Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited)
Asset-Backed Securities — 6.7% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 416 | $ 409,720 |
Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.88%, 8/15/25(1) | 305 | 301,243 | |
Avant Loans Funding Trust, Series 2021-REV1, Class D, 4.30%, 7/15/30(1) | 525 | 481,556 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 65 | 59,334 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 811 | 787,336 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 1,640 | 1,511,627 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 960 | 872,247 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class A, 1.05%, 5/15/26(1) | 825 | 820,185 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 1,370 | 1,329,578 | |
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 375 | 356,822 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 768 | 685,669 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 163 | 156,394 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 1,139 | 980,504 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 255 | 217,758 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 2,166 | 1,908,029 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 125 | 123,462 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 805 | 773,657 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 124 | 119,919 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(2) | 125 | 113,418 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 1,060 | 948,951 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 159 | 154,837 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 1,280 | 1,235,139 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 342 | 330,463 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 636 | 553,990 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 428 | 390,499 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 632 | 603,739 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 777 | 753,505 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 713 | 688,975 |
Security | Principal Amount (000's omitted) | Value | |
Lendingpoint Asset Securitization Trust, Series 2022-A, Class A, 1.68%, 6/15/29(1) | $ | 949 | $ 934,803 |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 235 | 196,760 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 113 | 88,729 | |
Marlette Funding Trust, Series 2020-2A, Class C, 2.83%, 9/16/30(1) | 107 | 106,426 | |
Mill City Solar Loan, Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 480 | 406,986 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 453 | 434,685 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 1,095 | 1,016,963 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 53 | 53,401 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 124 | 112,406 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 101 | 93,315 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 254 | 220,460 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 367 | 324,094 | |
Series 2021-1A, Class A, 1.51%, 12/20/46(1) | 623 | 538,443 | |
Series 2021-1A, Class C, 2.25%, 12/20/46(1) | 1,527 | 1,405,414 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 211 | 186,077 | |
Series 2021-3A, Class D, 3.28%, 6/20/52(1) | 131 | 116,912 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 985 | 859,415 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 1,836 | 1,716,943 | |
OneMain Financial Issuance Trust: | |||
Series 2016-3A, Class A, 3.83%, 6/18/31(1) | 5 | 5,167 | |
Series 2020-1A, Class A, 3.84%, 5/14/32(1) | 887 | 884,350 | |
Series 2022-S1, Class A, 4.13%, 5/14/35(1) | 1,400 | 1,380,712 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 265 | 249,486 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 1,690 | 1,667,260 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 979 | 908,615 | |
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 178 | 166,943 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 5,100 | 4,722,006 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 530 | 485,733 | |
Series 2021-C, Class C, 3.61%, 10/8/31(1) | 105 | 94,320 | |
Pagaya AI Debt Selection Trust: | |||
Series 2020-3, Class B, 3.22%, 5/17/27(1) | 305 | 302,909 | |
Series 2021-2, 3.00%, 1/25/29(1) | 1,040 | 985,624 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 2,360 | 2,295,589 | |
Series 2021-5, Class A, 1.53%, 8/15/29(1) | 1,768 | 1,712,495 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 499 | 474,736 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 69 | 67,659 |
1
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Planet Fitness Master Issuer, LLC: (continued) | |||
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | $ | 614 | $ 548,013 |
Prosper Marketplace Issuance Trust, Series 2019-4A, Class C, 4.95%, 2/17/26(1) | 136 | 135,241 | |
SBA Tower Trust, Series 2014-2A, Class C, 3.869% to 4/15/23, 10/15/49(1)(3) | 1,000 | 984,967 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 350 | 302,414 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 441 | 370,471 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 2,007 | 1,878,144 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 355 | 344,272 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,136 | 1,077,892 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 707 | 657,564 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 4,796 | 4,760,871 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 405 | 389,728 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 961 | 883,304 | |
Sunnova Helios II Issuer, LLC: | |||
Series 2021-A, Class A, 1.80%, 2/20/48(1) | 1,252 | 1,094,054 | |
Series 2021-A, Class B, 3.15%, 2/20/48(1) | 420 | 357,576 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 1,424 | 1,224,839 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 239 | 212,449 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 466 | 423,927 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 433 | 407,711 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 706 | 593,573 | |
Sunrun Jupiter Issuer, LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1) | 2,075 | 1,979,771 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 311 | 292,938 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 741 | 696,654 | |
Theorem Funding Trust: | |||
Series 2020-1A, Class B, 3.95%, 10/15/26(1) | 275 | 273,972 | |
