UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File number: 811-03591
Calvert Variable Series, Inc.
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202) 238-2200
(Registrant’s telephone number)
December 31
Date of Fiscal Year End
June 30, 2021
Date of Reporting Period
Item 1. | Report to Stockholders |
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Class I at NAV | 09/02/1986 | 09/02/1986 | 8.73% | 24.78% | 12.04% | 9.75% |
Class F at NAV | 10/18/2013 | 09/02/1986 | 8.33 | 24.32 | 11.62 | 9.45 |
Russell 1000® Index | — | — | 14.95% | 43.07% | 17.98% | 14.88% |
Bloomberg Barclays U.S. Aggregate Bond Index | — | — | (1.60) | (0.33) | 3.02 | 3.39 |
Balanced Blended Benchmark | — | — | 8.11 | 24.23 | 12.11 | 10.43 |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
0.63% | 0.88% |
1 | Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. The Balanced Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 60% Russell 1000® Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index, and is rebalanced monthly. Prior to 11/1/15, the fixed income component was the Bloomberg Barclays U.S. Credit Index. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class F is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
Effective August 24, 2021, the Bloomberg Barclays fixed income indices will be rebranded as Bloomberg indices. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,087.30 | $3.31 | 0.64% |
Class F | $1,000.00 | $1,083.30 | $4.60 | 0.89% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,021.62 | $3.21 | 0.64% |
Class F | $1,000.00 | $1,020.38 | $4.46 | 0.89% |
* | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
Asset-Backed Securities — 5.1% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 160 | $ 171,409 |
Affirm Asset Securitization Trust: | |||
Series 2020-A, Class A, 2.10%, 2/18/25(1) | 377 | 380,502 | |
Series 2021-A, Class A, 0.88%, 8/15/25(1) | 115 | 115,203 | |
Avant Loans Funding Trust, Series 2019-A, Class C, 4.65%, 4/15/26(1) | 436 | 438,061 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 80 | 81,638 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 778 | 779,068 | |
Conn's Receivables Funding, LLC: | |||
Series 2019-B, Class B, 3.62%, 6/17/24(1) | 49 | 49,018 | |
Series 2020-A, Class B, 4.27%, 6/16/25(1) | 195 | 196,821 | |
Series 2020-A, Class C, 4.20%, 6/16/25(1) | 119 | 119,542 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 82 | 87,912 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 345 | 343,916 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 99 | 98,898 | |
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 6/25/40(1) | 28 | 28,087 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 62 | 66,308 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 345 | 356,316 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 30 | 31,150 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 566 | 576,044 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 173 | 181,150 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 179 | 190,322 | |
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 402 | 412,857 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 281 | 302,372 | |
Marlette Funding Trust: | |||
Series 2020-2A, Class B, 1.83%, 9/16/30(1) | 175 | 176,231 | |
Series 2021-1A, Class A, 0.60%, 6/16/31(1) | 93 | 92,509 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 261 | 287,670 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 688 | 715,118 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 74 | 75,112 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 74 | 77,215 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 134 | 132,414 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 159 | 159,477 |
Security | Principal Amount (000's omitted) | Value | |
Mosaic Solar Loan Trust: (continued) | |||
Series 2021-1A, Class A, 1.51%, 12/20/46(1) | $ | 268 | $ 266,311 |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 390 | 403,286 | |
OneMain Financial Issuance Trust: | |||
Series 2016-3A, Class A, 3.83%, 6/18/31(1) | 255 | 257,462 | |
Series 2018-1A, Class A, 3.30%, 3/14/29(1) | 384 | 385,109 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 100 | 99,659 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 361 | 362,269 | |
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 100 | 100,373 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 635 | 640,282 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 255 | 255,183 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 491 | 494,857 | |
Series 2018-1A, Class A2II, 4.666%, 9/5/48(1) | 68 | 71,215 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 276 | 279,535 | |
Prosper Marketplace Issuance Trust, Series 2017-1A, Class C, 5.80%, 6/15/23(1) | 1 | 936 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 161 | 166,935 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 182 | 191,526 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 936 | 989,554 | |
Small Business Lending Trust: | |||
Series 2019-A, Class A, 2.85%, 7/15/26(1) | 31 | 30,661 | |
Series 2020-A, Class A, 2.62%, 12/15/26(1) | 59 | 59,222 | |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 276 | 289,223 | |
SolarCity LMC Series II, LLC, Series 2014-1, Class A, 4.59%, 4/20/44(1) | 176 | 176,816 | |
SolarCity LMC Series III, LLC: | |||
Series 2014-2, Class A, 4.02%, 7/20/44(1) | 508 | 519,130 | |
Series 2014-2, Class B, 5.44%, 7/20/44(1) | 835 | 840,885 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 516 | 547,344 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 410 | 415,120 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 2,189 | 2,319,609 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 200 | 206,239 | |
Sunnova Helios II Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 335 | 333,966 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 570 | 584,973 |
Security | Principal Amount (000's omitted) | Value | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | $ | 102 | $ 106,970 |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 212 | 226,058 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 307 | 307,294 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 183 | 196,845 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 367 | 390,874 | |
Tesla Auto Lease Trust: | |||
Series 2018-B, Class A, 3.71%, 8/20/21(1) | 4 | 3,980 | |
Series 2019-A, Class A2, 2.13%, 4/20/22(1) | 55 | 54,992 | |
Series 2019-A, Class A3, 2.16%, 10/20/22(1) | 815 | 826,007 | |
Series 2019-A, Class A4, 2.20%, 11/21/22(1) | 170 | 173,590 | |
Series 2020-A, Class A3, 0.68%, 12/20/23(1) | 65 | 65,298 | |
Series 2020-A, Class A4, 0.78%, 12/20/23(1) | 81 | 81,548 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 576 | 620,267 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 78 | 81,392 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 294 | 305,101 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 570 | 567,854 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 400 | 403,998 | |
Willis Engine Structured Trust V, Series 2020-A, Class B, 4.212%, 3/15/45(1) | 231 | 212,592 | |
Total Asset-Backed Securities (identified cost $22,122,239) | $ 22,634,680 |
Collateralized Mortgage Obligations — 1.4% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2020-4A, Class M2A, 2.692%, (1 mo. USD LIBOR + 2.60%), 6/25/30(1)(2) | $ | 152 | $ 152,962 |
Series 2021-1A, Class M1A, 1.80%, (SOFR + 1.75%), 3/25/31(1)(2) | 150 | 152,161 | |
Series 2021-1A, Class M1B, 2.25%, (SOFR + 2.20%), 3/25/31(1)(2) | 155 | 160,282 | |
Series 2021-1A, Class M1C, 3.00%, (SOFR + 2.95%), 3/25/31(1)(2) | 150 | 157,504 | |
Series 2021-2A, Class M1A, 1.25%, (SOFR + 1.20%), 6/25/31(1)(2) | 208 | 208,745 | |
Eagle Re, Ltd., Series 2021-1, Class M1A, 1.75%, (SOFR + 1.70%), 10/25/33(1)(2) | 315 | 317,259 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 3.342%, (1 mo. USD LIBOR + 3.25%), 5/25/25(2) | $ | 288 | $ 293,551 |
Series 2018-DNA1, Class M2, 1.892%, (1 mo. USD LIBOR + 1.80%), 7/25/30(2) | 260 | 261,435 | |
Series 2018-DNA1, Class M2AT, 1.142%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2) | 330 | 328,990 | |
