Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited)
Asset-Backed Securities — 4.9% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 445 | $ 470,200 |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 107 | 108,502 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 2,137 | 2,089,234 | |
Conn's Receivables Funding, LLC: | |||
Series 2019-A, Class A, 3.40%, 10/16/23(1) | 179 | 180,089 | |
Series 2019-A, Class B, 4.36%, 10/16/23(1) | 227 | 228,081 | |
Series 2019-B, Class A, 2.66%, 6/17/24(1) | 200 | 200,035 | |
Series 2019-B, Class B, 3.62%, 6/17/24(1) | 295 | 296,038 | |
Series 2020-A, Class B, 4.27%, 6/16/25(1) | 135 | 135,642 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 165 | 175,769 | |
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40(1) | 116 | 118,731 | |
Driven Brands Funding, LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 127 | 135,078 | |
Series 2019-2A, Class A2, 3.981%, 10/20/49(1) | 297 | 313,034 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 805 | 836,561 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 80 | 81,860 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2I, 3.857%, 4/30/47(1) | 1,226 | 1,230,072 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 347 | 334,371 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 435 | 448,185 | |
InSite Issuer, LLC: | |||
Series 2016-1A, Class A, 2.883%, 11/15/46(1) | 345 | 356,815 | |
Series 2016-1A, Class C, 6.414%, 11/15/46(1) | 50 | 53,920 | |
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 973 | 1,001,682 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 635 | 682,366 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 130 | 104,444 | |
Marlette Funding Trust: | |||
Series 2020-2A, Class B, 1.83%, 9/16/30(1) | 425 | 429,871 | |
Series 2020-2A, Class C, 2.83%, 9/16/30(1) | 107 | 109,949 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 658 | 709,153 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 1,801 | 1,868,222 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 416 | 412,712 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 196 | 201,066 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 161 | 168,456 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 396 | 393,785 |
Security | Principal Amount (000's omitted) | Value | |
Mosaic Solar Loan Trust: (continued) | |||
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | $ | 572 | $ 569,163 |
OneMain Financial Issuance Trust: | |||
Series 2016-3A, Class A, 3.83%, 6/18/31(1) | 625 | 637,928 | |
Series 2017-1A, Class A1, 2.37%, 9/14/32(1) | 220 | 220,477 | |
Oportun Funding IX, LLC, Series 2018-B, Class A, 3.91%, 7/8/24(1) | 1,486 | 1,497,542 | |
Oportun Funding VIII, LLC, Series 2018-A, Class A, 3.61%, 3/8/24(1) | 1,528 | 1,528,000 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 1,065 | 1,067,780 | |
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 142 | 141,851 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 624 | 590,533 | |
Prosper Marketplace Issuance Trust, Series 2017-1A, Class C, 5.80%, 6/15/23(1) | 39 | 38,944 | |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25(1) | 20 | 20,413 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49(1) | 1,000 | 1,072,081 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 354 | 362,911 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 447 | 457,423 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 2,579 | 2,764,672 | |
Small Business Lending Trust: | |||
Series 2019-A, Class A, 2.85%, 7/15/26(1) | 245 | 245,075 | |
Series 2020-A, Class A, 2.62%, 12/15/26(1) | 266 | 264,717 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 461 | 453,460 | |
SolarCity LMC Series II, LLC, Series 2014-1, Class A, 4.59%, 4/20/44(1) | 429 | 426,381 | |
SolarCity LMC Series III, LLC: | |||
Series 2014-2, Class A, 4.02%, 7/20/44(1) | 1,452 | 1,482,420 | |
Series 2014-2, Class B, 5.44%, 7/20/44(1) | 1,695 | 1,734,703 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,671 | 1,792,129 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 1,232 | 1,243,635 | |
Spruce ABS Trust, Series 2016-E1, Class A, 4.32%, 6/15/28(1) | 35 | 35,655 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 5,006 | 5,374,336 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 405 | 421,567 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 1,475 | 1,487,676 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 251 | 266,565 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 488 | 523,090 |
1
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | $ | 474 | $ 469,910 |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 345 | 364,977 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 755 | 776,538 | |
Tesla Auto Lease Trust: | |||
Series 2018-B, Class A, 3.71%, 8/20/21(1) | 696 | 700,108 | |
Series 2019-A, Class A2, 2.13%, 4/20/22(1) | 261 | 263,512 | |
Series 2019-A, Class A3, 2.16%, 10/20/22(1) | 2,016 | 2,060,350 | |
Series 2019-A, Class A4, 2.20%, 11/21/22(1) | 395 | 405,029 | |
Series 2020-A, Class A3, 0.68%, 12/20/23(1) | 160 | 160,999 | |
Series 2020-A, Class A4, 0.78%, 12/20/23(1) | 204 | 205,506 | |
Theorem Funding Trust, Series 2020-1A, Class A, 2.48%, 10/15/26(1) | 76 | 76,223 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 134 | 47,955 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 1,302 | 1,419,483 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 162 | 168,037 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,515 | 1,588,704 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 1,405 | 1,420,060 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 1,035 | 1,068,811 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 388 | 290,868 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 226 | 122,046 | |
Total Asset-Backed Securities (identified cost $51,174,138) | $52,204,166 |
