — | $ — | $ (497,665) |
Total | $ (497,665) | $ — | $ — | $ (497,665) |
Conservative | Moderate | Growth | |
Purchases | |||
Non-U.S. Government and Agency Securities | $70,885,750 | $61,697,674 | $58,199,129 |
Sales | |||
Non-U.S. Government and Agency Securities | $24,451,229 | $42,756,553 | $17,128,922 |
Conservative | Moderate | Growth | |
Aggregate cost | $299,525,726 | $365,514,833 | $256,907,327 |
Gross unrealized appreciation | $ 23,653,981 | $ 65,837,649 | $ 57,074,265 |
Gross unrealized depreciation | (7,317,198) | (4,014,447) | (420,587) |
Net unrealized appreciation | $ 16,336,783 | $ 61,823,202 | $ 56,653,678 |
Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ — | $(1,796,111) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $6,068 (1) | $(1,372,839) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Derivative | Statements of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $157,779 (1) | $(497,665) (1) |
(1) | Only the current day's variation margin is reported within the Statements of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statements of Operations Caption | Equity price | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ 31,829 | $ — | $ 31,829 |
Futures contracts | — | (2,076,602) | (2,076,602) |
Written options | 95,709 | — | 95,709 |
Total | $127,538 | $(2,076,602) | $(1,949,064) |
Change in unrealized appreciation (depreciation): | |||
Investment securities(1) | $ 36,976 | $ — | $ 36,976 |
Futures contracts | — | (1,373,570) | (1,373,570) |
Written options | 19,211 | — | 19,211 |
Total | $ 56,187 | $(1,373,570) | $(1,317,383) |
(1) | Relates to purchased options. |
Statements of Operations Caption | Equity price | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ 49,022 | $ — | $ 49,022 |
Futures contracts | — | (1,544,591) | (1,544,591) |
Written options | 174,104 | — | 174,104 |
Total | $223,126 | $(1,544,591) | $(1,321,465) |
Change in unrealized appreciation (depreciation): | |||
Investment securities(1) | $ 70,590 | $ — | $ 70,590 |
Futures contracts | — | (1,121,024) | (1,121,024) |
Written options | 36,675 | — | 36,675 |
Total | $107,265 | $(1,121,024) | $(1,013,759) |
(1) | Relates to purchased options. |
Statements of Operations Caption | Equity price | Interest rate | Total |
Net realized gain (loss): | |||
Investment securities(1) | $ 59,841 | $ — | $ 59,841 |
Futures contracts | — | 223,438 | 223,438 |
Written options | 195,197 | — | 195,197 |
Total | $255,038 | $ 223,438 | $ 478,476 |
Change in unrealized appreciation (depreciation): | |||
Investment securities(1) | $ 77,313 | $ — | $ 77,313 |
Futures contracts | — | (536,004) | (536,004) |
Written options | 40,167 | — | 40,167 |
Total | $117,480 | $(536,004) | $(418,524) |
(1) | Relates to purchased options. |
Conservative | Moderate | Growth | |
Futures contracts — long | $54,386,000 | $43,878,000 | $10,404,000 |
Futures contracts — short | $ — | $ 192,000 | $ 7,711,000 |
Purchased options | 6 | 11 | 12 |
Written options | (7) | (13) | (14) |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares/Units, end of period |
Bond Fund, Class R6 | $77,659,304 | $31,499,949 | $ (475,693) | $ (38,171) | $ (7,273,286) | $ 101,372,103 | $ 961,231 | $ 985,379 | 6,498,212 |