Series 2019-DNA2, Class M2, 2.542%, (1 mo. USD LIBOR + 2.45%), 3/25/49(1)(2) | 67 | 68,596 | |
Series 2019-DNA3, Class M2, 2.142%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2) | 735 | 743,681 | |
Series 2019-DNA4, Class M2, 2.042%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(2) | 172 | 173,234 | |
Series 2020-DNA2, Class M1, 0.842%, (1 mo. USD LIBOR + 0.75%), 2/25/50(1)(2) | 69 | 68,585 | |
Series 2020-DNA4, Class M2, 3.842%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | 26 | 25,766 | |
Series 2020-DNA5, Class M1, 1.35%, (SOFR + 1.30%), 10/25/50(1)(2) | 30 | 30,014 | |
Series 2020-DNA5, Class M2, 2.85%, (SOFR + 2.80%), 10/25/50(1)(2) | 130 | 132,086 | |
Series 2020-DNA6, Class B1, 3.05%, (SOFR + 3.00%), 12/25/50(1)(2) | 25 | 25,260 | |
Series 2020-DNA6, Class M2, 2.05%, (SOFR + 2.00%), 12/25/50(1)(2) | 280 | 283,124 | |
Series 2021-DNA3, Class M1, 0.80%, (SOFR + 0.75%), 10/25/33(1)(2) | 240 | 240,625 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 5.342%, (1 mo. USD LIBOR + 5.25%), 10/25/23(2) | 184 | 192,982 | |
Series 2014-C02, Class 1M2, 2.692%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 178 | 179,752 | |
Series 2014-C02, Class 2M2, 2.692%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 86 | 87,014 | |
Series 2014-C03, Class 1M2, 3.092%, (1 mo. USD LIBOR + 3.00%), 7/25/24(2) | 82 | 82,336 | |
Series 2014-C03, Class 2M2, 2.992%, (1 mo. USD LIBOR + 2.90%), 7/25/24(2) | 132 | 135,490 | |
Series 2014-C04, Class 1M2, 4.992%, (1 mo. USD LIBOR + 4.90%), 11/25/24(2) | 309 | 320,354 | |
Series 2017-C06, Class 1M2, 2.742%, (1 mo. USD LIBOR + 2.65%), 2/25/30(2) | 234 | 237,881 | |
Series 2018-C06, Class 1M2, 2.092%, (1 mo. USD LIBOR + 2.00%), 3/25/31(2) | 23 | 22,932 | |
Series 2018-R07, Class 1M2, 2.492%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2) | 166 | 167,327 | |
Series 2019-R02, Class 1M2, 2.392%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(2) | 17 | 17,393 | |
Series 2019-R05, Class 1M2, 2.092%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(2) | 32 | 32,424 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 274 | 298,346 |
Security | Principal Amount (000's omitted) | Value | |
Home Re, Ltd.: | |||
Series 2021-1, Class M1B, 1.642%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(2) | $ | 265 | $ 269,049 |
Series 2021-1, Class M2, 2.942%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(2) | 150 | 148,704 | |
Toorak Mortgage Corp., Ltd.: | |||
Series 2018-1, Class A1, 4.336%, 8/25/21(1) | 76 | 76,140 | |
Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(3) | 250 | 251,561 | |
Total Collateralized Mortgage Obligations (identified cost $6,276,245) | $ 6,343,545 |
Commercial Mortgage-Backed Securities — 3.4% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(4) | $ | 695 | $ 626,619 |
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(4) | 325 | 285,783 | |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(4) | 485 | 400,302 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 0.993%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(2) | 629 | 630,698 | |
Series 2019-XL, Class B, 1.153%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(2) | 299 | 299,568 | |
CGMS Commercial Mortgage Trust, Series 2017-MDRC, Class D, 2.323%, (1 mo. USD LIBOR + 2.25%), 7/15/30(1)(2) | 235 | 227,114 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(5) | 120 | 120,637 | |
Series 2021-ESH, Class C, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(5) | 400 | 402,624 | |
Series 2021-ESH, Class D, (1 mo. USD LIBOR + 2.25%), 7/15/38(1)(5) | 137 | 138,327 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 1,440 | 1,538,974 | |
Series KG03, Class A2, 1.297%, 6/25/30(4) | 305 | 300,137 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 278 | 279,038 | |
Series KW06, Class A2, 3.80%, 6/25/28(4) | 530 | 610,331 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(4) | 192 | 213,707 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.023%, 9/25/27(4) | 598 | 655,148 | |
Series 2018-M4, Class A2, 3.147%, 3/25/28(4) | 1,325 | 1,471,709 | |
Series 2018-M13, Class A2, 3.697%, 9/25/30(4) | 1,680 | 1,981,465 | |
Series 2019-M1, Class A2, 3.673%, 9/25/28(4) | 567 | 648,539 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 963 | 1,033,697 | |
Series 2020-M20, Class A2, 1.435%, 10/25/29 | 605 | 604,228 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 3.342%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2) | $ | 55 | $ 55,892 |
Series 2020-01, Class M10, 3.842%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | 395 | 412,328 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 300 | 134,633 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(4) | 100 | 29,413 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 0.773%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(2)(6) | 545 | 545,414 | |
Series 2019-BPR, Class A, 1.473%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(2)(6) | 539 | 527,362 | |
Series 2019-BPR, Class B, 2.173%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(2)(6) | 187 | 174,474 | |
Series 2019-BPR, Class C, 3.123%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2)(6) | 100 | 87,086 | |
Motel 6 Trust: | |||
Series 2017-MTL6, Class D, 2.223%, (1 mo. USD LIBOR + 2.15%), 8/15/34(1)(2) | 99 | 99,162 | |
Series 2017-MTL6, Class E, 3.323%, (1 mo. USD LIBOR + 3.25%), 8/15/34(1)(2) | 66 | 66,930 | |
Series 2017-MTL6, Class F, 4.323%, (1 mo. USD LIBOR + 4.25%), 8/15/34(1)(2) | 72 | 72,668 | |
RETL Trust, Series 2019-RVP, Class C, 2.173%, (1 mo. USD LIBOR + 2.10%), 3/15/36(1)(2) | 95 | 94,892 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 188 | 196,476 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(4) | 450 | 406,543 | |
Total Commercial Mortgage-Backed Securities (identified cost $15,048,857) | $ 15,371,918 |
Common Stocks — 65.2% |
Security | Shares | Value | |
Auto Components — 1.2% | |||
Aptiv PLC(7) | 34,400 | $ 5,412,152 | |
$ 5,412,152 | |||
Banks — 3.2% | |||
PNC Financial Services Group, Inc. (The) | 35,700 | $ 6,810,132 | |
Wells Fargo & Co. | 162,100 | 7,341,509 | |
$ 14,151,641 | |||
Beverages — 2.5% | |||
Coca-Cola Co. (The) | 99,000 | $ 5,356,890 |
Security | Shares | Value | |
Beverages (continued) | |||
Coca-Cola Europacific Partners PLC | 100,300 | $ 5,949,796 | |
$ 11,306,686 | |||
Biotechnology — 1.4% | |||
AbbVie, Inc. | 56,800 | $ 6,397,952 | |
$ 6,397,952 | |||
Building Products — 1.4% | |||
AZEK Co., Inc. (The)(7) | 74,800 | $ 3,176,008 | |
Trane Technologies PLC | 17,400 | 3,204,036 | |
$ 6,380,044 | |||
Capital Markets — 5.0% | |||
Goldman Sachs Group, Inc. (The) | 9,000 | $ 3,415,770 | |
Intercontinental Exchange, Inc. | 50,000 | 5,935,000 | |
S&P Global, Inc. | 16,900 | 6,936,605 | |
Tradeweb Markets, Inc., Class A | 74,803 | 6,325,342 | |
$ 22,612,717 | |||
Commercial Services & Supplies — 0.9% | |||
Waste Management, Inc. | 27,616 | $ 3,869,278 | |
$ 3,869,278 | |||
Containers & Packaging — 0.9% | |||
AptarGroup, Inc. | 27,800 | $ 3,915,352 | |
$ 3,915,352 | |||
Electrical Equipment — 0.8% | |||
AMETEK, Inc. | 28,000 | $ 3,738,000 | |
$ 3,738,000 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
TE Connectivity, Ltd. | 26,200 | $ 3,542,502 | |
$ 3,542,502 | |||
Energy Equipment & Services — 1.3% | |||
Baker Hughes Co. | 264,000 | $ 6,037,680 | |
$ 6,037,680 | |||
Entertainment — 1.3% | |||
Walt Disney Co. (The)(7) | 33,700 | $ 5,923,449 | |
$ 5,923,449 | |||
Equity Real Estate Investment Trusts (REITs) — 1.1% | |||
Lamar Advertising Co., Class A | 47,300 | $ 4,939,066 | |
$ 4,939,066 |
Security | Shares | Value | |
Food & Staples Retailing — 1.3% | |||
Sysco Corp. | 76,400 | $ 5,940,100 | |
$ 5,940,100 | |||
Health Care Equipment & Supplies — 3.0% | |||
Boston Scientific Corp.(7) | 145,800 | $ 6,234,408 | |
Danaher Corp. | 26,200 | 7,031,032 | |
$ 13,265,440 | |||
Health Care Providers & Services — 1.2% | |||
Anthem, Inc. | 14,400 | $ 5,497,920 | |
$ 5,497,920 | |||
Hotels, Restaurants & Leisure — 1.0% | |||
Marriott International, Inc., Class A(7) | 31,600 | $ 4,314,032 | |
$ 4,314,032 | |||
Independent Power and Renewable Electricity Producers — 1.0% | |||
