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 Services)
(202) 238-2200
(Registrant’s Telephone Number)
December 31
Date of Fiscal Year End
December 31, 2021
Date of Reporting Period
Item 1. Reports to Stockholders
% Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | One Year | Five Years | Ten Years |
Class I at NAV | 09/02/1986 | 09/02/1986 | 15.12% | 12.49% | 10.48% |
Class F at NAV | 10/18/2013 | 09/02/1986 | 14.72 | 12.07 | 10.18 |
Russell 1000® Index | — | — | 26.45% | 18.41% | 16.53% |
Bloomberg U.S. Aggregate Bond Index | — | — | (1.54) | 3.57 | 2.90 |
Balanced Blended Benchmark | — | — | 14.62 | 12.59 | 11.14 |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
0.63% | 0.88% |
Growth of Investment2 | Amount Invested | Period Beginning | At NAV | With Maximum Sales Charge |
Class F | $10,000 | 12/31/2011 | $26,395 | N.A. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
1 | Russell 1000® Index is an unmanaged index of 1,000 U.S. large-cap stocks. Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. The Balanced Blended Benchmark is an internally constructed benchmark which is comprised of a blend of 60% Russell 1000® Index and 40% Bloomberg U.S. Aggregate Bond Index, and is rebalanced monthly. Prior to 11/1/15, the fixed income component was the Bloomberg 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. | |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. The Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. Bloomberg U.S. Corporate Bond Index measures the performance of investment-grade U.S. corporate securities with a maturity of one year or more. Bloomberg U.S. Corporate High Yield Index measures USD-denominated, non-investment grade corporate securities. |
Beginning Account Value (7/1/21) | Ending Account Value (12/31/21) | Expenses Paid During Period* (7/1/21 – 12/31/21) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $1,058.70 | $3.27 | 0.63% |
Class F | $1,000.00 | $1,059.00 | $4.57 | 0.88% |
Hypothetical | ||||
(5% return per year before expenses) | ||||
Class I | $1,000.00 | $1,022.03 | $3.21 | 0.63% |
Class F | $1,000.00 | $1,020.77 | $4.48 | 0.88% |
* | 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 184/365 (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 June 30, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
Asset-Backed Securities — 6.6% |
Security | Principal Amount (000's omitted) | Value | |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 156 | $ 161,253 |
Affirm Asset Securitization Trust: | |||
Series 2020-A, Class A, 2.10%, 2/18/25(1) | 377 | 377,975 | |
Series 2021-A, Class A, 0.88%, 8/15/25(1) | 115 | 115,045 | |
Aligned Data Centers Issuer, LLC, Series 2021-1A, Class A2, 1.937%, 8/15/46(1) | 241 | 237,975 | |
Business Jet Securities, LLC, Series 2020-1A, Class A, 2.981%, 11/15/35(1) | 69 | 69,448 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 679 | 678,637 | |
Cologix Data Centers US Issuer, LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 600 | 604,012 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 350 | 350,369 | |
Conn's Receivables Funding, LLC: | |||
Series 2020-A, Class A, 1.71%, 6/16/25(1) | 21 | 20,679 | |
Series 2020-A, Class B, 4.27%, 6/16/25(1) | 85 | 85,446 | |
Series 2020-A, Class C, 4.20%, 6/16/25(1) | 52 | 52,092 | |
Series 2021-A, Class A, 1.05%, 5/15/26(1) | 771 | 770,951 | |
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 520 | 518,768 | |
Series 2021-A, Class C, 4.59%, 5/15/26(1) | 155 | 154,569 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 283 | 280,847 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 82 | 85,762 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 345 | 339,363 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 99 | 98,674 | |
Diamond Issuer, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 782 | 777,875 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 62 | 64,466 | |
ExteNet, LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/26/49(1) | 345 | 350,088 | |
Series 2019-1A, Class B, 4.14%, 7/26/49(1) | 55 | 56,050 | |
FOCUS Brands Funding, LLC: | |||
Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) | 563 | 572,150 | |
Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 172 | 181,663 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 255 | 254,969 | |
Hardee's Funding, LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 178 | 187,270 | |
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 402 | 405,386 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 281 | 296,327 |
Security | Principal Amount (000's omitted) | Value | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | $ | 400 | $ 397,998 |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 347 | 345,263 | |
Loanpal Solar Loan, Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 91 | 83,865 | |
Marlette Funding Trust: | |||
Series 2020-2A, Class B, 1.83%, 9/16/30(1) | 119 | 119,026 | |
Series 2021-1A, Class A, 0.60%, 6/16/31(1) | 45 | 45,292 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 230 | 246,848 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 581 | 593,076 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 64 | 64,035 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 64 | 65,877 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 116 | 112,772 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 137 | 137,407 | |
Series 2021-1A, Class A, 1.51%, 12/20/46(1) | 232 | 225,885 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 388 | 391,321 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 790 | 789,974 | |
OneMain Financial Issuance Trust: | |||
Series 2016-3A, Class A, 3.83%, 6/18/31(1) | 103 | 103,282 | |
Series 2018-1A, Class A, 3.30%, 3/14/29(1) | 151 | 151,029 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 100 | 99,809 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 361 | 358,994 | |
Series 2021-B, Class C, 3.65%, 5/8/31(1) | 100 | 100,190 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 1,850 | 1,840,140 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 220 | 218,460 | |
Pagaya AI Debt Selection Trust: | |||
Series 2020-3, Class B, 3.22%, 5/17/27(1) | 125 | 126,590 | |
Series 2021-2, 3.00%, 1/25/29(1) | 548 | 547,867 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 1,225 | 1,219,659 | |
Series 2021-5, Class A, 1.53%, 8/15/29(1) | 824 | 824,499 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 238 | 237,062 | |
Planet Fitness Master Issuer, LLC: | |||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 489 | 490,473 | |
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 274 | 282,596 | |
Prosper Marketplace Issuance Trust, Series 2019-4A, Class C, 4.95%, 2/17/26(1) | 100 | 100,999 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 160 | 159,112 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 181 | 182,660 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 931 | 955,244 | |
Small Business Lending Trust, Series 2020-A, Class A, 2.62%, 12/15/26(1) | 19 | 19,320 |
Security | Principal Amount (000's omitted) | Value | |
Sofi Consumer Loan Program Trust, Series 2018-1, Class C, 3.97%, 2/25/27(1) | $ | 100 | $ 100,898 |
SolarCity LMC Series I, LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 250 | 249,631 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 515 | 535,590 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 342 | 340,891 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 2,144 | 2,223,964 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 200 | 204,049 | |
Sunnova Helios II Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 322 | 317,604 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 564 | 565,015 | |
Sunnova Sol Issuer, LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 100 | 102,956 | |
Sunrun Atlas Issuer, LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 209 | 218,959 | |
Sunrun Callisto Issuer, LLC, Series 2015-1A, Class B, 5.38%, 7/20/45(1) | 297 | 293,565 | |
Sunrun Demeter Issuer, LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 265 | 263,976 | |
Sunrun Xanadu Issuer, LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 175 | 184,327 | |
TES, LLC, Series 2017-1A, Class A, 4.33%, 10/20/47(1) | 365 | 381,852 | |
Tesla Auto Lease Trust, Series 2019-A, Class A3, 2.16%, 10/20/22(1) | 757 | 760,443 | |
Theorem Funding Trust: | |||
Series 2020-1A, Class B, 3.95%, 10/15/26(1) | 184 | 186,421 | |
Series 2021-1A, Class A, 1.21%, 12/15/27(1) | 560 | 559,217 | |
Series 2021-1A, Class B, 1.84%, 12/15/27(1) | 100 | 98,904 | |
United States Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 508 | 538,537 | |
Upstart Securitization Trust, Series 2021-2, Class A, 0.91%, 6/20/31(1) | 536 | 534,971 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2018-2A, Class A2, 4.196%, 11/16/43(1) | 77 | 79,524 | |
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 293 | 299,555 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 570 | 560,026 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 224 | 223,644 | |
Vivint Solar Financing VII, LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 394 | 387,168 | |
Willis Engine Structured Trust V, Series 2020-A, Class B, 4.212%, 3/15/45(1) | 226 | 210,509 | |
Total Asset-Backed Securities (identified cost $30,036,835) | $ 30,206,929 |
Collateralized Mortgage Obligations — 1.8% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2020-4A, Class M2A, 2.702%, (1 mo. USD LIBOR + 2.60%), 6/25/30(1)(2) | $ | 10 | $ 9,836 |
Series 2021-1A, Class M1A, 1.80%, (30-day average SOFR + 1.75%), 3/25/31(1)(2) | 150 | 150,708 | |
Series 2021-1A, Class M1B, 2.25%, (30-day average SOFR + 2.20%), 3/25/31(1)(2) | 155 | 156,599 | |
Series 2021-1A, Class M1C, 3.00%, (30-day average SOFR + 2.95%), 3/25/31(1)(2) | 150 | 154,538 | |