Collateralized Mortgage Obligations — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd., Series 2020-4A, Class M2A, 2.75%, (1 mo. USD LIBOR + 2.60%), 6/25/30(1)(2) | $ | 306 | $ 307,735 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 3.398%, (1 mo. USD LIBOR + 3.25%), 5/25/25(2) | 689 | 701,651 | |
Series 2017-DNA3, Class M2, 2.648%, (1 mo. USD LIBOR + 2.50%), 3/25/30(2) | 923 | 936,431 | |
Series 2017-HQA2, Class M2, 2.798%, (1 mo. USD LIBOR + 2.65%), 12/25/29(2) | 404 | 405,259 | |
Series 2018-DNA1, Class M2, 1.948%, (1 mo. USD LIBOR + 1.80%), 7/25/30(2) | 580 | 574,640 | |
Series 2018-DNA1, Class M2AT, 1.198%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2) | 770 | 768,696 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: (continued) | |||
Series 2019-DNA2, Class M2, 2.598%, (1 mo. USD LIBOR + 2.45%), 3/25/49(1)(2) | $ | 140 | $ 139,581 |
Series 2019-DNA3, Class M2, 2.198%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2) | 1,752 | 1,743,178 | |
Series 2019-DNA4, Class M2, 2.098%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(2) | 739 | 738,040 | |
Series 2019-HQA2, Class M2, 2.198%, (1 mo. USD LIBOR + 2.05%), 4/25/49(1)(2) | 65 | 64,011 | |
Series 2020-DNA1, Class M1, 0.848%, (1 mo. USD LIBOR + 0.70%), 1/25/50(1)(2) | 113 | 113,479 | |
Series 2020-DNA2, Class M1, 0.898%, (1 mo. USD LIBOR + 0.75%), 2/25/50(1)(2) | 564 | 565,551 | |
Series 2020-DNA4, Class M1, 1.648%, (1 mo. USD LIBOR + 1.50%), 8/25/50(1)(2) | 256 | 257,179 | |
Series 2020-DNA4, Class M2, 3.898%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | 60 | 60,684 | |
Series 2020-DNA5, Class M1, 1.377%, (SOFR + 1.30%), 10/25/50(1)(2) | 415 | 417,098 | |
Series 2020-DNA5, Class M2, 2.877%, (SOFR + 2.80%), 10/25/50(1)(2) | 330 | 334,337 | |
Series 2020-DNA6, Class B1, 3.077%, (SOFR + 3.00%), 12/25/50(1)(2) | 50 | 50,289 | |
Series 2020-DNA6, Class M2, 2.077%, (SOFR + 2.00%), 12/25/50(1)(2) | 715 | 716,046 | |
Series 2020-HQA1, Class M1, 0.898%, (1 mo. USD LIBOR + 0.75%), 1/25/50(1)(2) | 65 | 65,654 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 5.398%, (1 mo. USD LIBOR + 5.25%), 10/25/23(2) | 527 | 539,283 | |
Series 2014-C02, Class 1M2, 2.748%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 1,021 | 997,371 | |
Series 2014-C02, Class 2M2, 2.748%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 257 | 255,303 | |
Series 2014-C03, Class 1M2, 3.148%, (1 mo. USD LIBOR + 3.00%), 7/25/24(2) | 639 | 628,332 | |
Series 2014-C03, Class 2M2, 3.048%, (1 mo. USD LIBOR + 2.90%), 7/25/24(2) | 399 | 398,775 | |
Series 2014-C04, Class 1M2, 5.048%, (1 mo. USD LIBOR + 4.90%), 11/25/24(2) | 861 | 884,679 | |
Series 2017-C05, Class 1M2, 2.348%, (1 mo. USD LIBOR + 2.20%), 1/25/30(2) | 306 | 306,402 | |
Series 2017-C06, Class 1M2, 2.798%, (1 mo. USD LIBOR + 2.65%), 2/25/30(2) | 480 | 483,331 | |
Series 2018-C06, Class 1M2, 2.148%, (1 mo. USD LIBOR + 2.00%), 3/25/31(2) | 48 | 47,714 | |
Series 2018-R07, Class 1M2, 2.548%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2) | 610 | 610,373 | |
Series 2019-R02, Class 1M2, 2.448%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(2) | 59 | 59,003 | |
Series 2019-R05, Class 1M2, 2.148%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(2) | 162 | 161,984 | |
Series 2020-R01, Class 1M1, 0.948%, (1 mo. USD LIBOR + 0.80%), 1/25/40(1)(2) | 315 | 315,590 |
2
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | $ | 548 | $ 608,103 |
Toorak Mortgage Corp., Ltd.: | |||
Series 2018-1, Class A1, 4.336% to 4/25/21, 8/25/21(1)(3) | 99 | 99,666 | |
Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(3) | 480 | 486,625 | |
Total Collateralized Mortgage Obligations (identified cost $15,918,397) | $ 15,842,073 |
Commercial Mortgage-Backed Securities — 4.3% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.719%, 11/5/32(1)(4) | $ | 1,605 | $ 1,369,965 |
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(4) | 680 | 556,110 | |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(4) | 1,115 | 822,255 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 1.079%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(2) | 1,519 | 1,525,128 | |
Series 2019-XL, Class B, 1.239%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(2) | 712 | 713,610 | |
Citigroup Commercial Mortgage Trust, Series 2017-MDRC, Class D, 2.409%, (1 mo. USD LIBOR + 2.25%), 7/15/30(1)(2) | 490 | 455,997 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 3,315 | 3,593,256 | |
Series KG03, Class A2, 1.297%, 6/25/30(4) | 770 | 773,220 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 704 | 726,278 | |
Series KW06, Class A2, 3.80%, 6/25/28(4) | 1,135 | 1,334,348 | |
Series W5FX, Class AFX, 3.214%, 4/25/28(4) | 413 | 464,174 | |
Federal National Mortgage Association: | |||
Series 2017-M2, Class A1, 2.801%, 2/25/27(4) | 201 | 208,311 | |
Series 2017-M13, Class A2, 2.939%, 9/25/27(4) | 1,350 | 1,531,592 | |
Series 2018-M4, Class A2, 3.045%, 3/25/28(4) | 3,672 | 4,191,520 | |
Series 2018-M8, Class A2, 3.325%, 6/25/28(4) | 989 | 1,143,500 | |
Series 2018-M13, Class A2, 3.697%, 9/25/30(4) | 3,600 | 4,359,556 | |
Series 2019-M1, Class A2, 3.555%, 9/25/28(4) | 1,700 | 2,010,648 | |
Series 2019-M9, Class A2, 2.937%, 4/25/29 | 660 | 747,994 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 7,125 | 7,904,446 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 2,322 | 2,562,954 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 1,505 | 1,548,673 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 3.398%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2) | 130 | 122,188 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: (continued) | |||
Series 2020-01, Class M10, 3.898%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | $ | 980 | $ 961,349 |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class A, 3.429%, 6/10/27(1) | 200 | 123,262 | |
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 550 | 189,338 | |
Series 2014-DSTY, Class C, 3.805%, 6/10/27(1)(4) | 225 | 45,432 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 0.859%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(2) | 1,140 | 1,140,597 | |