NextEra Energy Partners, L.P. | 60,188 | $ 4,595,956 | |
$ 4,595,956 | |||
Interactive Media & Services — 5.1% | |||
Alphabet, Inc., Class C(7) | 6,990 | $ 17,519,177 | |
Match Group, Inc.(7) | 32,172 | 5,187,735 | |
$ 22,706,912 | |||
Internet & Direct Marketing Retail — 4.0% | |||
Amazon.com, Inc.(7) | 5,229 | $ 17,988,597 | |
$ 17,988,597 | |||
IT Services — 5.2% | |||
Automatic Data Processing, Inc. | 23,500 | $ 4,667,570 | |
Cognizant Technology Solutions Corp., Class A | 44,400 | 3,075,144 | |
PayPal Holdings, Inc.(7) | 22,000 | 6,412,560 | |
Visa, Inc., Class A | 39,700 | 9,282,654 | |
$ 23,437,928 | |||
Life Sciences Tools & Services — 1.3% | |||
Thermo Fisher Scientific, Inc. | 12,018 | $ 6,062,720 | |
$ 6,062,720 | |||
Machinery — 0.9% | |||
Stanley Black & Decker, Inc. | 19,900 | $ 4,079,301 | |
$ 4,079,301 | |||
Pharmaceuticals — 2.0% | |||
Sanofi | 53,900 | $ 5,662,873 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Zoetis, Inc. | 16,800 | $ 3,130,848 | |
$ 8,793,721 | |||
Professional Services — 1.7% | |||
Booz Allen Hamilton Holding Corp. | 42,400 | $ 3,611,632 | |
Clarivate PLC(7) | 138,100 | 3,801,893 | |
$ 7,413,525 | |||
Road & Rail — 0.9% | |||
Union Pacific Corp. | 17,700 | $ 3,892,761 | |
$ 3,892,761 | |||
Semiconductors & Semiconductor Equipment — 3.0% | |||
Analog Devices, Inc. | 27,800 | $ 4,786,048 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 34,000 | 4,085,440 | |
Texas Instruments, Inc. | 23,951 | 4,605,777 | |
$ 13,477,265 | |||
Software — 5.4% | |||
Intuit, Inc. | 6,552 | $ 3,211,594 | |
Microsoft Corp. | 77,893 | 21,101,213 | |
$ 24,312,807 | |||
Specialty Retail — 1.1% | |||
TJX Cos., Inc. (The) | 70,700 | $ 4,766,594 | |
$ 4,766,594 | |||
Technology Hardware, Storage & Peripherals — 3.5% | |||
Apple, Inc. | 115,188 | $ 15,776,148 | |
$ 15,776,148 | |||
Textiles, Apparel & Luxury Goods — 0.8% | |||
VF Corp. | 43,200 | $ 3,544,128 | |
$ 3,544,128 | |||
Wireless Telecommunication Services — 1.0% | |||
T-Mobile US, Inc.(7) | 31,330 | $ 4,537,524 | |
$ 4,537,524 | |||
Total Common Stocks (identified cost $191,044,470) | $292,629,898 |
Convertible Preferred Stocks — 0.0%(8) |
Security | Shares | Value | |
Health Care Equipment & Supplies — 0.0%(8) | |||
Becton Dickinson and Co., Series B, 6.00%(9) | 800 | $ 42,808 | |
Total Convertible Preferred Stocks (identified cost $44,095) | $ 42,808 |
Corporate Bonds — 14.5% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.1% | |||
LG Chem, Ltd.: | |||
3.25%, 10/15/24(1) | $ | 350 | $ 376,394 |
3.625%, 4/15/29(1) | 250 | 276,170 | |
$ 652,564 | |||
Communications — 1.3% | |||
AT&T, Inc.: | |||
2.30%, 6/1/27 | $ | 1 | $ 1,035 |
3.10%, 2/1/43 | 40 | 39,274 | |
3.50%, 9/15/53(1) | 44 | 44,272 | |
3.65%, 6/1/51 | 746 | 776,443 | |
3.65%, 9/15/59(1) | 53 | 53,828 | |
3.80%, 12/1/57(1) | 266 | 277,645 | |
4.90%, 6/15/42 | 300 | 363,686 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 980 | 1,127,677 | |
Comcast Corp., 2.45%, 8/15/52(9) | 481 | 435,464 | |
Crown Castle Towers, LLC, 3.663%, 5/15/45(1) | 250 | 267,334 | |
Discovery Communications, LLC, 5.20%, 9/20/47(9) | 326 | 405,844 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 200 | 246,187 | |
Nokia Oyj: | |||
4.375%, 6/12/27 | 229 | 253,636 | |
6.625%, 5/15/39 | 320 | 415,096 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 185 | 216,928 | |
SES S.A., 5.30%, 4/4/43(1) | 109 | 128,124 | |
Sprint Corp., 7.25%, 9/15/21 | 75 | 76,265 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26(9) | 23 | 23,201 | |
2.25%, 11/15/31 | 64 | 63,373 | |
2.55%, 2/15/31 | 147 | 149,058 | |
2.625%, 4/15/26 | 265 | 271,621 | |
4.50%, 4/15/50 | 280 | 333,755 | |
$ 5,969,746 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical — 1.1% | |||
7-Eleven, Inc., 0.80%, 2/10/24(1) | $ | 338 | $ 337,291 |
American Airlines Pass-Through Trust: | |||
4.40%, 9/22/23 | 103 | 100,684 | |
5.25%, 1/15/24 | 170 | 167,226 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 296 | 313,760 | |
5.75%, 4/20/29(1) | 21 | 22,733 | |
Aptiv PLC, 5.40%, 3/15/49 | 58 | 78,760 | |
Delta Air Lines, Inc., 3.625%, 3/15/22 | 299 | 303,266 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 389 | 432,788 | |
Ford Motor Credit Co., LLC: | |||
1.068%, (3 mo. USD LIBOR + 0.88%), 10/12/21(2) | 313 | 312,616 | |
1.256%, (3 mo. USD LIBOR + 1.08%), 8/3/22(2) | 250 | 249,111 | |
2.979%, 8/3/22 | 1,070 | 1,087,516 | |
3.087%, 1/9/23 | 200 | 204,250 | |
4.14%, 2/15/23 | 200 | 207,500 | |
Macy's Retail Holdings, LLC: | |||
2.875%, 2/15/23 | 252 | 255,279 | |
3.625%, 6/1/24 | 39 | 40,014 | |
MDC Holdings, Inc., 2.50%, 1/15/31(9) | 61 | 59,505 | |
Meritage Homes Corp., 3.875%, 4/15/29(1) | 20 | 20,725 | |
Nordstrom, Inc.: | |||
4.25%, 8/1/31(1)(9) | 218 | 227,309 | |
4.375%, 4/1/30(9) | 268 | 279,697 | |
5.00%, 1/15/44 | 371 | 370,338 | |
Tesla, Inc., 5.30%, 8/15/25(1) | 56 | 57,954 | |
$ 5,128,322 | |||
Consumer, Non-cyclical — 1.2% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 200 | $ 210,750 |
4.25%, 11/1/29(1) | 384 | 415,680 | |
Block Financial, LLC, 3.875%, 8/15/30 | 386 | 417,669 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 367 | 362,412 | |
3.375%, 2/15/30 | 199 | 208,288 | |
4.25%, 12/15/27 | 257 | 271,135 | |
4.625%, 12/15/29 | 36 | 39,637 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 221 | 220,040 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 255 | 246,744 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 285 | 305,308 | |
CVS Health Corp., 3.00%, 8/15/26 | 415 | 447,979 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 343 | 401,934 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 678 | 621,735 | |
Ford Foundation (The), 2.415%, 6/1/50 | 435 | 419,717 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
Kraft Heinz Foods Co., 4.375%, 6/1/46 | $ | 569 | $ 645,835 |
Smithfield Foods, Inc.: | |||
3.00%, 10/15/30(1) | 77 | 77,730 | |
5.20%, 4/1/29(1) | 45 | 52,433 | |
$ 5,365,026 | |||
Energy — 0.4% | |||
NuStar Logistics, L.P.: | |||
5.75%, 10/1/25 | $ | 46 | $ 50,164 |
6.00%, 6/1/26 | 198 | 215,226 | |
6.375%, 10/1/30 | 137 | 151,747 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 361 | 370,448 | |
5.00%, 1/31/28(1) | 743 | 788,910 | |
$ 1,576,495 | |||
Financial — 6.1% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
4.50%, 9/15/23 | $ | 291 | $ 312,143 |
4.625%, 10/15/27(9) | 150 | 168,129 | |
6.50%, 7/15/25 | 175 | 205,388 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 401 | 433,446 | |
Agree L.P., 2.00%, 6/15/28 | 122 | 121,129 | |
Air Lease Corp., 2.875%, 1/15/26 | 355 | 373,281 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 371 | 381,944 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 84 | 86,651 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27(9) | 335 | 326,141 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(10) | 458 | 477,053 | |
Bank of America Corp.: | |||
0.981% to 9/25/24, 9/25/25(10) | 445 | 445,137 | |
1.734% to 7/22/26, 7/22/27(10) | 655 | 660,393 | |
1.898% to 7/23/30, 7/23/31(10) | 472 | 459,293 | |
1.922% to 10/24/30, 10/24/31(10) | 483 | 471,195 | |
2.087% to 6/14/28, 6/14/29(10) | 284 | 286,575 | |
2.456% to 10/22/24, 10/22/25(10) | 1,164 | 1,218,414 | |
Bank of Montreal, 2.05%, 11/1/22 | 699 | 715,490 | |
Bank of Nova Scotia (The), 2.375%, 1/18/23 | 478 | 492,979 | |
BankUnited, Inc., 5.125%, 6/11/30 | 309 | 360,715 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 262 | 265,301 | |
5.125% to 1/18/28, 1/18/33(1)(10) | 200 | 208,940 | |
Capital One Financial Corp.: | |||
3.30%, 10/30/24 | 209 | 225,248 | |
3.75%, 7/28/26(9) | 122 | 134,724 | |
4.20%, 10/29/25 | 190 | 212,264 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Charles Schwab Corp. (The), 4.00% to 6/1/26(10)(11) | $ | 59 | $ 61,655 |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 402 | 413,002 | |
4.10%, 6/15/51 | 194 | 203,138 | |
Citigroup, Inc.: | |||
0.776% to 10/30/23, 10/30/24(10) | 630 | 631,781 | |
1.198%, (3 mo. USD LIBOR + 1.07%), 12/8/21(2) | 150 | 150,562 | |
1.678% to 5/15/23, 5/15/24(10) | 618 | 631,210 | |
2.666% to 1/29/30, 1/29/31(10) | 368 | 380,225 | |
3.106% to 4/8/25, 4/8/26(10) | 319 | 341,567 | |