Series 2021-2A, Class M1A, 1.25%, (30-day average SOFR + 1.20%), 6/25/31(1)(2) | 533 | 532,190 | |
Series 2021-3A, Class A2, 1.05%, (30-day average SOFR + 1.00%), 9/25/31(1)(2) | 215 | 213,967 | |
Series 2021-3A, Class M1B, 1.45%, (30-day average SOFR + 1.40%), 9/25/31(1)(2) | 170 | 169,355 | |
Eagle Re, Ltd.: | |||
Series 2021-1, Class M1A, 1.75%, (30-day average SOFR + 1.70%), 10/25/33(1)(2) | 315 | 315,703 | |
Series 2021-2, Class M1C, 3.50%, (30-day average SOFR + 3.45%), 4/25/34(1)(2) | 150 | 150,666 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2015-HQ2, Class M3, 3.353%, (1 mo. USD LIBOR + 3.25%), 5/25/25(2) | 172 | 174,774 | |
Series 2018-DNA1, Class M2, 1.903%, (1 mo. USD LIBOR + 1.80%), 7/25/30(2) | 242 | 243,529 | |
Series 2018-DNA1, Class M2AT, 1.153%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2) | 276 | 276,420 | |
Series 2019-DNA2, Class M2, 2.553%, (1 mo. USD LIBOR + 2.45%), 3/25/49(1)(2) | 67 | 68,245 | |
Series 2019-DNA3, Class B2, 8.253%, (1 mo. USD LIBOR + 8.15%), 7/25/49(1)(2) | 85 | 90,197 | |
Series 2019-DNA3, Class M2, 2.153%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2) | 735 | 741,608 | |
Series 2019-DNA4, Class M2, 2.053%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(2) | 85 | 85,382 | |
Series 2019-HQA2, Class B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 4/25/49(1)(2) | 55 | 56,368 | |
Series 2019-HQA4, Class B1, 3.053%, (1 mo. USD LIBOR + 2.95%), 11/25/49(1)(2) | 20 | 20,156 | |
Series 2020-DNA4, Class M2, 3.853%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | 10 | 9,517 | |
Series 2020-DNA5, Class M2, 2.85%, (30-day average SOFR + 2.80%), 10/25/50(1)(2) | 92 | 92,992 | |
Series 2020-DNA6, Class B1, 3.05%, (30-day average SOFR + 3.00%), 12/25/50(1)(2) | 25 | 25,351 | |
Series 2020-DNA6, Class M2, 2.05%, (30-day average SOFR + 2.00%), 12/25/50(1)(2) | 280 | 281,863 | |
Series 2020-HQA2, Class B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 3/25/50(1)(2) | 41 | 42,475 | |
Series 2021-DNA3, Class M1, 0.80%, (30-day average SOFR + 0.75%), 10/25/33(1)(2) | 222 | 222,202 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 5.353%, (1 mo. USD LIBOR + 5.25%), 10/25/23(2) | $ | 142 | $ 147,479 |
Series 2014-C02, Class 2M2, 2.703%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 60 | 61,012 | |
Series 2014-C03, Class 2M2, 3.003%, (1 mo. USD LIBOR + 2.90%), 7/25/24(2) | 92 | 93,834 | |
Series 2014-C04, Class 1M2, 5.003%, (1 mo. USD LIBOR + 4.90%), 11/25/24(2) | 241 | 250,773 | |
Series 2018-C06, Class 1M2, 2.103%, (1 mo. USD LIBOR + 2.00%), 3/25/31(2) | 22 | 22,625 | |
Series 2018-R07, Class 1M2, 2.502%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2) | 106 | 107,064 | |
Series 2019-R01, Class 2B1, 4.453%, (1 mo. USD LIBOR + 4.35%), 7/25/31(1)(2) | 55 | 56,648 | |
Series 2019-R02, Class 1B1, 4.253%, (1 mo. USD LIBOR + 4.15%), 8/25/31(1)(2) | 55 | 56,468 | |
Series 2019-R02, Class 1M2, 2.403%, (1 mo. USD LIBOR + 2.30%), 8/25/31(1)(2) | 9 | 8,809 | |
Series 2019-R03, Class 1B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 9/25/31(1)(2) | 55 | 56,525 | |
Series 2019-R05, Class 1B1, 4.203%, (1 mo. USD LIBOR + 4.10%), 7/25/39(1)(2) | 91 | 92,673 | |
Series 2019-R05, Class 1M2, 2.103%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(2) | 9 | 8,859 | |
Series 2019-R06, Class 2B1, 3.852%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(2) | 267 | 270,990 | |
Series 2019-R07, Class 1B1, 3.503%, (1 mo. USD LIBOR + 3.40%), 10/25/39(1)(2) | 88 | 89,290 | |
Series 2020-R02, Class 2B1, 3.103%, (1 mo. USD LIBOR + 3.00%), 1/25/40(1)(2) | 405 | 407,681 | |
Series 2021-R01, Class 1B2, 6.05%, (30-day average SOFR + 6.00%), 10/25/41(1)(2) | 48 | 48,648 | |
Series 2021-R02, Class 2B1, 3.35%, (30-day average SOFR + 3.30%), 11/25/41(1)(2) | 12 | 12,333 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 274 | 289,660 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(3) | 100 | 99,401 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(3) | 420 | 417,621 | |
Home Re, Ltd.: | |||
Series 2018-1, Class M2, 3.102%, (1 mo. USD LIBOR + 3.00%), 10/25/28(1)(2) | 344 | 347,133 | |
Series 2021-1, Class M1B, 1.652%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(2) | 265 | 264,207 | |
Series 2021-1, Class M2, 2.952%, (1 mo. USD LIBOR + 2.85%), 7/25/33(1)(2) | 150 | 146,602 | |
Oaktown Re V, Ltd., Series 2020-2A, Class M1B, 3.702%, (1 mo. USD LIBOR + 3.60%), 10/25/30(1)(2) | 138 | 139,765 |
Security | Principal Amount (000's omitted) | Value | |
Toorak Mortgage Corp., Ltd., Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(4) | $ | 250 | $ 250,635 |
Total Collateralized Mortgage Obligations (identified cost $8,001,849) | $ 8,031,376 |
Commercial Mortgage-Backed Securities — 4.2% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.719%, 11/5/32(1)(3) | $ | 695 | $ 670,671 |
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(3) | 325 | 304,620 | |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(3) | 485 | 389,287 | |
BBCMS Mortgage Trust, Series 2018-RRI, Class F, 4.759%, (1 mo. USD LIBOR + 4.65%), 2/15/33(1)(2) | 100 | 100,457 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 1.026%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(2) | 580 | 580,484 | |
Series 2019-XL, Class B, 1.186%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(2) | 280 | 280,430 | |
Series 2021-VOLT, Class B, 1.059%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(2) | 666 | 661,736 | |
Series 2021-VOLT, Class C, 1.209%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(2) | 204 | 201,802 | |
Series 2021-VOLT, Class D, 1.759%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(2) | 702 | 697,961 | |
CGMS Commercial Mortgage Trust, Series 2017-MDRC, Class D, 2.36%, (1 mo. USD LIBOR + 2.25%), 7/15/30(1)(2) | 235 | 230,822 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 1.19%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(2) | 231 | 231,151 | |
Series 2021-ESH, Class C, 1.81%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(2) | 597 | 598,058 | |
Series 2021-ESH, Class D, 2.36%, (1 mo. USD LIBOR + 2.25%), 7/15/38(1)(2) | 201 | 201,258 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 1,440 | 1,503,107 | |
Series KG03, Class A2, 1.297%, 6/25/30(3) | 305 | 294,053 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 278 | 272,236 | |
Series KW06, Class A2, 3.80%, 6/25/28(3) | 530 | 594,902 | |
Series W5FX, Class AFX, 3.214%, 4/25/28(3) | 192 | 208,654 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 2.926%, 9/25/27(3) | 595 | 636,422 | |
Series 2018-M4, Class A2, 3.059%, 3/25/28(3) | 1,027 | 1,113,076 | |
Series 2018-M13, Class A2, 3.709%, 9/25/30(3) | 1,680 | 1,926,342 | |
Series 2019-M1, Class A2, 3.552%, 9/25/28(3) | 458 | 511,049 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 963 | 1,014,753 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 2020-M20, Class A2, 1.435%, 10/25/29 | $ | 605 | $ 591,871 |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M7, 1.802%, (1 mo. USD LIBOR + 1.70%), 10/15/49(1)(2) | 253 | 251,907 | |
Series 2019-01, Class M10, 3.352%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2) | 162 | 160,381 | |
Series 2020-01, Class M10, 3.852%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | 504 | 512,832 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 1.259%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(2) | 588 | 588,814 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 300 | 88,200 | |
Series 2014-DSTY, Class C, 3.805%, 6/10/27(1)(3) | 100 | 16,800 | |
Morgan Stanley Capital I Trust: | |||
Series 2017-CLS, Class A, 0.81%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(2)(5) | 685 | 685,150 | |
Series 2017-CLS, Class E, 2.06%, (1 mo. USD LIBOR + 1.95%), 11/15/34(1)(2)(5) | 79 | 78,896 | |
Series 2017-CLS, Class F, 2.71%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1)(2)(5) | 169 | 168,469 | |
Series 2019-BPR, Class A, 1.51%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(2)(5) | 539 | 533,095 | |
Series 2019-BPR, Class B, 2.21%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1)(2)(5) | 187 | 178,500 | |
Series 2019-BPR, Class C, 3.16%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2)(5) | 100 | 91,069 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 618 | 633,984 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 1.753%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(2) | 522 | 523,416 | |
Series 2021-HT1, Class B, 4.603%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(2) | 753 | 753,890 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.755%, 8/10/31(1)(3) | 450 | 406,874 | |
Total Commercial Mortgage-Backed Securities (identified cost $19,421,985) | $ 19,487,479 |
Common Stocks — 63.6% |
Security | Shares | Value | |
Auto Components — 1.1% | |||
Aptiv PLC(6) | 30,500 | $ 5,030,975 | |
$ 5,030,975 | |||
Automobiles — 0.6% | |||
Tesla, Inc.(6) | 2,500 | $ 2,641,950 | |
$ 2,641,950 |
Security | Shares | Value | |
Banks — 2.9% | |||
PNC Financial Services Group, Inc. (The) | 32,200 | $ 6,456,744 | |
Wells Fargo & Co. | 146,400 | 7,024,272 | |
$ 13,481,016 | |||
Beverages — 2.3% | |||
Coca-Cola Co. (The) | 92,200 | $ 5,459,162 | |
Coca-Cola Europacific Partners PLC | 89,100 | 4,983,363 | |
$ 10,442,525 | |||
Biotechnology — 2.1% | |||
AbbVie, Inc. | 52,500 | $ 7,108,500 | |
Neurocrine Biosciences, Inc.(6) | 31,600 | 2,691,372 | |
$ 9,799,872 | |||
Building Products — 0.7% | |||
AZEK Co., Inc. (The)(6) | 71,300 | $ 3,296,912 | |
$ 3,296,912 | |||
Capital Markets — 4.9% | |||
Goldman Sachs Group, Inc. (The) | 10,900 | $ 4,169,795 | |
Intercontinental Exchange, Inc. | 39,500 | 5,402,415 | |
S&P Global, Inc. | 14,500 | 6,842,985 | |
