Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited)
Asset-Backed Securities — 17.6% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 1,698 | $ 1,674,126 |
Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.88%, 8/15/25(1) | 1,905 | 1,881,534 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 4,047 | 3,927,457 | |
Cologix Canadian Issuer, L.P., Series 2022-1CAN, Class C, 7.74%, 1/25/52(1)(2) | 5,300 | 3,870,910 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 13,910 | 12,821,178 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 5,985 | 5,437,916 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class A, 1.05%, 5/15/26(1) | 4,767 | 4,737,998 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 6,935 | 6,730,381 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 5,184 | 4,628,266 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 661 | 634,776 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 5,977 | 5,145,277 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 1,193 | 1,018,764 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 13,147 | 11,581,190 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 6,853 | 6,779,972 | |
ExteNet, LLC, Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 6,921 | 6,651,531 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(3) | 5,210 | 4,664,183 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 4,391 | 4,276,035 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 1,183 | 1,142,852 | |
GoodLeap Sustainable Home Solutions Trust: | |||
Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 3,827 | 3,331,801 | |
Series 2022-2CS, Class A, 4.00%, 4/20/49(1) | 10,036 | 9,514,684 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 2,093 | 1,907,612 | |
Helios Issuer, LLC, Series 2020-AA, Class A, 2.98%, 6/20/47(1) | 3,416 | 3,127,934 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 3,611 | 3,450,344 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 4,900 | 4,749,186 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 4,141 | 4,003,071 | |
Lendingpoint Asset Securitization Trust, Series 2022-A, Class A, 1.68%, 6/15/29(1) | 7,559 | 7,442,468 | |
Loanpal Solar Loan, Ltd., Series 2020-3GS, Class A, 2.47%, 12/20/47(1) | 2,186 | 1,945,913 |
Security | Principal Amount (000's omitted) | Value | |
Lunar Aircraft, Ltd.: | |||
Series 2020-1A, Class B, 4.335%, 2/15/45(1) | $ | 834 | $ 656,598 |
Series 2020-1A, Class C, 6.413%, 2/15/45(1) | 356 | 275,874 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 2,222 | 2,130,809 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 7,660 | 7,113,419 | |
Series 2019-2A, Class C, 4.35%, 9/20/40(1) | 160 | 159,669 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 762 | 692,316 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 638 | 588,405 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 1,530 | 1,328,202 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 1,907 | 1,684,179 | |
Series 2021-1A, Class A, 1.51%, 12/20/46(1) | 3,550 | 3,065,453 | |
Mosaic Solar Loans, LLC, Series 2017-1A, Class A, 4.45%, 6/20/42(1) | 118 | 115,938 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 5,371 | 4,685,756 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 8,798 | 8,229,346 | |
OneMain Financial Issuance Trust: | |||
Series 2020-1A, Class A, 3.84%, 5/14/32(1) | 5,621 | 5,606,695 | |
Series 2022-S1, Class A, 4.13%, 5/14/35(1) | 8,670 | 8,550,549 | |
Oportun Funding XIII, LLC, Series 2019-A, Class A, 3.08%, 8/8/25(1) | 6,255 | 6,225,570 | |
Oportun Funding XIV, LLC: | |||
Series 2021-A, Class B, 1.76%, 3/8/28(1) | 1,893 | 1,782,175 | |
Series 2021-A, Class C, 3.44%, 3/8/28(1) | 4,091 | 3,855,034 | |
Oportun Funding, LLC, Series 2022-1, Class A, 3.25%, 6/15/29(1) | 11,298 | 11,147,725 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 6,319 | 5,864,697 | |
Series 2021-B, Class B, 1.96%, 5/8/31(1) | 1,694 | 1,557,047 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 30,475 | 28,216,303 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 5,109 | 4,843,205 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 13,921 | 13,542,467 | |
Series 2021-5, Class B, 2.63%, 8/15/29(1) | 3,857 | 3,602,749 | |
Series 2021-5, Class C, 3.93%, 8/15/29(1) | 2,903 | 2,599,826 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 3,099 | 2,947,464 | |
Series 2022-1, Class A, 2.03%, 10/15/29(1) | 18,723 | 18,089,407 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 3,135 | 2,796,606 | |
PMT Issuer Trust, Series 2021-FT1, Class A, 4.624%, (1 mo. USD LIBOR + 3.00%), 3/25/26(1)(4) | 1,360 | 1,343,805 | |
PNMAC GMSR Issuer Trust: | |||
Series 2018-GT1, Class A, 4.474%, (1 mo. USD LIBOR + 2.85%), 2/25/23(1)(4) | 2,725 | 2,709,321 | |
Series 2018-GT2, Class A, 4.274%, (1 mo. USD LIBOR + 2.65%), 8/25/25(1)(4) | 1,555 | 1,534,404 |
1
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
PNMAC GMSR Issuer Trust: (continued) | |||
Series 2022-GT1, Class A, 5.176%, (30-day average SOFR + 4.25%), 5/25/27(1)(4) | $ | 4,680 | $ 4,669,574 |
SBA Tower Trust, Series 2014-2A, Class C, 3.869% to 4/15/23, 10/15/49(1)(5) | 3,300 | 3,250,390 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 1,992 | 1,723,079 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 2,344 | 1,967,557 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 10,556 | 9,880,789 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 1,420 | 1,377,088 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 4,526 | 4,294,798 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 4,421 | 4,109,166 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 26,733 | 26,539,918 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 2,140 | 2,059,305 | |