3.887% to 1/10/27, 1/10/28(10) | 967 | 1,077,079 | |
4.00% to 12/10/25(10)(11) | 310 | 321,237 | |
Commonwealth Bank of Australia, 3.61% to 9/12/29, 9/12/34(1)(10) | 206 | 218,296 | |
Digital Realty Trust, L.P., 4.75%, 10/1/25 | 218 | 248,082 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(10) | 270 | 287,001 | |
Discover Financial Services: | |||
3.95%, 11/6/24 | 90 | 98,197 | |
6.125% to 6/23/25(10)(11) | 111 | 124,980 | |
Extra Space Storage L.P., 2.55%, 6/1/31 | 233 | 234,855 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 409 | 412,579 | |
6.00%, 4/15/25(1) | 283 | 299,147 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1)(9) | 314 | 318,318 | |
5.00%, 7/15/28(1) | 126 | 131,185 | |
JPMorgan Chase & Co.: | |||
0.63%, (SOFR + 0.58%), 3/16/24(2) | 549 | 552,749 | |
2.522% to 4/22/30, 4/22/31(10) | 530 | 545,835 | |
2.739% to 10/15/29, 10/15/30(10) | 185 | 193,782 | |
2.956% to 5/13/30, 5/13/31(10) | 211 | 221,886 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 301 | 323,541 | |
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(10) | 356 | 371,425 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(10) | 523 | 520,772 | |
3.624%, 6/3/30(1) | 255 | 270,017 | |
Mastercard, Inc., 1.90%, 3/15/31 | 175 | 177,040 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 275 | 292,006 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(10) | 301 | 300,025 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 134 | 147,660 | |
OneMain Finance Corp., 3.50%, 1/15/27 | 210 | 211,838 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 1,288 | 1,351,910 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 476 | 519,068 | |
6.625%, 3/15/25 | 37 | 41,805 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
SBA Tower Trust, 3.722%, 4/9/48(1) | $ | 660 | $ 667,966 |
SITE Centers Corp., 3.625%, 2/1/25 | 259 | 273,910 | |
Societe Generale S.A., 4.75% to 5/26/26(1)(10)(11) | 200 | 207,750 | |
Standard Chartered PLC: | |||
1.214% to 3/23/24, 3/23/25(1)(10) | 200 | 200,998 | |
1.456% to 1/14/26, 1/14/27(1)(10) | 226 | 224,201 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 231 | 256,594 | |
Sun Communities Operating L.P., 2.70%, 7/15/31 | 112 | 112,234 | |
Synovus Bank/Columbus, GA: | |||
2.289% to 2/10/22, 2/10/23(10) | 529 | 533,187 | |
4.00% to 10/29/25, 10/29/30(10) | 250 | 265,625 | |
Synovus Financial Corp.: | |||
3.125%, 11/1/22 | 156 | 160,463 | |
5.90% to 2/7/24, 2/7/29(10) | 35 | 37,993 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(10) | 226 | 235,368 | |
Truist Financial Corp.: | |||
1.267% to 3/2/26, 3/2/27(10) | 280 | 279,829 | |
5.10% to 3/1/30(9)(10)(11) | 409 | 460,636 | |
UBS AG, 1.25%, 6/1/26(1) | 331 | 330,279 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(10) | 359 | 352,019 | |
4.375% to 2/10/31(1)(10)(11) | 219 | 224,300 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(10) | 200 | 218,292 | |
Welltower, Inc., 2.75%, 1/15/31(9) | 249 | 256,969 | |
Westpac Banking Corp., 2.668% to 11/15/30, 11/15/35(9)(10) | 220 | 216,671 | |
$ 27,182,712 | |||
Government - Multinational — 1.2% | |||
Asian Development Bank, 3.125%, 9/26/28 | $ | 540 | $ 606,748 |
European Investment Bank: | |||
2.375%, 5/24/27 | 1,026 | 1,101,758 | |
2.875%, 6/13/25(1) | 1,045 | 1,134,037 | |
International Bank for Reconstruction & Development: | |||
0.18%, (SOFR + 0.13%), 1/13/23(2) | 621 | 621,292 | |
1.375%, 4/20/28 | 450 | 454,045 | |
3.125%, 11/20/25 | 1,200 | 1,320,498 | |
Nordic Investment Bank, 2.25%, 9/30/21 | 271 | 272,414 | |
$ 5,510,792 | |||
Government - Regional — 0.2% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 720 | $ 717,217 |
$ 717,217 | |||
Industrial — 1.0% | |||
FedEx Corp., 4.55%, 4/1/46 | $ | 290 | $ 352,784 |
Security | Principal Amount (000's omitted) | Value | |
Industrial (continued) | |||
Flowserve Corp., 3.50%, 10/1/30 | $ | 194 | $ 204,865 |
Hexcel Corp.: | |||
4.20%, 2/15/27 | 319 | 343,594 | |
4.95%, 8/15/25 | 40 | 44,096 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 49 | 50,470 | |
Jabil, Inc.: | |||
3.00%, 1/15/31(9) | 709 | 730,442 | |
3.60%, 1/15/30 | 418 | 453,065 | |
nVent Finance S.a.r.l., 4.55%, 4/15/28 | 730 | 802,974 | |
Owens Corning, 3.95%, 8/15/29 | 669 | 756,587 | |
SMBC Aviation Capital Finance DAC, 2.65%, 7/15/21(1) | 260 | 260,196 | |
Valmont Industries, Inc.: | |||
5.00%, 10/1/44 | 55 | 66,823 | |
5.25%, 10/1/54 | 265 | 329,759 | |
$ 4,395,655 | |||
Other Revenue — 0.2% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 675 | $ 693,162 |
$ 693,162 | |||
Technology — 0.4% | |||
DXC Technology Co.: | |||
4.125%, 4/15/25 | $ | 266 | $ 292,511 |
4.75%, 4/15/27(9) | 84 | 96,798 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31(1) | 200 | 193,533 | |
4.091%, 6/1/29(1) | 354 | 362,917 | |
4.875%, 3/1/24 | 235 | 253,930 | |
5.75%, 12/1/34(9) | 180 | 207,386 | |
Western Digital Corp., 4.75%, 2/15/26 | 515 | 572,938 | |
$ 1,980,013 | |||
Utilities — 1.3% | |||
AES Corp. (The), 2.45%, 1/15/31(1)(9) | $ | 575 | $ 569,852 |
American Water Capital Corp.: | |||
2.30%, 6/1/31 | 640 | 651,187 | |
2.95%, 9/1/27 | 370 | 399,294 | |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 292 | 312,524 | |
3.80%, 6/1/29 | 590 | 666,556 | |
Clearway Energy Operating, LLC, 5.00%, 9/15/26 | 380 | 391,677 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 171 | 188,174 | |
Enel Finance International NV, 2.65%, 9/10/24(1) | 530 | 557,476 | |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 215 | 230,220 |
Security | Principal Amount (000's omitted) | Value | |
Utilities (continued) | |||
MidAmerican Energy Co.: (continued) | |||
4.25%, 7/15/49 | $ | 250 | $ 315,467 |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 296 | 299,654 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 34 | 35,913 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 233 | 229,642 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 656 | 680,731 | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | 227 | 256,421 | |
$ 5,784,788 | |||
Total Corporate Bonds (identified cost $62,564,913) | $ 64,956,492 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Mortgage Real Estate Investment Trusts (REITs) — 0.0%(8) | |||
AGNC Investment Corp., Series F, 6.125% to 4/15/25(10) | 5,250 | $ 131,512 | |
$ 131,512 | |||
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(10) | 12,426 | $ 274,739 | |
$ 274,739 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 13,670 | $ 341,340 | |
Series A2, 6.375% | 12,000 | 315,600 | |
$ 656,940 | |||
Wireless Telecommunication Services — 0.2% | |||
United States Cellular Corp.: | |||
5.50% | 23,600 | $ 618,084 | |
6.25% (9) | 2,200 | 60,214 | |
$ 678,298 | |||
Total Preferred Stocks (identified cost $1,687,749) | $ 1,741,489 |
Senior Floating-Rate Loans — 0.7%(12) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Building and Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 293 | $ 290,499 |
$ 290,499 | |||
Drugs — 0.1% | |||
PPD, Inc., Term Loan, 2.75%, (1 mo. USD LIBOR + 2.25%, Floor 0.50%), 1/13/28 | $ | 424 | $ 423,911 |
$ 423,911 | |||
Electronics/Electrical — 0.1% | |||
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | $ | 206 | $ 206,970 |
MA FinanceCo., LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 18 | 17,939 | |
Seattle Spinco, Inc., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 123 | 121,147 | |
SS&C European Holdings S.a.r.l., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 33 | 32,536 | |
SS&C Technologies, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 43 | 42,824 | |
Ultimate Software Group, Inc. (The), Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 248 | 248,537 | |
$ 669,953 | |||
Equipment Leasing — 0.0%(8) | |||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 147 | $ 147,096 |
$ 147,096 | |||
Health Care — 0.1% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | $ | 316 | $ 316,392 |
$ 316,392 | |||
Insurance — 0.1% | |||
Asurion, LLC: | |||
Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 11/3/23 | $ | 120 | $ 119,340 |
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 60 | 59,089 | |
USI, Inc., Term Loan, 3.147%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | 227 | 225,444 | |