Tradeweb Markets, Inc., Class A | 61,103 | 6,118,855 | |
$ 22,534,050 | |||
Commercial Services & Supplies — 0.8% | |||
Waste Management, Inc. | 22,116 | $ 3,691,161 | |
$ 3,691,161 | |||
Containers & Packaging — 0.7% | |||
AptarGroup, Inc. | 25,900 | $ 3,172,232 | |
$ 3,172,232 | |||
Electric Utilities — 1.1% | |||
NextEra Energy, Inc. | 52,800 | $ 4,929,408 | |
$ 4,929,408 | |||
Electrical Equipment — 0.8% | |||
AMETEK, Inc. | 26,100 | $ 3,837,744 | |
$ 3,837,744 | |||
Electronic Equipment, Instruments & Components — 0.9% | |||
TE Connectivity, Ltd. | 27,100 | $ 4,372,314 | |
$ 4,372,314 |
Security | Shares | Value | |
Energy Equipment & Services — 1.3% | |||
Baker Hughes Co. | 245,800 | $ 5,913,948 | |
$ 5,913,948 | |||
Entertainment — 0.8% | |||
Walt Disney Co. (The)(6) | 23,700 | $ 3,670,893 | |
$ 3,670,893 | |||
Equity Real Estate Investment Trusts (REITs) — 1.9% | |||
EastGroup Properties, Inc. | 16,500 | $ 3,759,525 | |
Lamar Advertising Co., Class A | 40,100 | 4,864,130 | |
$ 8,623,655 | |||
Food & Staples Retailing — 1.2% | |||
Sysco Corp. | 68,000 | $ 5,341,400 | |
$ 5,341,400 | |||
Health Care Equipment & Supplies — 1.3% | |||
Boston Scientific Corp.(6) | 89,900 | $ 3,818,952 | |
Teleflex, Inc. | 6,600 | 2,167,968 | |
$ 5,986,920 | |||
Health Care Providers & Services — 1.2% | |||
Anthem, Inc. | 11,800 | $ 5,469,772 | |
$ 5,469,772 | |||
Hotels, Restaurants & Leisure — 0.9% | |||
Marriott International, Inc., Class A(6) | 24,200 | $ 3,998,808 | |
$ 3,998,808 | |||
Interactive Media & Services — 4.5% | |||
Alphabet, Inc., Class C(6) | 5,790 | $ 16,753,886 | |
Match Group, Inc.(6) | 29,772 | 3,937,347 | |
$ 20,691,233 | |||
Internet & Direct Marketing Retail — 3.5% | |||
Amazon.com, Inc.(6) | 4,829 | $ 16,101,528 | |
$ 16,101,528 | |||
IT Services — 2.5% | |||
Automatic Data Processing, Inc. | 21,600 | $ 5,326,128 | |
Visa, Inc., Class A | 28,700 | 6,219,577 | |
$ 11,545,705 | |||
Life Sciences Tools & Services — 2.6% | |||
Danaher Corp. | 18,600 | $ 6,119,586 |
Security | Shares | Value | |
Life Sciences Tools & Services (continued) | |||
Thermo Fisher Scientific, Inc. | 9,018 | $ 6,017,170 | |
$ 12,136,756 | |||
Machinery — 0.8% | |||
Stanley Black & Decker, Inc. | 18,600 | $ 3,508,332 | |
$ 3,508,332 | |||
Pharmaceuticals — 2.3% | |||
Eli Lilly & Co. | 17,400 | $ 4,806,228 | |
Pfizer, Inc. | 34,000 | 2,007,700 | |
Zoetis, Inc. | 14,700 | 3,587,241 | |
$ 10,401,169 | |||
Professional Services — 1.5% | |||
Booz Allen Hamilton Holding Corp. | 39,500 | $ 3,349,205 | |
Clarivate PLC(6)(7) | 147,600 | 3,471,552 | |
$ 6,820,757 | |||
Road & Rail — 1.0% | |||
Union Pacific Corp. | 18,700 | $ 4,711,091 | |
$ 4,711,091 | |||
Semiconductors & Semiconductor Equipment — 4.2% | |||
Analog Devices, Inc. | 32,200 | $ 5,659,794 | |
Lam Research Corp. | 5,700 | 4,099,155 | |
NVIDIA Corp. | 8,900 | 2,617,579 | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 24,200 | 2,911,502 | |
Texas Instruments, Inc. | 22,351 | 4,212,493 | |
$ 19,500,523 | |||
Software — 6.6% | |||
Bill.com Holdings, Inc.(6) | 10,900 | $ 2,715,735 | |
Intuit, Inc. | 8,452 | 5,436,495 | |
Microsoft Corp. | 66,093 | 22,228,398 | |
$ 30,380,628 | |||
Specialty Retail — 1.2% | |||
TJX Cos., Inc. (The) | 70,400 | $ 5,344,768 | |
$ 5,344,768 | |||
Technology Hardware, Storage & Peripherals — 4.0% | |||
Apple, Inc. | 103,188 | $ 18,323,093 | |
$ 18,323,093 |
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods — 0.6% | |||
Deckers Outdoor Corp.(6) | 7,100 | $ 2,600,801 | |
$ 2,600,801 | |||
Wireless Telecommunication Services — 0.8% | |||
T-Mobile US, Inc.(6) | 30,630 | $ 3,552,467 | |
$ 3,552,467 | |||
Total Common Stocks (identified cost $184,157,769) | $291,854,406 |
Convertible Bonds — 0.0%(8) |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.0%(8) | |||
ams AG, 0.875%, 9/28/22(9) | $ | 200 | $ 197,111 |
Total Convertible Bonds (identified cost $197,575) | $ 197,111 |
Corporate Bonds — 16.1% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.0%(8) | |||
WR Grace Holdings, LLC, 5.625%, 8/15/29(1) | $ | 50 | $ 51,313 |
$ 51,313 | |||
Communications — 1.4% | |||
AT&T, Inc.: | |||
2.30%, 6/1/27 | $ | 1 | $ 1,018 |
3.10%, 2/1/43 | 40 | 38,968 | |
3.50%, 9/15/53 | 44 | 44,474 | |
3.65%, 6/1/51 | 1,174 | 1,218,508 | |
3.65%, 9/15/59 | 53 | 53,628 | |
3.80%, 12/1/57 | 266 | 277,554 | |
4.90%, 6/15/42 | 300 | 362,178 | |
CCO Holdings, LLC/CCO Holdings Capital Corp., 5.00%, 2/1/28(1) | 124 | 129,208 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 1,105 | 1,240,230 | |
Comcast Corp.: | |||
2.887%, 11/1/51(1) | 446 | 432,531 | |
2.937%, 11/1/56(1) | 98 | 93,604 | |
Level 3 Financing, Inc., 3.75%, 7/15/29(1) | 35 | 33,307 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 123 | 149,482 |
Security | Principal Amount (000's omitted) | Value | |
Communications (continued) | |||
Nokia Oyj: | |||
4.375%, 6/12/27 | $ | 347 | $ 375,182 |
6.625%, 5/15/39 | 395 | 547,126 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 185 | 211,935 | |
SES S.A., 5.30%, 4/4/43(1) | 109 | 125,151 | |
Sprint Corp., 7.875%, 9/15/23 | 79 | 87,115 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26(7) | 23 | 23,093 | |
2.25%, 11/15/31(7) | 64 | 62,172 | |
2.55%, 2/15/31 | 147 | 146,378 | |
2.625%, 4/15/26 | 558 | 561,518 | |
4.50%, 4/15/50 | 280 | 328,186 | |
$ 6,542,546 | |||
Consumer, Cyclical — 1.2% | |||
7-Eleven, Inc., 0.80%, 2/10/24(1) | $ | 214 | $ 211,655 |
American Airlines Pass-Through Trust: | |||
4.40%, 9/22/23 | 100 | 98,219 | |
5.25%, 1/15/24 | 156 | 154,783 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 693 | 721,711 | |
5.75%, 4/20/29(1) | 21 | 22,486 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 87 | 92,852 | |
Delta Air Lines, Inc., 3.625%, 3/15/22 | 209 | 209,008 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 460 | 502,680 | |
Ford Motor Credit Co., LLC: | |||
1.221%, (3 mo. USD LIBOR + 1.08%), 8/3/22(2) | 250 | 250,454 | |
2.979%, 8/3/22 | 777 | 781,961 | |
3.087%, 1/9/23 | 200 | 203,644 | |
3.375%, 11/13/25 | 200 | 208,047 | |
4.14%, 2/15/23 | 200 | 205,010 | |
Hyatt Hotels Corp.: | |||
1.30%, 10/1/23 | 149 | 149,051 | |
1.80%, 10/1/24 | 61 | 61,065 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 407 | 416,168 | |
4.375%, 1/15/31(1) | 65 | 69,481 | |
Macy's Retail Holdings, LLC: | |||
2.875%, 2/15/23 | 252 | 254,849 | |
3.625%, 6/1/24 | 39 | 39,919 | |
4.30%, 2/15/43 | 30 | 26,369 | |
MDC Holdings, Inc., 2.50%, 1/15/31(7) | 61 | 59,089 | |
Nordstrom, Inc.: | |||
4.25%, 8/1/31(7) | 218 | 214,516 | |
4.375%, 4/1/30(7) | 268 | 270,760 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Cyclical (continued) | |||
Nordstrom, Inc.: (continued) | |||
5.00%, 1/15/44(7) | $ | 371 | $ 346,536 |
Powdr Corp., 6.00%, 8/1/25(1) | 92 | 95,951 | |
$ 5,666,264 | |||
Consumer, Non-cyclical — 1.5% | |||
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | $ | 200 | $ 209,097 |
4.25%, 11/1/29(1) | 384 | 409,810 | |
Avantor Funding, Inc., 4.625%, 7/15/28(1) | 372 | 388,429 | |
Avon Products, Inc., 8.45%, 3/15/43 | 33 | 40,636 | |
Block Financial, LLC, 3.875%, 8/15/30 | 575 | 615,894 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 442 | 431,030 | |
3.375%, 2/15/30 | 199 | 202,991 | |
4.25%, 12/15/27 | 257 | 268,367 | |
4.625%, 12/15/29 | 36 | 38,887 | |
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | 221 | 216,727 | |
Coca-Cola Femsa SAB de CV, 1.85%, 9/1/32 | 255 | 240,678 | |
Conservation Fund (The), Green Bonds, 3.474%, 12/15/29 | 285 | 301,100 | |
CVS Health Corp., 3.00%, 8/15/26 | 415 | 438,674 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 324 | 369,851 | |
Doris Duke Charitable Foundation (The), 2.345%, 7/1/50 | 678 | 627,455 | |
Ford Foundation (The), 2.415%, 6/1/50 | 435 | 412,219 | |
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 491 | 576,213 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 288 | 283,067 | |
Royalty Pharma PLC, 3.35%, 9/2/51 | 431 | 413,276 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1)(7) | 323 | 312,863 | |
3.00%, 10/15/30(1) | 77 | 76,777 | |
5.20%, 4/1/29(1) | 45 | 51,445 | |
$ 6,925,486 | |||
Energy — 0.4% | |||
NuStar Logistics, L.P.: | |||
5.75%, 10/1/25 | $ | 46 | $ 49,548 |
6.00%, 6/1/26 | 439 | 476,774 | |
6.375%, 10/1/30 | 137 | 152,279 | |
TerraForm Power Operating, LLC: | |||
4.75%, 1/15/30(1) | 486 | 510,242 | |
5.00%, 1/31/28(1) | 743 | 788,044 | |
$ 1,976,887 | |||
Financial — 7.2% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
4.50%, 9/15/23 | $ | 291 | $ 305,334 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: (continued) | |||
6.50%, 7/15/25 | $ | 175 | $ 200,119 |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 401 | 424,729 | |
Agree, L.P., 2.00%, 6/15/28 | 122 | 119,612 | |
Air Lease Corp., 2.875%, 1/15/26 | 355 | 366,512 | |
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 420 | 428,988 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 50 | 51,927 | |
American Assets Trust, L.P., 3.375%, 2/1/31 | 84 | 85,867 | |
Andrew W. Mellon Foundation (The), 0.947%, 8/1/27 | 335 | 325,211 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(10) | 458 | 469,619 | |
Banco BTG Pactual S.A./Cayman Islands, 4.50%, 1/10/25(1) | 275 | 277,739 | |
Banco de Chile, 2.99%, 12/9/31(1) | 289 | 285,354 | |
Banco Santander S.A., 1.722% to 9/14/26, 9/14/27(10) | 400 | 392,947 | |
Bank of America Corp.: | |||
1.53% to 12/6/24, 12/6/25(10) | 700 | 701,591 | |
1.734% to 7/22/26, 7/22/27(10) | 830 | 824,413 | |
1.898% to 7/23/30, 7/23/31(10) | 472 | 452,247 | |
1.922% to 10/24/30, 10/24/31(10) | 533 | 510,913 | |
2.087% to 6/14/28, 6/14/29(10) | 379 | 376,624 | |
2.299% to 7/21/31, 7/21/32(10) | 500 | 492,139 | |
2.456% to 10/22/24, 10/22/25(10) | 949 | 975,307 | |
2.572% to 10/20/31, 10/20/32(10) | 451 | 453,495 | |