Series 2021-1A, Class A, 1.21%, 12/15/27(1) | 875 | 855,075 | |
Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 174 | 159,651 | |
Thunderbolt Aircraft Lease, Ltd., Series 2017-A, Class C, 4.50%, 5/17/32(1) | 134 | 71,862 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 930 | 901,178 | |
Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.75%, 2/20/28(1) | 305 | 299,544 |
Security | Principal Amount (000's omitted) | Value | |
Upstart Securitization Trust, Series 2020-1, Class C, 4.899%, 4/22/30(1) | $ | 750 | $ 733,798 |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 159 | 157,845 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,035 | 1,006,557 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 1,870 | 1,631,078 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 621 | 556,448 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 970 | 820,121 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 356 | 285,050 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 173 | 114,238 | |
Total Asset-Backed Securities (identified cost $75,173,293) | $70,367,182 |
Collateralized Mortgage Obligations — 1.3% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2017-1, Class B1, 6.374%, (1 mo. USD LIBOR + 4.75%), 10/25/27(1)(4) | $ | 155 | $ 155,774 |
Series 2021-1A, Class M1A, 2.676%, (30-day average SOFR + 1.75%), 3/25/31(1)(4) | 249 | 249,215 | |
Series 2021-1A, Class M1B, 3.126%, (30-day average SOFR + 2.20%), 3/25/31(1)(4) | 248 | 239,400 | |
Series 2021-1A, Class M1C, 3.876%, (30-day average SOFR + 2.95%), 3/25/31(1)(4) | 150 | 147,437 | |
Series 2021-2A, Class M1A, 2.126%, (30-day average SOFR + 1.20%), 6/25/31(1)(4) | 1,508 | 1,485,521 | |
Series 2021-3A, Class A2, 1.926%, (30-day average SOFR + 1.00%), 9/25/31(1)(4) | 590 | 582,951 | |
Series 2021-3A, Class M1B, 2.326%, (30-day average SOFR + 1.40%), 9/25/31(1)(4) | 415 | 378,019 | |
CHL GMSR Issuer Trust, Series 2018-GT1, Class A, 4.374%, (1 mo. USD LIBOR + 2.75%), 5/25/23(1)(4) | 117 | 116,008 | |
Eagle Re, Ltd.: | |||
Series 2021-1, Class M1A, 2.626%, (30-day average SOFR + 1.70%), 10/25/33(1)(4) | 272 | 273,007 | |
Series 2021-2, Class M1C, 4.376%, (30-day average SOFR + 3.45%), 4/25/34(1)(4) | 415 | 407,120 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 4.874%, (1 mo. USD LIBOR + 3.25%), 5/25/25(4) | 182 | 183,405 | |
Series 2018-DNA1, Class M2AT, 2.674%, (1 mo. USD LIBOR + 1.05%), 7/25/30(4) | 197 | 197,017 | |
Series 2019-DNA3, Class B2, 9.774%, (1 mo. USD LIBOR + 8.15%), 7/25/49(1)(4) | 240 | 241,410 | |
Series 2019-DNA3, Class M2, 3.674%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(4) | 959 | 954,452 |
2
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: (continued) | |||
Series 2019-DNA4, Class M2, 3.574%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(4) | $ | 93 | $ 92,584 |
Series 2019-HQA2, Class B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(4) | 165 | 162,743 | |
Series 2019-HQA4, Class B1, 4.574%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(4) | 57 | 54,507 | |
Series 2020-DNA6, Class B1, 3.926%, (30-day average SOFR + 3.00%), 12/25/50(1)(4) | 50 | 43,004 | |
Series 2020-HQA2, Class B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(4) | 108 | 100,805 | |
Series 2021-DNA3, Class M1, 1.676%, (30-day average SOFR + 0.75%), 10/25/33(1)(4) | 399 | 393,599 | |
Series 2022-DNA2, Class M1A, 2.226%, (30-day average SOFR + 1.30%), 2/25/42(1)(4) | 995 | 974,745 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 6.874%, (1 mo. USD LIBOR + 5.25%), 10/25/23(4) | 236 | 243,915 | |
Series 2014-C02, Class 2M2, 4.224%, (1 mo. USD LIBOR + 2.60%), 5/25/24(4) | 101 | 102,335 | |
Series 2014-C03, Class 2M2, 4.524%, (1 mo. USD LIBOR + 2.90%), 7/25/24(4) | 138 | 139,071 | |
Series 2014-C04, Class 1M2, 6.524%, (1 mo. USD LIBOR + 4.90%), 11/25/24(4) | 429 | 444,203 | |
Series 2018-R07, Class 1M2, 4.024%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(4) | 91 | 90,882 | |
Series 2019-R01, Class 2B1, 5.974%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(4) | 150 | 150,057 | |
Series 2019-R02, Class 1B1, 5.774%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(4) | 150 | 148,742 | |
Series 2019-R02, Class 1M2, 3.924%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(4) | 8 | 8,162 | |
Series 2019-R03, Class 1B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(4) | 150 | 148,449 | |
Series 2019-R05, Class 1B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 7/25/39(1)(4) | 233 | 228,064 | |
Series 2019-R06, Class 2B1, 5.374%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(4) | 911 | 864,122 | |
Series 2019-R07, Class 1B1, 5.024%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(4) | 268 | 249,715 | |
Series 2020-R02, Class 2B1, 4.624%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(4) | 1,120 | 1,004,614 | |
Series 2021-R01, Class 1B2, 6.926%, (30-day average SOFR + 6.00%), 10/25/41(1)(4) | 395 | 331,669 | |
Series 2021-R02, Class 2B1, 4.226%, (30-day average SOFR + 3.30%), 11/25/41(1)(4) | 35 | 29,901 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 547 | 532,515 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 4.624%, (1 mo. USD LIBOR + 3.00%), 10/25/28(1)(4) | 811 | 794,508 | |
Series 2021-1, Class M1B, 3.174%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(4) | 690 | 682,254 |
Security | Principal Amount (000's omitted) | Value | |
Home Re, Ltd.: (continued) | |||
Series 2021-1, Class M2, 4.474%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(4) | $ | 215 | $ 196,398 |
Oaktown Re V, Ltd., Series 2020-2A, Class M1B, 5.224%, (1 mo. USD LIBOR + 3.60%), 10/25/30(1)(4) | 191 | 190,604 | |
Total Collateralized Mortgage Obligations (identified cost $14,515,055) | $ 14,012,903 |
Commercial Mortgage-Backed Securities — 4.4% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(2) | $ | 1,605 | $ 1,361,858 |
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(2) | 680 | 570,359 | |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(2) | 1,215 | 1,003,574 | |
BBCMS Mortgage Trust: | |||
Series 2017-DELC, Class E, 3.824%, (1 mo. USD LIBOR + 2.50%), 8/15/36(1)(4) | 212 | 200,906 | |
Series 2017-DELC, Class F, 4.824%, (1 mo. USD LIBOR + 3.50%), 8/15/36(1)(4) | 285 | 267,584 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 2.244%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(4) | 1,209 | 1,188,508 | |
Series 2019-XL, Class B, 2.404%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(4) | 638 | 622,208 | |