Cash Reserves Fund, LLC | 36,741,730 | 39,219,334 | (53,639,811) | (2,926) | (2,739) | 22,315,588 | 11,551 | — | 22,317,820 |
Emerging Markets Advancement Fund, Class I | 5,847,825 | 2,559,311 | — | — | (391,764) | 8,015,372 | 35,507 | 233,243 | 680,422 |
Emerging Markets Equity Fund, Class R6 | 5,034,476 | 549,485 | (931,666) | (35,608) | (563,280) | 4,053,407 | 38,951 | — | 218,867 |
Equity Fund, Class R6 | 8,789,733 | 3,842,314 | (828,244) | 1,163 | (368,511) | 11,436,455 | 19,379 | 350,891 | 130,643 |
Flexible Bond Fund, Class R6 | 16,578,282 | 1,939,096 | (2,579,622) | (68,258) | (765,495) | 15,104,003 | 197,102 | 181,222 | 1,018,476 |
Floating-Rate Advantage Fund, Class R6 | 20,511,732 | 2,068,172 | (2,378,623) | (60,097) | (394,255) | 19,746,929 | 424,712 | — | 2,121,045 |
High Yield Bond Fund, Class R6 | 3,033,107 | 6,920,033 | (63,426) | (4,157) | (241,603) | 9,643,954 | 91,831 | — | 379,086 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares/Units, end of period |
International Equity Fund, Class R6 | $ 9,524,109 | $ 4,152,339 | $ (1,075,254) | $ (114,629) | $ (1,297,782) | $ 11,188,783 | $ 115,485 | $ 507,275 | 472,300 |
International Opportunities Fund, Class R6 | 8,067,159 | 1,212,227 | (2,362,130) | 188,061 | (1,594,235) | 5,511,082 | 105,292 | 406,994 | 309,611 |
International Responsible Index Fund, Class R6 | 7,255,748 | 1,286,772 | — | — | (516,015) | 8,026,505 | 159,175 | — | 284,124 |
Mid-Cap Fund, Class I | 2,180,760 | 526,799 | — | — | (261,409) | 2,446,150 | 3,525 | 233,995 | 54,675 |
Short Duration Income Fund, Class R6 | 12,021,656 | 1,448,033 | (158,587) | (7,018) | (613,050) | 12,691,034 | 113,520 | 78,718 | 804,248 |
Small-Cap Fund, Class R6 | 3,710,141 | 2,231,844 | (190,277) | (12,312) | (116,123) | 5,623,273 | 6,359 | 254,367 | 164,327 |
Ultra-Short Duration Income Fund, Class R6 | 31,530,433 | 2,952,100 | (8,673,825) | (72,284) | (325,959) | 25,410,465 | 128,840 | — | 2,592,905 |
US Large-Cap Core Responsible Index Fund, Class R6 | 5,837,809 | 992,054 | (318,752) | 4,914 | 72,166 | 6,588,191 | 54,127 | 15,572 | 165,824 |
US Large-Cap Growth Responsible Index Fund, Class I | 8,020,619 | 1,726,584 | (606,022) | 24,687 | (17,117) | 9,148,751 | 35,539 | 131,054 | 183,158 |
US Large-Cap Value Responsible Index Fund, Class I | 30,177,417 | 4,236,609 | (3,745,682) | 206,128 | (408,929) | 30,465,543 | 443,837 | 876,451 | 997,235 |
US Mid-Cap Core Responsible Index Fund, Class I | 4,415,971 | 742,029 | (63,426) | (5,311) | (218,353) | 4,870,910 | 23,286 | 106,566 | 129,787 |
Totals | $ 4,182 | $(15,297,739) | $313,658,498 | $2,969,249 | $4,361,727 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares/Units, end of period |
Bond Fund, Class R6 | $34,196,342 | $11,120,442 | $ (132,471) | $ (6,550) | $ (2,983,310) | $ 42,194,453 | $ 395,383 | $ 406,228 | 2,704,773 |
Cash Reserves Fund, LLC | 38,142,702 | 25,020,396 | (34,306,346) | (2,388) | (3,118) | 28,851,246 | 12,819 | — | 28,854,132 |
Emerging Markets Advancement Fund, Class I | 17,288,189 | 3,835,137 | (926,469) | (28,992) | (921,127) | 19,246,738 | 96,792 | 635,817 | 1,633,849 |
Emerging Markets Equity Fund, Class R6 | 14,848,764 | 990,097 | (2,199,564) | (191,756) | (1,629,968) | 11,817,573 | 122,487 | — | 638,098 |