Bank of Montreal, 2.05%, 11/1/22(7) | 699 | 708,247 | |
Bank of Nova Scotia (The), 2.375%, 1/18/23 | 478 | 486,320 | |
BankUnited, Inc., 5.125%, 6/11/30 | 147 | 167,608 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 262 | 260,049 | |
5.125% to 1/18/28, 1/18/33(1)(7)(10) | 500 | 513,932 | |
Boston Properties, L.P., 2.45%, 10/1/33 | 750 | 727,259 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 24 | 23,322 | |
Capital One Financial Corp.: | |||
3.30%, 10/30/24 | 209 | 220,107 | |
3.75%, 7/28/26 | 122 | 130,966 | |
4.20%, 10/29/25 | 190 | 207,150 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 477 | 489,987 | |
4.10%, 6/15/51(7) | 269 | 292,208 | |
Citigroup, Inc.: | |||
0.776% to 10/30/23, 10/30/24(10) | 630 | 626,513 | |
1.281% to 11/3/24, 11/3/25(10) | 228 | 227,530 | |
1.678% to 5/15/23, 5/15/24(10) | 618 | 625,052 | |
3.106% to 4/8/25, 4/8/26(10) | 285 | 298,970 | |
3.887% to 1/10/27, 1/10/28(10) | 486 | 527,188 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Citigroup, Inc.: (continued) | |||
4.00% to 12/10/25(10)(11) | $ | 310 | $ 313,100 |
Corporate Office Properties L.P., 2.90%, 12/1/33 | 226 | 221,196 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(10) | 270 | 282,276 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 461 | 504,106 | |
EPR Properties, 3.75%, 8/15/29 | 457 | 461,686 | |
Extra Space Storage, L.P., 2.55%, 6/1/31 | 293 | 288,674 | |
Goldman Sachs Group, Inc. (The): | |||
1.948% to 10/21/26, 10/21/27(10) | 531 | 528,906 | |
2.65% to 10/21/31, 10/21/32(10) | 571 | 575,145 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 585 | 591,634 | |
6.00%, 4/15/25(1) | 283 | 294,603 | |
HSBC Holdings PLC, 2.251% to 11/22/26, 11/22/27(10) | 508 | 509,357 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 449 | 454,612 | |
5.00%, 7/15/28(1) | 161 | 165,670 | |
JPMorgan Chase & Co.: | |||
0.63%, (SOFR + 0.58%), 3/16/24(2) | 69 | 69,152 | |
1.47% to 9/22/26, 9/22/27(10) | 618 | 606,054 | |
2.522% to 4/22/30, 4/22/31(10) | 530 | 536,262 | |
2.739% to 10/15/29, 10/15/30(10) | 185 | 190,276 | |
2.956% to 5/13/30, 5/13/31(10) | 361 | 374,165 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 301 | 324,090 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 109 | 108,895 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(10) | 198 | 197,797 | |
Life Storage, L.P., 2.40%, 10/15/31 | 382 | 375,904 | |
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(10) | 356 | 363,192 | |
Macquarie Bank, Ltd.: | |||
3.052% to 3/3/31, 3/3/36(1)(10) | 630 | 621,837 | |
3.624%, 6/3/30(1) | 255 | 266,355 | |
National Australia Bank, Ltd., 3.625%, 6/20/23 | 275 | 286,368 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(10) | 301 | 297,625 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 134 | 143,514 | |
OneMain Finance Corp.: | |||
3.50%, 1/15/27 | 434 | 429,653 | |
7.125%, 3/15/26 | 71 | 81,045 | |
PNC Financial Services Group, Inc. (The), 2.20%, 11/1/24 | 875 | 898,961 | |
Primerica, Inc., 2.80%, 11/19/31 | 223 | 225,654 | |
Radian Group, Inc.: | |||
4.875%, 3/15/27 | 526 | 564,957 | |
6.625%, 3/15/25 | 37 | 40,929 | |
Sabra Health Care, L.P., 3.20%, 12/1/31(7) | 465 | 454,923 | |
SITE Centers Corp., 3.625%, 2/1/25 | 259 | 271,378 | |
Societe Generale S.A., 4.75% to 5/26/26(1)(10)(11) | 200 | 203,582 |
Security | Principal Amount (000's omitted) | Value | |
Financial (continued) | |||
Standard Chartered PLC: | |||
1.214% to 3/23/24, 3/23/25(1)(10) | $ | 200 | $ 198,443 |
1.456% to 1/14/26, 1/14/27(1)(10) | 226 | 219,073 | |
1.822% to 11/23/24, 11/23/25(1)(10) | 236 | 235,866 | |
Stewart Information Services Corp., 3.60%, 11/15/31 | 396 | 401,406 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 266 | 292,025 | |
Sun Communities Operating, L.P.: | |||
2.30%, 11/1/28 | 141 | 140,938 | |
2.70%, 7/15/31 | 112 | 111,212 | |
Synovus Bank/Columbus, GA: | |||
2.289% to 2/10/22, 2/10/23(10) | 529 | 529,427 | |
4.00% to 10/29/25, 10/29/30(10) | 250 | 260,598 | |
Synovus Financial Corp.: | |||
3.125%, 11/1/22 | 156 | 158,546 | |
5.90% to 2/7/24, 2/7/29(10) | 35 | 37,428 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(10) | 240 | 248,267 | |
Truist Financial Corp.: | |||
1.267% to 3/2/26, 3/2/27(10) | 83 | 81,477 | |
5.10% to 3/1/30(7)(10)(11) | 409 | 458,080 | |
UBS AG, 1.25%, 6/1/26(1) | 331 | 323,630 | |
UBS Group AG: | |||
2.095% to 2/11/31, 2/11/32(1)(10) | 359 | 347,790 | |
4.375% to 2/10/31(1)(10)(11) | 219 | 216,876 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(10) | 200 | 218,133 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(10) | 223 | 220,685 | |
$ 32,876,528 | |||
Government - Multinational — 1.7% | |||
Asian Development Bank, 3.125%, 9/26/28 | $ | 540 | $ 604,723 |
European Bank for Reconstruction & Development, 1.50%, 2/13/25 | 475 | 481,087 | |
European Investment Bank: | |||
1.625%, 5/13/31(7) | 925 | 931,790 | |
2.375%, 5/24/27 | 1,026 | 1,078,022 | |
2.875%, 6/13/25(1) | 1,892 | 2,004,042 | |
Inter-American Development Bank, 0.875%, 4/3/25 | 377 | 374,296 | |
International Bank for Reconstruction & Development: | |||
0.18%, (SOFR + 0.13%), 1/13/23(2) | 621 | 621,385 | |
3.125%, 11/20/25 | 1,200 | 1,284,940 | |
International Finance Corp., 0.14%, (SOFR + 0.09%), 4/3/24(2) | 246 | 245,999 | |
$ 7,626,284 |
Security | Principal Amount (000's omitted) | Value | |
Government - Regional — 0.2% | |||
Kommuninvest I Sverige AB, 0.375%, 6/19/24(1) | $ | 720 | $ 709,918 |
$ 709,918 | |||
Industrial — 0.7% | |||
FedEx Corp., 4.55%, 4/1/46 | $ | 290 | $ 348,371 |
Hexcel Corp., 4.20%, 2/15/27 | 65 | 69,841 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 249 | 255,938 | |
Jabil, Inc.: | |||
3.00%, 1/15/31 | 881 | 906,399 | |
3.60%, 1/15/30 | 493 | 531,284 | |
Owens Corning, 3.95%, 8/15/29 | 631 | 692,002 | |
Valmont Industries, Inc.: | |||
5.00%, 10/1/44 | 55 | 68,146 | |
5.25%, 10/1/54 | 340 | 434,858 | |
$ 3,306,839 | |||
Other Revenue — 0.1% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 675 | $ 699,145 |
$ 699,145 | |||
Technology — 0.5% | |||
DXC Technology Co., 2.375%, 9/15/28 | $ | 423 | $ 413,834 |
Kyndryl Holdings, Inc.: | |||
2.05%, 10/15/26(1) | 380 | 370,214 | |
2.70%, 10/15/28(1) | 117 | 113,323 | |
Seagate HDD Cayman: | |||
3.375%, 7/15/31 | 435 | 425,139 | |
4.091%, 6/1/29 | 354 | 367,034 | |
4.875%, 3/1/24 | 62 | 65,810 | |
5.75%, 12/1/34(7) | 180 | 207,706 | |
Western Digital Corp., 4.75%, 2/15/26 | 366 | 400,680 | |
$ 2,363,740 | |||
Utilities — 1.2% | |||
AES Corp. (The), 2.45%, 1/15/31 | $ | 675 | $ 658,356 |
American Water Capital Corp.: | |||
2.30%, 6/1/31 | 223 | 223,232 | |
2.95%, 9/1/27 | 370 | 390,673 | |
Avangrid, Inc.: | |||
3.15%, 12/1/24 | 292 | 305,899 | |
3.80%, 6/1/29 | 454 | 494,088 | |
Clearway Energy Operating, LLC, 3.75%, 1/15/32(1) | 176 | 174,933 | |
Consolidated Edison Co. of New York, Inc., 3.35%, 4/1/30 | 209 | 225,008 | |
Enel Finance International NV: | |||
1.375%, 7/12/26(1) | 209 | 203,740 |
Security | Principal Amount (000's omitted) | Value | |
Utilities (continued) | |||
Enel Finance International NV: (continued) | |||
2.65%, 9/10/24(1) | $ | 330 | $ 340,045 |
MidAmerican Energy Co.: | |||
3.15%, 4/15/50 | 215 | 225,656 | |
4.25%, 7/15/49 | 300 | 371,111 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 371 | 367,374 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 34 | 35,309 | |
4.50%, 9/15/27(1) | 60 | 64,860 | |
Niagara Mohawk Power Corp., 1.96%, 6/27/30(1) | 233 | 222,897 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 664 | 689,936 | |
Public Service Co. of Colorado, 3.70%, 6/15/28 | 277 | 304,329 | |
$ 5,297,446 | |||
Total Corporate Bonds (identified cost $72,888,646) | $ 74,042,396 |
Preferred Stocks — 0.3% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(10) | 9,964 | $ 224,190 | |
$ 224,190 | |||
Real Estate Management & Development — 0.1% | |||
Brookfield Property Partners, L.P.: | |||
Series A, 5.75% | 13,670 | $ 322,065 | |
Series A2, 6.375% | 12,000 | 307,920 | |
$ 629,985 | |||
Wireless Telecommunication Services — 0.1% | |||
United States Cellular Corp.: | |||
5.50% | 22,975 | $ 606,540 | |
6.25% | 2,200 | 59,620 | |
$ 666,160 | |||
Total Preferred Stocks (identified cost $1,502,951) | $ 1,520,335 |
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, 2.852%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 291 | $ 289,610 |
$ 289,610 | |||
Electronics/Electrical — 0.2% | |||
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | $ | 205 | $ 205,783 |
Informatica, LLC, Term Loan, 2.875%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 300 | 299,287 | |
MA FinanceCo., LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 18 | 18,018 | |
Seattle Spinco, Inc., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 123 | 121,682 | |
SS&C European Holdings S.a.r.l., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 30 | 29,798 | |
SS&C Technologies, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 | 37 | 36,707 | |
Ultimate Software Group, Inc. (The), Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 247 | 246,504 | |
$ 957,779 | |||
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 | $ 147,538 |
$ 147,538 | |||
Health Care — 0.1% | |||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 | $ | 300 | $ 300,106 |
Ortho-Clinical Diagnostics S.A., Term Loan, 3.103%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | 200 | 200,179 | |
$ 500,285 | |||
Insurance — 0.1% | |||
Asurion, LLC: | |||
Term Loan, 3.229%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 97 | $ 97,080 |
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 60 | 59,060 | |
USI, Inc., Term Loan, 3.224%, (3 mo. USD LIBOR + 3.00%), 5/16/24 | 226 | 224,683 | |
$ 380,823 | |||
Leisure Goods/Activities/Movies — 0.1% | |||