Series 2019-BPR, Class A, 1.559%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(2) | 1,585 | 1,529,867 | |
Series 2019-BPR, Class B, 2.259%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(2) | 498 | 424,519 | |
Series 2019-BPR, Class C, 3.209%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2) | 205 | 150,869 | |
Motel 6 Trust: | |||
Series 2017-MTL6, Class C, 1.559%, (1 mo. USD LIBOR + 1.40%), 8/15/34(1)(2) | 1,352 | 1,348,087 | |
Series 2017-MTL6, Class D, 2.309%, (1 mo. USD LIBOR + 2.15%), 8/15/34(1)(2) | 333 | 330,380 | |
Series 2017-MTL6, Class E, 3.409%, (1 mo. USD LIBOR + 3.25%), 8/15/34(1)(2) | 99 | 97,413 | |
RETL Trust: | |||
Series 2019-RVP, Class B, 1.709%, (1 mo. USD LIBOR + 1.55%), 3/15/36(1)(2) | 10 | 9,368 | |
Series 2019-RVP, Class C, 2.259%, (1 mo. USD LIBOR + 2.10%), 3/15/36(1)(2) | 152 | 146,898 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.755%, 8/10/31(1)(4) | 850 | 735,168 | |
Total Commercial Mortgage-Backed Securities (identified cost $44,246,142) | $45,898,270 |
Common Stocks — 64.4% |
Security | Shares | Value | |
Banks — 3.3% | |||
JPMorgan Chase & Co. | 154,000 | $ 19,568,780 | |
PNC Financial Services Group, Inc. (The) | 104,700 | 15,600,300 | |
$ 35,169,080 | |||
Beverages — 1.6% | |||
PepsiCo, Inc. | 118,996 | $ 17,647,107 | |
$ 17,647,107 | |||
Biotechnology — 2.0% | |||
AbbVie, Inc. | 135,474 | $ 14,516,039 |
3
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Biotechnology (continued) | |||
Vertex Pharmaceuticals, Inc.(5) | 30,800 | $ 7,279,272 | |
$ 21,795,311 | |||
Building Products — 1.1% | |||
Trane Technologies PLC | 81,600 | $ 11,845,056 | |
$ 11,845,056 | |||
Capital Markets — 3.6% | |||
BlackRock, Inc. | 17,900 | $ 12,915,566 | |
Intercontinental Exchange, Inc. | 115,400 | 13,304,466 | |
Tradeweb Markets, Inc., Class A | 197,666 | 12,344,242 | |
$38,564,274 | |||
Commercial Services & Supplies — 0.8% | |||
Waste Management, Inc. | 73,025 | $8,611,838 | |
$8,611,838 | |||
Communications Equipment — 0.8% | |||
Cisco Systems, Inc. | 186,500 | $8,345,875 | |
$8,345,875 | |||
Containers & Packaging — 0.7% | |||
AptarGroup, Inc. | 55,400 | $7,583,706 | |
$7,583,706 | |||
Diversified Telecommunication Services — 0.0%(6) | |||
Verizon Communications, Inc. | 1,221 | $71,734 | |
$71,734 | |||
Electrical Equipment — 1.3% | |||
AMETEK, Inc. | 113,000 | $13,666,220 | |
$13,666,220 | |||
Energy Equipment & Services — 1.1% | |||
Baker Hughes Co. | 581,100 | $12,115,935 | |
$12,115,935 | |||
Entertainment — 1.6% | |||
Walt Disney Co. (The)(5) | 93,600 | $16,958,448 | |
$16,958,448 | |||
Equity Real Estate Investment Trusts (REITs) — 1.2% | |||
American Tower Corp. | 59,300 | $13,310,478 | |
$13,310,478 |
Security | Shares | Value | |
Food & Staples Retailing — 1.5% | |||
Sysco Corp. | 215,200 | $ 15,980,752 | |
$ 15,980,752 | |||
Food Products — 1.1% | |||
Mondelez International, Inc., Class A | 203,670 | $ 11,908,585 | |
$ 11,908,585 | |||
Health Care Equipment & Supplies — 3.7% | |||
Abbott Laboratories | 124,400 | $ 13,620,556 | |
Boston Scientific Corp.(5) | 319,600 | 11,489,620 | |
Danaher Corp. | 67,700 | 15,038,878 | |
$40,149,054 | |||
Health Care Providers & Services — 1.4% | |||
Anthem, Inc. | 46,200 | $14,834,358 | |
$14,834,358 | |||
Hotels, Restaurants & Leisure — 1.1% | |||
Marriott International, Inc., Class A | 90,400 | $11,925,568 | |
$11,925,568 | |||
Independent Power and Renewable Electricity Producers — 1.0% | |||
NextEra Energy Partners, L.P. | 155,800 | $10,446,390 | |
$10,446,390 | |||
Insurance — 0.8% | |||
Travelers Cos., Inc. (The) | 63,900 | $8,969,643 | |
$8,969,643 | |||
Interactive Media & Services — 3.6% | |||
Alphabet, Inc., Class C(5) | 18,112 | $31,730,050 | |
Match Group, Inc.(5) | 48,830 | 7,382,608 | |
$39,112,658 | |||
Internet & Direct Marketing Retail — 4.1% | |||
Amazon.com, Inc.(5) | 13,466 | $43,857,819 | |
$43,857,819 | |||
IT Services — 6.4% | |||
Automatic Data Processing, Inc. | 58,300 | $10,272,460 | |
Cognizant Technology Solutions Corp., Class A | 157,314 | 12,891,882 | |
Fidelity National Information Services, Inc. | 62,500 | 8,841,250 | |
PayPal Holdings, Inc.(5) | 59,600 | 13,958,320 | |
Visa, Inc., Class A | 105,700 | 23,119,761 | |
$69,083,673 |
4
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Life Sciences Tools & Services — 1.3% | |||
Thermo Fisher Scientific, Inc. | 29,397 | $ 13,692,535 | |
$ 13,692,535 | |||
Machinery — 1.6% | |||
Ingersoll Rand, Inc.(5) | 174,900 | $ 7,968,444 | |
Stanley Black & Decker, Inc. | 53,000 | 9,463,680 | |
$ 17,432,124 | |||
Multi-Utilities — 0.7% | |||
Sempra Energy | 57,515 | $ 7,327,986 | |
$7,327,986 | |||
Pharmaceuticals — 0.7% | |||
Zoetis, Inc. | 43,200 | $7,149,600 | |
$7,149,600 | |||
Road & Rail — 0.9% | |||
Union Pacific Corp. | 48,600 | $10,119,492 | |
$10,119,492 | |||
Semiconductors & Semiconductor Equipment — 2.1% | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 105,900 | $11,547,336 | |
Texas Instruments, Inc. | 66,496 | 10,913,988 | |
$22,461,324 | |||
Software — 5.3% | |||
Intuit, Inc. | 17,167 | $6,520,885 | |
Microsoft Corp. | 206,051 | 45,829,864 | |
nCino, Inc.(5) | 65,847 | 4,767,981 | |
$57,118,730 | |||
Specialty Retail — 2.5% | |||
Lowe's Cos., Inc. | 86,600 | $13,900,166 | |
TJX Cos., Inc. (The) | 190,600 | 13,016,074 | |
$26,916,240 | |||
Technology Hardware, Storage & Peripherals — 4.2% | |||
Apple, Inc. | 337,108 | $44,730,861 | |
$44,730,861 | |||
Venture Capital — 0.2% | |||
CFBanc Corp.(5)(7)(8) | 27,000 | $612,557 | |
Consensus Orthopedics, Inc.(5)(7)(8) | 180,877 | 0 | |
Kickboard(5)(7)(8) | 169,932 | 4,452 | |
Learn Capital Venture Partners III, L.P.(5)(7)(8) | 1,024,486 | 1,555,614 |
Security | Shares | Value | |
Venture Capital (continued) | |||
Neighborhood Bancorp, Class A(5)(7)(8) | 10,000 | $ 12,500 | |
$ 2,185,123 | |||
Wireless Telecommunication Services — 1.1% | |||
T-Mobile US, Inc.(5) | 84,345 | $ 11,373,923 | |