$ 403,873 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Leisure Goods/Activities/Movies — 0.0%(8) | |||
Bombardier Recreational Products, Inc., Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 68 | $ 67,558 |
$ 67,558 | |||
Telecommunications — 0.2% | |||
CenturyLink, Inc., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 323 | $ 318,984 |
Level 3 Financing, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 74 | 73,238 | |
Ziggo Financing Partnership, Term Loan, 2.573%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 325 | 322,247 | |
$ 714,469 | |||
Total Senior Floating-Rate Loans (identified cost $3,039,366) | $ 3,033,751 |
Sovereign Government Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 235 | $ 220,745 |
2.00%, 9/29/22 | 1,048 | 1,071,872 | |
Kuntarahoitus Oyj, 1.375%, 9/21/21(1) | 200 | 200,540 | |
Nederlandse Waterschapsbank NV, 2.125%, 11/15/21(1) | 230 | 231,699 | |
Total Sovereign Government Bonds (identified cost $1,738,156) | $ 1,724,856 |
Taxable Municipal Obligations — 1.6% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.4% | |||
Los Angeles Unified School District, CA, 5.75%, 7/1/34(13) | $ | 450 | $ 608,198 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 435 | 485,886 | |
New York City, NY, 5.206%, 10/1/31(13) | 470 | 576,399 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 285 | 318,946 | |
$ 1,989,429 | |||
Special Tax Revenue — 0.6% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 405 | $ 428,583 |
2.484%, 6/1/27 | 290 | 308,493 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
California Health Facilities Financing Authority, (No Place Like Home Program): (continued) | |||
2.534%, 6/1/28 | $ | 360 | $ 383,231 |
2.584%, 6/1/29 | 200 | 212,936 | |
2.984%, 6/1/33 | 220 | 235,266 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(13) | 300 | 366,762 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(13) | 600 | 772,176 | |
$ 2,707,447 | |||
Water and Sewer — 0.6% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 130 | $ 184,770 |
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds: | |||
2.094%, 9/1/30 | 170 | 173,954 | |
2.184%, 9/1/31 | 140 | 143,147 | |
2.264%, 9/1/32 | 125 | 127,594 | |
2.344%, 9/1/33 | 135 | 137,553 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 145 | 142,457 | |
Green Bonds, 1.701%, 5/1/31 | 130 | 128,662 | |
Green Bonds, 1.951%, 5/1/34 | 75 | 74,362 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 1,440 | 1,544,126 | |
$ 2,656,625 | |||
Total Taxable Municipal Obligations (identified cost $6,782,083) | $ 7,353,501 |
U.S. Government Agencies and Instrumentalities — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Department of Housing and Urban Development: | |||
2.547%, 8/1/22 | $ | 137 | $ 140,436 |
2.618%, 8/1/23 | 69 | 72,187 | |
2.668%, 8/1/24 | 240 | 254,139 | |
2.738%, 8/1/25 | 240 | 258,574 | |
3.435%, 8/1/34 | 220 | 244,859 | |
3.485%, 8/1/35 | 125 | 141,648 | |
3.585%, 8/1/37 | 225 | 255,810 | |
U.S. International Development Finance Corp.: | |||
3.22%, 9/15/29 | 373 | 408,928 |
Security | Principal Amount (000's omitted) | Value | |
U.S. International Development Finance Corp.: (continued) | |||
3.52%, 9/20/32 | $ | 354 | $ 396,190 |
Total U.S. Government Agencies and Instrumentalities (identified cost $2,036,601) | $ 2,172,771 |
U.S. Government Agency Mortgage-Backed Securities — 3.5% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., 3.50%, 3/1/48 | $ | 167 | $ 175,909 |
Federal National Mortgage Association: | |||
30-Year, 2.00%, TBA(14) | 332 | 335,506 | |
30-Year, 2.50%, TBA(14) | 5,350 | 5,534,324 | |
30-Year, 3.00%, TBA(14) | 6,050 | 6,308,071 | |
Pool #AN1879, 2.65%, 6/1/26 | 319 | 341,880 | |
Pool #AN1909, 2.68%, 7/1/26 | 350 | 376,351 | |
Pool #BM3990, 4.00%, 3/1/48 | 466 | 497,638 | |
Pool #FM1867, 3.00%, 11/1/49 | 421 | 439,062 | |
Pool #FM6803, 2.00%, 4/1/51 | 272 | 277,184 | |
Pool #MA3149, 4.00%, 10/1/47 | 519 | 557,203 | |
Government National Mortgage Association II: | |||
Pool #CB2653, 2.50%, 3/20/51 | 388 | 404,058 | |
Pool #CB8629, 2.50%, 4/20/51 | 508 | 531,801 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $15,735,952) | $ 15,778,987 |
U.S. Treasury Obligations — 4.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 99 | $ 85,202 |
1.375%, 8/15/50 | 497 | 419,130 | |
1.875%, 2/15/41 | 481 | 471,004 | |
1.875%, 2/15/51 | 1,837 | 1,753,761 | |
2.25%, 5/15/41 | 2,378 | 2,475,186 | |
U.S. Treasury Inflation-Protected Note, 0.75%, 7/15/28(15) | 1,333 | 1,530,114 | |
U.S. Treasury Notes: | |||
0.125%, 6/30/22 | 130 | 130,037 | |
0.125%, 4/30/23 | 1,727 | 1,723,964 | |
0.125%, 6/30/23 | 1,965 | 1,960,356 | |
0.25%, 5/15/24 | 880 | 875,256 | |
0.25%, 6/15/24 | 1,466 | 1,457,124 | |
0.25%, 6/30/25 | 89 | 87,439 | |
0.375%, 3/31/22 | 129 | 129,287 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
0.375%, 12/31/25 | $ | 1,028 | $ 1,008,587 |
0.375%, 1/31/26 | 379 | 371,563 | |
0.75%, 4/30/26 | 2,100 | 2,089,582 | |
0.75%, 5/31/26 | 300 | 298,313 | |
0.875%, 11/15/30 | 52 | 49,457 | |
1.125%, 2/29/28 | 1,356 | 1,352,186 | |
1.25%, 3/31/28 | 581 | 583,383 | |
1.25%, 4/30/28 | 302 | 302,991 | |
1.25%, 6/30/28 | 717 | 718,176 | |
1.625%, 12/31/21 | 128 | 128,998 | |
Total U.S. Treasury Obligations (identified cost $19,719,244) | $ 20,001,096 |
Short-Term Investments — 2.1% | |||
Affiliated Fund — 1.6% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(16) | 7,184,310 | $ 7,184,310 | |
Total Affiliated Fund (identified cost $7,184,498) | $ 7,184,310 | ||
Securities Lending Collateral — 0.5% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.02%(17) | 2,374,550 | $ 2,374,550 | |
Total Securities Lending Collateral (identified cost $2,374,550) | $ 2,374,550 | ||
Total Short-Term Investments (identified cost $9,559,048) | $ 9,558,860 | ||
Total Investments — 103.3% (identified cost $357,399,018) | $463,344,652 | ||
Other Assets, Less Liabilities — (3.3)% | $ (14,680,680) | ||
Net Assets — 100.0% | $ 448,663,972 |
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, 2021, the aggregate value of these securities is $48,618,207 or 10.8% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2021. |
(3) | Step coupon security. Interest rate represents the rate in effect at June 30, 2021. |
(4) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2021. |
(5) | When-issued security. For a variable rate security, interest rate will be determined after June 30, 2021. |
(6) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021 (see Note 9). |
(7) | Non-income producing security. |
(8) | Amount is less than 0.05%. |
(9) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $4,080,448. |
(10) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(11) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(12) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate ("LIBOR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Base lending rates may be subject to a floor, or minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(13) | 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. |
(14) | 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. |
(15) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(16) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
(17) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 9 | Long | 9/30/21 | $ 1,982,883 | $ (3,179) |
U.S. 10-Year Treasury Note | 42 | Long | 9/21/21 | 5,565,000 | 19,728 |
U.S. Ultra-Long Treasury Bond | 28 | Long | 9/21/21 | 5,395,250 | 262,665 |
U.S. 5-Year Treasury Note | (5) | Short | 9/30/21 | (617,148) | 1,397 |
U.S. Long Treasury Bond | (2) | Short | 9/21/21 | (321,500) | (10,160) |
U.S. Ultra 10-Year Treasury Note | (142) | Short | 9/21/21 | (20,902,844) | (366,352) |
U.S. Ultra-Long Treasury Bond | (6) | Short | 9/21/21 | (1,156,125) | (56,355) |
$(152,256) |
Abbreviations: | |
ADR | – American Depositary Receipt |
LIBOR | – London Interbank Offered Rate |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $348,848,771) - including $4,080,448 of securities on loan | $ 454,826,006 |
Investments in securities of affiliated issuers, at value (identified cost $8,550,247) | 8,518,646 |