Bombardier Recreational Products, Inc., Term Loan, 2.101%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 68 | $ 67,181 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Leisure Goods/Activities/Movies (continued) | |||
Delta 2 (LUX) S.a.r.l., Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 2/1/24 | $ | 300 | $ 300,081 |
$ 367,262 | |||
Telecommunications — 0.1% | |||
CenturyLink, Inc., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 321 | $ 317,716 |
Level 3 Financing, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 74 | 73,331 | |
Ziggo Financing Partnership, Term Loan, 2.61%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 325 | 321,953 | |
$ 713,000 | |||
Total Senior Floating-Rate Loans (identified cost $3,361,994) | $ 3,356,297 |
Sovereign Government Bonds — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
Kreditanstalt fuer Wiederaufbau: | |||
0.75%, 9/30/30 | $ | 235 | $ 219,720 |
1.00%, 10/1/26 | 915 | 902,596 | |
2.00%, 9/29/22 | 1,048 | 1,060,391 | |
Total Sovereign Government Bonds (identified cost $2,205,944) | $ 2,182,707 |
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 | $ 586,237 |
Massachusetts, Green Bonds, 3.277%, 6/1/46 | 435 | 477,378 | |
New York City, NY, 5.206%, 10/1/31(13) | 470 | 560,781 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 285 | 318,735 | |
$ 1,943,131 | |||
Special Tax Revenue — 0.6% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
2.361%, 6/1/26 | $ | 405 | $ 419,697 |
2.484%, 6/1/27 | 290 | 301,478 | |
2.534%, 6/1/28 | 360 | 372,676 |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue (continued) | |||
California Health Facilities Financing Authority, (No Place Like Home Program): (continued) | |||
2.584%, 6/1/29 | $ | 200 | $ 207,374 |
2.984%, 6/1/33 | 220 | 229,797 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(13) | 300 | 355,047 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(13) | 600 | 752,682 | |
$ 2,638,751 | |||
Water and Sewer — 0.6% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 130 | $ 195,893 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 170 | 172,654 | |
Green Bonds, 2.184%, 9/1/31 | 140 | 141,904 | |
Green Bonds, 2.264%, 9/1/32 | 125 | 126,482 | |
Green Bonds, 2.344%, 9/1/33 | 135 | 136,046 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 145 | 140,553 | |
Green Bonds, 1.701%, 5/1/31 | 130 | 126,849 | |
Green Bonds, 1.951%, 5/1/34 | 75 | 73,229 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 1,440 | 1,489,824 | |
$ 2,603,434 | |||
Total Taxable Municipal Obligations (identified cost $6,773,726) | $ 7,185,316 |
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 | $ 138,813 |
2.618%, 8/1/23 | 69 | 70,869 | |
2.668%, 8/1/24 | 240 | 249,644 | |
2.738%, 8/1/25 | 240 | 253,163 | |
3.435%, 8/1/34 | 220 | 242,375 | |
3.485%, 8/1/35 | 125 | 139,846 | |
3.585%, 8/1/37 | 225 | 254,797 | |
U.S. International Development Finance Corp.: | |||
3.22%, 9/15/29 | 359 | 384,333 | |
3.52%, 9/20/32 | 338 | 371,304 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $2,005,651) | $ 2,105,144 |
U.S. Government Agency Mortgage-Backed Securities — 3.8% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp., Pool #ZT0383, 3.50%, 3/1/48 | $ | 124 | $ 132,110 |
Federal National Mortgage Association: | |||
2.00%, 30-Year, TBA(14) | 332 | 331,253 | |
2.50%, 30-Year, TBA(14) | 6,645 | 6,786,209 | |
3.00%, 30-Year, TBA(14) | 7,150 | 7,411,143 | |
Pool #AN1879, 2.65%, 6/1/26 | 316 | 329,212 | |
Pool #AN1909, 2.68%, 7/1/26 | 347 | 363,095 | |
Pool #BM3990, 4.00%, 3/1/48 | 323 | 346,086 | |
Pool #FM1867, 3.00%, 11/1/49 | 319 | 331,147 | |
Pool #FM6803, 2.00%, 4/1/51 | 260 | 261,360 | |
Pool #MA3149, 4.00%, 10/1/47 | 393 | 421,601 | |
Government National Mortgage Association II: | |||
Pool #CB2653, 2.50%, 3/20/51 | 340 | 350,341 | |
Pool #CB8629, 2.50%, 4/20/51 | 495 | 511,445 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $17,541,630) | $ 17,575,002 |
U.S. Treasury Obligations — 3.3% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 99 | $ 86,470 |
1.375%, 8/15/50 | 497 | 435,554 | |
1.875%, 2/15/41 | 481 | 476,246 | |
1.875%, 2/15/51 | 166 | 164,301 | |
2.00%, 8/15/51 | 338 | 344,654 | |
2.25%, 5/15/41 | 6,000 | 6,305,835 | |
U.S. Treasury Notes: | |||
0.125%, 12/15/23 | 131 | 129,506 | |
0.125%, 1/15/24 | 131 | 129,357 | |
0.125%, 2/15/24(7) | 132 | 130,304 | |
0.25%, 3/15/24 | 1,022 | 1,009,904 | |
0.25%, 6/30/25 | 89 | 86,479 | |
0.375%, 10/31/23 | 259 | 257,513 | |
0.375%, 4/15/24 | 133 | 131,680 | |
0.375%, 9/30/27 | 166 | 157,162 | |
0.75%, 11/15/24 | 105 | 104,426 | |
0.875%, 11/15/30 | 12 | 11,412 | |
1.00%, 7/31/28 | 500 | 486,895 | |
1.125%, 2/29/28 | 1,356 | 1,336,613 | |
1.125%, 8/31/28 | 113 | 110,837 | |
1.25%, 3/31/28 | 581 | 575,962 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
1.25%, 4/30/28 | $ | 1,022 | $ 1,012,938 |
1.25%, 6/30/28 | 717 | 709,830 | |
1.375%, 10/31/28 | 678 | 675,458 | |
1.625%, 5/15/31 | 112 | 113,461 | |
Total U.S. Treasury Obligations (identified cost $15,024,442) | $ 14,982,797 |
Short-Term Investments — 0.7% | |||
Affiliated Fund — 0.1% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.06%(15) | 232,492 | $ 232,492 | |
Total Affiliated Fund (identified cost $232,485) | $ 232,492 | ||
Securities Lending Collateral — 0.6% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(16) | 2,821,888 | $ 2,821,888 | |
Total Securities Lending Collateral (identified cost $2,821,888) | $ 2,821,888 | ||
Total Short-Term Investments (identified cost $3,054,373) | $ 3,054,380 | ||
Total Purchased Options — 0.0%(8) (identified cost $6,554) | $ 5,344 | ||
Total Investments — 103.7% (identified cost $366,181,924) | $475,787,019 | ||
Other Assets, Less Liabilities — (3.7)% | $ (16,867,001) | ||
Net Assets — 100.0% | $ 458,920,018 |
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 December 31, 2021, the aggregate value of these securities is $66,382,965 or 14.5% of the Fund's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2021. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2021. |
(4) | Step coupon security. Interest rate represents the rate in effect at December 31, 2021. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021 (see Note 9). |
(6) | Non-income producing security. |
(7) | All or a portion of this security was on loan at December 31, 2021. The aggregate market value of securities on loan at December 31, 2021 was $5,474,678. |
(8) | Amount is less than 0.05%. |
(9) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At December 31, 2021, the aggregate value of these securities is $197,111 or less than 0.05% of the Fund’s net assets. |
(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) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of December 31, 2021. |
(16) | Represents investment of cash collateral received in connection with securities lending. |
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
U.S. 10-Year Treasury Note Futures 3/2022 | 18 | $2,348,438 | $128.50 | 2/18/22 | $ 5,344 |
Total | $5,344 |
(1) | Amount is less than 0.05%. |
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 92 | Long | 3/31/22 | $ 20,071,813 | $ (6,500) |
U.S. 5-Year Treasury Note | 77 | Long | 3/31/22 | 9,315,195 | 11,594 |
U.S. 10-Year Treasury Note | 44 | Long | 3/22/22 | 5,740,625 | 55,951 |
U.S. Ultra-Long Treasury Bond | 28 | Long | 3/22/22 | 5,519,500 | 127,712 |
U.S. Long Treasury Bond | (2) | Short | 3/22/22 | (320,875) | (3,379) |
U.S. Ultra 10-Year Treasury Note | (168) | Short | 3/22/22 | (24,601,500) | (333,405) |
U.S. Ultra-Long Treasury Bond | (6) | Short | 3/22/22 | (1,182,750) | (27,383) |
$(175,410) |
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 |
December 31, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $364,195,193) - including $5,474,678 of securities on loan | $ 473,819,348 |
Investments in securities of affiliated issuers, at value (identified cost $1,986,731) | 1,967,671 |
Cash | 61,215 |
Deposits at broker for futures contracts | 293,000 |
Receivable for capital shares sold | 100,025 |
Dividends and interest receivable | 854,139 |
Dividends and interest receivable - affiliated | 1,382 |
Securities lending income receivable | 1,413 |
Tax reclaims receivable | 48,206 |
Directors' deferred compensation plan | 78,012 |
Total assets | $477,224,411 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 23,892 |
Payable for investments purchased | 176,534 |
Payable for when-issued/delayed delivery/forward commitment securities | 14,531,226 |
Payable for capital shares redeemed | 348,722 |
Deposits for securities loaned | 2,821,888 |
Payable to affiliates: | |
Investment advisory fee | 158,646 |
Administrative fee | 46,433 |
Distribution and service fees | 2,704 |
Sub-transfer agency fee | 207 |
Directors' deferred compensation plan | 78,012 |
Accrued expenses | 116,129 |
Total liabilities | $ 18,304,393 |
Net Assets | $458,920,018 |
Sources of Net Assets | |
Paid-in capital | $ 307,788,950 |
Distributable earnings | 151,131,068 |
Net Assets | $458,920,018 |
Class I Shares | |
Net Assets | $ 445,916,954 |
Shares Outstanding | 160,651,686 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 2.78 |
Class F Shares | |
Net Assets | $ 13,003,064 |
Shares Outstanding | 4,696,928 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 2.77 |
Year Ended | |
December 31, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $44,818) | $ 3,394,086 |
Dividend income - affiliated issuers | 5,404 |
Interest and other income | 3,985,999 |
Interest income - affiliated issuers | 19,157 |
Securities lending income, net | 9,598 |
Total investment income | $ 7,414,244 |
Expenses | |
Investment advisory fee | $ 1,812,900 |
Administrative fee | 530,605 |
Distribution and service fees: | |
Class F | 25,568 |
Directors' fees and expenses | 16,930 |