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 5,900 | 5,422,988 | |
Sunnova Helios V Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 944 | 825,339 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 8,924 | 7,677,042 | |
Sunnova Sol Issuer, LLC: | |||
Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 1,381 | 1,228,869 | |
Series 2020-1A, Class B, 5.54%, 2/1/55(1) | 4,828 | 4,547,584 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 2,752 | 2,501,169 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 4,147 | 3,487,243 | |
Sunrun Jupiter Issuer, LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1) | 26,000 | 24,806,764 | |
Sunrun Vulcan Issuer, LLC, Series 2021-1A, Class A, 2.46%, 1/30/52(1) | 3,342 | 2,909,706 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 1,392 | 1,312,659 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 3,779 | 3,550,288 | |
Theorem Funding Trust, Series 2021-1A, Class A, 1.21%, 12/15/27(1) | 5,504 | 5,381,586 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 3,318 | 3,214,099 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 2,121 | 2,104,605 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 2,765 | 2,689,824 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 10,830 | 9,446,297 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 3,726 | 3,338,687 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 6,024 | 5,095,053 |
Security | Principal Amount (000's omitted) | Value | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | $ | 2,104 | $ 1,682,487 |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 802 | 527,781 | |
Total Asset-Backed Securities (identified cost $465,329,082) | $ 436,240,106 |
Collateralized Mortgage Obligations — 6.2% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 2.676%, (30-day average SOFR + 1.75%), 3/25/31(1)(4) | $ | 1,617 | $ 1,618,092 |
Series 2021-1A, Class M1B, 3.126%, (30-day average SOFR + 2.20%), 3/25/31(1)(4) | 1,550 | 1,496,252 | |
Series 2021-2A, Class M1A, 2.126%, (30-day average SOFR + 1.20%), 6/25/31(1)(4) | 12,003 | 11,826,596 | |
Series 2021-3A, Class A2, 1.926%, (30-day average SOFR + 1.00%), 9/25/31(1)(4) | 3,470 | 3,428,542 | |
Eagle Re, Ltd., Series 2021-1, Class M1A, 2.626%, (30-day average SOFR + 1.70%), 10/25/33(1)(4) | 1,742 | 1,745,057 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2018-DNA1, Class M2AT, 2.674%, (1 mo. USD LIBOR + 1.05%), 7/25/30(4) | 1,204 | 1,205,148 | |
Series 2019-DNA3, Class B2, 9.774%, (1 mo. USD LIBOR + 8.15%), 7/25/49(1)(4) | 2,905 | 2,922,069 | |
Series 2019-DNA3, Class M2, 3.674%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(4) | 5,630 | 5,605,949 | |
Series 2019-DNA4, Class M2, 3.574%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(4) | 474 | 473,080 | |
Series 2019-HQA2, Class B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(4) | 4,852 | 4,783,982 | |
Series 2019-HQA3, Class B1, 4.624%, (1 mo. USD LIBOR + 3.00%), 9/25/49(1)(4) | 3,974 | 3,733,598 | |
Series 2019-HQA4, Class B1, 4.574%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(4) | 2,768 | 2,646,955 | |
Series 2020-HQA2, Class B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(4) | 5,321 | 4,966,532 | |
Series 2021-DNA3, Class M1, 1.676%, (30-day average SOFR + 0.75%), 10/25/33(1)(4) | 2,544 | 2,511,098 | |
Series 2022-DNA2, Class M1A, 2.226%, (30-day average SOFR + 1.30%), 2/25/42(1)(4) | 6,713 | 6,573,059 | |
Series 2022-HQA1, Class M1A, 3.026%, (30-day average SOFR + 2.10%), 3/25/42(1)(4) | 1,668 | 1,656,424 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 6.874%, (1 mo. USD LIBOR + 5.25%), 10/25/23(4) | 896 | 924,671 | |
Series 2014-C02, Class 2M2, 4.224%, (1 mo. USD LIBOR + 2.60%), 5/25/24(4) | 464 | 468,881 | |
Series 2014-C03, Class 2M2, 4.524%, (1 mo. USD LIBOR + 2.90%), 7/25/24(4) | 595 | 597,745 |
2
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2014-C04, Class 1M2, 6.524%, (1 mo. USD LIBOR + 4.90%), 11/25/24(4) | $ | 6,581 | $ 6,804,879 |
Series 2018-R07, Class 1M2, 4.024%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(4) | 530 | 529,081 | |
Series 2019-R01, Class 2B1, 5.974%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(4) | 10,565 | 10,568,989 | |
Series 2019-R02, Class 1B1, 5.774%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(4) | 4,805 | 4,764,714 | |
Series 2019-R03, Class 1B1, 5.724%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(4) | 4,825 | 4,775,101 | |
Series 2019-R04, Class 2B1, 6.874%, (1 mo. USD LIBOR + 5.25%), 6/25/39(1)(4) | 3,441 | 3,496,666 | |
Series 2019-R06, Class 2B1, 5.374%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(4) | 22,273 | 21,126,374 | |
Series 2019-R07, Class 1B1, 5.024%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(4) | 9,454 | 8,812,933 | |
Series 2020-R01, Class 2B1, 4.874%, (1 mo. USD LIBOR + 3.25%), 1/25/40(1)(4) | 3,000 | 2,607,456 | |
Series 2020-R02, Class 2B1, 4.624%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(4) | 4,570 | 4,100,250 | |
Series 2021-R01, Class 1B2, 6.926%, (30-day average SOFR + 6.00%), 10/25/41(1)(4) | 10,132 | 8,509,074 | |
Series 2021-R02, Class 2B1, 4.226%, (30-day average SOFR + 3.30%), 11/25/41(1)(4) | 1,647 | 1,419,400 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 1,950 | 1,897,690 | |