Series 2021-VOLT, Class B, 2.274%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(4) | 1,809 | 1,703,358 | |
Series 2021-VOLT, Class C, 2.424%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(4) | 549 | 512,153 | |
Series 2021-VOLT, Class D, 2.974%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(4) | 1,739 | 1,631,435 | |
Credit Suisse Mortgage Trust, Series 2022-CNTR, Class A, 5.223%, (1 mo. SOFR + 3.944%), 1/15/24(1)(4) | 247 | 228,381 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 2.405%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(4) | 636 | 621,115 | |
Series 2021-ESH, Class C, 3.025%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(4) | 1,380 | 1,337,567 | |
Series 2021-ESH, Class D, 3.575%, (1 mo. USD LIBOR + 2.25%), 7/15/38(1)(4) | 451 | 436,584 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 3,315 | 3,061,355 | |
Series KG03, Class A2, 1.297%, 6/25/30(2) | 770 | 648,247 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 704 | 600,805 | |
Series KW06, Class A2, 3.80%, 6/25/28(2) | 1,135 | 1,153,057 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(2) | 412 | 408,039 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.024%, 9/25/27(2) | 1,173 | 1,156,201 |
3
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2018-M4, Class A2, 3.158%, 3/25/28(2) | $ | 2,103 | $ 2,062,850 |
Series 2018-M13, Class A2, 3.87%, 9/25/30(2) | 3,189 | 3,233,938 | |
Series 2019-M1, Class A2, 3.671%, 9/25/28(2) | 988 | 990,559 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 3,374 | 3,164,555 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 2,322 | 2,172,802 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 1,505 | 1,313,243 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M7, 3.324%, (1 mo. USD LIBOR + 1.70%), 10/15/49(1)(4) | 93 | 91,114 | |
Series 2019-01, Class M10, 4.874%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(4) | 621 | 578,882 | |
Series 2020-01, Class M10, 5.374%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(4) | 1,369 | 1,235,285 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 2.474%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(4) | 2,738 | 2,667,141 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 550 | 155,925 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(2) | 225 | 40,163 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 2.024%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(4)(5) | 1,909 | 1,891,100 | |
Series 2017-CLS, Class E, 3.274%, (1 mo. USD LIBOR + 1.95%), 11/15/34(1)(4)(5) | 225 | 219,215 | |
Series 2017-CLS, Class F, 3.924%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1)(4)(5) | 629 | 610,782 | |
Series 2019-BPR, Class A, 2.974%, (1 mo. USD LIBOR + 1.65%), 5/15/36(1)(4)(5) | 1,153 | 1,113,754 | |
Series 2019-BPR, Class B, 3.674%, (1 mo. USD LIBOR + 2.35%), 5/15/36(1)(4)(5) | 386 | 369,350 | |
Series 2019-BPR, Class C, 4.624%, (1 mo. USD LIBOR + 3.30%), 5/15/36(1)(4)(5) | 205 | 193,276 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 1,674 | 1,424,508 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 3.262%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(4) | 1,398 | 1,343,836 | |
Series 2021-HT1, Class B, 6.112%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(4) | 2,057 | 1,926,647 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(2) | 850 | 731,319 | |
Total Commercial Mortgage-Backed Securities (identified cost $49,872,031) | $46,243,538 |
Common Stocks — 56.7% |
Security | Shares | Value | |
Auto Components — 0.3% | |||
Aptiv PLC(6) | 38,600 | $ 3,438,102 | |
$ 3,438,102 | |||
Banks — 1.9% | |||
PNC Financial Services Group, Inc. (The) | 60,800 | $ 9,592,416 | |
Wells Fargo & Co. | 275,600 | 10,795,252 | |
$ 20,387,668 | |||
Beverages — 2.4% | |||
Coca-Cola Co. (The) | 268,300 | $ 16,878,753 | |
Coca-Cola Europacific Partners PLC | 151,600 | 7,824,076 | |
$24,702,829 | |||
Biotechnology — 1.6% | |||
AbbVie, Inc. | 111,900 | $17,138,604 | |
$17,138,604 | |||
Capital Markets — 2.5% | |||
Intercontinental Exchange, Inc. | 116,400 | $10,946,256 | |
S&P Global, Inc. | 24,800 | 8,359,088 | |
Tradeweb Markets, Inc., Class A | 94,366 | 6,440,480 | |
$25,745,824 | |||
Chemicals — 1.6% | |||
Ecolab, Inc. | 51,800 | $7,964,768 | |
FMC Corp. | 78,300 | 8,378,883 | |
$16,343,651 | |||
Commercial Services & Supplies — 1.0% | |||
Waste Management, Inc. | 66,325 | $10,146,399 | |
$10,146,399 | |||
Diversified Telecommunication Services — 1.2% | |||
Verizon Communications, Inc. | 248,200 | $12,596,150 | |
$12,596,150 | |||
Electric Utilities — 1.3% | |||
NextEra Energy, Inc. | 180,300 | $13,966,038 | |
$13,966,038 | |||
Electrical Equipment — 0.7% | |||
AMETEK, Inc. | 67,500 | $7,417,575 | |
$7,417,575 |
4
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Electronic Equipment, Instruments & Components — 0.8% | |||
TE Connectivity, Ltd. | 69,600 | $ 7,875,240 | |
$ 7,875,240 | |||
Energy Equipment & Services — 1.6% | |||
Baker Hughes Co. | 595,900 | $ 17,203,633 | |
$ 17,203,633 | |||
Entertainment — 0.5% | |||
Electronic Arts, Inc. | 46,100 | $ 5,608,065 | |
$ 5,608,065 | |||
Equity Real Estate Investment Trusts (REITs) — 2.2% | |||
EastGroup Properties, Inc. | 76,100 | $11,744,513 | |
Lamar Advertising Co., Class A | 131,100 | 11,532,867 | |
$23,277,380 | |||
Food & Staples Retailing — 2.3% | |||
Sysco Corp. | 154,100 | $13,053,811 | |
Walmart, Inc. | 89,500 | 10,881,410 | |
$23,935,221 | |||
Health Care Equipment & Supplies — 1.1% | |||
Boston Scientific Corp.(6) | 232,400 | $8,661,548 | |
Teleflex, Inc. | 11,700 | 2,876,445 | |
$11,537,993 | |||
Health Care Providers & Services — 1.3% | |||
Elevance Health, Inc. | 29,300 | $14,139,594 | |
$14,139,594 | |||
Hotels, Restaurants & Leisure — 0.5% | |||
Marriott International, Inc., Class A | 41,700 | $5,671,617 | |
$5,671,617 | |||
Insurance — 1.8% | |||
Allstate Corp. (The) | 101,900 | $12,913,787 | |
W.R. Berkley Corp. | 90,200 | 6,157,052 | |
$19,070,839 | |||
Interactive Media & Services — 3.2% | |||
Alphabet, Inc., Class C(6) | 15,512 | $33,931,724 | |
$33,931,724 | |||
Internet & Direct Marketing Retail — 2.2% | |||
Amazon.com, Inc.(6) | 220,320 | $23,400,187 | |
$23,400,187 |
Security | Shares | Value | |
IT Services — 2.3% | |||
Automatic Data Processing, Inc. | 51,700 | $ 10,859,068 | |
Visa, Inc., Class A | 70,100 | 13,801,989 | |
$ 24,661,057 | |||
Life Sciences Tools & Services — 2.3% | |||