$ 11,373,923 | |||
Total Common Stocks (identified cost $484,266,752) | $ 692,461,500 |
Convertible Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.1% | |||
ams AG, 0.875%, 9/28/22(9) | $ | 200 | $ 187,856 |
Western Digital Corp., 1.50%, 2/1/24 | 675 | 674,288 | |
Total Convertible Bonds (identified cost $841,395) | $ 862,144 |
Convertible Preferred Stocks — 0.0%(6) |
Security | Shares | Value | |
Health Care Equipment & Supplies — 0.0%(6) | |||
Becton Dickinson and Co., Series B, 6.00%(10) | 1,000 | $ 55,130 | |
Total Convertible Preferred Stocks (identified cost $54,650) | $ 55,130 |
Corporate Bonds — 14.8% |
Security | Principal Amount (000's omitted)* | Value | |
Basic Materials — 0.2% | |||
Ecolab, Inc., 2.125%, 8/15/50 | 664 | $ 636,890 | |
LG Chem, Ltd.: | |||
3.25%, 10/15/24(1) | 1,250 | 1,353,622 | |
3.625%, 4/15/29(1) | 575 | 649,142 | |
$ 2,639,654 | |||
Communications — 1.4% | |||
Alphabet, Inc., 1.10%, 8/15/30 | 877 | $ 864,781 | |
AT&T, Inc.: | |||
2.30%, 6/1/27 | 1 | 1,067 | |
3.10%, 2/1/43 | 165 | 167,408 |
5
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
Communications (continued) | |||
AT&T, Inc.: (continued) | |||
3.30%, 2/1/52 | 92 | $ 91,221 | |
3.65%, 6/1/51 | 1,751 | 1,833,548 | |
3.65%, 9/15/59(1) | 111 | 111,553 | |
3.80%, 12/1/57(1) | 678 | 706,991 | |
4.30%, 2/15/30 | 1,646 | 1,967,661 | |
4.90%, 6/15/42 | 785 | 979,225 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 2,309 | 2,759,656 | |
Comcast Corp.: | |||
2.45%, 8/15/52 | 1,213 | 1,181,628 | |
4.70%, 10/15/48 | 350 | 487,694 | |
Crown Castle Towers, LLC, 3.663%, 5/15/25(1) | 450 | 485,925 | |
Discovery Communications, LLC, 5.20%, 9/20/47 | 806 | 1,049,988 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 405 | 530,757 | |
Sprint Corp., 7.25%, 9/15/21 | 160 | 166,680 | |
T-Mobile USA, Inc.: | |||
2.25%, 11/15/31(1) | 161 | 165,543 | |
2.55%, 2/15/31(1) | 371 | 390,040 | |
4.50%, 4/15/50(1) | 860 | 1,062,324 | |
$15,003,690 | |||
Consumer, Cyclical — 1.4% | |||
American Airlines Pass-Through Trust: | |||
4.40%, 9/22/23 | 232 | $176,234 | |
5.25%, 1/15/24 | 984 | 838,343 | |
Aptiv PLC, 5.40%, 3/15/49 | 115 | 143,679 | |
Azul Investments, LLP, 5.875%, 10/26/24(1)(10) | 445 | 416,969 | |
Delta Air Lines, Inc.: | |||
3.625%, 3/15/22 | 719 | 739,897 | |
7.375%, 1/15/26 | 1,238 | 1,415,073 | |
Ford Motor Credit Co., LLC: | |||
1.044%, (3 mo. USD LIBOR + 0.81%), 4/5/21(2) | 335 | 333,574 | |
1.104%, (3 mo. USD LIBOR + 0.88%), 10/12/21(2) | 910 | 899,257 | |
1.296%, (3 mo. USD LIBOR + 1.08%), 8/3/22(2) | 525 | 512,065 | |
2.979%, 8/3/22 | 2,615 | 2,661,939 | |
3.087%, 1/9/23 | 567 | 577,954 | |
4.14%, 2/15/23 | 675 | 696,938 | |
5.875%, 8/2/21 | 200 | 204,950 | |
Macy's Retail Holdings, LLC: | |||
2.875%, 2/15/23 | 1,175 | 1,130,938 | |
3.625%, 6/1/24 | 350 | 333,690 | |
3.875%, 1/15/22 | 792 | 790,020 | |
Magna International, Inc., 2.45%, 6/15/30 | 620 | 667,386 |
Security | Principal Amount (000's omitted)* | Value | |
Consumer, Cyclical (continued) | |||
Nordstrom, Inc.: | |||
4.375%, 4/1/30(10) | 1,127 | $ 1,112,258 | |
5.00%, 1/15/44 | 964 | 905,142 | |
Tesla, Inc., 5.30%, 8/15/25(1) | 113 | 117,944 | |
$ 14,674,250 | |||
Consumer, Non-cyclical — 1.2% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | 200 | $ 212,928 | |
4.25%, 11/1/29(1) | 987 | 1,083,075 | |
Becton Dickinson and Co., 2.894%, 6/6/22 | 404 | 417,661 | |
Block Financial, LLC, 3.875%, 8/15/30(10) | 936 | 1,011,409 | |
Centene Corp.: | |||
3.375%, 2/15/30 | 472 | 497,325 | |
4.25%, 12/15/27 | 473 | 502,475 | |
4.625%, 12/15/29 | 74 | 82,251 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 645 | 646,774 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 655 | 709,504 | |
CVS Health Corp.: | |||
0.95%, (3 mo. USD LIBOR + 0.72%), 3/9/21(2) | 88 | 88,104 | |
3.00%, 8/15/26 | 1,400 | 1,552,335 | |
4.30%, 3/25/28 | 785 | 934,954 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 671 | 779,686 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 1,705 | 1,648,782 | |
Ford Foundation (The), 2.415%, 6/1/50 | 1,095 | 1,119,378 | |
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 830 | 898,051 | |
Royalty Pharma PLC, 3.55%, 9/2/50(1) | 88 | 94,104 | |
Smithfield Foods, Inc.: | |||
3.00%, 10/15/30(1) | 192 | 203,511 | |
5.20%, 4/1/29(1) | 90 | 107,202 | |
$12,589,509 | |||
Energy — 0.3% | |||
NuStar Logistics, L.P.: | |||
5.75%, 10/1/25 | 97 | $103,451 | |
6.00%, 6/1/26 | 509 | 551,362 | |
6.375%, 10/1/30 | 334 | 378,981 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 715 | 766,630 | |
5.00%, 1/31/28(1) | 1,696 | 1,908,890 | |
$3,709,314 | |||
Financial — 7.0% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
4.50%, 9/15/23 | 876 | $950,306 | |
4.625%, 10/15/27(10) | 300 | 339,976 |
6
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
Financial (continued) | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: (continued) | |||
6.50%, 7/15/25 | 413 | $ 494,016 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 1,131 | 1,229,493 | |
Aflac, Inc., 3.60%, 4/1/30 | 743 | 875,099 | |
Air Lease Corp., 2.875%, 1/15/26 | 816 | 864,043 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 850 | 860,094 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 845 | 844,906 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(11) | 1,102 | 1,163,222 | |
Banco BTG Pactual S.A., 4.50%, 1/10/25(1) | 200 | 214,002 | |
Banco Santander S.A., 2.746%, 5/28/25 | 200 | 213,684 | |
Bank of America Corp.: | |||
0.981% to 9/25/24, 9/25/25(11) | 1,139 | 1,152,662 | |
1.197% to 10/24/25, 10/24/26(11) | 1,638 | 1,660,210 | |
1.389%, (3 mo. USD LIBOR + 1.18%), 10/21/22(2) | 236 | 237,949 | |
1.898% to 7/23/30, 7/23/31(11) | 1,365 | 1,379,517 | |
1.922% to 10/24/30, 10/24/31(11) | 1,046 | 1,060,145 | |
2.456% to 10/22/24, 10/22/25(11) | 1,512 | 1,612,434 | |
2.676% to 6/19/40, 6/19/41(11) | 1,548 | 1,615,298 | |
3.499% to 5/17/21, 5/17/22(11) | 1,489 | 1,506,688 | |