Home Re, Ltd.: | |||
Series 2021-1, Class M1B, 3.174%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(4) | 4,255 | 4,207,231 | |
Series 2021-1, Class M2, 4.474%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(4) | 2,500 | 2,283,698 | |
Oaktown Re VI, Ltd., Series 2021-1A, Class M1A, 2.576%, (30-day average SOFR + 1.65%), 10/25/33(1)(4) | 3,072 | 3,072,062 | |
Radnor Re, Ltd., Series 2021-2, Class M1A, 2.776%, (30-day average SOFR + 1.85%), 11/25/31(1)(4) | 4,545 | 4,511,474 | |
Total Collateralized Mortgage Obligations (identified cost $159,643,405) | $152,670,802 |
Commercial Mortgage-Backed Securities — 10.1% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(3) | $ | 9,685 | $ 8,217,817 |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(3) | 4,805 | 3,968,866 | |
BBCMS Mortgage Trust, Series 2017-DELC, Class F, 4.824%, (1 mo. USD LIBOR + 3.50%), 8/15/36(1)(4) | 3,637 | 3,414,749 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 2.244%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(4) | 11,183 | 10,996,733 |
Security | Principal Amount (000's omitted) | Value | |
BX Commercial Mortgage Trust: (continued) | |||
Series 2019-XL, Class B, 2.404%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(4) | $ | 2,690 | $ 2,625,719 |
Series 2021-VOLT, Class B, 2.274%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(4) | 10,584 | 9,966,999 | |
Series 2021-VOLT, Class C, 2.424%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(4) | 5,226 | 4,873,756 | |
Series 2021-VOLT, Class D, 2.974%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(4) | 7,717 | 7,237,402 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 2.405%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(4) | 3,909 | 3,816,945 | |
Series 2021-ESH, Class C, 3.025%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(4) | 7,005 | 6,791,909 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 19,890 | 18,368,131 | |
Series KG03, Class A2, 1.297%, 6/25/30(3) | 4,615 | 3,885,271 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 4,386 | 3,743,080 | |
Series KW06, Class A2, 3.80%, 6/25/28(3) | 5,335 | 5,419,876 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(3) | 1,896 | 1,875,330 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.024%, 9/25/27(3) | 5,654 | 5,573,746 | |
Series 2018-M4, Class A2, 3.158%, 3/25/28(3) | 3,843 | 3,769,301 | |
Series 2018-M13, Class A2, 3.87%, 9/25/30(3) | 15,324 | 15,540,868 | |
Series 2019-M1, Class A2, 3.671%, 9/25/28(3) | 8,767 | 8,790,340 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 10,995 | 10,312,089 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 13,443 | 12,579,229 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 5,500 | 4,799,228 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 4.874%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(4) | 6,363 | 5,931,443 | |
Series 2020-01, Class M10, 5.374%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(4) | 6,098 | 5,502,388 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 2.474%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(4) | 11,545 | 11,246,215 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 2,335 | 661,973 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(3) | 385 | 68,723 | |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class C, 2.675%, (1 mo. USD LIBOR + 1.35%), 4/15/38(1)(4) | 2,565 | 2,439,795 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 2.024%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(4)(6) | 22,473 | 22,262,280 | |
Series 2017-CLS, Class B, 2.174%, (1 mo. USD LIBOR + 0.85%), 11/15/34(1)(4)(6) | 4,000 | 3,953,074 | |
Series 2019-BPR, Class A, 2.974%, (1 mo. USD LIBOR + 1.65%), 5/15/36(1)(4)(6) | 8,086 | 7,810,677 |
3
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | $ | 10,195 | $ 8,675,542 |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 3.262%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(4) | 8,312 | 7,989,304 | |
Series 2021-HT1, Class B, 6.112%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(4) | 13,365 | 12,518,053 | |
WFLD Mortgage Trust: | |||
Series 2014-MONT, Class B, 3.88%, 8/10/31(1)(3) | 1,330 | 1,212,498 | |
Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(3) | 2,700 | 2,323,013 | |
Total Commercial Mortgage-Backed Securities (identified cost $265,938,536) | $ 249,162,362 |
Corporate Bonds — 40.6% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.2% | |||
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | $ | 4,488 | $ 4,197,671 |
$ 4,197,671 | |||
Communications — 2.4% | |||
AT&T, Inc.: | |||
3.55%, 9/15/55 | $ | 10,792 | $ 8,103,765 |
3.65%, 6/1/51 | 4,905 | 3,843,785 | |
3.65%, 9/15/59 | 822 | 617,459 | |
3.80%, 12/1/57 | 4,973 | 3,852,231 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 16,467 | 13,080,799 | |
Comcast Corp.: | |||
2.887%, 11/1/51 | 6,939 | 4,966,146 | |
2.937%, 11/1/56 | 7,567 | 5,273,678 | |
Nokia Oyj: | |||
4.375%, 6/12/27 | 5,025 | 4,753,963 | |
6.625%, 5/15/39 | 5,100 | 5,052,417 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 2,440 | 2,084,439 | |
SES S.A., 5.30%, 4/4/43(1) | 1,457 | 1,243,566 | |
T-Mobile USA, Inc.: | |||
2.25%, 11/15/31(7) | 4,403 | 3,577,758 | |
2.55%, 2/15/31 | 2,306 | 1,942,800 | |
2.625%, 4/15/26 | 2,084 | 1,895,127 | |
$60,287,933 | |||
Consumer, Cyclical — 3.3% | |||
Air Canada, 3.875%, 8/15/26(1) | $ | 8,770 | $7,436,478 |