Equity Fund, Class R6 | 15,155,815 | 5,579,827 | (1,606,281) | 19,823 | (651,691) | 18,497,493 | 34,126 | 617,918 | 211,303 |
Flexible Bond Fund, Class R6 | 16,709,396 | 965,329 | (2,031,386) | (65,371) | (748,972) | 14,828,996 | 193,602 | 179,235 | 999,932 |
Floating-Rate Advantage Fund, Class R6 | 21,346,966 | 1,108,784 | (3,158,804) | (54,322) | (385,395) | 18,857,229 | 423,762 | — | 2,025,481 |
High Yield Bond Fund, Class R6 | 7,814,448 | 10,027,740 | (173,670) | (6,147) | (549,898) | 17,112,473 | 201,144 | — | 672,660 |
International Equity Fund, Class R6 | 29,157,548 | 4,836,302 | (4,720,685) | (404,943) | (3,329,464) | 25,538,758 | 347,803 | 1,527,750 | 1,078,040 |
International Opportunities Fund, Class R6 | 27,074,370 | 2,079,048 | (4,315,930) | 379,755 | (5,270,520) | 19,946,723 | 371,681 | 1,436,687 | 1,120,602 |
International Responsible Index Fund, Class R6 | 18,280,878 | 3,508,178 | (1,175,389) | (79,628) | (1,297,748) | 19,236,291 | 391,481 | — | 680,931 |
Mid-Cap Fund, Class I | 4,298,748 | 678,250 | (130,153) | (15,801) | (486,594) | 4,344,450 | 6,810 | 452,094 | 97,104 |
Short Duration Income Fund, Class R6 | 12,214,865 | 690,935 | (695,402) | (22,022) | (575,910) | 11,612,466 | 110,328 | 78,412 | 735,898 |
Small-Cap Fund, Class R6 | 7,649,737 | 5,956,553 | (603,503) | (21,341) | (151,280) | 12,830,166 | 12,935 | 517,423 | 374,932 |
Ultra-Short Duration Income Fund, Class R6 | 38,808,462 | 1,571,050 | (8,154,352) | (65,373) | (415,634) | 31,744,153 | 155,383 | — | 3,239,199 |
US Large-Cap Core Responsible Index Fund, Class R6 | 41,055,860 | 2,723,544 | (2,751,292) | 666,850 | (115,680) | 41,579,282 | 373,309 | 107,398 | 1,046,546 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares/Units, end of period |
US Large-Cap Growth Responsible Index Fund, Class I | $19,385,399 | $ 2,118,966 | $ (1,584,553) | $ 464,043 | $ (436,182) | $ 19,947,673 | $ 84,429 | $ 311,341 | 399,353 |
US Large-Cap Value Responsible Index Fund, Class I | 57,646,663 | 3,077,514 | (8,087,261) | 794,392 | (1,090,770) | 52,340,538 | 831,956 | 1,642,877 | 1,713,275 |
US Mid-Cap Core Responsible Index Fund, Class I | 11,927,622 | 829,978 | (309,388) | (3,075) | (570,380) | 11,874,757 | 61,887 | 283,214 | 316,407 |
Totals | $1,357,154 | $(21,613,641) | $422,401,458 | $4,228,117 | $8,196,394 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares/Units, end of period |
Cash Reserves Fund, LLC | $21,124,678 | $28,090,913 | $(35,977,812) | $ (130) | $ (2,044) | $ 13,235,605 | $ 6,067 | $ — | 13,236,929 |
Emerging Markets Advancement Fund, Class I | 17,386,469 | 4,062,524 | (299,347) | (16,931) | (994,866) | 20,137,849 | 100,722 | 661,635 | 1,709,495 |
Emerging Markets Equity Fund, Class R6 | 15,675,473 | 2,254,094 | (285,626) | (35,380) | (2,068,255) | 15,540,306 | 134,478 | — | 839,109 |
Equity Fund, Class R6 | 13,068,966 | 5,374,787 | (417,835) | 19,282 | (699,118) | 17,346,082 | 30,016 | 543,496 | 198,150 |
Floating-Rate Advantage Fund, Class R6 | 6,015,719 | 542,023 | (874,710) | (22,362) | (111,778) | 5,548,892 | 124,146 | — | 596,014 |
High Yield Bond Fund, Class R6 | — | 10,986,825 | (61,241) | (666) | (80,701) | 10,844,217 | 44,661 | — | 426,266 |