3.593% to 7/21/27, 7/21/28(11) | 1,400 | 1,590,742 | |
Series Z, 6.50% to 10/23/24(10)(11)(12) | 76 | 87,020 | |
Bank of Montreal, 2.05%, 11/1/22 | 1,898 | 1,959,644 | |
Bank of Nova Scotia (The): | |||
1.625%, 5/1/23 | 1,053 | 1,083,605 | |
2.375%, 1/18/23 | 1,362 | 1,419,039 | |
BankUnited, Inc., 5.125%, 6/11/30 | 731 | 856,830 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 659 | 666,414 | |
5.125% to 1/18/28, 1/18/33(1)(11) | 200 | 215,800 | |
Capital One Financial Corp.: | |||
3.30%, 10/30/24 | 419 | 460,453 | |
3.75%, 7/28/26 | 290 | 328,944 | |
4.20%, 10/29/25 | 575 | 656,512 | |
Charles Schwab Corp. (The), 4.00% to 12/1/30(11)(12) | 171 | 180,832 | |
Citigroup, Inc.: | |||
0.776% to 10/30/23, 10/30/24(11) | 1,600 | 1,611,158 | |
1.296%, (3 mo. USD LIBOR + 1.07%), 12/8/21(2) | 300 | 302,282 | |
1.678% to 5/15/23, 5/15/24(11) | 1,848 | 1,904,632 | |
2.666% to 1/29/30, 1/29/31(11) | 1,505 | 1,615,651 | |
2.976% to 11/5/29, 11/5/30(11) | 750 | 826,201 | |
3.106% to 4/8/25, 4/8/26(11) | 840 | 918,866 | |
3.887% to 1/10/27, 1/10/28(11) | 2,746 | 3,155,804 | |
4.00% to 12/10/25(11)(12) | 770 | 792,137 | |
Citizens Bank NA, 2.55%, 5/13/21 | 400 | 402,480 |
Security | Principal Amount (000's omitted)* | Value | |
Financial (continued) | |||
Citizens Financial Group, Inc., 2.375%, 7/28/21 | 355 | $ 358,452 | |
Commonwealth Bank of Australia: | |||
2.50%, 9/18/22(1) | 550 | 570,707 | |
3.61% to 9/12/29, 9/12/34(1)(10)(11) | 487 | 535,761 | |
Digital Realty Trust, L.P., 4.75%, 10/1/25 | 525 | 615,095 | |
Discover Bank: | |||
2.70%, 2/6/30 | 399 | 423,968 | |
4.682% to 8/9/23, 8/9/28(11) | 605 | 643,608 | |
Discover Financial Services: | |||
3.95%, 11/6/24 | 300 | 333,417 | |
6.125% to 6/23/25(11)(12) | 771 | 872,194 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
5.25%, 7/15/24(1) | 921 | 959,664 | |
6.00%, 4/15/25(1) | 580 | 621,325 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 675 | 707,906 | |
5.00%, 7/15/28(1) | 219 | 232,935 | |
JPMorgan Chase & Co.: | |||
2.522% to 4/22/30, 4/22/31(11) | 1,465 | 1,575,767 | |
2.739% to 10/15/29, 10/15/30(11) | 485 | 528,190 | |
2.956% to 5/13/30, 5/13/31(11) | 358 | 392,937 | |
Series S, 6.75% to 2/1/24(11)(12) | 232 | 260,540 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 758 | 846,055 | |
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(11) | 860 | 908,916 | |
Macquarie Bank, Ltd., 3.624%, 6/3/30(1) | 744 | 815,687 | |
Morgan Stanley: | |||
0.777%, (SOFR + 0.70%), 1/20/23(2) | 2,321 | 2,330,325 | |
1.615%, (3 mo. USD LIBOR + 1.40%), 10/24/23(2) | 550 | 560,591 | |
Series J, 4.047%, (3 mo. USD LIBOR + 3.81%) to 4/15/21(2)(12) | 450 | 447,880 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 575 | 621,496 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(11) | 759 | 761,613 | |
Nationwide Building Society, 3.96% to 7/18/29, 7/18/30(1)(11) | 677 | 789,225 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 232 | 252,476 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 5,700 | 6,059,897 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 1,150 | 1,265,805 | |
6.625%, 3/15/25 | 77 | 87,347 | |
SBA Tower Trust, 3.722%, 4/9/48(1) | 1,100 | 1,130,967 | |
SITE Centers Corp., 3.625%, 2/1/25 | 517 | 537,491 | |
Standard Chartered PLC: | |||
1.319% to 10/14/22, 10/14/23(1)(11) | 459 | 464,210 | |
6.00% to 7/26/25(1)(11)(12) | 771 | 825,934 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 932 | 1,066,509 |
7
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted)* | Value | |
Financial (continued) | |||
Synovus Bank/Columbus, GA: | |||
2.289% to 2/10/22, 2/10/23(11) | 1,529 | $ 1,548,902 | |
4.00% to 10/29/25, 10/29/30(11) | 782 | 828,274 | |
Synovus Financial Corp.: | |||
3.125%, 11/1/22 | 311 | 323,044 | |
5.90% to 2/7/24, 2/7/29(11) | 71 | 76,581 | |
Truist Financial Corp., 5.10% to 3/1/30(11)(12) | 986 | 1,128,980 | |
UBS Group AG, 1.364% to 1/30/26, 1/30/27(1)(11) | 265 | 268,100 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(11) | 345 | 380,225 | |
Visa, Inc., 2.00%, 8/15/50 | 799 | 763,132 | |
Welltower, Inc., 2.75%, 1/15/31 | 629 | 671,618 | |
Westpac Banking Corp., 2.668% to 11/15/30, 11/15/35(11) | 561 | 578,621 | |
$75,281,157 | |||
Government - Multinational — 0.5% | |||
Asian Development Bank, 3.125%, 9/26/28 | 1,160 | $1,360,701 | |
International Bank for Reconstruction & Development, 3.125%, 11/20/25 | 2,600 | 2,936,266 | |
International Finance Corp., 7.50%, 5/9/22 | BRL | 825 | 168,982 |
Nordic Investment Bank, 2.25%, 9/30/21 | 673 | 683,561 | |
$5,149,510 | |||
Industrial — 1.1% | |||
FedEx Corp., 4.55%, 4/1/46 | 700 | $900,586 | |
Flowserve Corp., 3.50%, 10/1/30 | 473 | 505,035 | |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 1,494 | 1,591,824 | |
3.60%, 1/15/30 | 1,670 | 1,860,286 | |
4.70%, 9/15/22 | 1,239 | 1,320,396 | |
nVent Finance S.a.r.l., 4.55%, 4/15/28 | 1,965 | 2,136,659 | |
Owens Corning: | |||
3.95%, 8/15/29 | 1,695 | 1,956,016 | |
4.30%, 7/15/47 | 204 | 245,622 | |
4.40%, 1/30/48 | 26 | 31,365 | |
SMBC Aviation Capital Finance DAC, 2.65%, 7/15/21(1) | 540 | 545,733 | |
Valmont Industries, Inc.: | |||
5.00%, 10/1/44 | 110 | 127,659 | |
5.25%, 10/1/54 | 675 | 795,710 | |
$12,016,891 | |||
Other Revenue — 0.2% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | 1,625 | $1,631,874 | |
$1,631,874 |
Security | Principal Amount (000's omitted)* | Value | |
Technology — 0.6% | |||
DXC Technology Co.: | |||
4.00%, 4/15/23 | 821 | $ 873,830 | |
4.125%, 4/15/25 | 644 | 712,326 | |
4.75%, 4/15/27 | 153 | 175,235 | |
Hewlett Packard Enterprise Co.: | |||
0.90%, (3 mo. USD LIBOR + 0.68%), 3/12/21(2) | 516 | 516,468 | |
0.958%, (3 mo. USD LIBOR + 0.72%), 10/5/21(2) | 525 | 525,078 | |
Microsoft Corp., 2.40%, 8/8/26 | 575 | 627,481 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31(1) | 510 | 513,715 | |
4.091%, 6/1/29(1) | 856 | 918,741 | |
4.875%, 3/1/24 | 480 | 522,435 | |
5.75%, 12/1/34 | 390 | 460,108 | |
Western Digital Corp., 4.75%, 2/15/26 | 944 | 1,044,300 | |