American Airlines Pass-Through Trust, 4.40%, 9/22/23 | 1,410 | 1,344,904 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | $ | 12,493 | $ 11,522,294 |
Aptiv PLC/Aptiv Corp.: | |||
2.396%, 2/18/25 | 3,000 | 2,867,690 | |
3.25%, 3/1/32(7) | 2,704 | 2,300,408 | |
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | 5,755 | 4,985,787 | |
7.60%, 7/15/37 | 2,744 | 2,224,554 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 2,670 | 2,639,762 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd.: | |||
4.50%, 10/20/25(1) | 5,100 | 4,960,316 | |
4.75%, 10/20/28(1) | 4,954 | 4,683,474 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 12,536 | 8,351,020 | |
General Motors Financial Co., Inc., 4.30%, 4/6/29 | 7,598 | 6,980,080 | |
Hyatt Hotels Corp.: | |||
1.30%, 10/1/23 | 2,600 | 2,518,985 | |
1.80%, 10/1/24 | 984 | 930,888 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 4,400 | 3,746,886 | |
4.375%, 1/15/31(1) | 7,749 | 6,619,196 | |
Magallanes, Inc.: | |||
5.05%, 3/15/42(1) | 3,835 | 3,268,697 | |
5.141%, 3/15/52(1) | 4,351 | 3,657,705 | |
$81,039,124 | |||
Consumer, Non-cyclical — 3.1% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 1,014 | $916,202 |
4.25%, 11/1/29(1) | 5,174 | 4,556,893 | |
Avantor Funding, Inc., 4.625%, 7/15/28(1) | 6,208 | 5,707,201 | |
Block Financial, LLC, 3.875%, 8/15/30 | 7,027 | 6,326,743 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 4,900 | 3,904,712 | |
3.375%, 2/15/30 | 2,435 | 2,071,978 | |
4.25%, 12/15/27 | 2,693 | 2,522,183 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 2,149 | 1,908,507 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 3,930 | 3,057,972 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 3,965 | 3,664,408 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 1,307 | 1,342,028 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 10,210 | 6,919,798 | |
Ford Foundation (The), 2.415%, 6/1/50(7) | 6,560 | 4,692,161 | |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 4,091 | 3,978,311 | |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | 6,835 | 6,030,452 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 5,315 | 4,383,812 | |
Perrigo Finance Unlimited Co., 4.40%, 6/15/30 | 5,815 | 5,197,336 |
4
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
President and Fellows of Harvard College, 3.619%, 10/1/37 | $ | 1,000 | $ 954,338 |
Royalty Pharma PLC, 3.55%, 9/2/50 | 6,486 | 4,541,712 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 4,632 | 3,662,799 | |
3.00%, 10/15/30(1) | 1,114 | 924,809 | |
$ 77,264,355 | |||
Energy — 0.8% | |||
NuStar Logistics, L.P.: | |||
6.00%, 6/1/26 | $ | 4,139 | $3,877,291 |
6.375%, 10/1/30 | 1,616 | 1,406,624 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 5,365 | 4,604,485 | |
5.00%, 1/31/28(1) | 10,987 | 9,972,021 | |
$19,860,421 | |||
Financial — 20.2% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
1.65%, 10/29/24 | $ | 813 | $751,563 |
2.875%, 8/14/24 | 1,878 | 1,790,539 | |
3.50%, 1/15/25 | 3,925 | 3,752,320 | |
4.50%, 9/15/23 | 4,780 | 4,760,154 | |
6.50%, 7/15/25 | 2,742 | 2,809,548 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 3,042 | 2,751,940 | |
Agree, L.P., 2.00%, 6/15/28 | 2,150 | 1,838,566 | |
Air Lease Corp., 2.875%, 1/15/26 | 2,543 | 2,338,390 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 6,199 | 5,693,689 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 2,454 | 2,102,522 | |
American National Group, Inc., 6.144%, 6/13/32(1) | 6,355 | 6,302,875 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 5,050 | 4,435,527 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(8) | 6,352 | 5,995,654 | |
Banco de Chile, 2.99%, 12/9/31(1) | 4,947 | 4,139,946 | |
Banco Santander S.A., 1.722% to 9/14/26, 9/14/27(8) | 7,000 | 6,080,784 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(8) | 11,928 | 10,623,251 | |
1.898% to 7/23/30, 7/23/31(8) | 3,540 | 2,832,395 | |
1.922% to 10/24/30, 10/24/31(8) | 1,865 | 1,491,438 | |
2.087% to 6/14/28, 6/14/29(8) | 4,867 | 4,172,444 | |
2.299% to 7/21/31, 7/21/32(8) | 5,365 | 4,340,822 | |
2.456% to 10/22/24, 10/22/25(8) | 16,534 | 15,766,004 | |
2.551% to 2/4/27, 2/4/28(8) | 9,133 | 8,313,133 | |
3.824% to 1/20/27, 1/20/28(8) | 7,533 | 7,229,824 | |
3.846% to 3/8/32, 3/8/37(8) | 18,871 | 16,332,423 | |
BankUnited, Inc., 5.125%, 6/11/30 | 1,732 | 1,679,331 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | $ | 5,136 | $ 4,663,848 |
5.125% to 1/18/28, 1/18/33(1)(8) | 1,686 | 1,430,520 | |
Boston Properties, L.P., 2.45%, 10/1/33 | 12,059 | 9,277,774 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(8) | 6,559 | 5,505,684 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 3,193 | 2,607,529 | |
Brown & Brown, Inc.: | |||
2.375%, 3/15/31 | 751 | 595,260 | |
4.20%, 3/17/32 | 959 | 874,091 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(8) | 5,920 | 5,244,210 | |
3.30%, 10/30/24 | 4,779 | 4,667,888 | |
4.20%, 10/29/25 | 2,950 | 2,915,419 | |
4.927% to 5/10/27, 5/10/28(8) | 6,268 | 6,212,822 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 5,188 | 4,061,875 | |
4.10%, 6/15/51 | 2,805 | 1,821,826 | |
Citigroup, Inc.: | |||
1.281% to 11/3/24, 11/3/25(8) | 1,931 | 1,794,432 | |
2.78%, (SOFR + 1.28%), 2/24/28(4) | 10,108 | 9,703,506 | |
3.106% to 4/8/25, 4/8/26(8) | 4,706 | 4,523,416 | |
3.785% to 3/17/32, 3/17/33(8) | 8,060 | 7,269,105 | |
3.887% to 1/10/27, 1/10/28(8) | 5,045 | 4,854,461 | |