International Equity Fund, Class R6 | 30,423,182 | 6,772,159 | (3,815,559) | (495,397) | (3,568,320) | 29,316,065 | 367,477 | 1,614,167 | 1,237,487 |
International Opportunities Fund, Class R6 | 25,451,309 | 4,342,367 | (1,879,803) | (36,887) | (5,089,771) | 22,787,215 | 366,758 | 1,417,656 | 1,280,181 |
Name of Calvert Fund | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Capital gains distributions received | Shares/Units, end of period |
International Responsible Index Fund, Class R6 | $20,942,871 | $ 4,157,542 | $ (244,965) | $ (20,976) | $ (1,594,403) | $ 23,240,069 | $ 438,531 | $ — | 822,657 |
Mid-Cap Fund, Class I | 5,774,009 | 1,434,218 | (214,345) | (34,259) | (662,348) | 6,297,275 | 9,239 | 613,368 | 140,753 |
Small-Cap Fund, Class R6 | 10,259,604 | 4,099,937 | (704,275) | (50,944) | (403,810) | 13,200,512 | 17,594 | 703,777 | 385,754 |
US Large-Cap Core Responsible Index Fund, Class R6 | 43,487,601 | 4,518,689 | (803,528) | 35,719 | 364,610 | 47,603,091 | 400,494 | 115,218 | 1,198,165 |
US Large-Cap Growth Responsible Index Fund, Class I | 17,346,206 | 2,632,826 | (642,822) | 32,062 | (102,097) | 19,266,175 | 76,517 | 282,162 | 385,709 |
US Large-Cap Value Responsible Index Fund, Class I | 52,542,564 | 5,215,308 | (5,482,007) | 173,714 | (588,742) | 51,860,837 | 767,813 | 1,516,211 | 1,697,573 |
US Mid-Cap Core Responsible Index Fund, Class I | 14,559,808 | 1,805,830 | (1,402,859) | (167,347) | (682,998) | 14,112,434 | 76,471 | 349,959 | 376,031 |
Totals | $ (620,502) | $(16,284,641) | $310,336,624 | $2,960,984 | $7,817,649 |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 1,170,301 | $ 22,494,453 | 2,489,240 | $ 48,232,172 | |
Reinvestment of distributions | 404,789 | 7,810,531 | 376,102 | 7,142,236 | |
Shares redeemed | (835,098) | (15,924,624) | (1,935,603) | (37,474,641) | |
Converted from Class C | 40,386 | 774,926 | 197,991 | 3,790,521 | |
Net increase | 780,378 | $ 15,155,286 | 1,127,730 | $ 21,690,288 | |
Class C | |||||
Shares sold | 123,881 | $ 2,349,719 | 301,649 | $ 5,725,633 | |
Reinvestment of distributions | 45,643 | 871,741 | 45,315 | 845,660 | |
Shares redeemed | (175,399) | (3,318,454) | (352,334) | (6,677,768) | |
Converted to Class A | (40,936) | (774,926) | (200,651) | (3,790,521) | |
Net decrease | (46,811) | $ (871,920) | (206,021) | $ (3,896,996) | |
Class I | |||||
Shares sold | 1,763,333 | $ 33,714,700 | 1,460,241 | $ 28,209,196 | |
Reinvestment of distributions | 142,910 | 2,754,841 | 111,024 | 2,113,388 | |
Shares redeemed | (512,214) | (9,812,277) | (569,184) | (11,020,249) | |
Net increase | 1,394,029 | $ 26,657,264 | 1,002,081 | $ 19,302,335 | |
Class R6(1) | |||||
Shares sold | 531 | $ 10,000 | — | $ — | |
Reinvestment of distributions | 1 | 26 | — | — | |
Net increase | 532 | $ 10,026 | — | $ — |
(1) | For the period from the commencement of operations, February 1, 2022, to March 31, 2022. |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 899,801 | $ 20,744,925 | 1,770,464 | $ 40,539,363 | |
Reinvestment of distributions | 619,859 | 14,432,453 | 500,217 | 10,997,453 | |
Shares redeemed | (966,820) | (22,320,566) | (1,767,741) | (39,928,872) | |
Converted from Class C | 66,089 | 1,528,617 | 219,257 | 4,920,970 | |
Net increase | 618,929 | $ 14,385,429 | 722,197 | $ 16,528,914 |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class C | |||||