Cash | 516,055 |
Deposits at broker for futures contracts | 276,000 |
Receivable for capital shares sold | 84,149 |
Dividends and interest receivable | 858,044 |
Dividends and interest receivable - affiliated | 1,266 |
Securities lending income receivable | 634 |
Tax reclaims receivable | 49,163 |
Directors' deferred compensation plan | 72,320 |
Total assets | $465,202,283 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 35,554 |
Payable for investments purchased | 662,062 |
Payable for when-issued/delayed delivery/forward commitment securities | 12,864,550 |
Payable for capital shares redeemed | 156,131 |
Deposits for securities loaned | 2,374,550 |
Payable to affiliates: | |
Investment advisory fee | 149,234 |
Administrative fee | 43,678 |
Distribution and service fees | 2,073 |
Sub-transfer agency fee | 195 |
Directors' deferred compensation plan | 72,320 |
Accrued expenses | 177,964 |
Total liabilities | $ 16,538,311 |
Net Assets | $448,663,972 |
Sources of Net Assets | |
Paid-in capital | $ 304,514,132 |
Distributable earnings | 144,149,840 |
Total | $448,663,972 |
Class I Shares | |
Net Assets | $ 438,197,380 |
Shares Outstanding | 160,070,407 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 2.74 |
Class F Shares | |
Net Assets | $ 10,466,592 |
Shares Outstanding | 3,827,859 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 2.73 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $38,366) | $ 1,730,296 |
Dividend income - affiliated issuers | 3,824 |
Interest and other income | 1,957,907 |
Interest income - affiliated issuers | 7,039 |
Securities lending income, net | 3,097 |
Total investment income | $ 3,702,163 |
Expenses | |
Investment advisory fee | $ 873,006 |
Administrative fee | 255,514 |
Distribution and service fees: | |
Class F | 10,937 |
Directors' fees and expenses | 9,208 |
Custodian fees | 5,850 |
Transfer agency fees and expenses | 83,947 |
Accounting fees | 86,780 |
Professional fees | 22,017 |
Reports to shareholders | 18,839 |
Miscellaneous | 7,128 |
Total expenses | $ 1,373,226 |
Net investment income | $ 2,328,937 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 17,614,650 |
Investment securities - affiliated issuers | 1,349 |
Futures contracts | 660,797 |
Foreign currency transactions | (3,200) |
Net realized gain | $18,273,596 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 14,543,519 |
Investment securities - affiliated issuers | 2,121 |
Futures contracts | (143,029) |
Foreign currency | (509) |
Net change in unrealized appreciation (depreciation) | $14,402,102 |
Net realized and unrealized gain | $32,675,698 |
Net increase in net assets from operations | $35,004,635 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,328,937 | $ 5,130,781 |
Net realized gain | 18,273,596 | 12,854,571 |
Net change in unrealized appreciation (depreciation) | 14,402,102 | 36,312,374 |
Net increase in net assets from operations | $ 35,004,635 | $ 54,297,726 |
Distributions to shareholders: | ||
Class I | $ — | $ (17,095,943) |
Class F | — | (305,549) |
Total distributions to shareholders | $ — | $ (17,401,492) |
Capital share transactions: | ||
Class I | $ (4,309,358) | $ 9,550,261 |
Class F | 1,849,620 | 2,257,686 |
Net increase (decrease) in net assets from capital share transactions | $ (2,459,738) | $ 11,807,947 |
Net increase in net assets | $ 32,544,897 | $ 48,704,181 |
Net Assets | ||
At beginning of period | $ 416,119,075 | $ 367,414,894 |
At end of period | $448,663,972 | $416,119,075 |
Class I | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 2.52 | $ 2.29 | $ 1.94 | $ 2.23 | $ 2.05 | $ 2.00 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.01 | $ 0.03 | $ 0.04 | $ 0.04 | $ 0.04 | $ 0.04 |
Net realized and unrealized gain (loss) | 0.21 | 0.31 | 0.43 | (0.08) | 0.20 | 0.11 |
Total income (loss) from operations | $ 0.22 | $ 0.34 | $ 0.47 | $ (0.04) | $ 0.24 | $ 0.15 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.04) | $ (0.04) | $ (0.04) | $ (0.04) | $ (0.04) |
From net realized gain | — | (0.07) | (0.08) | (0.21) | (0.02) | (0.06) |
Total distributions | $ — | $ (0.11) | $ (0.12) | $ (0.25) | $ (0.06) | $ (0.10) |
Net asset value — End of period | $ 2.74 | $ 2.52 | $ 2.29 | $ 1.94 | $ 2.23 | $ 2.05 |
Total Return(2) | 8.73% (3) | 15.26% | 24.40% | (2.67)% | 12.16% | 7.58% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $438,197 | $408,223 | $362,392 | $296,345 | $329,060 | $325,638 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.64% (5) | 0.63% | 0.62% | 0.72% | 0.69% | 0.75% |
Net expenses | 0.64% (5) | 0.63% | 0.62% | 0.70% | 0.68% | 0.70% |
Net investment income | 1.10% (5) | 1.39% | 1.68% | 1.66% | 1.73% | 2.06% |
Portfolio Turnover | 50% (3)(6) | 104% (6) | 70% (6) | 77% | 132% | 129% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class F | ||||||
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 2.52 | $ 2.30 | $ 1.95 | $ 2.24 | $ 2.08 | $ 2.03 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.01 | $ 0.03 | $ 0.03 | $ 0.03 | $ 0.03 | $ 0.03 |
Net realized and unrealized gain (loss) | 0.20 | 0.30 | 0.44 | (0.07) | 0.19 | 0.12 |
Total income (loss) from operations | $ 0.21 | $ 0.33 | $ 0.47 | $ (0.04) | $ 0.22 | $ 0.15 |
Less Distributions | �� | |||||
From net investment income | $ — | $ (0.04) | $ (0.04) | $ (0.04) | $ (0.04) | $ (0.04) |
From net realized gain | — | (0.07) | (0.08) | (0.21) | (0.02) | (0.06) |
Total distributions | $ — | $ (0.11) | $ (0.12) | $ (0.25) | $ (0.06) | $(0.10) |
Net asset value — End of period | $ 2.73 | $ 2.52 | $ 2.30 | $ 1.95 | $ 2.24 | $ 2.08 |
Total Return(2) | 8.33% (3) | 14.76% | 24.28% | (2.65)% | 11.01% | 7.14% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $10,467 | $ 7,896 | $ 5,023 | $1,920 | $ 1,540 | $ 588 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.89% (5) | 0.88% | 0.86% | 0.96% | 1.40% | 1.40% |
Net expenses | 0.89% (5) | 0.88% | 0.86% | 0.96% | 1.08% | 1.10% |
Net investment income | 0.84% (5) | 1.13% | 1.44% | 1.40% | 1.30% | 1.65% |
Portfolio Turnover | 50% (3)(6) | 104% (6) | 70% (6) | 77% | 132% | 129% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes the effect of To-Be-Announced (TBA) transactions. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 22,634,680 | $ — | $ 22,634,680 |
Collateralized Mortgage Obligations | — | 6,343,545 | — | 6,343,545 |
Commercial Mortgage-Backed Securities | — | 15,371,918 | — | 15,371,918 |
Common Stocks | 286,967,025 (1) | — | — | 286,967,025 |
Common Stocks - Health Care | — | 5,662,873 (2) | — | 5,662,873 |
Convertible Preferred Stocks | 42,808 | — | — | 42,808 |
Corporate Bonds | — | 64,956,492 | — | 64,956,492 |
Preferred Stocks | 1,741,489 | — | — | 1,741,489 |
Senior Floating-Rate Loans | — | 3,033,751 | — | 3,033,751 |
Sovereign Government Bonds | — | 1,724,856 | — | 1,724,856 |
Taxable Municipal Obligations | — | 7,353,501 | — | 7,353,501 |
U.S. Government Agencies and Instrumentalities | — | 2,172,771 | — | 2,172,771 |
U.S. Government Agency Mortgage-Backed Securities | — | 15,778,987 | — | 15,778,987 |
U.S. Treasury Obligations | — | 20,001,096 | — | 20,001,096 |
Short-Term Investments: | ||||
Affiliated Fund | — | 7,184,310 | — | 7,184,310 |
Securities Lending Collateral | 2,374,550 | — | — | 2,374,550 |
Total Investments | $291,125,872 | $172,218,780 | $ — | $463,344,652 |
Futures Contracts | $ 283,790 | $ — | $ — | $ 283,790 |
Total | $291,409,662 | $172,218,780 | $ — | $463,628,442 |
Liability Description | ||||
Futures Contracts | $ (436,046) | $ — | $ — | $ (436,046) |
Total | $ (436,046) | $ — | $ — | $ (436,046) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
(2) | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Aggregate cost | $358,251,704 |
Gross unrealized appreciation | $ 106,140,383 |
Gross unrealized depreciation | (1,199,691) |
Net unrealized appreciation | $104,940,692 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $283,790 (1) | $(436,046) (1) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Statement of Operations Caption | |
Net realized gain (loss): | |
Investment securities(1) | $ (3,845) |
Futures contracts | 660,797 |
Total | $ 656,952 |
Change in unrealized appreciation (depreciation): | |