Custodian fees | 11,874 |
Transfer agency fees and expenses | 176,323 |
Accounting fees | 162,721 |
Professional fees | 36,350 |
Reports to shareholders | 34,709 |
Miscellaneous | 21,519 |
Total expenses | $ 2,829,499 |
Net investment income | $ 4,584,745 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 37,539,605 |
Investment securities - affiliated issuers | 619 |
Futures contracts | 444,676 |
Foreign currency transactions | (5,195) |
Net realized gain | $37,979,705 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ 18,190,439 |
Investment securities - affiliated issuers | 14,662 |
Futures contracts | (166,183) |
Foreign currency | (1,464) |
Net change in unrealized appreciation (depreciation) | $18,037,454 |
Net realized and unrealized gain | $56,017,159 |
Net increase in net assets from operations | $60,601,904 |
Year Ended December 31, | ||
2021 | 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 4,584,745 | $ 5,130,781 |
Net realized gain | 37,979,705 | 12,854,571 |
Net change in unrealized appreciation (depreciation) | 18,037,454 | 36,312,374 |
Net increase in net assets from operations | $ 60,601,904 | $ 54,297,726 |
Distributions to shareholders: | ||
Class I | $ (18,133,416) | $ (17,095,943) |
Class F | (482,625) | (305,549) |
Total distributions to shareholders | $ (18,616,041) | $ (17,401,492) |
Capital share transactions: | ||
Class I | $ (3,410,574) | $ 9,550,261 |
Class F | 4,225,654 | 2,257,686 |
Net increase in net assets from capital share transactions | $ 815,080 | $ 11,807,947 |
Net increase in net assets | $ 42,800,943 | $ 48,704,181 |
Net Assets | ||
At beginning of year | $ 416,119,075 | $ 367,414,894 |
At end of year | $458,920,018 | $416,119,075 |
Class I | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 2.52 | $ 2.29 | $ 1.94 | $ 2.23 | $ 2.05 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.03 | $ 0.03 | $ 0.04 | $ 0.04 | $ 0.04 |
Net realized and unrealized gain (loss) | 0.34 | 0.31 | 0.43 | (0.08) | 0.20 |
Total income (loss) from operations | $ 0.37 | $ 0.34 | $ 0.47 | $ (0.04) | $ 0.24 |
Less Distributions | |||||
From net investment income | $ (0.03) | $ (0.04) | $ (0.04) | $ (0.04) | $ (0.04) |
From net realized gain | (0.08) | (0.07) | (0.08) | (0.21) | (0.02) |
Total distributions | $ (0.11) | $ (0.11) | $ (0.12) | $ (0.25) | $ (0.06) |
Net asset value — End of year | $ 2.78 | $ 2.52 | $ 2.29 | $ 1.94 | $ 2.23 |
Total Return(2) | 15.12% | 15.26% | 24.40% | (2.67)% | 12.16% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $445,917 | $408,223 | $362,392 | $296,345 | $329,060 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.63% | 0.63% | 0.62% | 0.72% | 0.69% |
Net expenses | 0.63% | 0.63% | 0.62% | 0.70% | 0.68% |
Net investment income | 1.04% | 1.39% | 1.68% | 1.66% | 1.73% |
Portfolio Turnover | 93% (4) | 104% (4) | 70% (4) | 77% | 132% |
(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) | 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. |
(4) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class F | |||||
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 2.52 | $ 2.30 | $ 1.95 | $ 2.24 | $ 2.08 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.02 | $ 0.03 | $ 0.03 | $ 0.03 | $ 0.03 |
Net realized and unrealized gain (loss) | 0.34 | 0.30 | 0.44 | (0.07) | 0.19 |
Total income (loss) from operations | $ 0.36 | $ 0.33 | $ 0.47 | $ (0.04) | $ 0.22 |
Less Distributions | |||||
From net investment income | $ (0.03) | $ (0.04) | $ (0.04) | $ (0.04) | $ (0.04) |
From net realized gain | (0.08) | (0.07) | (0.08) | (0.21) | (0.02) |
Total distributions | $ (0.11) | $ (0.11) | $ (0.12) | $ (0.25) | $ (0.06) |
Net asset value — End of year | $ 2.77 | $ 2.52 | $ 2.30 | $ 1.95 | $ 2.24 |
Total Return(2) | 14.72% | 14.76% | 24.28% | (2.65)% | 11.01% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $13,003 | $ 7,896 | $ 5,023 | $1,920 | $ 1,540 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.88% | 0.88% | 0.86% | 0.96% | 1.40% |
Net expenses | 0.88% | 0.88% | 0.86% | 0.96% | 1.08% |
Net investment income | 0.79% | 1.13% | 1.44% | 1.40% | 1.30% |
Portfolio Turnover | 93% (4) | 104% (4) | 70% (4) | 77% | 132% |
(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) | 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. |
(4) | Includes the effect of To-Be-Announced (TBA) transactions. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 30,206,929 | $ — | $ 30,206,929 |
Collateralized Mortgage Obligations | — | 8,031,376 | — | 8,031,376 |
Commercial Mortgage-Backed Securities | — | 19,487,479 | — | 19,487,479 |
Common Stocks | 291,854,406 (1) | — | — | 291,854,406 |
Convertible Bonds | — | 197,111 | — | 197,111 |
Corporate Bonds | — | 74,042,396 | — | 74,042,396 |
Preferred Stocks | 1,520,335 | — | — | 1,520,335 |
Senior Floating-Rate Loans | — | 3,356,297 | — | 3,356,297 |
Sovereign Government Bonds | — | 2,182,707 | — | 2,182,707 |
Taxable Municipal Obligations | — | 7,185,316 | — | 7,185,316 |
U.S. Government Agencies and Instrumentalities | — | 2,105,144 | — | 2,105,144 |
U.S. Government Agency Mortgage-Backed Securities | — | 17,575,002 | — | 17,575,002 |
U.S. Treasury Obligations | — | 14,982,797 | — | 14,982,797 |
Short-Term Investments: | ||||
Affiliated Fund | — | 232,492 | — | 232,492 |
Securities Lending Collateral | 2,821,888 | — | — | 2,821,888 |
Purchased Put Options | 5,344 | — | — | 5,344 |
Total Investments | $296,201,973 | $179,585,046 | $ — | $475,787,019 |
Futures Contracts | $ 195,257 | $ — | $ — | $ 195,257 |
Total | $296,397,230 | $179,585,046 | $ — | $475,982,276 |
Liability Description | ||||
Futures Contracts | $ (370,667) | $ — | $ — | $ (370,667) |
Total | $ (370,667) | $ — | $ — | $ (370,667) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Average Daily Net Assets | Annual Fee Rate |
Up to and including $500 million | 0.41% |
Over $500 million up to and including $1 billion | 0.36% |
Over $1 billion | 0.325% |
Year Ended December 31, | ||
2021 | 2020 | |
Ordinary income | $ 6,894,232 | $10,120,796 |
Long-term capital gains | $11,721,809 | $ 7,280,696 |
Undistributed ordinary income | $ 8,475,486 |
Undistributed long-term capital gains | 33,570,268 |
Net unrealized appreciation | 109,085,314 |
Distributable earnings | $151,131,068 |
Aggregate cost | $366,695,106 |
Gross unrealized appreciation | $ 112,049,197 |
Gross unrealized depreciation | (2,962,628) |
Net unrealized appreciation | $109,086,569 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ 195,257(1) | $ (370,667)(1) | |
Purchased options | Investments in securities of unaffiliated issuers, at value | 5,344 | — | |
Total | $200,601 | $(370,667) |
(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 | 444,676 |
Total | $ 440,831 |
Change in unrealized appreciation (depreciation): | |
Investment securities(1) | $ (1,210) |
Futures contracts | (166,183) |
Total | $(167,393) |
(1) | Relates to purchased options. |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $ 2,691,920 | $ — | $ — | $ — | $ 2,691,920 |
U.S. Treasury Obligations | 129,968 | — | — | — | 129,968 |
Total | $2,821,888 | $ — | $ — | $ — | $2,821,888 |
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, 0.81%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1) | $ — | $ 140,109 | $ — | $ — | $ (689) | $ 685,150 | $ 4,250 | $685,000 |
Series 2017-CLS, Class E, 2.06%, (1 mo. USD LIBOR + 1.95%), 11/15/34(1) | — | 78,938 | — | — | (42) | 78,896 | 117 | 79,000 |
Series 2017-CLS, Class F, 2.71%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1) | — | 169,317 | — | — | (840) | 168,469 | 1,293 | 169,000 |
Series 2019-BPR, Class A, 1.51%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1) | — | — | — | — | 8,764 | 533,095 | 6,877 | 539,000 |
Series 2019-BPR, Class B, 2.21%, (1 mo. USD LIBOR + 2.10%), 5/15/36(1) | — | — | — | — | 5,431 | 178,500 | 3,619 | 187,000 |
Series 2019-BPR, Class C, 3.16%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1) | — | — | — | — | 5,372 | 91,069 | 2,678 | 100,000 |
Corporate Bonds | ||||||||
Morgan Stanley, 0.71%, (SOFR + 0.70%), 1/20/23(1) | — | — | (716,112) | 2,112 | (3,384) | — | 323 | — |
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 |
Short-Term Investments | ||||||||
Calvert Cash Reserves Fund, LLC | $7,856,807 | $129,000,781 | $(136,623,653) | $ (1,493) | $ 50 | $ 232,492 | $ 5,404 | 232,492 |
Totals | $ 619 | $14,662 | $1,967,671 | $24,561 |
(1) | May be deemed to be an affiliated issuer as of March 1, 2021 (see Note 2). |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 9,350,542 | $ 25,017,694 | 13,186,923 | $ 30,978,919 | |
Reinvestment of distributions | 6,842,798 | 18,133,416 | 7,305,959 | 17,095,943 | |
Shares redeemed | (17,282,540) | (46,561,684) | (16,928,416) | (38,524,601) | |
Net increase (decrease) | (1,089,200) | $ (3,410,574) | 3,564,466 | $ 9,550,261 | |
Class F | |||||
Shares sold | 1,857,812 | $ 5,015,150 | 1,508,379 | $ 3,492,301 | |
Reinvestment of distributions | 182,813 | 482,625 | 130,576 | 305,549 | |
Shares redeemed | (471,455) | (1,272,121) | (698,255) | (1,540,164) | |
Net increase | 1,569,170 | $ 4,225,654 | 940,700 | $ 2,257,686 |
Boston, Massachusetts
February 18, 2022
Name and Year of Birth | Corporation Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | Since 2015 | President and Chief Executive Officer of CRM (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Noninterested Directors | |||
Richard L. Baird, Jr. 1948 | Director | Since 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships. None. |