$6,889,717 | |||
Utilities — 0.9% | |||
AES Corp. (The), 2.45%, 1/15/31(1) | 1,364 | $1,382,799 | |
American Water Capital Corp., 2.95%, 9/1/27 | 750 | 830,130 | |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 805 | 878,256 | |
3.80%, 6/1/29 | 1,635 | 1,876,955 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 429 | 492,118 | |
Enel Finance International NV, 2.65%, 9/10/24(1) | 1,256 | 1,338,857 | |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 200 | 217,000 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 500 | 575,790 | |
4.25%, 7/15/49 | 735 | 986,879 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 73 | 78,201 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 586 | 604,389 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 46 | 48,284 | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | 548 | 639,552 | |
Sempra Energy, 4.875% to 10/15/25(11)(12) | 164 | 175,685 | |
$10,124,895 | |||
Total Corporate Bonds (identified cost $150,581,427) | $159,710,461 |
8
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
High Social Impact Investments — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(8)(13) | $ | 2,500 | $ 2,409,950 |
ImpactAssets, Inc., Global Sustainable Agriculture Notes, 2.07%, 11/3/22(8)(14) | 393 | 376,156 | |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/22(8)(14) | 506 | 419,621 | |
Total High Social Impact Investments (identified cost $3,399,000) | $ 3,205,727 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Mortgage Real Estate Investment Trusts (REITs) — 0.0%(6) | |||
AGNC Investment Corp., Series F, 6.125% to 4/15/25(11) | 15,800 | $ 377,462 | |
$ 377,462 | |||
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(11) | 28,581 | $ 513,887 | |
$ 513,887 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 33,000 | $ 706,200 | |
Series A2, 6.375% | 28,000 | 649,320 | |
$1,355,520 | |||
Venture Capital — 0.0%(6) | |||
Consensus Orthopedics, Inc.: | |||
Series A-1(5)(7)(8) | 420,683 | $0 | |
Series B(5)(7)(8) | 348,940 | 0 | |
Series C(5)(7)(8) | 601,710 | 0 | |
Kickboard: | |||
Series A(5)(7)(8) | 1,155,503 | 279,747 | |
Series A2(5)(7)(8) | 404,973 | 107,196 | |
Lumni, Inc., Series B(5)(7)(8) | 17,265 | 66,600 | |
Wind Harvest Co., Inc.(5)(7)(8) | 8,696 | 0 | |
$453,543 |
Security | Shares | Value | |
Wireless Telecommunication Services — 0.2% | |||
United States Cellular Corp.: | |||
5.50% | 60,000 | $ 1,512,600 | |
6.25% | 4,575 | 121,466 | |
$ 1,634,066 | |||
Total Preferred Stocks (identified cost $5,012,443) | $ 4,334,478 |
Senior Floating-Rate Loans — 0.8%(15) |
Security | Principal Amount (000's omitted) | Value | |
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 588 | $ 577,398 |
$ 577,398 | |||
Drugs — 0.1% | |||
Jaguar Holding Company II, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 8/18/22 | $ | 894 | $ 894,320 |
$ 894,320 | |||
Electronics/Electrical — 0.2% | |||
Go Daddy Operating Company, LLC, Term Loan, 1.897%, (1 mo. USD LIBOR + 1.75%), 2/15/24 | $ | 308 | $ 307,297 |
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | 592 | 594,271 | |
MA FinanceCo., LLC, Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 37 | 36,648 | |
Seattle Spinco, Inc., Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 250 | 247,496 | |
SolarWinds Holdings, Inc., Term Loan, 2.897%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 196 | 187,999 | |
SS&C European Holdings S.a.r.l., Term Loan, 4/16/25(16) | 90 | 88,814 | |
SS&C Technologies, Inc., Term Loan, 4/16/25(16) | 116 | 114,780 | |
Ultimate Software Group, Inc. (The), Term Loan, 5/4/26(16) | 778 | 778,778 | |
$2,356,083 | |||
Equipment Leasing — 0.0%(6) | |||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 305 | $302,842 |
$302,842 | |||
Health Care — 0.1% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (USD LIBOR + 2.50%, Floor 1.00%), 3/1/24(17) | $ | 837 | $834,208 |
$834,208 |
9
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Insurance — 0.1% | |||
Asurion, LLC: | |||
Term Loan, 12/23/26(16) | $ | 150 | $ 148,781 |
Term Loan, 3.147%, (1 mo. USD LIBOR + 3.00%), 11/3/23 | 313 | 311,976 | |
USI, Inc., Term Loan, 5/16/24(16) | 835 | 824,623 | |
$ 1,285,380 | |||
Leisure Goods/Activities/Movies — 0.0%(6) | |||
Bombardier Recreational Products, Inc., Term Loan, 2.147%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 167 | $ 165,014 |
$ 165,014 | |||
Lodging and Casinos — 0.0%(6) | |||
ESH Hospitality, Inc., Term Loan, 2.147%, (1 mo. USD LIBOR + 2.00%), 9/18/26 | $ | 97 | $95,708 |
$95,708 | |||
Telecommunications — 0.2% | |||
CenturyLink, Inc., Term Loan, 2.397%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 842 | $833,033 |
Level 3 Financing, Inc., Term Loan, 1.897%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 175 | 173,030 | |
Ziggo Financing Partnership, Term Loan, 2.659%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 845 | 839,191 | |
$1,845,254 | |||
Total Senior Floating-Rate Loans (identified cost $8,390,798) | $8,356,207 |
Sovereign Government Bonds — 0.3% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 591 | $ 578,269 |
2.00%, 9/29/22 | 1,410 | 1,454,901 | |
Kuntarahoitus Oyj, 1.375%, 9/21/21(1) | 204 | 205,651 | |
Nederlandse Waterschapsbank NV, 2.125%, 11/15/21(1) | 580 | 589,586 | |
Total Sovereign Government Bonds (identified cost $2,838,819) | $ 2,828,407 |
Taxable Municipal Obligations — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.4% | |||
Los Angeles Unified School District, CA, 5.75%, 7/1/34(18) | $ | 800 | $ 1,129,680 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 880 | 1,022,173 | |
New York City, NY, 5.206%, 10/1/31(18) | 1,275 | 1,608,948 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 630 | 709,833 | |
$ 4,470,634 | |||
Special Tax Revenue — 0.5% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 935 | $ 999,842 |
2.484%, 6/1/27 | 665 | 714,722 | |
2.534%, 6/1/28 | 830 | 891,345 | |
2.584%, 6/1/29 | 455 | 488,980 | |