4.00% to 12/10/25(8)(9) | 3,895 | 3,378,913 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 4,246 | 3,295,518 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(8) | 6,490 | 6,311,942 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 5,470 | 5,169,095 | |
EPR Properties: | |||
3.75%, 8/15/29 | 6,930 | 5,774,154 | |
4.50%, 6/1/27 | 6,725 | 6,093,021 | |
Extra Space Storage, L.P., 2.55%, 6/1/31 | 4,159 | 3,426,226 | |
GA Global Funding Trust: | |||
2.25%, 1/6/27(1) | 11,309 | 10,124,944 | |
2.90%, 1/6/32(1) | 10,150 | 8,445,405 | |
Goldman Sachs Group, Inc. (The): | |||
1.948% to 10/21/26, 10/21/27(8) | 11,226 | 9,942,872 | |
2.64% to 2/24/27, 2/24/28(8) | 3,000 | 2,724,933 | |
2.65% to 10/21/31, 10/21/32(8) | 6,165 | 5,086,979 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 13,833 | 11,932,277 | |
3.75%, 9/15/30(1) | 6,000 | 4,796,490 | |
6.00%, 4/15/25(1) | 6,528 | 6,262,474 | |
HSBC Holdings PLC, 2.251% to 11/22/26, 11/22/27(8) | 9,071 | 8,088,886 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 9,770 | 8,011,400 |
5
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Iron Mountain, Inc.: (continued) | |||
5.00%, 7/15/28(1) | $ | 1,050 | $ 931,924 |
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(8) | 8,125 | 7,131,839 | |
1.578% to 4/22/26, 4/22/27(8) | 8,750 | 7,801,165 | |
2.08%, (SOFR + 0.58%), 3/16/24(4) | 1,722 | 1,701,875 | |
2.68%, (SOFR + 1.18%), 2/24/28(4) | 6,555 | 6,306,005 | |
2.739% to 10/15/29, 10/15/30(8) | 4,603 | 4,020,052 | |
2.82%, (SOFR + 1.32%), 4/26/26(4) | 5,518 | 5,433,565 | |
4.586% to 4/26/32, 4/26/33(8) | 2,309 | 2,270,395 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 4,662 | 3,594,627 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 2,785 | 1,976,953 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(8) | 5,399 | 4,315,071 | |
Life Storage, L.P., 2.40%, 10/15/31 | 6,172 | 4,918,820 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(8) | 5,408 | 4,294,023 | |
3.624%, 6/3/30(1) | 3,355 | 2,929,273 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(8) | 4,701 | 4,484,164 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 3,000 | 2,993,977 | |
OneMain Finance Corp., 3.50%, 1/15/27 | 10,150 | 8,134,362 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 12,003 | 11,635,231 | |
Radian Group, Inc., 4.875%, 3/15/27 | 5,757 | 5,168,210 | |
Rocket Mortgage, LLC/Rocket Mortgage Co-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 2,349 | 1,947,861 | |
3.875%, 3/1/31(1) | 7,015 | 5,276,297 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 9,535 | 7,577,692 | |
SITE Centers Corp., 3.625%, 2/1/25 | 4,767 | 4,637,872 | |
Societe Generale S.A., 6.221% to 6/15/32, 6/15/33(1)(8) | 4,545 | 4,342,968 | |
Standard Chartered PLC: | |||
1.214% to 3/23/24, 3/23/25(1)(8) | 2,554 | 2,409,664 | |
1.456% to 1/14/26, 1/14/27(1)(8) | 4,010 | 3,541,079 | |
1.822% to 11/23/24, 11/23/25(1)(8) | 3,977 | 3,686,054 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 4,782 | 4,447,863 | |
Sun Communities Operating, L.P.: | |||
2.30%, 11/1/28 | 2,273 | 1,946,359 | |
2.70%, 7/15/31 | 3,395 | 2,739,757 | |
4.20%, 4/15/32 | 5,697 | 5,186,826 | |
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(8) | 6,445 | 6,254,385 | |
Synovus Financial Corp., 3.125%, 11/1/22 | 1,267 | 1,265,398 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(8) | 3,024 | 2,787,041 | |
Toronto-Dominion Bank (The), 2.09%, (SOFR + 0.59%), 9/10/26(4) | 8,090 | 7,869,789 | |
Truist Financial Corp., 5.10% to 3/1/30(7)(8)(9) | 4,856 | 4,418,960 | |
UBS AG, 1.25%, 6/1/26(1) | 6,476 | 5,761,563 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(8) | $ | 6,300 | $ 5,008,468 |
4.375% to 2/10/31(1)(8)(9) | 2,686 | 1,971,793 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(8) | 2,617 | 2,117,155 | |
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(8) | 5,788 | 5,542,234 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(8) | 3,746 | 3,020,645 | |
$ 499,013,531 | |||
Government - Multinational — 4.9% | |||
Asian Development Bank, 3.125%, 9/26/28 | $ | 5,500 | $5,467,360 |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 7,640 | 7,337,334 | |
European Investment Bank: | |||
1.625%, 5/13/31(7) | 14,990 | 13,298,709 | |
2.375%, 5/24/27(7) | 17,185 | 16,606,906 | |
2.875%, 6/13/25(1) | 42,948 | 42,710,345 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 6,067 | 5,706,320 | |
International Bank for Reconstruction & Development: | |||
0.875%, 7/15/26(7) | 5,000 | 4,574,916 | |
1.63%, (SOFR + 0.13%), 1/13/23(4) | 10,100 | 10,101,155 | |
3.125%, 11/20/25 | 12,050 | 12,055,097 | |
International Finance Corp., 1.59%, (SOFR + 0.09%), 4/3/24(4) | 4,067 | 4,067,347 | |
$121,925,489 | |||
Government - Regional — 0.5% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 12,390 | $11,742,849 |
$11,742,849 | |||
Industrial — 1.4% | |||
Imola Merger Corp., 4.75%, 5/15/29(1) | $ | 7,840 | $6,585,522 |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 10,766 | 9,052,603 | |
3.60%, 1/15/30 | 6,161 | 5,492,984 | |
Owens Corning, 3.95%, 8/15/29 | 6,455 | 5,993,927 | |
SMBC Aviation Capital Finance DAC, 3.55%, 4/15/24(1) | 3,200 | 3,116,112 | |
Valmont Industries, Inc., 5.25%, 10/1/54 | 5,546 | 5,302,492 | |
$35,543,640 | |||
Other Revenue — 0.4% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 9,400 | $8,546,848 |
$8,546,848 |
6
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Technology — 1.2% | |||
DXC Technology Co., 2.375%, 9/15/28 | $ | 2,648 | $ 2,281,219 |