Danaher Corp. | 49,100 | $ 12,447,832 | |
Thermo Fisher Scientific, Inc. | 22,497 | 12,222,170 | |
$ 24,670,002 | |||
Machinery — 1.0% | |||
Westinghouse Air Brake Technologies Corp. | 128,900 | $10,580,112 | |
$10,580,112 | |||
Multi-Utilities — 1.3% | |||
Sempra Energy | 88,500 | $13,298,895 | |
$13,298,895 | |||
Pharmaceuticals — 2.6% | |||
Bristol-Myers Squibb Co. | 170,800 | $13,151,600 | |
Eli Lilly & Co. | 29,500 | 9,564,785 | |
Pfizer, Inc. | 93,300 | 4,891,719 | |
$27,608,104 | |||
Professional Services — 0.9% | |||
Booz Allen Hamilton Holding Corp. | 101,800 | $9,198,648 | |
$9,198,648 | |||
Road & Rail — 0.8% | |||
Union Pacific Corp. | 41,300 | $8,808,464 | |
$8,808,464 | |||
Semiconductors & Semiconductor Equipment — 2.5% | |||
Analog Devices, Inc. | 72,000 | $10,518,480 | |
Lam Research Corp. | 16,400 | 6,988,860 | |
Texas Instruments, Inc. | 57,596 | 8,849,625 | |
$26,356,965 | |||
Software — 6.0% | |||
Black Knight, Inc.(6) | 94,500 | $6,179,355 | |
Fair Isaac Corp.(6) | 15,600 | 6,254,040 | |
Intuit, Inc. | 13,767 | 5,306,353 | |
Microsoft Corp. | 153,251 | 39,359,454 | |
VMware, Inc., Class A | 49,300 | 5,619,214 | |
$62,718,416 |
5
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Shares | Value | |
Specialty Retail — 0.7% | |||
TJX Cos., Inc. (The) | 123,000 | $ 6,869,550 | |
$ 6,869,550 | |||
Technology Hardware, Storage & Peripherals — 3.4% | |||
Apple, Inc. | 264,408 | $ 36,149,862 | |
$ 36,149,862 | |||
Venture Capital — 0.2% | |||
CFBanc Corp.(6)(7)(8) | 27,000 | $ 389,977 | |
Consensus Orthopedics, Inc.(6)(7)(8) | 180,877 | 0 | |
Learn Capital Venture Partners III, L.P.(6)(7)(8) | 1,072,962 | 1,689,124 | |
Neighborhood Bancorp, Class A(6)(7)(8) | 10,000 | 12,500 | |
$2,091,601 | |||
Wireless Telecommunication Services — 0.7% | |||
T-Mobile US, Inc.(6) | 57,145 | $7,688,288 | |
$7,688,288 | |||
Total Common Stocks (identified cost $462,572,163) | $598,234,297 |
Convertible Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.1% | |||
1Life Healthcare, Inc., 3.00%, 6/15/25 | $ | 172 | $ 141,986 |
ams-OSRAM AG, 0.875%, 9/28/22(9) | 600 | 587,037 | |
Total Convertible Bonds (identified cost $747,669) | $ 729,023 |
Corporate Bonds — 16.0% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.1% | |||
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | $ | 861 | $ 805,302 |
$ 805,302 | |||
Communications — 1.0% | |||
AT&T, Inc.: | |||
3.50%, 9/15/53 | $ | 92 | $ 69,891 |
3.55%, 9/15/55 | 900 | 675,814 | |
3.65%, 6/1/51 | 1,190 | 932,539 | |
3.65%, 9/15/59 | 111 | 83,380 |
Security | Principal Amount (000's omitted) | Value | |
Communications (continued) | |||
AT&T, Inc.: (continued) | |||
3.80%, 12/1/57 | $ | 1,097 | $ 849,768 |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 304 | 281,551 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 3,015 | 2,395,009 | |
Comcast Corp.: | |||
2.887%, 11/1/51 | 1,125 | 805,147 | |
2.937%, 11/1/56 | 1,283 | 894,163 | |
Level 3 Financing, Inc., 3.75%, 7/15/29(1) | 80 | 62,000 | |
Nokia Oyj: | |||
4.375%, 6/12/27 | 947 | 895,921 | |
6.625%, 5/15/39 | 990 | 980,763 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 463 | 395,531 | |
SES S.A., 5.30%, 4/4/43(1) | 274 | 233,862 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26 | 48 | 43,284 | |
2.25%, 11/15/31(10) | 161 | 130,824 | |
2.55%, 2/15/31 | 371 | 312,567 | |
2.625%, 4/15/26 | 808 | 734,771 | |
$10,776,785 | |||
Consumer, Cyclical — 1.3% | |||
Air Canada, 3.875%, 8/15/26(1) | $ | 1,510 | $1,280,397 |
American Airlines Pass-Through Trust, 4.40%, 9/22/23 | 209 | 199,393 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 2,115 | 1,950,664 | |
5.75%, 4/20/29(1) | 44 | 37,715 | |
Aptiv PLC/Aptiv Corp., 3.25%, 3/1/32(10) | 410 | 348,804 | |
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | 649 | 562,255 | |
6.875%, 11/1/35 | 107 | 87,255 | |
7.60%, 7/15/37 | 459 | 372,110 | |
Brunswick Corp., 5.10%, 4/1/52 | 185 | 138,382 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 265 | 261,999 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd.: | |||
4.50%, 10/20/25(1) | 825 | 802,404 | |
4.75%, 10/20/28(1) | 1,271 | 1,201,594 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 2,607 | 1,736,687 | |
Ford Motor Co., 4.75%, 1/15/43 | 127 | 90,874 | |
Ford Motor Credit Co., LLC, 3.375%, 11/13/25 | 206 | 186,146 | |
General Motors Financial Co., Inc., 4.30%, 4/6/29 | 1,234 | 1,133,643 | |
Hyatt Hotels Corp.: | |||
1.30%, 10/1/23 | 409 | 396,256 | |
1.80%, 10/1/24 | 168 | 158,932 |
6
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1)(10) | $ | 1,143 | $ 973,339 |
4.375%, 1/15/31(1)(10) | 186 | 158,881 | |
Macy's Retail Holdings, LLC, 4.30%, 2/15/43 | 75 | 47,390 | |
Magallanes, Inc.: | |||
5.05%, 3/15/42(1) | 916 | 780,737 | |
5.141%, 3/15/52(1) | 704 | 591,824 | |
MDC Holdings, Inc., 2.50%, 1/15/31 | 128 | 94,605 | |
Powdr Corp., 6.00%, 8/1/25(1) | 225 | 224,454 | |
$13,816,740 | |||
Consumer, Non-cyclical — 1.3% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 200 | $180,710 |
4.25%, 11/1/29(1) | 987 | 869,280 | |
Avantor Funding, Inc., 4.625%, 7/15/28(1) | 901 | 828,316 | |
Avon Products, Inc., 8.45%, 3/15/43 | 80 | 77,521 | |
Block Financial, LLC, 3.875%, 8/15/30 | 1,631 | 1,468,467 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 1,210 | 964,225 | |
3.375%, 2/15/30 | 472 | 401,632 | |
4.25%, 12/15/27 | 575 | 538,528 | |
4.625%, 12/15/29 | 74 | 69,222 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 645 | 501,881 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 655 | 605,344 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 566 | 581,546 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 1,705 | 1,155,559 | |
Ford Foundation (The), 2.415%, 6/1/50 | 1,095 | 783,219 | |
Hikma Finance USA, LLC, 3.25%, 7/9/25(9) | 200 | 190,104 | |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1)(10) | 1,005 | 886,701 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 787 | 649,118 | |
Perrigo Finance Unlimited Co., 4.40%, 6/15/30 | 1,058 | 945,620 | |
Royalty Pharma PLC, 3.55%, 9/2/50 | 1,154 | 808,069 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 870 | 687,961 | |
3.00%, 10/15/30(1) | 192 | 159,393 | |
5.20%, 4/1/29(1) | 138 | 135,717 | |
$13,488,133 | |||
Energy — 0.4% | |||
NuStar Logistics, L.P.: | |||
6.00%, 6/1/26 | $ | 1,189 | $1,113,819 |
6.375%, 10/1/30 | 334 | 290,726 |
Security | Principal Amount (000's omitted) | Value | |
Energy (continued) | |||