Shares sold | 102,561 | $ 2,198,647 | 308,159 | $ 6,692,235 | |
Reinvestment of distributions | 77,534 | 1,697,985 | 62,727 | 1,295,936 | |
Shares redeemed | (94,188) | (2,034,856) | (267,358) | (5,751,482) | |
Converted to Class A | (70,324) | (1,528,617) | (232,182) | (4,920,970) | |
Net increase (decrease) | 15,583 | $ 333,159 | (128,654) | $ (2,684,281) | |
Class I | |||||
Shares sold | 572,370 | $ 13,226,791 | 1,460,779 | $ 33,125,719 | |
Reinvestment of distributions | 188,945 | 4,401,888 | 145,616 | 3,213,692 | |
Shares redeemed | (416,993) | (9,722,861) | (567,043) | (12,962,574) | |
Net increase | 344,322 | $ 7,905,818 | 1,039,352 | $ 23,376,837 | |
Class R6(1) | |||||
Shares sold | 444 | $ 10,000 | — | $ — | |
Reinvestment of distributions | 1 | 17 | — | — | |
Net increase | 445 | $ 10,017 | — | $ — |
(1) | For the period from the commencement of operations, February 1, 2022, to March 31, 2022. |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class A | |||||
Shares sold | 821,730 | $ 22,197,357 | 1,718,002 | $ 44,592,171 | |
Reinvestment of distributions | 283,744 | 7,856,849 | 236,514 | 5,778,037 | |
Shares redeemed | (575,895) | (15,562,046) | (887,939) | (22,828,968) | |
Converted from Class C | 18,001 | 474,417 | 98,413 | 2,428,161 | |
Net increase | 547,580 | $ 14,966,577 | 1,164,990 | $ 29,969,401 | |
Class C | |||||
Shares sold | 104,897 | $ 2,352,911 | 237,157 | $ 5,152,583 | |
Reinvestment of distributions | 28,516 | 658,447 | 26,856 | 551,078 | |
Shares redeemed | (66,849) | (1,502,928) | (205,037) | (4,482,436) | |
Converted to Class A | (21,599) | (474,417) | (117,233) | (2,428,161) | |
Net increase (decrease) | 44,965 | $ 1,034,013 | (58,257) | $ (1,206,936) |
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 855,695 | $ 22,843,493 | 1,461,296 | $ 37,842,154 | |
Reinvestment of distributions | 78,583 | 2,185,402 | 39,090 | 958,486 | |
Shares redeemed | (246,003) | (6,686,647) | (282,580) | (7,429,721) | |
Net increase | 688,275 | $ 18,342,248 | 1,217,806 | $ 31,370,919 | |
Class R6(1) | |||||
Shares sold | 378 | $ 10,000 | — | $ — | |
Net increase | 378 | $ 10,000 | — | $ — |
(1) | For the period from the commencement of operations, February 1, 2022, to March 31, 2022. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Trustees |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Trustee and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. Code of Ethics.
Not required in this filing.
Item 3. Audit Committee Financial Expert.
Not required in this filing.
Item 4. Principal Accountant Fees and Services.
Not required in this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes.
Item 11. Controls and Procedures.
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits. | ||
(a)(1) | Registrant’s Code of Ethics - Not applicable (please see Item 2) | |
(a)(2)(i) | President’s Section 302 certification. | |
(a)(2)(ii) | Treasurer’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calvert Social Investment Fund | ||
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | May 24, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | May 24, 2022 | |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | May 24, 2022 |