2.984%, 6/1/33 | 520 | 557,638 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(18) | 400 | 495,336 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(18) | 1,000 | 1,304,290 | |
$5,452,153 | |||
Water and Sewer — 0.6% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 270 | $402,489 |
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds: | |||
2.094%, 9/1/30 | 430 | 453,560 | |
2.184%, 9/1/31 | 345 | 356,823 | |
2.264%, 9/1/32 | 305 | 314,361 | |
2.344%, 9/1/33 | 335 | 346,025 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 360 | 367,376 | |
Green Bonds, 1.701%, 5/1/31 | 320 | 328,339 | |
Green Bonds, 1.951%, 5/1/34 | 190 | 193,471 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 3,420 | 3,653,518 | |
$6,415,962 | |||
Total Taxable Municipal Obligations (identified cost $14,888,510) | $16,338,749 |
10
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
U.S. Government Agencies and Instrumentalities — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.547%, 8/1/22 | $ | 305 | $ 316,464 |
2.618%, 8/1/23 | 153 | 162,066 | |
2.668%, 8/1/24 | 534 | 573,929 | |
2.738%, 8/1/25 | 534 | 589,099 | |
3.435%, 8/1/34 | 530 | 615,151 | |
3.485%, 8/1/35 | 295 | 343,924 | |
3.585%, 8/1/37 | 547 | 642,148 | |
U.S. International Development Finance Corp.: | |||
3.22%, 9/15/29 | 776 | 868,037 | |
3.52%, 9/20/32 | 796 | 916,400 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $4,602,921) | $5,027,218 |
U.S. Government Agency Mortgage-Backed Securities — 3.7% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., 3.50%, 3/1/48 | $ | 591 | $ 627,415 |
Federal National Mortgage Association: | |||
30-Year, 2.00%, TBA(19) | 3,785 | 3,935,199 | |
30-Year, 2.50%, TBA(19) | 14,125 | 14,896,904 | |
30-Year, 3.00%, TBA(19) | 15,410 | 16,147,380 | |
Pool #AN1879, 2.65%, 6/1/26 | 599 | 653,754 | |
Pool #AN1909, 2.68%, 7/1/26 | 650 | 711,574 | |
Pool #BM3990, 4.00%, 3/1/48 | 1,266 | 1,356,983 | |
Pool #MA3149, 4.00%, 10/1/47 | 1,783 | 1,912,957 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $39,928,451) | $40,242,166 |
U.S. Treasury Obligations — 3.6% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 234 | $ 221,240 |
1.375%, 8/15/50 | 797 | 744,946 | |
2.00%, 2/15/50 | 705 | 764,292 | |
2.375%, 11/15/49 | 275 | 322,470 | |
2.875%, 5/15/49 | 815 | 1,050,395 | |
3.125%, 5/15/48 | 371 | 497,169 | |
U.S. Treasury Inflation-Protected Bond, 0.25%, 2/15/50(20) | 3,116 | 3,719,527 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Inflation-Protected Notes: | |||
0.125%, 4/15/25(20) | $ | 184 | $ 197,422 |
0.75%, 7/15/28(20) | 10,455 | 12,164,417 | |
U.S. Treasury Notes: | |||
0.25%, 5/31/25 | 2,150 | 2,145,717 | |
0.25%, 6/30/25 | 1,055 | 1,052,198 | |
0.25%, 10/31/25 | 1,074 | 1,069,259 | |
0.375%, 11/30/25 | 3,450 | 3,454,312 | |
0.625%, 5/15/30 | 1,266 | 1,237,119 | |
0.625%, 8/15/30 | 953 | 928,728 | |
0.875%, 11/15/30 | 2,361 | 2,352,146 | |
1.125%, 2/28/22 | 6,170 | 6,243,992 | |
1.625%, 12/31/21 | 950 | 964,345 | |
Total U.S. Treasury Obligations (identified cost $37,163,656) | $39,129,694 |
Venture Capital Debt Obligations — 0.0%(6) |
Security | Principal Amount (000's omitted) | Value | |
Kickboard Bridge Note, 8.00%, 4/6/21(7)(8) | $ | 41 | $ 40,196 |
Total Venture Capital Debt Obligations (identified cost $41,000) | $ 40,196 |
Venture Capital Limited Partnership Interests — 0.0%(6) |
Security | Value | ||
First Analysis Private Equity Fund IV, L.P.(5)(7)(8) | $ 224,732 | ||
GEEMF Partners, L.P.(5)(7)(8)(13) | 11,372 | ||
Global Environment Emerging Markets Fund, L.P.(5)(7)(8) | 31,781 | ||
Solstice Capital, L.P.(5)(7)(8) | 24,762 | ||
Total Venture Capital Limited Partnership Interests (identified cost $0) | $ 292,647 |
11
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Short-Term Investments — 2.9% | |||
Other — 2.8% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.12%(21) | 29,969,359 | $ 29,972,355 | |
Total Other (identified cost $29,972,355) | $ 29,972,355 | ||
Securities Lending Collateral — 0.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.08%(22) | 1,472,985 | $ 1,472,985 | |
Total Securities Lending Collateral (identified cost $1,472,985) | $ 1,472,985 | ||
Total Short-Term Investments (identified cost $31,445,340) | $ 31,445,340 | ||
Total Investments — 104.0% (identified cost $894,793,839) | $1,118,274,573 | ||
Other Assets, Less Liabilities — (4.0)% | $ (42,843,086) | ||
Net Assets — 100.0% | $1,075,431,487 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
* | In U.S. dollars unless otherwise indicated. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At December 31, 2020, the aggregate value of these securities is $99,436,168 or 9.2% of the Fund's net assets. | |
(2) | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2020. | |
(3) | Step coupon security. Interest rate represents the rate in effect at December 31, 2020. | |
(4) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2020. | |
(5) | Non-income producing security. | |
(6) | Amount is less than 0.05%. | |
(7) | For fair value measurement disclosure purposes, security is categorized as Level 3. | |
(8) | Restricted security. Total market value of restricted securities amounts to $6,177,236, which represents 0.5% of the net assets of the Fund as of December 31, 2020. |
(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 December 31, 2020, the aggregate value of these securities is $187,856 or less than 0.05% of the Fund’s net assets. |
(10) | All or a portion of this security was on loan at December 31, 2020. The aggregate market value of securities on loan at December 31, 2020 was $1,762,880 and the total market value of the collateral received by the Fund was $1,810,943, comprised of cash of $1,472,985 and U.S. government and/or agencies securities of $337,958. |
(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) | Affiliated company. |
(14) | 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 December 31, 2020. |