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | $ | 1,293 | $ 1,109,711 |
5.00%, 1/31/28(1) | 1,746 | 1,584,704 | |
$ 4,098,960 | |||
Financial — 8.2% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
1.65%, 10/29/24 | $ | 443 | $ 409,523 |
1.75%, 10/29/24 | 150 | 138,527 | |
2.875%, 8/14/24 | 269 | 256,472 | |
3.50%, 1/15/25 | 635 | 607,063 | |
4.50%, 9/15/23 | 716 | 713,027 | |
6.50%, 7/15/25 | 413 | 423,174 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 499 | 451,420 | |
Agree, L.P., 2.00%, 6/15/28 | 329 | 281,343 | |
Air Lease Corp.: | |||
2.875%, 1/15/26 | 816 | 750,344 | |
2.875%, 1/15/32 | 330 | 257,915 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 972 | 892,767 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 165 | 146,853 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 176 | 150,792 | |
American National Group, Inc., 6.144%, 6/13/32(1) | 200 | 198,360 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 845 | 742,182 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(11) | 1,352 | 1,276,153 | |
Banco de Chile, 2.99%, 12/9/31(1) | 827 | 692,083 | |
Banco Santander S.A., 1.722% to 9/14/26, 9/14/27(11) | 800 | 694,947 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(11) | 2,414 | 2,149,944 | |
1.898% to 7/23/30, 7/23/31(11) | 680 | 544,076 | |
1.922% to 10/24/30, 10/24/31(11) | 753 | 602,173 | |
2.087% to 6/14/28, 6/14/29(11) | 1,034 | 886,441 | |
2.299% to 7/21/31, 7/21/32(11) | 960 | 776,736 | |
2.456% to 10/22/24, 10/22/25(11) | 2,613 | 2,491,627 | |
2.551% to 2/4/27, 2/4/28(11) | 1,471 | 1,338,949 | |
2.60%, (SOFR + 1.10%), 4/25/25(4) | 275 | 273,496 | |
2.83%, (SOFR + 1.33%), 4/2/26(4) | 1,733 | 1,711,070 | |
3.846% to 3/8/32, 3/8/37(11) | 4,100 | 3,548,457 | |
BankUnited, Inc., 5.125%, 6/11/30 | 351 | 340,326 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 859 | 780,032 | |
5.125% to 1/18/28, 1/18/33(1)(11) | 1,189 | 1,008,831 | |
Boston Properties, L.P., 2.45%, 10/1/33 | 2,042 | 1,571,044 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(11) | 432 | 362,625 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 58 | 47,365 |
7
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Brown & Brown, Inc.: | |||
2.375%, 3/15/31 | $ | 113 | $ 89,566 |
4.20%, 3/17/32 | 142 | 129,427 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(11) | 721 | 638,695 | |
3.30%, 10/30/24 | 419 | 409,258 | |
3.75%, 7/28/26 | 658 | 630,003 | |
4.20%, 10/29/25 | 575 | 568,260 | |
4.927% to 5/10/27, 5/10/28(11) | 1,006 | 997,144 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,239 | 970,058 | |
4.10%, 6/15/51 | 711 | 461,789 | |
Citigroup, Inc.: | |||
1.281% to 11/3/24, 11/3/25(11) | 622 | 578,010 | |
2.17%, (SOFR + 0.67%), 5/1/25(4) | 287 | 281,596 | |
2.78%, (SOFR + 1.28%), 2/24/28(4) | 1,505 | 1,444,774 | |
3.106% to 4/8/25, 4/8/26(11) | 784 | 753,582 | |
3.785% to 3/17/32, 3/17/33(11) | 1,440 | 1,298,699 | |
3.887% to 1/10/27, 1/10/28(11) | 610 | 586,962 | |
4.00% to 12/10/25(11)(12) | 770 | 667,975 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 626 | 485,868 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(11) | 1,046 | 1,017,302 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 1,202 | 1,135,878 | |
EPR Properties: | |||
3.75%, 8/15/29 | 1,411 | 1,175,661 | |
4.50%, 6/1/27 | 1,059 | 959,481 | |
Extra Space Storage, L.P., 2.55%, 6/1/31 | 803 | 661,519 | |
GA Global Funding Trust: | |||
2.25%, 1/6/27(1) | 1,872 | 1,676,001 | |
2.90%, 1/6/32(1) | 1,483 | 1,233,944 | |
Goldman Sachs Group, Inc. (The): | |||
1.948% to 10/21/26, 10/21/27(11) | 1,448 | 1,282,494 | |
2.08%, (SOFR + 0.58%), 3/8/24(4) | 430 | 423,092 | |
2.64% to 2/24/27, 2/24/28(11) | 550 | 499,571 | |
2.65% to 10/21/31, 10/21/32(11) | 766 | 632,056 | |
3.102% to 2/24/32, 2/24/33(11) | 250 | 213,762 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 2,449 | 2,112,495 | |
3.75%, 9/15/30(1) | 441 | 352,542 | |
6.00%, 4/15/25(1)(10) | 695 | 666,731 | |
HSBC Holdings PLC, 2.251% to 11/22/26, 11/22/27(11) | 1,402 | 1,250,206 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 1,185 | 971,700 | |
5.00%, 7/15/28(1) | 374 | 331,942 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(11) | $ | 1,684 | $ 1,478,156 |
2.08%, (SOFR + 0.58%), 3/16/24(4) | 167 | 165,048 | |
2.10%, (SOFR + 0.60%), 12/10/25(4) | 286 | 276,718 | |
2.68%, (SOFR + 1.18%), 2/24/28(4) | 1,068 | 1,027,432 | |
2.739% to 10/15/29, 10/15/30(11) | 485 | 423,577 | |
2.82%, (SOFR + 1.32%), 4/26/26(4) | 891 | 877,366 | |
4.586% to 4/26/32, 4/26/33(11) | 372 | 365,780 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 758 | 584,455 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 304 | 215,797 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(11) | 793 | 633,794 | |
Life Storage, L.P., 2.40%, 10/15/31 | 1,045 | 832,820 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(11) | 1,525 | 1,210,870 | |
3.624%, 6/3/30(1) | 744 | 649,591 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(11) | 759 | 723,991 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 388 | 387,221 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 1,637 | 1,311,916 | |
7.125%, 3/15/26 | 188 | 174,195 | |
PennyMac Financial Services, Inc., 4.25%, 2/15/29(1) | 146 | 107,579 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 2,409 | 2,335,189 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 1,328 | 1,192,180 | |
6.625%, 3/15/25 | 77 | 75,313 | |
Rocket Mortgage, LLC/Rocket Mortgage Co-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 446 | 369,837 | |
3.875%, 3/1/31(1) | 1,352 | 1,016,900 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 1,255 | 997,378 | |
SITE Centers Corp., 3.625%, 2/1/25 | 517 | 502,996 | |
Societe Generale S.A., 6.221% to 6/15/32, 6/15/33(1)(11) | 910 | 869,549 | |
Standard Chartered PLC: | |||
1.214% to 3/23/24, 3/23/25(1)(11) | 326 | 307,577 | |
1.456% to 1/14/26, 1/14/27(1)(11) | 1,028 | 907,788 | |
1.822% to 11/23/24, 11/23/25(1)(11) | 661 | 612,643 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 902 | 838,974 | |
Sun Communities Operating, L.P.: | |||
2.30%, 11/1/28 | 385 | 329,674 | |
2.70%, 7/15/31 | 299 | 241,292 | |
4.20%, 4/15/32 | 926 | 843,076 | |
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(11) | 782 | 758,872 | |
Synovus Financial Corp.: | |||
3.125%, 11/1/22 | 311 | 310,607 |
8
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Synovus Financial Corp.: (continued) | |||