Futures contracts | $ (143,029) |
Total | $(143,029) |
(1) | Relates to purchased options. |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Convertible Preferred Stocks | $ 27,473 | $ — | $ — | $ — | $ 27,473 |
Corporate Bonds | 2,322,713 | — | — | — | 2,322,713 |
Preferred Stocks | 24,364 | — | — | — | 24,364 |
Total | $2,374,550 | $ — | $ — | $ — | $2,374,550 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/Units, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2017-CLS, Class A, 0.773%, (1 mo. USD LIBOR +0.70%), 11/15/34(1) | $ — | $ — | $ — | $ — | $ (248) | $ 545,414 | $ 1,484 | $ 545,000 |
Series 2019-BPR, Class A, 1.473%, (1 mo. USD LIBOR+ 1.40%), 5/15/36(1) | — | — | — | — | 3,031 | 527,362 | 2,760 | 539,000 |
Series 2019-BPR, Class B, 2.173%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1) | — | — | — | — | 1,478 | 174,474 | 1,401 | 187,000 |
Series 2019-BPR, Class C, 3.123%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1) | — | — | — | — | 1,389 | 87,086 | 1,071 | 100,000 |
Corporate Bonds | ||||||||
Morgan Stanley, 0.71%, (SOFR + 0.70%), 1/20/23(1) | — | — | (716,112) | 2,112 | (3,384) | — | 323 | — |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | 7,856,807 | 65,790,148 | (66,461,737) | (763) | (145) | 7,184,310 | 3,824 | 7,184,310 |
Totals | $1,349 | $ 2,121 | $8,518,646 | $10,863 |
(1) | May be deemed to be an affiliated issuer as of March 1, 2021 (see Note 2). |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 5,605,674 | $ 14,682,608 | 13,186,923 | $ 30,978,919 | |
Reinvestment of distributions | — | — | 7,305,959 | 17,095,943 | |
Shares redeemed | (7,276,153) | (18,991,966) | (16,928,416) | (38,524,601) | |
Net increase (decrease) | (1,670,479) | $ (4,309,358) | 3,564,466 | $ 9,550,261 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 977,861 | $ 2,585,521 | 1,508,379 | $ 3,492,301 | |
Reinvestment of distributions | — | — | 130,576 | 305,549 | |
Shares redeemed | (277,760) | (735,901) | (698,255) | (1,540,164) | |
Net increase | 700,101 | $ 1,849,620 | 940,700 | $ 2,257,686 |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
118,225,910.182 | 816,077.696 | 8,591,510.493 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
% Average Annual Total Returns1,2 | Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 07/16/1991 | 07/16/1991 | 10.41% | 37.34% | 13.33% | 10.24% |
Russell Midcap® Index | — | — | 16.25% | 49.80% | 15.61% | 13.22% |
% Total Annual Operating Expense Ratios3 | |
0.99% |
Top 10 Holdings (% of net assets)* | |
Aptiv PLC | 2.4% |
ANSYS, Inc. | 2.3 |
Ally Financial, Inc. | 2.2 |
Stanley Black & Decker, Inc. | 2.2 |
Teleflex, Inc. | 2.2 |
Lamar Advertising Co., Class A | 2.1 |
Match Group, Inc. | 2.1 |
Black Knight, Inc. | 2.1 |
KeyCorp | 2.1 |
Tradeweb Markets, Inc., Class A | 2.1 |
Total | 21.8% |
* | Excludes cash and cash equivalents. |
1 | Russell Midcap® Index is an unmanaged index of U.S. mid-cap stocks. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | There is no sales charge. Insurance-related charges are not included in the calculation of returns. If such charges were reflected, the returns would be lower. Please refer to the report for your insurance contract for performance data reflecting insurance-related charges.Calvert Research and Management became the investment adviser to the Fund on December 31, 2016. Performance reflected prior to such date is that of the Fund’s former investment adviser. |
3 | Source: Fund prospectus. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management. |
Beginning Account Value (1/1/21) | Ending Account Value (6/30/21) | Expenses Paid During Period* (1/1/21 – 6/30/21) | Annualized Expense Ratio | |
Actual | ||||
$1,000.00 | $1,104.10 | $5.01 | 0.96% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,020.03 | $4.81 | 0.96% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the close of business on December 31, 2020. Expenses shown do not include insurance-related charges. |
Common Stocks — 99.5% |
Security | Shares | Value | |
Air Freight & Logistics — 1.1% | |||
C.H. Robinson Worldwide, Inc. | 4,381 | $ 410,368 | |
$ 410,368 | |||
Auto Components — 2.4% | |||
Aptiv PLC(1) | 5,770 | $ 907,794 | |
$ 907,794 | |||
Banks — 2.5% | |||
KeyCorp | 37,753 | $ 779,599 | |
Live Oak Bancshares, Inc. | 2,560 | 151,040 | |
$ 930,639 | |||
Beverages — 2.0% | |||
Coca-Cola Europacific Partners PLC | 12,260 | $ 727,263 | |
$ 727,263 | |||
Biotechnology — 1.4% | |||
Neurocrine Biosciences, Inc.(1) | 5,485 | $ 533,800 | |
$ 533,800 | |||
Building Products — 2.6% | |||
AZEK Co., Inc. (The)(1) | 13,287 | $ 564,166 | |
Trex Co., Inc.(1) | 4,073 | 416,301 | |
$ 980,467 | |||
Capital Markets — 4.9% | |||
Morningstar, Inc. | 1,872 | $ 481,310 | |
MSCI, Inc. | 1,068 | 569,329 | |
Tradeweb Markets, Inc., Class A | 9,210 | 778,798 | |
$ 1,829,437 | |||
Commercial Services & Supplies — 3.1% | |||
GFL Environmental, Inc.(2) | 19,460 | $ 621,979 | |
Tetra Tech, Inc. | 4,272 | 521,355 | |
$ 1,143,334 | |||
Communications Equipment — 2.1% | |||
Motorola Solutions, Inc. | 3,544 | $ 768,516 | |
$ 768,516 | |||
Consumer Finance — 2.2% | |||
Ally Financial, Inc. | 16,553 | $ 825,002 | |
$ 825,002 |
Security | Shares | Value | |
Containers & Packaging — 2.6% | |||
AptarGroup, Inc. | 5,217 | $ 734,762 | |
Packaging Corp. of America | 1,607 | 217,620 | |
$ 952,382 | |||
Electric Utilities — 1.0% | |||
Xcel Energy, Inc. | 5,854 | $ 385,662 | |
$ 385,662 | |||
Electrical Equipment — 1.9% | |||
AMETEK, Inc. | 5,348 | $ 713,958 | |
$ 713,958 | |||
Electronic Equipment, Instruments & Components — 2.7% | |||
TE Connectivity, Ltd. | 4,066 | $ 549,764 | |
Zebra Technologies Corp., Class A(1) | 893 | 472,834 | |
$ 1,022,598 | |||
Energy Equipment & Services — 1.7% | |||
Baker Hughes Co. | 28,495 | $ 651,681 | |
$ 651,681 | |||
Entertainment — 1.5% | |||
Electronic Arts, Inc. | 3,840 | $ 552,307 | |
$ 552,307 | |||
Equity Real Estate Investment Trusts (REITs) — 3.9% | |||
Lamar Advertising Co., Class A | 7,630 | $ 796,724 | |
Mid-America Apartment Communities, Inc. | 3,797 | 639,491 | |
$ 1,436,215 | |||
Food & Staples Retailing — 1.2% | |||
Performance Food Group Co.(1) | 9,110 | $ 441,744 | |
$ 441,744 | |||
Food Products — 1.3% | |||
Lamb Weston Holdings, Inc. | 6,118 | $ 493,478 | |
$ 493,478 | |||
Health Care Equipment & Supplies — 3.5% | |||
Envista Holdings Corp.(1) | 11,276 | $ 487,236 | |
Teleflex, Inc. | 2,021 | 812,018 | |
$ 1,299,254 | |||
Health Care Providers & Services — 3.5% | |||
Accolade, Inc.(1) | 8,832 | $ 479,666 | |
Centene Corp.(1) | 9,755 | 711,432 |
Security | Shares | Value | |
Health Care Providers & Services (continued) | |||
LifeStance Health Group, Inc.(1) | 3,960 | $ 110,326 | |
$ 1,301,424 | |||
Hotels, Restaurants & Leisure — 1.7% | |||
Wyndham Hotels & Resorts, Inc. | 8,745 | $ 632,176 | |
$ 632,176 | |||
Independent Power and Renewable Electricity Producers — 1.0% | |||
NextEra Energy Partners, L.P. | 4,832 | $ 368,972 | |
$ 368,972 | |||
Insurance — 4.0% | |||
Arch Capital Group, Ltd.(1) | 11,045 | $ 430,092 | |
Assurant, Inc. | 2,987 | 466,510 | |
Travelers Cos., Inc. (The) | 3,859 | 577,731 | |
$ 1,474,333 | |||
Interactive Media & Services — 3.3% | |||
CarGurus, Inc.(1) | 15,892 | $ 416,847 | |
Match Group, Inc.(1) | 4,930 | 794,963 | |
$ 1,211,810 | |||
IT Services — 5.5% | |||
Broadridge Financial Solutions, Inc. | 4,318 | $ 697,487 | |
Euronet Worldwide, Inc.(1) | 2,896 | 391,974 | |
Flywire Corp.(1) | 2,779 | 102,100 | |
Marqeta, Inc., Class A(1) | 5,284 | 148,322 | |
WEX, Inc.(1) | 3,685 | 714,521 | |
$ 2,054,404 | |||
Life Sciences Tools & Services — 3.5% | |||
Agilent Technologies, Inc. | 5,052 | $ 746,736 | |
Waters Corp.(1) | 1,656 | 572,330 | |
$ 1,319,066 | |||
Machinery — 4.0% | |||
Colfax Corp.(1) | 14,440 | $ 661,497 | |
Stanley Black & Decker, Inc. | 3,972 | 814,220 | |
$ 1,475,717 | |||
Metals & Mining — 1.6% | |||
Steel Dynamics, Inc. | 9,853 | $ 587,239 | |
$ 587,239 |
Security | Shares | Value | |
Pharmaceuticals — 1.9% | |||
Jazz Pharmaceuticals PLC(1) | 3,915 | $ 695,461 | |
$ 695,461 | |||
Professional Services — 5.0% | |||
Booz Allen Hamilton Holding Corp. | 6,912 | $ 588,764 | |