(15) | 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") 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. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(16) | This Senior Loan will settle after December 31, 2020, at which time the interest rate will be determined. |
(17) | The stated interest rate represents the weighted average interest rate at December 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(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) | 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. |
(21) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of December 31, 2020. |
(22) | Represents investment of cash collateral received in connection with securities lending. |
12
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 15,261 | EUR | 12,817 | State Street Bank and Trust Company | 2/26/21 | $ — | $(416) |
$ — | $(416) |
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 8 | Long | 3/31/21 | $1,767,813 | $1,737 |
U.S. Long Treasury Bond | 26 | Long | 3/22/21 | 4,502,875 | (15,986) |
U.S. Ultra-Long Treasury Bond | 58 | Long | 3/22/21 | 12,386,625 | (172,187) |
U.S. 5-Year Treasury Note | (9) | Short | 3/31/21 | (1,135,477) | (2,688) |
U.S. Long Treasury Bond | (2) | Short | 3/22/21 | (346,375) | 3,184 |
U.S. Ultra 10-Year Treasury Note | (386) | Short | 3/22/21 | (60,354,719) | 171,266 |
U.S. Ultra-Long Treasury Bond | (9) | Short | 3/22/21 | (1,922,062) | 18,022 |
$3,348 |
Restricted Securities
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, 2.07%, 11/3/22 | 11/13/15 | 393,000 |
ImpactAssets, Inc., Microfinance Plus Notes, 0.46%, 11/3/22 | 11/13/15 | 506,000 |
Kickboard, Common Stock | 5/23/13 | 0 |
Kickboard, Series A, Preferred | 2/12/13 | 285,328 |
Kickboard, Series A2, Preferred | 6/19/14 | 100,000 |
Kickboard Bridge Note, 8.00%, 4/6/21 | 9/16/15 | 41,000 |
Learn Capital Venture Partners III, L.P., Common Stock | 8/30/16-12/4/20 | 1,024,486 |
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 |
13
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Abbreviations: | |
ADR | – American Depositary Receipt |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
BRL | – Brazilian Real |
EUR | – Euro |
USD | – United States Dollar |
14
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Foreign Exchange Risk: The Fund enters into forward foreign currency exchange contracts to enhance return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Fund enters into futures contracts to hedge against fluctuations in interest rates and to manage overall duration.
At December 31, 2020, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
At December 31, 2020, the value of the Fund's investment in Calvert Impact Capital, Inc. (the Notes) and other affiliated companies/funds was $32,393,677, which represents 3.0% of the Fund's net assets. Transactions in the Notes and other affiliated companies/funds by the Fund for the fiscal year to date ended December 31, 2020 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, end of period |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | $ 2,602,270 | $ — | $ (2,615,531) | $ — | $ 13,261 | $ — | $ 8,174 | $ — |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | — | 2,500,000 | — | — | (90,050) | 2,409,950 | 1,667 | 2,500,000 |
Venture Capital Limited Partnership Interests | ||||||||
GEEMF Partners, L.P.(1)(2)(3) | 11,713 | — | — | — | (341) | 11,372 | — | — |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 33,089,296 | 66,155,591 | (69,272,532) | (1,628) | 1,628 | 29,972,355 | 9,428 | 29,969,359 |
Totals | $(1,628) | $(75,502) | $32,393,677 | $19,269 |
(1) | Restricted security. |
(2) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(3) | Non-income producing security. |
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund's holdings as of December 31, 2020, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Asset-Backed Securities | $— | $52,204,166 | $— | $52,204,166 |
Collateralized Mortgage Obligations | — | 15,842,073 | — | 15,842,073 |
Commercial Mortgage-Backed Securities | — | 45,898,270 | — | 45,898,270 |
Common Stocks | 690,276,377(2) | — | — | 690,276,377 |
Common Stocks - Venture Capital | — | — | 2,185,123 | 2,185,123 |
Convertible Bonds | — | 862,144 | — | 862,144 |
Convertible Preferred Stocks | 55,130 | — | — | 55,130 |
Corporate Bonds | — | 159,710,461 | — | 159,710,461 |
High Social Impact Investments | — | 3,205,727 | — | 3,205,727 |
15
Calvert
Balanced Fund
December 31, 2020
Schedule of Investments (Unaudited) — continued
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Preferred Stocks | $3,880,935 | $— | $— | $3,880,935 |
Preferred Stocks - Venture Capital | — | — | 453,543 | 453,543 |
Senior Floating-Rate Loans | — | 8,356,207 | — | 8,356,207 |
Sovereign Government Bonds | — | 2,828,407 | — | 2,828,407 |
Taxable Municipal Obligations | — | 16,338,749 | — | 16,338,749 |
U.S. Government Agencies and Instrumentalities | — | 5,027,218 | — | 5,027,218 |
U.S. Government Agency Mortgage-Backed Securities | — | 40,242,166 | — | 40,242,166 |
U.S. Treasury Obligations | — | 39,129,694 | — | 39,129,694 |
Venture Capital Debt Obligations | — | — | 40,196 | 40,196 |
Venture Capital Limited Partnership Interests | — | — | 292,647 | 292,647 |
Short-Term Investments: | ||||
Other | — | 29,972,355 | — | 29,972,355 |
Securities Lending Collateral | 1,472,985 | — | — | 1,472,985 |
Total Investments | $695,685,427 | $419,617,637 | $2,971,509 | $1,118,274,573 |
Futures Contracts | $194,209 | $ — | $ — | $194,209 |
Total | $695,879,636 | $419,617,637 | $2,971,509 | $1,118,468,782 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $(416) | $ — | $(416) |
Futures Contracts | (190,861) | — | — | (190,861) |
Total | $(190,861) | $(416) | $ — | $(191,277) |
(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. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended December 31, 2020 is not presented.
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
16