Alice Gresham Bullock 1950 | Chair and Director | Since 2016 (Chair); Since 2008 (Director) | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Director | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | Since 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | Since 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (November 1999 - September 2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Name and Year of Birth | Corporation Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Directors (continued) | |||
Anthony A. Williams 1951 | Director | Since 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development). |
Name and Year of Birth | Corporation Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Directors | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. |
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 | One Year | Five Years | Ten Years |
Fund at NAV | 07/16/1991 | 07/16/1991 | 15.03% | 12.59% | 11.89% |
Russell Midcap® Index | — | — | 22.58% | 15.09% | 14.89% |
% Total Annual Operating Expense Ratios3 | |
0.99% |
Top 10 Holdings (% of net assets)* | |
Motorola Solutions, Inc. | 2.4% |
ANSYS, Inc. | 2.3 |
Mid-America Apartment Communities, Inc. | 2.3 |
Black Knight, Inc. | 2.3 |
Baker Hughes Co. | 2.3 |
Lamar Advertising Co., Class A | 2.2 |
Morningstar, Inc. | 2.2 |
Aptiv PLC | 2.2 |
Verisk Analytics, Inc. | 2.1 |
Broadridge Financial Solutions, Inc. | 2.1 |
Total | 22.4% |
* | Excludes cash and cash equivalents. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Calvert and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Calvert fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
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. | |
Additional Information | |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. Dow Jones Industrial Average® is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Nasdaq Composite Index is a market capitalization-weighted index of all domestic and international |
Beginning Account Value (7/1/21) | Ending Account Value (12/31/21) | Expenses Paid During Period* (7/1/21 – 12/31/21) | Annualized Expense Ratio | |
Actual | ||||
$1,000.00 | $1,041.80 | $4.94 | 0.96% | |
Hypothetical | ||||
(5% return per year before expenses) | ||||
$1,000.00 | $1,020.37 | $4.89 | 0.96% |
* | Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 June 30, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
Common Stocks — 99.9% |
Security | Shares | Value | |
Auto Components — 2.2% | |||
Aptiv PLC(1) | 4,895 | $ 807,430 | |
$ 807,430 | |||
Banks — 3.2% | |||
Commerce Bancshares, Inc. | 6,847 | $ 470,663 | |
KeyCorp | 31,175 | 721,078 | |
$ 1,191,741 | |||
Beverages — 1.7% | |||
Coca-Cola Europacific Partners PLC | 11,480 | $ 642,076 | |
$ 642,076 | |||
Biotechnology — 1.2% | |||
Neurocrine Biosciences, Inc.(1) | 5,226 | $ 445,098 | |
$ 445,098 | |||
Building Products — 2.0% | |||
AZEK Co., Inc. (The)(1) | 9,493 | $ 438,956 | |
Trex Co., Inc.(1) | 2,256 | 304,628 | |
$ 743,584 | |||
Capital Markets — 4.3% | |||
Morningstar, Inc. | 2,361 | $ 807,438 | |
Tradeweb Markets, Inc., Class A | 7,692 | 770,277 | |
$ 1,577,715 | |||
Commercial Services & Supplies — 3.0% | |||
GFL Environmental, Inc. | 13,146 | $ 497,074 | |
Tetra Tech, Inc. | 3,659 | 621,298 | |
$ 1,118,372 | |||
Communications Equipment — 3.7% | |||
F5, Inc.(1) | 1,983 | $ 485,260 | |
Motorola Solutions, Inc. | 3,297 | 895,795 | |
$ 1,381,055 | |||
Consumer Finance — 1.9% | |||
Ally Financial, Inc. | 14,862 | $ 707,580 | |
$ 707,580 | |||
Containers & Packaging — 2.5% | |||
AptarGroup, Inc. | 5,902 | $ 722,877 | |
Packaging Corp. of America | 1,529 | 208,173 | |
$ 931,050 |
Security | Shares | Value | |
Diversified Consumer Services — 2.1% | |||
Bright Horizons Family Solutions, Inc.(1) | 2,982 | $ 375,374 | |
Terminix Global Holdings, Inc.(1) | 8,834 | 399,562 | |
$ 774,936 | |||
Electric Utilities — 1.6% | |||
Xcel Energy, Inc. | 8,570 | $ 580,189 | |
$ 580,189 | |||
Electrical Equipment — 1.9% | |||
AMETEK, Inc. | 4,878 | $ 717,261 | |
$ 717,261 | |||
Electronic Equipment, Instruments & Components — 3.4% | |||
TE Connectivity, Ltd. | 4,808 | $ 775,723 | |
Zebra Technologies Corp., Class A(1) | 791 | 470,803 | |
$ 1,246,526 | |||
Energy Equipment & Services — 2.3% | |||
Baker Hughes Co. | 34,696 | $ 834,786 | |
$ 834,786 | |||
Entertainment — 1.4% | |||
Electronic Arts, Inc. | 4,029 | $ 531,425 | |
$ 531,425 | |||
Equity Real Estate Investment Trusts (REITs) — 8.2% | |||
EastGroup Properties, Inc. | 2,963 | $ 675,120 | |
Healthpeak Properties, Inc. | 19,294 | 696,320 | |
Lamar Advertising Co., Class A | 6,693 | 811,861 | |
Mid-America Apartment Communities, Inc. | 3,694 | 847,551 | |
$ 3,030,852 | |||
Food & Staples Retailing — 1.6% | |||
Performance Food Group Co.(1) | 12,759 | $ 585,511 | |
$ 585,511 | |||
Health Care Equipment & Supplies — 2.6% | |||
Envista Holdings Corp.(1) | 9,564 | $ 430,954 | |
Teleflex, Inc. | 1,630 | 535,422 | |
$ 966,376 | |||
Health Care Providers & Services — 1.7% | |||
R1 RCM, Inc.(1) | 24,259 | $ 618,362 | |
$ 618,362 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure — 1.7% | |||
Wyndham Hotels & Resorts, Inc. | 6,915 | $ 619,930 | |
$ 619,930 | |||
Independent Power and Renewable Electricity Producers — 1.1% | |||
NextEra Energy Partners, L.P. | 4,571 | $ 385,792 | |
$ 385,792 | |||
Insurance — 4.5% | |||
Assurant, Inc. | 4,560 | $ 710,721 | |
Primerica, Inc. | 2,573 | 394,364 | |
Travelers Cos., Inc. (The) | 3,574 | 559,081 | |
$ 1,664,166 | |||
Interactive Media & Services — 2.8% | |||
CarGurus, Inc.(1) | 15,118 | $ 508,570 | |
Match Group, Inc.(1) | 4,081 | 539,712 | |
$ 1,048,282 | |||
IT Services — 5.3% | |||
Broadridge Financial Solutions, Inc. | 4,300 | $ 786,126 | |
Euronet Worldwide, Inc.(1) | 5,426 | 646,616 | |
Flywire Corp.(1) | 4,366 | 166,170 | |
WEX, Inc.(1) | 2,632 | 369,507 | |
$ 1,968,419 | |||
Life Sciences Tools & Services — 5.4% | |||
Agilent Technologies, Inc. | 3,240 | $ 517,266 | |
Avantor, Inc.(1) | 11,243 | 473,780 | |
PerkinElmer, Inc. | 2,337 | 469,877 | |
Waters Corp.(1) | 1,463 | 545,114 | |
$ 2,006,037 | |||
Machinery — 5.0% | |||
Colfax Corp.(1) | 11,740 | $ 539,688 | |
Stanley Black & Decker, Inc. | 3,415 | 644,137 | |
Westinghouse Air Brake Technologies Corp. | 7,048 | 649,191 | |
$ 1,833,016 | |||
Metals & Mining — 1.1% | |||
Steel Dynamics, Inc. | 6,345 | $ 393,834 | |
$ 393,834 | |||
Professional Services — 4.9% | |||
Booz Allen Hamilton Holding Corp. | 4,589 | $ 389,101 | |
Clarivate PLC(1) | 26,807 | 630,501 |
Security | Shares | Value | |
Professional Services (continued) | |||
Verisk Analytics, Inc. | 3,463 | $ 792,092 | |
$ 1,811,694 | |||
Semiconductors & Semiconductor Equipment — 3.4% | |||
Entegris, Inc. | 1,776 | $ 246,118 | |
ON Semiconductor Corp.(1) | 4,357 | 295,928 | |
Teradyne, Inc. | 4,244 | 694,021 | |
$ 1,236,067 | |||
Software — 6.1% | |||
ANSYS, Inc.(1) | 2,116 | $ 848,770 | |
Bill.com Holdings, Inc.(1) | 2,280 | 568,062 | |
Black Knight, Inc.(1) | 10,088 | 836,194 | |
$ 2,253,026 | |||
Specialty Retail — 5.1% | |||
Bath & Body Works, Inc. | 7,244 | $ 505,559 | |
National Vision Holdings, Inc.(1) | 8,925 | 428,311 | |
Ross Stores, Inc. | 4,270 | 487,975 | |
Ulta Beauty, Inc.(1) | 1,138 | 469,243 | |
$ 1,891,088 | |||
Textiles, Apparel & Luxury Goods — 1.0% | |||
Deckers Outdoor Corp.(1) | 1,050 | $ 384,626 | |
$ 384,626 | |||
Total Common Stocks (identified cost $28,784,443) | $36,927,902 |
Short-Term Investments — 0.1% | |||
Description | Units | Value | |
Calvert Cash Reserves Fund, LLC, 0.06%(2) | 26,304 | $ 26,304 | |
Total Short-Term Investments (identified cost $26,304) | $ 26,304 | ||
Total Investments — 100.0% (identified cost $28,810,747) | $36,954,206 | ||
Other Assets, Less Liabilities — 0.0%(3) | $ 17,382 | ||
Net Assets — 100.0% | $36,971,588 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | Affiliated investment company, available to Calvert portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of December 31, 2021. |
(3) | Amount is less than 0.05%. |
December 31, 2021 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $28,784,443) | $ 36,927,902 |
Investments in securities of affiliated issuers, at value (identified cost $26,304) | 26,304 |
Receivable for capital shares sold | 59,403 |
Dividends receivable | 15,821 |
Securities lending income receivable | 4 |
Directors' deferred compensation plan | 9,367 |
Total assets | $37,038,801 |
Liabilities | |
Payable for capital shares redeemed | $ 951 |
Payable to affiliates: | |
Investment advisory fee | 20,009 |
Administrative fee | 3,694 |
Sub-transfer agency fee | 90 |
Directors' deferred compensation plan | 9,367 |
Accrued expenses | 33,102 |
Total liabilities | $ 67,213 |
Net Assets | $36,971,588 |
Sources of Net Assets | |
Paid-in capital | $ 22,972,984 |
Distributable earnings | 13,998,604 |
Net Assets | $36,971,588 |
Net Assets | $ 36,971,588 |
Shares Outstanding | 986,572 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 37.47 |
Year Ended | |
December 31, 2021 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $660) | $ 320,486 |
Dividend income - affiliated issuers | 119 |
Securities lending income, net | 584 |
Total investment income | $ 321,189 |
Expenses | |
Investment advisory fee | $ 239,706 |
Administrative fee | 44,254 |
Directors' fees and expenses | 1,447 |
Custodian fees | 4,888 |
Transfer agency fees and expenses | 21,186 |
Accounting fees | 8,330 |
Professional fees | 25,694 |
Reports to shareholders | 2,117 |
Miscellaneous | 5,879 |
Total expenses | $ 353,501 |
Net investment loss | $ (32,312) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 5,968,032 |
Investment securities - affiliated issuers | (7) |
Foreign currency transactions | (316) |
Net realized gain | $5,967,709 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (827,487) |
Net change in unrealized appreciation (depreciation) | $ (827,487) |
Net realized and unrealized gain | $5,140,222 |
Net increase in net assets from operations | $5,107,910 |