5.90% to 2/7/24, 2/7/29(11) | $ | 71 | $ 68,647 |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(11) | 596 | 549,298 | |
Toronto-Dominion Bank (The), 2.09%, (SOFR + 0.59%), 9/10/26(4) | 1,315 | 1,279,206 | |
Truist Financial Corp., 5.10% to 3/1/30(10)(11)(12) | 1,053 | 958,230 | |
UBS AG, 1.25%, 6/1/26(1) | 928 | 825,622 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(11) | 1,244 | 988,974 | |
4.375% to 2/10/31(1)(10)(11)(12) | 649 | 476,431 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(11) | 795 | 643,156 | |
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(11) | 943 | 902,959 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(11) | 618 | 498,334 | |
$86,251,188 | |||
Government - Multinational — 1.7% | |||
Asian Development Bank, 3.125%, 9/26/28(10) | $ | 1,160 | $1,153,116 |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 1,295 | 1,243,697 | |
European Investment Bank: | |||
1.625%, 5/13/31(10) | 2,540 | 2,253,417 | |
2.375%, 5/24/27(10) | 2,741 | 2,648,794 | |
2.875%, 6/13/25(1) | 5,102 | 5,073,768 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 1,030 | 968,767 | |
International Bank for Reconstruction & Development: | |||
1.63%, (SOFR + 0.13%), 1/13/23(4) | 1,637 | 1,637,187 | |
3.125%, 11/20/25 | 2,600 | 2,601,100 | |
International Finance Corp., 1.59%, (SOFR + 0.09%), 4/3/24(4) | 679 | 679,058 | |
$18,258,904 | |||
Government - Regional — 0.2% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 1,940 | $1,838,671 |
$1,838,671 | |||
Industrial — 0.5% | |||
Imola Merger Corp., 4.75%, 5/15/29(1) | $ | 727 | $610,673 |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 1,701 | 1,430,288 | |
3.60%, 1/15/30 | 1,434 | 1,278,516 | |
Owens Corning, 3.95%, 8/15/29 | 1,598 | 1,483,857 |
Security | Principal Amount (000's omitted) | Value | |
Industrial (continued) | |||
Valmont Industries, Inc.: | |||
5.00%, 10/1/44 | $ | 110 | $ 100,668 |
5.25%, 10/1/54 | 800 | 764,874 | |
$ 5,668,876 | |||
Other Revenue — 0.1% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 1,625 | $ 1,477,514 |
$ 1,477,514 | |||
Technology — 0.4% | |||
DXC Technology Co., 2.375%, 9/15/28 | $ | 618 | $532,399 |
HP, Inc., 4.00%, 4/15/29 | 739 | 693,019 | |
Kyndryl Holdings, Inc.: | |||
2.05%, 10/15/26(1) | 1,045 | 880,436 | |
2.70%, 10/15/28(1)(10) | 382 | 304,606 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31 | 990 | 771,284 | |
4.091%, 6/1/29 | 758 | 653,305 | |
5.75%, 12/1/34(10) | 439 | 387,111 | |
$4,222,160 | |||
Utilities — 0.8% | |||
AES Corp. (The), 2.45%, 1/15/31 | $ | 1,826 | $1,470,429 |
American Water Capital Corp.: | |||
2.30%, 6/1/31 | 110 | 93,287 | |
2.95%, 9/1/27 | 392 | 368,170 | |
Avangrid, Inc., 3.15%, 12/1/24 | 388 | 379,286 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 472 | 374,803 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 1,861 | 1,635,264 | |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 200 | 170,232 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 500 | 393,015 | |
4.25%, 7/15/49 | 835 | 776,642 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 671 | 584,105 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 73 | 69,981 | |
4.50%, 9/15/27(1) | 140 | 129,910 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 586 | 485,410 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,745 | 1,521,404 | |
$8,451,938 | |||
Total Corporate Bonds (identified cost $192,244,159) | $169,155,171 |
9
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
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)(13) | $ | 2,500 | $ 2,319,100 |
Total High Social Impact Investments (identified cost $2,500,000) | $ 2,319,100 |
Preferred Stocks — 0.3% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.673%, (3 mo. USD LIBOR + 5.643%)(4)(10) | 24,733 | $ 509,252 | |
$ 509,252 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 33,000 | $ 563,640 | |
Series A2, 6.375% | 28,000 | 551,880 | |
$ 1,115,520 | |||
Venture Capital — 0.0%(14) | |||
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%(10) | 54,000 | $1,002,780 | |
6.25% | 4,575 | 93,788 | |
$1,096,568 | |||
Total Preferred Stocks (identified cost $4,042,325) | $2,754,532 |
Senior Floating-Rate Loans — 0.6%(15) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Automobiles — 0.0%(14) | |||
Bombardier Recreational Products, Inc., Term Loan, 3.666%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 164 | $ 151,854 |
$ 151,854 | |||
Diversified Telecommunication Services — 0.2% | |||
CenturyLink, Inc., Term Loan, 3.916%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 829 | $ 763,771 |
Level 3 Financing, Inc., Term Loan, 3.416%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 175 | 162,986 | |
Ziggo Financing Partnership, Term Loan, 3.824%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 845 | 789,547 | |
$ 1,716,304 | |||
Health Care Technology — 0.0%(14) | |||
Change Healthcare Holdings, LLC, Term Loan, 4.166%, (1 mo. USD LIBOR + 2.50%), 3/1/24 | $ | 428 | $417,064 |
$417,064 | |||
IT Services — 0.1% | |||
Asurion, LLC: | |||
Term Loan, 4.791%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 254 | $244,096 |
Term Loan, 4.916%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 148 | 134,360 | |
Informatica, LLC, Term Loan, 4.438%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 798 | 759,597 | |
$1,138,053 | |||
Real Estate Management & Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 4.416%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 579 | $546,047 |
$546,047 | |||
Software — 0.1% | |||
Hyland Software, Inc., Term Loan, 5.166%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | $ | 583 | $565,104 |
Seattle Spinco, Inc., Term Loan, 4.416%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 139 | 132,344 | |
Ultimate Software Group, Inc. (The), Term Loan, 5.416%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 764 | 722,487 | |
VS Buyer, LLC, Term Loan, 4.666%, (1 mo. USD LIBOR + 3.00%), 2/28/27 | 99 | 93,873 | |
$1,513,808 |
10
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Borrower/Description | Principal Amount (000's omitted) | Value | |
Specialty Retail — 0.1% | |||
Petsmart, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/11/28 | $ | 998 | $ 940,443 |
$ 940,443 | |||
Total Senior Floating-Rate Loans (identified cost $6,794,121) | $ 6,423,573 |
Sovereign Government Bonds — 0.7% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 591 | $ 489,326 |
1.00%, 10/1/26 | 4,213 | 3,861,567 | |
2.00%, 9/29/22 | 2,782 | 2,781,489 | |