Clarivate PLC(1) | 19,992 | 550,380 | |
Verisk Analytics, Inc. | 4,049 | 707,441 | |
$ 1,846,585 | |||
Semiconductors & Semiconductor Equipment — 2.8% | |||
Skyworks Solutions, Inc. | 2,917 | $ 559,335 | |
Teradyne, Inc. | 3,520 | 471,539 | |
$ 1,030,874 | |||
Software — 6.4% | |||
ANSYS, Inc.(1) | 2,441 | $ 847,173 | |
Bill.com Holdings, Inc.(1) | 4,075 | 746,459 | |
Black Knight, Inc.(1) | 10,178 | 793,680 | |
$ 2,387,312 | |||
Specialty Retail — 8.0% | |||
Best Buy Co., Inc. | 4,986 | $ 573,290 | |
Five Below, Inc.(1) | 2,696 | 521,056 | |
National Vision Holdings, Inc.(1) | 11,281 | 576,798 | |
Ross Stores, Inc. | 4,588 | 568,912 | |
Ulta Beauty, Inc.(1) | 2,165 | 748,592 | |
$ 2,988,648 | |||
Textiles, Apparel & Luxury Goods — 1.7% | |||
Deckers Outdoor Corp.(1) | 1,616 | $ 620,657 | |
$ 620,657 | |||
Total Common Stocks (identified cost $28,320,199) | $37,000,577 |
Short-Term Investments — 0.4% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.07%(3) | 149,157 | $ 149,157 | |
Total Short-Term Investments (identified cost $149,157) | $ 149,157 | ||
Total Investments — 99.9% (identified cost $28,469,356) | $37,149,734 | ||
Other Assets, Less Liabilities — 0.1% | $ 19,283 | ||
Net Assets — 100.0% | $37,169,017 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at June 30, 2021. The aggregate market value of securities on loan at June 30, 2021 was $609,514. |
(3) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2021. |
June 30, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $28,320,199) - including $609,514 of securities on loan | $ 37,000,577 |
Investments in securities of affiliated issuers, at value (identified cost $149,157) | 149,157 |
Receivable for investments sold | 198,051 |
Receivable for capital shares sold | 11,193 |
Dividends receivable | 17,376 |
Dividends receivable - affiliated | 12 |
Securities lending income receivable | 93 |
Directors' deferred compensation plan | 8,725 |
Total assets | $37,385,184 |
Liabilities | |
Due to custodian | $ 8 |
Payable for investments purchased | 154,098 |
Payable for capital shares redeemed | 450 |
Payable to affiliates: | |
Investment advisory fee | 19,720 |
Administrative fee | 3,641 |
Sub-transfer agency fee | 60 |
Directors' deferred compensation plan | 8,725 |
Accrued expenses | 29,465 |
Total liabilities | $ 216,167 |
Net Assets | $37,169,017 |
Sources of Net Assets | |
Paid-in capital | $ 23,051,724 |
Distributable earnings | 14,117,293 |
Total | $37,169,017 |
Net Assets | $ 37,169,017 |
Shares Outstanding | 987,329 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 37.65 |
Six Months Ended | |
June 30, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $600) | $ 137,647 |
Dividend income - affiliated issuers | 61 |
Securities lending income, net | 241 |
Total investment income | $ 137,949 |
Expenses | |
Investment advisory fee | $ 117,874 |
Administrative fee | 21,762 |
Directors' fees and expenses | 819 |
Custodian fees | 3,204 |
Transfer agency fees and expenses | 10,162 |
Accounting fees | 4,046 |
Professional fees | 12,832 |
Reports to shareholders | 193 |
Miscellaneous | 3,353 |
Total expenses | $ 174,245 |
Net investment loss | $ (36,296) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 3,911,455 |
Investment securities - affiliated issuers | (5) |
Foreign currency transactions | (383) |
Net realized gain | $3,911,067 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (290,568) |
Net change in unrealized appreciation (depreciation) | $ (290,568) |
Net realized and unrealized gain | $3,620,499 |
Net increase in net assets from operations | $3,584,203 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income (loss) | $ (36,296) | $ 84,852 |
Net realized gain | 3,911,067 | 1,524,988 |
Net change in unrealized appreciation (depreciation) | (290,568) | 2,076,521 |
Net increase in net assets from operations | $ 3,584,203 | $ 3,686,361 |
Distributions to shareholders | $ — | $ (2,484,214) |
Net decrease in net assets from capital share transactions | $ (2,288,006) | $ (1,395,328) |
Net increase (decrease) in net assets | $ 1,296,197 | $ (193,181) |
Net Assets | ||
At beginning of period | $ 35,872,820 | $ 36,066,001 |
At end of period | $37,169,017 | $35,872,820 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, | |||||
2020 | 2019 | 2018 | 2017 | 2016 | ||
Net asset value — Beginning of period | $ 34.10 | $ 32.89 | $ 27.48 | $ 31.96 | $ 28.82 | $ 31.01 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ (0.04) | $ 0.08 | $ 0.14 | $ 0.15 | $ 0.15 | $ 0.21 |
Net realized and unrealized gain (loss) | 3.59 | 3.63 | 8.21 | (1.09) | 3.20 | 2.05 |
Total income (loss) from operations | $ 3.55 | $ 3.71 | $ 8.35 | $ (0.94) | $ 3.35 | $ 2.26 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.14) | $ (0.15) | $ (0.18) | $ (0.21) | $ — |
From net realized gain | — | (2.36) | (2.79) | (3.36) | — | (4.45) |
Total distributions | $ — | $ (2.50) | $ (2.94) | $ (3.54) | $ (0.21) | $ (4.45) |
Net asset value — End of period | $ 37.65 | $ 34.10 | $ 32.89 | $ 27.48 | $ 31.96 | $ 28.82 |
Total Return(2) | 10.41% (3) | 12.24% | 31.36% | (4.43)% | 11.65% | 7.27% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $37,169 | $35,873 | $36,066 | $31,929 | $41,239 | $45,473 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.96% (5) | 0.99% | 1.00% | 1.01% | 1.04% | 1.07% |
Net expenses | 0.96% (5) | 0.99% | 0.99% | 0.99% | 0.99% | 0.99% |
Net investment income (loss) | (0.20)% (5) | 0.26% | 0.44% | 0.46% | 0.49% | 0.68% |
Portfolio Turnover | 44% (3) | 82% | 72% | 62% | 159% | 170% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 37,000,577(1) | $ — | $ — | $ 37,000,577 |
Short-Term Investments | — | 149,157 | — | 149,157 |
Total Investments | $37,000,577 | $149,157 | $ — | $37,149,734 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $28,549,511 |
Gross unrealized appreciation | $ 8,724,751 |
Gross unrealized depreciation | (124,528) |
Net unrealized appreciation | $ 8,600,223 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units, end of period |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $118,053 | $3,949,798 | $(3,918,689) | $(5) | $ — | $149,157 | $61 | 149,157 |
Six Months Ended June 30, 2021 (Unaudited) | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | 34,289 | $ 1,237,045 | 60,897 | $ 1,863,023 | |
Reinvestment of distributions | — | — | 82,150 | 2,484,214 | |
Shares redeemed | (98,913) | (3,525,051) | (187,494) | (5,742,565) | |
Net decrease | (64,624) | $(2,288,006) | (44,447) | $(1,395,328) |
Number of Shares(1) | ||||
For | Against | Abstain (2) | Broker Non-Votes(2) | |
985,399.484 | 44,333.744 | 8,772.368 | 0 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Vice President, Secretary and Chief Legal Officer |
James F. Kirchner Treasurer |
Directors |
Alice Gresham Bullock Chairperson |
Richard L. Baird, Jr. |
Cari M. Dominguez |
John G. Guffey, Jr. |
Miles D. Harper, III |
Joy V. Jones |
John H. Streur* |
Anthony A. Williams |
*Interested Director and President |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-368-2745 or email: CRMPrivacy@calvert.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Item 2. | Code of Ethics |
Not required in this filing.
Item 3. | Audit Committee Financial Expert |
Not required in this filing.
Item 4. | Principal Accountant Fees and Services |
Not required in this filing.
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Schedule of Investments |
Please see schedule of investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
No material changes.
Item 11. | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits |
(a)(1) | Registrant’s Code of Ethics- Not applicable (please see Item 2) | |
President’s Section 302 certification. | ||
Treasurer’s Section 302 certification. | ||
(a)(3) | Not applicable. | |
Change in Independent Public Accountant. | ||
Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calvert Variable Series, Inc. | ||
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | August 24, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | August 24, 2021 | |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | August 24, 2021 |