Year Ended December 31, | ||
2021 | 2020 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income (loss) | $ (32,312) | $ 84,852 |
Net realized gain | 5,967,709 | 1,524,988 |
Net change in unrealized appreciation (depreciation) | (827,487) | 2,076,521 |
Net increase in net assets from operations | $ 5,107,910 | $ 3,686,361 |
Distributions to shareholders | $ (1,642,396) | $ (2,484,214) |
Net decrease in net assets from capital share transactions | $ (2,366,746) | $ (1,395,328) |
Net increase (decrease) in net assets | $ 1,098,768 | $ (193,181) |
Net Assets | ||
At beginning of year | $ 35,872,820 | $ 36,066,001 |
At end of year | $36,971,588 | $35,872,820 |
Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | |
Net asset value — Beginning of year | $ 34.10 | $ 32.89 | $ 27.48 | $ 31.96 | $ 28.82 |
Income (Loss) From Operations | |||||
Net investment income (loss)(1) | $ (0.03) | $ 0.08 | $ 0.14 | $ 0.15 | $ 0.15 |
Net realized and unrealized gain (loss) | 5.07 | 3.63 | 8.21 | (1.09) | 3.20 |
Total income (loss) from operations | $ 5.04 | $ 3.71 | $ 8.35 | $ (0.94) | $ 3.35 |
Less Distributions | |||||
From net investment income | $ (0.07) | $ (0.14) | $ (0.15) | $ (0.18) | $ (0.21) |
From net realized gain | (1.60) | (2.36) | (2.79) | (3.36) | — |
Total distributions | $ (1.67) | $ (2.50) | $ (2.94) | $ (3.54) | $ (0.21) |
Net asset value — End of year | $ 37.47 | $ 34.10 | $ 32.89 | $ 27.48 | $ 31.96 |
Total Return(2) | 15.03% | 12.24% | 31.36% | (4.43)% | 11.65% |
Ratios/Supplemental Data | |||||
Net assets, end of year (000’s omitted) | $36,972 | $35,873 | $36,066 | $31,929 | $41,239 |
Ratios (as a percentage of average daily net assets):(3) | |||||
Total expenses | 0.96% | 0.99% | 1.00% | 1.01% | 1.04% |
Net expenses | 0.96% | 0.99% | 0.99% | 0.99% | 0.99% |
Net investment income (loss) | (0.09)% | 0.26% | 0.44% | 0.46% | 0.49% |
Portfolio Turnover | 74% | 82% | 72% | 62% | 159% |
(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) | 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. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 36,927,902(1) | $ — | $ — | $ 36,927,902 |
Short-Term Investments | — | 26,304 | — | 26,304 |
Total Investments | $36,927,902 | $26,304 | $ — | $36,954,206 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Year Ended December 31, | ||
2021 | 2020 | |
Ordinary income | $ 72,800 | $ 229,081 |
Long-term capital gains | $1,569,596 | $2,255,133 |
Undistributed ordinary income | $ 857,502 |
Undistributed long-term capital gains | 5,065,795 |
Net unrealized appreciation | 8,075,306 |
Distributable earnings | $13,998,603 |
Aggregate cost | $28,878,900 |
Gross unrealized appreciation | $ 8,408,143 |
Gross unrealized depreciation | (332,837) |
Net unrealized appreciation | $ 8,075,306 |
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 | $6,540,480 | $(6,632,222) | $(7) | $ — | $26,304 | $119 | 26,304 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | 58,905 | $ 2,163,794 | 60,897 | $ 1,863,023 | |
Reinvestment of distributions | 45,813 | 1,642,396 | 82,150 | 2,484,214 | |
Shares redeemed | (170,099) | (6,172,936) | (187,494) | (5,742,565) | |
Net decrease | (65,381) | $(2,366,746) | (44,447) | $(1,395,328) |
Boston, Massachusetts
February 18, 2022
Name and Year of Birth | Corporation Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Director | |||
John H. Streur(1) 1960 | Director and President | Since 2015 | President and Chief Executive Officer of CRM (since December 31, 2016). President and Chief Executive Officer of Calvert Investments, Inc. (January 2015 - December 2016); Chief Executive Officer of Calvert Investment Distributors, Inc. (August 2015 - December 2016); Chief Compliance Officer of Calvert Investment Management, Inc. (August 2015 - April 2016); President and Director, Portfolio 21 Investments, Inc. (through October 2014); President, Chief Executive Officer and Director, Managers Investment Group LLC (through January 2012); President and Director, The Managers Funds and Managers AMG Funds (through January 2012). Other Directorships. Portfolio 21 Investments, Inc. (asset management) (through October 2014); Managers Investment Group LLC (asset management) (through January 2012); The Managers Funds (asset management) (through January 2012); Managers AMG Funds (asset management) (through January 2012); Calvert Impact Capital, Inc. |
Noninterested Directors | |||
Richard L. Baird, Jr. 1948 | Director | Since 2016 | Regional Disaster Recovery Lead, American Red Cross of Greater Pennsylvania (since 2017). Volunteer, American Red Cross (since 2015). Former President and CEO of Adagio Health Inc. (retired in 2014) in Pittsburgh, PA. Other Directorships. None. |
Alice Gresham Bullock 1950 | Chair and Director | Since 2016 (Chair); Since 2008 (Director) | Professor Emerita at Howard University School of Law. Dean Emerita of Howard University School of Law and Deputy Director of the Association of American Law Schools (1992-1994). Other Directorships. None. |
Cari M. Dominguez 1949 | Director | Since 2016 | Former Chair of the U.S. Equal Employment Opportunity Commission. Other Directorships. ManpowerGroup Inc. (workforce solutions company); Triple S Management Corporation (managed care); National Association of Corporate Directors. |
John G. Guffey, Jr. 1948 | Director | Since 2016 | President of Aurora Press Inc., a privately held publisher of trade paperbacks (since January 1997). Other Directorships. Calvert Impact Capital, Inc. (through December 31, 2018); Calvert Ventures, LLC. |
Miles D. Harper, III 1962 | Director | Since 2016 | Partner, Carr Riggs & Ingram (public accounting firm) since October 2014. Partner, Gainer Donnelly & Desroches (public accounting firm) (now Carr Riggs & Ingram) (November 1999 - September 2014). Other Directorships. Bridgeway Funds (9) (asset management). |
Joy V. Jones 1950 | Director | Since 2016 | Attorney. Other Directorships. Palm Management Corporation. |
Name and Year of Birth | Corporation Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Directors (continued) | |||
Anthony A. Williams 1951 | Director | Since 2016 | CEO and Executive Director of the Federal City Council (July 2012 to present); Senior Adviser and Independent Consultant for King and Spalding LLP (September 2015 to present); Executive Director of Global Government Practice at the Corporate Executive Board (January 2010 to January 2012). Other Directorships. Freddie Mac; Evoq Properties/Meruelo Maddux Properties, Inc. (real estate management); Weston Solutions, Inc. (environmental services); Bipartisan Policy Center’s Debt Reduction Task Force; Chesapeake Bay Foundation; Catholic University of America; Urban Institute (research organization); The Howard Hughes Corporation (real estate development). |
Name and Year of Birth | Corporation Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Directors | |||
Hope L. Brown 1973 | Chief Compliance Officer | Since 2014 | Chief Compliance Officer of 39 registered investment companies advised by CRM (since 2014). Vice President and Chief Compliance Officer, Wilmington Funds (2012-2014). |
Deidre E. Walsh 1971 | Secretary, Vice President and Chief Legal Officer | Since 2021 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2021). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
James F. Kirchner 1967 | Treasurer | Since 2016 | Vice President of CRM and officer of 39 registered investment companies advised by CRM (since 2016). Also Vice President of Eaton Vance and certain of its affiliates and officer of 138 registered investment companies advised or administered by Eaton Vance. |
(1) Mr. Streur is an interested person of the Fund because of his positions with the Fund’s adviser and certain affiliates. |
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
The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-368-2745. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Directors has determined that Miles D. Harper III, an “independent” Director serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Directors in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services
(a) –(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended December 31, 2020 and December 31, 2021 for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by its principal accountant during such periods.
Fiscal Years Ended | 12/31/20 | %* | 12/31/21 | %* | ||||||||||||
Audit Fees | $ | 47,257 | 0 | % | $ | 47,000 | 0 | % | ||||||||
Audit-Related Fees(1) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees(2) | $ | 7,800 | 0 | % | $ | 7,800 | 0 | % | ||||||||
All Other Fees(3) | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 55,057 | �� | 0 | % | $ | 54,800 | 0 | % | |||||||
|
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* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of Committee’s requirement to pre-approve). |
(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e) The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment adviser in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant’s principal accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant:
Fiscal Year ended 12/31/20 | Fiscal Year ended 12/31/21 | |||||
$ | %* | $ | %* | |||
$7,800 | 0% | $7,800 | 0% |
* | Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of Committee’s requirement to pre-approve). |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (“Exchange Act”), as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT VARIABLE SERIES, INC. | ||
By: | /s/ John H. Streur | |
John H. Streur | ||
President |
Date: February 23, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | February 23, 2022 | |
By: | /s/ John H. Streur | |
John H. Streur | ||
President | ||
Date: | February 23, 2022 |