HP, Inc., 4.00%, 4/15/29 | 4,525 | 4,243,450 | |
Kyndryl Holdings, Inc.: | |||
2.05%, 10/15/26(1) | 7,102 | 5,983,597 | |
2.70%, 10/15/28(1) | 4,323 | 3,447,149 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31 | 7,315 | 5,698,934 | |
4.091%, 6/1/29 | 2,481 | 2,138,324 | |
5.75%, 12/1/34 | 6,242 | 5,504,206 | |
$29,296,879 | |||
Utilities — 2.2% | |||
AES Corp. (The), 2.45%, 1/15/31 | $ | 8,500 | $6,844,822 |
American Water Capital Corp.: | |||
2.30%, 6/1/31 | 639 | 541,915 | |
2.95%, 9/1/27 | 1,877 | 1,762,893 | |
Avangrid, Inc., 3.15%, 12/1/24 | 4,119 | 4,026,487 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 2,429 | 1,928,808 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 11,675 | 10,258,843 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 3,240 | 2,546,738 | |
4.25%, 7/15/49 | 4,815 | 4,478,479 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 4,989 | 4,342,919 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 7/15/24(1) | 2,719 | 2,605,618 | |
4.25%, 9/15/24(1) | 324 | 310,601 | |
4.50%, 9/15/27(1) | 4,500 | 4,175,683 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 3,518 | 2,914,115 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 9,921 | 8,649,773 | |
$55,387,694 | |||
Total Corporate Bonds (identified cost $1,138,057,426) | $1,004,106,434 |
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(10)(11) | $ | 5,000 | $ 4,638,200 |
Total High Social Impact Investments (identified cost $5,000,000) | $ 4,638,200 |
Preferred Stocks — 0.6% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.673%, (3 mo. USD LIBOR + 5.643%)(4) | 76,679 | $ 1,578,821 | |
$ 1,578,821 | |||
Real Estate Management & Development — 0.2% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 100,000 | $ 1,708,000 | |
Series A2, 6.375% | 211,400 | 4,166,694 | |
$ 5,874,694 | |||
Wireless Telecommunication Services — 0.3% | |||
United States Cellular Corp.: | |||
5.50% | 306,800 | $5,697,276 | |
6.25% | 40,000 | 820,000 | |
$6,517,276 | |||
Total Preferred Stocks (identified cost $18,345,553) | $13,970,791 |
Senior Floating-Rate Loans — 3.2%(12) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Airlines — 0.2% | |||
SkyMiles IP, Ltd., Term Loan, 4.813%, (3 mo. USD LIBOR + 3.75%), 10/20/27 | $ | 5,750 | $ 5,703,281 |
$ 5,703,281 | |||
Auto Components — 0.2% | |||
Clarios Global, L.P., Term Loan, 4.916%, (1 mo. USD LIBOR + 3.25%), 4/30/26 | $ | 5,156 | $ 4,808,226 |
$ 4,808,226 | |||
Automobiles — 0.0%(13) | |||
Bombardier Recreational Products, Inc., Term Loan, 3.666%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 781 | $ 722,200 |
$ 722,200 | |||
Construction & Engineering — 0.1% | |||
APi Group DE, Inc., Term Loan, 4.416%, (1 mo. USD LIBOR + 2.75%), 1/3/29 | $ | 2,515 | $2,419,274 |
$2,419,274 |
7
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.9% | |||
CenturyLink, Inc., Term Loan, 3.916%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 5,114 | $ 4,712,809 |
Level 3 Financing, Inc., Term Loan, 3.416%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 811 | 753,414 | |
UPC Financing Partnership, Term Loan, 4.324%, (1 mo. USD LIBOR + 3.00%), 1/31/29 | 5,925 | 5,623,815 | |
Virgin Media Bristol, LLC, Term Loan, 4.574%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 5,600 | 5,369,000 | |
Ziggo Financing Partnership, Term Loan, 3.824%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 5,185 | 4,844,734 | |
$ 21,303,772 | |||
Health Care Providers & Services — 0.0%(13) | |||
Select Medical Corporation, Term Loan, 4.17%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | $ | 1,350 | $ 1,293,750 |
$1,293,750 | |||
Health Care Technology — 0.1% | |||
Change Healthcare Holdings, LLC, Term Loan, 4.166%, (1 mo. USD LIBOR + 2.50%), 3/1/24 | $ | 2,631 | $2,565,121 |
$2,565,121 | |||
IT Services — 0.4% | |||
Asurion, LLC: | |||
Term Loan, 4.791%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 2,258 | $2,170,898 |
Term Loan, 4.916%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 1,300 | 1,182,369 | |
Informatica, LLC, Term Loan, 4.438%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 5,960 | 5,673,235 | |
$9,026,502 | |||
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 | $ | 2,558 | $2,411,709 |
$2,411,709 | |||
Software — 0.9% | |||
Banff Merger Sub, Inc., Term Loan, 5.416%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | $ | 5,717 | $5,328,536 |
Hyland Software, Inc., Term Loan, 5.166%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 5,221 | 5,057,682 | |
Seattle Spinco, Inc., Term Loan, 4.416%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 613 | 584,521 | |
Ultimate Software Group, Inc. (The), Term Loan, 5.416%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 5,061 | 4,784,385 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Software (continued) | |||
VS Buyer, LLC, Term Loan, 4.666%, (1 mo. USD LIBOR + 3.00%), 2/28/27 | $ | 5,868 | $ 5,565,343 |
$ 21,320,467 | |||
Specialty Retail — 0.3% | |||
Petsmart, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/11/28 | $ | 6,783 | $ 6,395,013 |
$ 6,395,013 | |||
Total Senior Floating-Rate Loans (identified cost $82,390,091) | $ 77,969,315 |
Sovereign Government Bonds — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 3,653 | $ 3,024,545 |
1.00%, 10/1/26 | 25,266 | 23,158,404 | |
1.75%, 9/14/29 | 14,365 | 13,106,902 | |
2.00%, 9/29/22 | 8,660 | 8,658,409 | |
Total Sovereign Government Bonds (identified cost $51,748,686) | $ 47,948,260 |