Total Sovereign Government Bonds (identified cost $7,543,190) | $ 7,132,382 |
Taxable Municipal Obligations — 1.3% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.3% | |||
Los Angeles Unified School District, CA, 5.75%, 7/1/34(16) | $ | 800 | $ 890,160 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 880 | 739,376 | |
New York City, NY, 5.206%, 10/1/31(16) | 1,275 | 1,363,396 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 630 | 592,603 | |
$ 3,585,535 | |||
Special Tax Revenue — 0.5% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 935 | $ 890,064 |
2.484%, 6/1/27 | 665 | 626,337 | |
2.534%, 6/1/28 | 830 | 767,949 | |
2.584%, 6/1/29 | 455 | 414,951 | |
2.984%, 6/1/33 | 520 | 457,694 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(16) | 400 | 426,724 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(16) | 1,000 | 1,094,660 | |
$4,678,379 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer — 0.5% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 270 | $ 272,068 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 430 | 373,077 | |
Green Bonds, 2.184%, 9/1/31 | 345 | 295,737 | |
Green Bonds, 2.264%, 9/1/32 | 305 | 258,317 | |
Green Bonds, 2.344%, 9/1/33 | 335 | 279,239 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 360 | 301,410 | |
Green Bonds, 1.701%, 5/1/31 | 320 | 263,526 | |
Green Bonds, 1.951%, 5/1/34 | 190 | 148,878 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 3,420 | 3,028,342 | |
$5,220,594 | |||
Total Taxable Municipal Obligations (identified cost $14,842,401) | $13,484,508 |
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 | $ 305,312 |
2.618%, 8/1/23 | 153 | 152,254 | |
2.668%, 8/1/24 | 534 | 527,320 | |
2.738%, 8/1/25 | 534 | 526,471 | |
3.435%, 8/1/34 | 530 | 533,991 | |
3.485%, 8/1/35 | 295 | 301,560 | |
3.585%, 8/1/37 | 547 | 578,453 | |
U.S. International Development Finance Corp.: | |||
3.22%, 9/15/29 | 674 | 670,574 | |
3.52%, 9/20/32 | 694 | 695,917 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $4,388,407) | $4,291,852 |
U.S. Government Agency Mortgage-Backed Securities — 3.2% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Pool #ZT0383, 3.50%, 3/1/48 | $ | 251 | $ 245,377 |
Federal National Mortgage Association: | |||
3.50%, 30-Year, TBA(17) | 8,444 | 8,119,101 |
11
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
4.00%, 30-Year, TBA(17) | $ | 15,609 | $ 15,389,491 |
4.50%, 30-Year, TBA(17) | 4,100 | 4,115,696 | |
Pool #AN1909, 2.68%, 7/1/26 | 639 | 621,552 | |
Pool #BM3990, 4.00%, 3/1/48 | 617 | 617,597 | |
Pool #FM1867, 3.00%, 11/1/49 | 743 | 699,098 | |
Pool #FM6803, 2.00%, 4/1/51 | 636 | 555,751 | |
Pool #FM7023, 3.00%, 7/1/49 | 981 | 923,535 | |
Pool #MA3149, 4.00%, 10/1/47 | 770 | 770,424 | |
Government National Mortgage Association II: | |||
Pool #CB2653, 2.50%, 3/20/51 | 857 | 780,979 | |
Pool #CB8629, 2.50%, 4/20/51 | 1,274 | 1,160,094 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $34,881,163) | $33,998,695 |
U.S. Treasury Obligations — 8.4% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.375%, 11/15/40 | $ | 961 | $ 692,195 |
1.375%, 8/15/50 | 1,708 | 1,125,045 | |
1.875%, 2/15/41 | 2,040 | 1,600,802 | |
1.875%, 2/15/51 | 4,340 | 3,257,543 | |
1.875%, 11/15/51 | 996 | 747,623 | |
2.00%, 2/15/50 | 1,316 | 1,020,414 | |
2.00%, 8/15/51 | 7,338 | 5,674,624 | |
2.25%, 5/15/41 | 7,836 | 6,542,253 | |
2.25%, 2/15/52 | 1,804 | 1,485,199 | |
2.375%, 5/15/51 | 4,500 | 3,800,566 | |
2.875%, 5/15/49 | 815 | 760,274 | |
3.125%, 5/15/48 | 371 | 359,218 | |
U.S. Treasury Notes: | |||
0.125%, 12/31/22 | 3,068 | 3,031,402 | |
0.125%, 12/15/23 | 275 | 263,925 | |
0.125%, 1/15/24 | 324 | 310,205 | |
0.125%, 2/15/24 | 324 | 309,591 | |
0.25%, 3/15/24 | 1,556 | 1,485,919 | |
0.25%, 6/30/25 | 185 | 170,355 | |
0.375%, 10/31/23 | 545 | 526,734 | |
0.375%, 4/15/24 | 323 | 308,389 | |
0.375%, 9/30/27 | 371 | 322,763 | |
0.625%, 7/31/26 | 1,756 | 1,592,644 | |
0.75%, 11/15/24 | 285 | 270,282 | |
1.00%, 7/31/28 | 1,203 | 1,064,138 | |
1.125%, 1/15/25 | 839 | 800,262 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
1.125%, 2/29/28 | $ | 3,655 | $ 3,287,216 |
1.125%, 8/31/28 | 448 | 398,773 | |
1.25%, 12/31/26 | 1,012 | 935,487 | |
1.25%, 3/31/28 | 1,609 | 1,453,882 | |
1.25%, 4/30/28 | 2,906 | 2,621,757 | |
1.25%, 6/30/28 | 344 | 309,506 | |
1.25%, 8/15/31 | 36 | 30,999 | |
1.375%, 11/15/31 | 226 | 196,055 | |
1.50%, 1/31/27 | 342 | 319,363 | |
1.743%, (3 mo. Treasury Bill Rate - 0.015%), 1/31/24(4) | 2,668 | 2,671,110 | |
1.875%, 2/28/27 | 15,885 | 15,080,176 | |
1.875%, 2/15/32 | 1,351 | 1,224,133 | |
2.125%, 3/31/24 | 6,480 | 6,386,091 | |
2.625%, 4/15/25 | 738 | 730,072 | |
2.75%, 4/30/27 | 12,701 | 12,530,826 | |
2.875%, 4/30/29 | 3,300 | 3,261,844 | |
Total U.S. Treasury Obligations (identified cost $98,018,748) | $88,959,655 |
Venture Capital Limited Partnership Interests — 0.0%(14) |
Security | Value | ||
First Analysis Private Equity Fund IV, L.P.(6)(7)(8) | $ 369,495 | ||
GEEMF Partners, L.P.(6)(7)(8)(13) | 8,583 | ||
Global Environment Emerging Markets Fund, L.P.(6)(7)(8) | 35,973 | ||
Solstice Capital, L.P.(6)(7)(8) | 24,263 | ||
Total Venture Capital Limited Partnership Interests (identified cost $0) | $ 438,314 |
12
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Short-Term Investments — 1.7% | |||
Affiliated Fund — 1.5% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(18) | 15,762,679 | $ 15,762,679 | |
Total Affiliated Fund (identified cost $15,762,679) | $ 15,762,679 | ||
Securities Lending Collateral — 0.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(19) | 1,751,894 | $ 1,751,894 | |
Total Securities Lending Collateral (identified cost $1,751,894) | $ 1,751,894 | ||
Total Short-Term Investments (identified cost $17,514,573) | $ 17,514,573 | ||
Total Investments — 102.0% (identified cost $985,649,298) | $1,076,059,298 | ||
Other Assets, Less Liabilities — (2.0)% | $ (21,226,117) | ||
Net Assets — 100.0% | $1,054,833,181 |
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 June 30, 2022, the aggregate value of these securities is $163,868,070 or 15.5% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2022. |
(3) | Step coupon security. Interest rate represents the rate in effect at June 30, 2022. |
(4) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2022. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate. |
(6) | Non-income producing security. |
(7) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(8) | Restricted security. Total market value of restricted securities amounts to $4,882,207, which represents 0.4% of the net assets of the Fund as of June 30, 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 June 30, 2022, the aggregate value of these securities is $777,141 or 0.1% of the Fund's net assets. |
(10) | All or a portion of this security was on loan at June 30, 2022. The aggregate market value of securities on loan at June 30, 2022 was $7,011,109 and the total market value of the collateral received by the Fund was $7,200,721, comprised of cash of $1,751,894 and U.S. government and/or agencies securities of $5,448,827. |
(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) | May be deemed to be an affiliated company. |
(14) | Amount is less than 0.05%. |
(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") 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. |
(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) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(19) | Represents investment of cash collateral received in connection with securities lending. |
13
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 124 | Long | 9/30/22 | $26,041,938 | $(143,234) |
U.S. 5-Year Treasury Note | 46 | Long | 9/30/22 | 5,163,500 | (42,485) |
U.S. Long Treasury Bond | 70 | Long | 9/21/22 | 9,703,750 | 10,301 |
U.S. Ultra-Long Treasury Bond | 14 | Long | 9/21/22 | 2,160,812 | 885 |
U.S. Long Treasury Bond | (1) | Short | 9/21/22 | (138,625) | 2,779 |
U.S. Ultra 10-Year Treasury Note | (178) | Short | 9/21/22 | (22,672,750) | 336,697 |
U.S. Ultra-Long Treasury Bond | (15) | Short | 9/21/22 | (2,315,156) | 51,274 |
$216,217 |
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 |
Learn Capital Venture Partners III, L.P., Common Stock | 8/30/16-5/17/22 | 1,072,962 |
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: | |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
14
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
The Fund is subject to interest rate risk in the normal course of pursuing its investment objective. During the fiscal year to date ended June 30, 2022, the Fund entered into futures contracts and options thereon to hedge against fluctuations in interest rates and to manage overall duration.
At June 30, 2022, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
The Fund invested in issuers that may be deemed to be affiliated with Morgan Stanley. At June 30, 2022, the value of the Fund’s investment in Calvert Impact Capital, Inc. (the Notes) and other affiliated companies/issuers and funds was $22,487,839, which represents 2.1% of the Fund's net assets. Transactions in the Notes and other affiliated companies/issuers and funds by the Fund for the fiscal year to date ended June 30, 2022 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/Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2017-CLS, Class A, 2.024%, (1 mo. USD LIBOR + 0.70%), 11/15/34 | $ 1,909,605 | $ — | $ — | $ — | $ (18,183) | $ 1,891,100 | $ 14,899 | $ 1,909,000 |
Series 2017-CLS, Class E, 3.274%, (1 mo. USD LIBOR + 1.95%), 11/15/34 | — | 224,824 | — | — | (5,611) | 219,215 | 3,088 | 225,000 |
Series 2017-CLS, Class F, 3.924%, (1 mo. USD LIBOR + 2.60%), 11/15/34 | 412,531 | 214,902 | — | — | (16,266) | 610,782 | 10,924 | 629,000 |
Series 2019-BPR, Class A, 2.974%, (1 mo. USD LIBOR + 1.65%), 5/15/36 | 1,304,268 | — | (162,026) | — | (28,078) | 1,113,754 | 16,778 | 1,152,974 |
Series 2019-BPR, Class B, 3.674%, (1 mo. USD LIBOR + 2.35%), 5/15/36 | 366,588 | — | — | — | 2,559 | 369,350 | 7,362 | 386,000 |
Series 2019-BPR, Class C, 4.624%, (1 mo. USD LIBOR + 3.30%), 5/15/36 | 184,857 | — | — | — | 8,419 | 193,276 | 5,278 | 205,000 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 2,457,075 | — | — | — | (137,975) | 2,319,100 | 28,125 | 2,500,000 |
Venture Capital Limited Partnership Interests | ||||||||
GEEMF Partners, L.P.(1)(2)(3) | 10,721 | — | — | — | (2,138) | 8,583 | — | — |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 17,702,327 | 217,089,693 | (234,791,342) | 1,020 | (1,698) | — | 7,883 | — |
Liquidity Fund, Institutional Class(4) | — | 87,673,989 | (71,911,310) | — | — | 15,762,679 | 24,484 | 15,762,679 |
Total | $1,020 | $(198,971) | $22,487,839 | $118,821 |
(1) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(2) | Non-income producing security. |
(3) | Restricted security. |
(4) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Fair Value Measurements
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
15
Calvert
Balanced Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund's holdings as of June 30, 2022, based on the inputs used to value them:
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Asset-Backed Securities | $ — | $70,367,182 | $ — | $70,367,182 |
Collateralized Mortgage Obligations | — | 14,012,903 | — | 14,012,903 |
Commercial Mortgage-Backed Securities | — | 46,243,538 | — | 46,243,538 |
Common Stocks | 596,142,696(2) | — | — | 596,142,696 |
Common Stocks - Venture Capital | — | — | 2,091,601 | 2,091,601 |
Convertible Bonds | — | 729,023 | — | 729,023 |
Corporate Bonds | — | 169,155,171 | — | 169,155,171 |
High Social Impact Investments | — | 2,319,100 | — | 2,319,100 |
Preferred Stocks | 2,721,340 | — | — | 2,721,340 |
Preferred Stocks - Venture Capital | — | — | 33,192 | 33,192 |
Senior Floating-Rate Loans | — | 6,423,573 | — | 6,423,573 |
Sovereign Government Bonds | — | 7,132,382 | — | 7,132,382 |
Taxable Municipal Obligations | — | 13,484,508 | — | 13,484,508 |
U.S. Government Agencies and Instrumentalities | — | 4,291,852 | — | 4,291,852 |
U.S. Government Agency Mortgage-Backed Securities | — | 33,998,695 | — | 33,998,695 |
U.S. Treasury Obligations | — | 88,959,655 | — | 88,959,655 |
Venture Capital Limited Partnership Interests | — | — | 438,314 | 438,314 |
Short-Term Investments: | ||||
Affiliated Fund | 15,762,679 | — | — | 15,762,679 |
Securities Lending Collateral | 1,751,894 | — | — | 1,751,894 |
Total Investments | $616,378,609 | $457,117,582 | $2,563,107 | $1,076,059,298 |
Futures Contracts | $401,936 | $ — | $ — | $401,936 |
Total | $616,780,545 | $457,117,582 | $2,563,107 | $1,076,461,234 |
Liability Description | ||||
Futures Contracts | $(185,719) | $ — | $ — | $(185,719) |
Total | $(185,719) | $ — | $ — | $(185,719) |
(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 June 30, 2022 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