Taxable Municipal Obligations — 2.9% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.5% | |||
Commonwealth of Massachusetts, 5.456%, 12/1/39(14) | $ | 750 | $ 834,638 |
Los Angeles Unified School District, CA, 5.75%, 7/1/34(14) | 3,750 | 4,172,625 | |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 4,770 | 4,007,754 | |
New York City, NY, 5.206%, 10/1/31(14) | 1,030 | 1,101,410 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 3,085 | 2,901,874 | |
$ 13,018,301 | |||
Special Tax Revenue — 1.2% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 5,565 | $5,297,546 |
2.484%, 6/1/27 | 3,980 | 3,748,603 | |
2.534%, 6/1/28 | 4,980 | 4,607,695 | |
2.584%, 6/1/29 | 2,715 | 2,476,026 | |
2.984%, 6/1/33 | 3,060 | 2,693,351 |
8
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
California Health Facilities Financing Authority, (No Place Like Home Program): (continued) | |||
3.034%, 6/1/34 | $ | 2,195 | $ 1,908,509 |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(14) | 3,800 | 4,053,878 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(14) | 3,540 | 3,875,096 | |
$ 28,660,704 | |||
Water and Sewer — 1.2% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 1,170 | $ 1,178,962 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 2,495 | 2,164,712 | |
Green Bonds, 2.184%, 9/1/31 | 1,985 | 1,701,562 | |
Green Bonds, 2.264%, 9/1/32 | 1,780 | 1,507,553 | |
Green Bonds, 2.344%, 9/1/33 | 1,945 | 1,621,255 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 2,130 | 1,783,343 | |
Green Bonds, 1.701%, 5/1/31 | 1,925 | 1,585,276 | |
Green Bonds, 1.951%, 5/1/34 | 1,120 | 877,598 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 19,705 | 17,448,383 | |
$29,868,644 | |||
Total Taxable Municipal Obligations (identified cost $79,179,899) | $71,547,649 |
U.S. Government Agencies and Instrumentalities — 1.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.547%, 8/1/22 | $ | 1,558 | $ 1,559,596 |
2.618%, 8/1/23 | 778 | 774,207 | |
2.668%, 8/1/24 | 2,726 | 2,691,903 | |
2.738%, 8/1/25 | 2,726 | 2,687,565 | |
3.435%, 8/1/34 | 3,105 | 3,128,381 | |
3.485%, 8/1/35 | 1,745 | 1,783,804 | |
3.535%, 8/1/36 | 929 | 943,086 | |
3.585%, 8/1/37 | 3,215 | 3,399,864 | |
3.635%, 8/1/38 | 657 | 676,666 | |
U.S. International Development Finance Corp.: | |||
1.79%, 10/15/29 | 1,654 | 1,558,801 | |
2.36%, 10/15/29 | 1,369 | 1,318,830 | |
3.22%, 9/15/29 | 2,135 | 2,123,485 |
Security | Principal Amount (000's omitted) | Value | |
U.S. International Development Finance Corp.: (continued) | |||
3.52%, 9/20/32 | $ | 4,768 | $ 4,780,390 |
Total U.S. Government Agencies and Instrumentalities (identified cost $28,101,026) | $ 27,426,578 |
U.S. Government Agency Mortgage-Backed Securities — 7.7% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Pool #ZT0383, 3.50%, 3/1/48 | $ | 1,550 | $ 1,513,654 |
Federal National Mortgage Association: | |||
3.50%, 30-Year, TBA(15) | 55,344 | 53,214,532 | |
4.00%, 30-Year, TBA(15) | 72,167 | 71,152,119 | |
4.50%, 30-Year, TBA(15) | 25,600 | 25,698,003 | |
Pool #AN1909, 2.68%, 7/1/26 | 2,951 | 2,868,703 | |
Pool #BM3990, 4.00%, 3/1/48 | 3,549 | 3,549,370 | |
Pool #FM1867, 3.00%, 11/1/49 | 4,733 | 4,453,606 | |
Pool #FM6803, 2.00%, 4/1/51 | 4,086 | 3,571,870 | |
Pool #FM7023, 3.00%, 7/1/49 | 3,909 | 3,679,999 | |
Pool #MA3149, 4.00%, 10/1/47 | 4,451 | 4,455,409 | |
Government National Mortgage Association II: | |||
Pool #CB2653, 2.50%, 3/20/51 | 5,540 | 5,050,166 | |
Pool #CB8627, 2.50%, 4/20/51 | 2,508 | 2,284,094 | |
Pool #CB8628, 2.50%, 4/20/51 | 2,383 | 2,170,503 | |
Pool #CB8629, 2.50%, 4/20/51 | 8,280 | 7,542,275 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $196,986,196) | $191,204,303 |
U.S. Treasury Obligations — 11.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 970 | $ 670,550 |
1.375%, 11/15/40 | 8,915 | 6,424,024 | |
1.625%, 11/15/50 | 7,891 | 5,553,445 | |
1.75%, 8/15/41 | 14,381 | 10,944,727 | |
1.875%, 2/15/41 | 14,844 | 11,648,191 | |
1.875%, 2/15/51 | 15,198 | 11,407,405 | |
1.875%, 11/15/51 | 5,814 | 4,364,134 | |
2.00%, 11/15/41 | 3,700 | 2,940,055 | |
2.00%, 8/15/51 | 18,800 | 14,538,422 | |
2.25%, 5/15/41 | 13,545 | 11,307,959 | |
2.25%, 8/15/49 | 17,265 | 14,174,160 |
9
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: (continued) | |||
2.375%, 5/15/51 | $ | 13,524 | $ 11,422,222 |
2.875%, 5/15/49 | 4,593 | 4,284,214 | |
U.S. Treasury Notes: | |||
0.125%, 12/31/22 | 13,375 | 13,215,451 | |
0.375%, 9/30/27 | 1,775 | 1,544,215 | |
0.75%, 11/15/24 | 1,510 | 1,432,023 | |
1.125%, 1/15/25 | 5,054 | 4,820,647 | |
1.50%, 1/31/27 | 14,503 | 13,543,026 | |
1.875%, 2/28/27 | 6,372 | 6,049,044 | |
1.875%, 2/15/32 | 3,529 | 3,197,605 | |
2.125%, 3/31/24 | 6,346 | 6,254,033 | |
2.375%, 3/31/29 | 2,500 | 2,393,506 | |
2.625%, 4/15/25 | 4,604 | 4,554,543 | |
2.75%, 4/30/27 | 58,218 | 57,437,970 | |
2.875%, 4/30/29 | 62,162 | 61,443,252 | |
Total U.S. Treasury Obligations (identified cost $315,297,649) | $285,564,823 |
Short-Term Investments — 1.4% | |||
Affiliated Fund — 1.1% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(16) | 26,741,701 | $ 26,741,701 | |
Total Affiliated Fund (identified cost $26,741,701) | $ 26,741,701 | ||
Securities Lending Collateral — 0.3% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(17) | 7,086,448 | $ 7,086,448 | |
Total Securities Lending Collateral (identified cost $7,086,448) | $ 7,086,448 | ||
Total Short-Term Investments (identified cost $33,828,149) | $ 33,828,149 | ||
Total Investments — 105.0% (identified cost $2,839,845,698) | $2,596,277,772 | ||
Other Assets, Less Liabilities — (5.0)% | $ (123,053,744) | ||
Net Assets — 100.0% | $2,473,224,028 |
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 $1,084,567,443 or 43.9% of the Fund's net assets. |
(2) | Principal Amount is denominated in Canadian dollars. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2022. |
(4) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2022. |
(5) | Step coupon security. Interest rate represents the rate in effect at June 30, 2022. |
(6) | Represents an investment in an issuer that may be deemed to be an affiliate. |
(7) | All or a portion of this security was on loan at June 30, 2022. The aggregate market value of securities on loan at June 30, 2022 was $30,892,496 and the total market value of the collateral received by the Fund was $31,606,193, comprised of cash of $7,086,448 and U.S. government and/or agencies securities of $24,519,745. |
(8) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(9) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(10) | May be deemed to be an affiliated company. |
(11) | Restricted security. Total market value of restricted securities amounts to $4,638,200, which represents 0.2% of the net assets of the Fund as of June 30, 2022. |
(12) | 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. |
(13) | Amount is less than 0.05%. |
(14) | 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. |
(15) | 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. |
(16) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
10
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
(17) | Represents investment of cash collateral received in connection with securities lending. |
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 4,132,271 | CAD | 5,298,108 | State Street Bank and Trust Company | 8/31/22 | $15,782 | $ — |
$15,782 | $ — |
Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 964 | Long | 9/30/22 | $202,455,063 | $(1,113,530) |
U.S. 5-Year Treasury Note | 77 | Long | 9/30/22 | 8,643,250 | (71,117) |
U.S. Long Treasury Bond | 340 | Long | 9/21/22 | 47,132,500 | (195,270) |
U.S. Ultra-Long Treasury Bond | 256 | Long | 9/21/22 | 39,512,000 | (603,393) |
U.S. Ultra 10-Year Treasury Note | (221) | Short | 9/21/22 | (28,149,875) | 149,957 |
$(1,833,353) |
Restricted Securities
Description | Acquisition Date | Cost |
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23 | 12/14/20 | $5,000,000 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
USD | – United States Dollar |
11
Calvert
Bond Fund
June 30, 2022
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: 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 affiliated issuers and funds was $65,405,932, which represents 2.6% of the Fund's net assets. Transactions in the Notes and affiliated 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 | $17,033,394 | $ 5,429,406 | $ — | $ — | $(193,086) | $22,262,280 | $154,673 | $22,473,000 |
Series 2017-CLS, Class B, 2.174%, (1 mo. USD LIBOR +0.85%), 11/15/34 | — | 3,999,375 | — | — | (46,321) | 3,953,074 | 31,356 | 4,000,000 |
Series 2019-BPR, Class A, 2.974%, (1 mo. USD LIBOR + 1.65%), 5/15/36 | 8,136,055 | 973,145 | (1,136,274) | — | (166,943) | 7,810,677 | 114,468 | 8,085,726 |
High Social Impact Investments | ||||||||
Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/23(1) | 4,914,150 | — | — | — | (275,950) | 4,638,200 | 56,250 | 5,000,000 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 13,362,609 | 729,661,883 | (743,001,486) | (23,006) | — | — | 31,640 | — |
Liquidity Fund, Institutional Class(2) | — | 269,824,500 | (243,082,799) | — | — | 26,741,701 | 70,354 | 26,741,701 |
Total | $(23,006) | $(682,300) | $65,405,932 | $458,741 |
(1) | Restricted security. |
(2) | 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)
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 | Total |
Asset-Backed Securities | $ — | $436,240,106 | $ — | $436,240,106 |
Collateralized Mortgage Obligations | — | 152,670,802 | — | 152,670,802 |
12
Calvert
Bond Fund
June 30, 2022
Schedule of Investments (Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Commercial Mortgage-Backed Securities | $ — | $249,162,362 | $ — | $249,162,362 |
Corporate Bonds | — | 1,004,106,434 | — | 1,004,106,434 |
High Social Impact Investments | — | 4,638,200 | — | 4,638,200 |
Preferred Stocks | 13,970,791 | — | — | 13,970,791 |
Senior Floating-Rate Loans | — | 77,969,315 | — | 77,969,315 |
Sovereign Government Bonds | — | 47,948,260 | — | 47,948,260 |
Taxable Municipal Obligations | — | 71,547,649 | — | 71,547,649 |
U.S. Government Agencies and Instrumentalities | — | 27,426,578 | — | 27,426,578 |
U.S. Government Agency Mortgage-Backed Securities | — | 191,204,303 | — | 191,204,303 |
U.S. Treasury Obligations | — | 285,564,823 | — | 285,564,823 |
Short-Term Investments: | ||||
Affiliated Fund | 26,741,701 | — | — | 26,741,701 |
Securities Lending Collateral | 7,086,448 | — | — | 7,086,448 |
Total Investments | $47,798,940 | $2,548,478,832 | $ — | $2,596,277,772 |
Forward Foreign Currency Exchange Contracts | $ — | $15,782 | $ — | $15,782 |
Futures Contracts | 149,957 | — | — | 149,957 |
Total | $47,948,897 | $2,548,494,614 | $ — | $2,596,443,511 |
Liability Description | ||||
Futures Contracts | $(1,983,310) | $ — | $ — | $(1,983,310) |
Total | $(1,983,310) | $ — | $ — | $(1,983,310) |
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.
13